Research On Quantitative Strategy Based On Corporate Quality

With the continuous development of the financial market,the market is flooded with all kinds of information,a large number of data,far beyond the human brain can deal with the range;,on the other hand,most investors to rely on the traditional way of investment,pay more attention to through the analysis of human and their own experience to make investment decisions,the change of market signals and policies often arouse people’s overreaction,affected by various subjective factors such as emotional and psychological,lead to irrational decision making,and quantitative investment by executing the corresponding trading strategies,It can improve the ability to process information and the ability to respond to the market,and reduce the irrational behavior of investors.Therefore,the research of quantitative investment strategy is particularly important.First of all,the paper introduces the research background,methods and other contents of this paper,combs and analyzes the relevant literature,and introduces the basic theory of this paper.Secondly,on the basis of Gordon’s growth model,this paper divides the quality of the company into six categories,constructs the initial factor pool,selects the effective factors from the initial factor pool by three methods: regression analysis,IC analysis and stratified backtest,and constructs the comprehensive quality factors by using the method of equal weight.Then,the self-built factors are combined with the factors provided by the platform to construct the multi-factor strategy,and the back-test test is carried out.The constructed multi-factor strategy is optimized by the factor and the number of positions,and the stocks are screened based on the optimized strategy.Finally,based on Donchian Channel,ATR,AMA and other technical indicators,quantitative timing strategy is constructed for the selected stocks,and insample backtest and out-of-sample test are conducted,and the summary and outlook are made.Back test results show that the return of multi-factor strategy is much higher than the CSI 300 index in the same period.The indicators of the multi-factor strategy optimized by the number of factors are better than the original multi-factor strategy model,and the revenue ability,risk resistance ability and stability of the strategy are improved.Through the optimization of the number of positions,it is found that the multi-factor strategy constructed in this paper is relatively optimal when the number of positions is about 10-20.After constructing quantitative timing strategy through technical indexes for stocks selected by the optimized multi-factor model,we find that higher strategy returns can be obtained.In this paper,investors in the research ideas,quantitative multi-factor stock selection investment and quantitative timing investment to do some reference.