Research On Momentum Alpha Investment Strategy Based On GARP Strategy

With the development of Internet technology,various online financial products began to be popular by investors due to their convenience and stable returns.The quality of financial products required by investors has gradually increased.Quantifying investment is to reflect appropriate investment ideas,investment experience,and even intuition in quantitative models,using computer technology to help human brains process large amounts of data,overcome the influence of human subjective emotions on investment,summarize market rules,and establish repeatable Use and optimize the investment strategy and guide our investment decision process.Quantitative investment strategies can meet people's investment needs better.However,quantifying investment has certain industry barriers,and quantifying investments requires high labor costs and financial resources.The research results of China's quantitative investment strategies are mostly handed by brokers,funds,and other institutions,and most personal investors have no ability.Therefore,the current research on quantitative investment strategies also needs to focus on satisfying the needs of personal investors,so that their investment activities can be more wise.Firstly,this article briefly introduces the research status of quantitative investment strategy at home and abroad,and analyzes the background and significance of GARP-based momentum Alpha investment strategy,based on the detailed description of GARP strategy and momentum Alpha strategy.And compare traditional investment methods and analyze the innovation of this article's strategy.Secondly,based on the detailed analysis of the inherent mechanism of the GARP strategy and the momentum Alpha strategy,the GARP strategy is added with a Lasso regression-based value growth indicator selection model,and the operation flow of the GARP strategy is designed and improved;the momentum Alpha policy running process for portfolio selection from stock pools has been improved.The feasibility was verified by MATLAB simulation.Finally,based on the MATLAB platform,this article uses data of 1215 trading days from January the 1st of 2013 to December 31 st of 2017 from the wind data to verify the effectiveness of the GARP-based momentum Alpha investment strategy,and finally gains a breakthrough in the market.Alpha excess returns.On this basis,the sensitivity of the strategy was tested by adjusting the parameters.While summarizing the above research results,we give reasonable suggestions for the optimization of the strategy.