Application Of Price Trend Factor In China's Stock Market

China's stock market kicked off in 1992 and experienced a process from scratch.The normative and institutionalization of the stock market has been continuously improved.The information available for analysis and excavation is also growing day by day.It has laid a solid foundation for us to analyze and forecast the returns on stock portfolios.However,in the face of intricate stock market and disorganized information,how to tap useful information in the data,build a quantitative investment model,and optimize investment decisions are problems that we must face and urgently need to solve.Based on modern Western theories and methods,this paper combines the characteristics of China's stock market,focusing on the price trend factor to explain the stock yield interpretation,and proposes an optimization portfolio method based on price trend factors,and its application In-depth study.The empirical results show that the price trend factor can better explain the return on stock investment.From the longitudinal panel data regression model,in the interpretation of stock returns,the short-term price trend contributes the most,the one-week moving price factor coefficient is 0.217,showing a positive correlation effect,while the medium-term price trend affects secondly,one-year moving price.The factor coefficient is-0.149,which shows a negative correlation effect.The long-term price trend has the smallest impact,and the two-year moving price factor coefficient is 0.117,but it also shows a positive correlation effect.From the perspective of economics,the stock market price trend signal has a "V" shape effect on stock returns,short-term prices and long-term prices are in the same direction as stock returns,and medium-term price trends are in reverse.In addition,we also return to the fixed month(2008.5-2017.12)of the cross-sectional price of the stock price and the yield rate.Through the establishment of the regression equation,we can forecast the expected monthly rate of return for each stock,and then forecast all the monthly forecasts.Sort stock returns,select stocks with higher expected returns to build portfolios and buy or sell,and compare the real returns of the portfolio with the CSI300 index.The backtest results are based on the selection of price trend factors.The top 20%of the stock-building stock portfolio in the stock market test 2009-2017,its annualized rate of return of 17.07%,much higher than the annualized yield of the CSI 300 index of 4.64%,based on the price trend factor construction of stock investment The combined Sharpe ratio is 0.92,and the risk-to-risk ratio is 0.53,which is much higher than the Shanghai-Shenzhen 300 index's Sharpe ratio of 0.19 and the risk-to-risk ratio of 0.1.Overall,the quantitative investment model based on the price trend factor not only can be obtained in the Chinese stock market.The higher yield,while the risk of its yield is relatively small,which further indicates that we can pass the past price in the Chinese stock market.The collation analysis of the grid information makes a good prediction of the return rate of the stock.The above research is not only the characteristics of this study,but also the innovation of this article.It has certain guidance and reference for reality.