Quantitative Investment Trend Strategy Analysis And Research

First,this paper summarizes the content and the significance of Granville Rules and quantitative investment and also illustrates that the quantitative investment strategy research has become a hot field in the area of investment.And this paper also points out that the analysis and research of quantitative investment based on Granville Rules has important theoretical and practical significance for guiding the investor's quantitative investment activity.In the part of literature review,this paper makes brief introduction of Granville Rules and quantitative investment related domestic and foreign literature,and reviews the domestic and foreign related research results.And the part points out the trend of quantitative investment strategies based on technical analysis has proved to be effective both at home and abroad,but how to design and optimize various quantitative investment strategies is needed in practice activity.Then,this paper introduces how to select the sample data and estimate the parameters based on the sample data in the course of the study.For study of Quantitative investment strategies,what needed to do first is quantifying the Granville Rules and selecting the sample data.In this paper,the daily data of Shanghai Composite Index(999999)between 2005 June 6,2013 to June 25 is selected as a sample.After selecting sample data,this paper estimates the appropriate parameter combination of the four parameters,PARA1,PARA2,PARA3,PARA4 using interval estimation method.In the fourth chapter,we use estimated parameter combinations of parameter values to calculate and analysis the corresponding yield.And also we calculate and measure the risk on basis of the rate of return,then we make analysis and research for strategy based on Granville Rules of quantitative investment trends from the two aspects of return and risk.After the analysis of return and risk,In the fifth chapter,the final trend of quantitative investment strategy is finally selected,namely,the 20 day moving average cycle and the corresponding parameters.Then,this paper describes details of the strategy including alpha model,risk control model,transaction cost model.In order to test the selected strategy,this paper carries out a sample outer data test for the strategy.In the last chapter,the paper draws a conclusion that the trend of quantitative investment strategies based on Granville Rules can achieve sustained and stable excess returns in the A-share market,and recommendations for further studies are also put forward.In conclusion,quantitative investment and Granville Rules are combined together and researched in this paper.The design process of the trend of quantitative investment strategies based on Granville Rules is mainly illustrated.The process of sample data selection,parameter estimation,rate of return analysis,risk measurement and the out of sample data test etc.is described in details in this paper.So this paper has certain reference impact on quantitative investment strategy research field.