An Empirical Analysis Of Quantitative Investment Model Based On Chinese Stock Market

Four years has passed since Everbright Pramerica Core QuantFund and Alpha Fund of China International Fund Management were launched respectively in2004and2005. Then Harvest Quant Fund was issued in2009followed by Zhonghai Quantitative Strategy Fund when people’s attention was caught by quant funds again. The world-wide used quantitative way in these two funds also made waves in the market and investors. Quantitative investment, as one of main investment strategies, has developed for over30years abroad, but still remained as mythic for China’s ordinary investors. Quantitative investing strategies are typically used by quantitative analysts who have high education background. They try to manipulate the market with complex theoreticalmodel and advanced computing techniques. Although quantitative model is expected theoretically to help get excessprofits, its actual performance is usually controversial. It could give an excellent performance inabullmarket, but faced the same big risks as other strategies in bear markets.The numerous quantitative funds emerged in China’s market have indicated that many managers are operating them. But to the outsiders, quantitative investment works like a black box and few can truly understand its theories and how it makes money. In order to uncover its mysterious veil, this paper, with reasonable assumption to Chinese stock markets’structure, uses three classic models in the industry, i.e. ATR Channel Breakout, Bollinger Breakout and RSI Trend Catcher to analyze the historical data of stocks in CSI300index. Besides investment effectiveness is measured through benefitsandrisks examination and a comparison is made with performance of CSI300indexes. All these come to a result that China’s market can also give a good performance with the classic models modified properly, but certain risks exist too. At last, this paper, based on transaction instances in quantitative model, analyzes the reasons why it can bring benefits and proposes modifying suggestions which are very instructive for China market’s quantitative investment model.