Quantitative Model Of Multi-factor Stock Selection Based On Growth

Quantitative investment is a trading strategy based on the past historical data and the knowledge of mathematics statistics and finance.Compared with traditional securities investment,quantitative investment is more objective and stable,and can often be one of the important investment tools.This paper studies how to construct quantitative investment strategy for growth stocks.The multi-factor stock selection model is important in quantitative investment.Based on the multi-factor stock selection model,this paper constructs a two-stage stock selection model.In the first stage,the objective is to select 300 growth stocks based on the past growth of stocks and compile the growth 300 style index.In this stage,from the perspective of stock growth,the growth rate of EPS and SPS in the past three years are used in this study selected from the candidate growth factors by a combination of testing and group verification.Then,300 growth stocks are selected from all stocks in China's A-share market by using the method of comprehensive Z-score.Using the CSI 300 index compiled with the growth 300 stocks as the component stocks,it is found that the CSI 300 style index has better performance.In the second stage,the main content is to carry out in-depth optimization stock selection and formulate alpha arbitrage strategy based on the growth 300 style index.In this stage,taking the component stocks of the growth 300 style index as the stock pool,considering other factors that affect the stock returns.We use SVM classification algorithm to optimize the stock selection of 300 growth stocks,and select the 50 stocks that are predicted to be the strongest stocks.300 shares are divided into six groups according to this probability.Through the way of group comparison,it is improved that the model can distinguish the strong shares and the weak shares.Finally,in order to reduce the risk,we build alpha arbitrage and 50 stocks selected in-depth will be hedged with CSI 300 stock index futures.Through the investment strategy formulated by the stock selection model constructed in this paper,the annual yield of 25.91% and sharp rate of 1.5335 are achieved from May 2013 to April 2018,which is an excellent strategy.