Design And Implementation Of Investment Analysis System Based On Muti-Factor Quantification Strategy

In recent years,domestic quantitative investment has gained more and more attention in the asset management industry because of its inherent advantages.At the same time,more and more investment institutions in China,such as securities companies and mutual fund companies,have entered the field of quantitative investment and launched their own quantitative products.In many quantitative products investment strategy,multi-factor strategy which has practicality and stability,has gained more and more attention in the field of quantitative investment.However,because there are many varieties of factors,the various institutional investors have different understanding to effectiveness of factor.It has become an urgent unresolved problem that how we comprehensively evaluate each factor to achieve the optimal Alpha income and ultimately construct the optimal portfolio.In this thesis,we first discuss some problems of multi factor quantification investment strategy,and then elaborate the method of multi factor stock selection and the method of portfolio performance evaluation.Based on the quantitative analysis of the investment strategy of the fund industry and the design method of the system,the thesis puts forward the design scheme of the investment analysis system based on the multi factor quantification strategy.We uses three layer architecture(presentation layer,business logic layer and data access layer)design pattern,in order to copy many varieties of factors,and higher requirements for the system reusability,scalability and maintainability etc.,and finally achieve the goal of "high cohesion and low coupling".But the hierarchical design model will increase the number of cascade changes and development cost,so this thesis based on the research of software design pattern,takes advantage of factory method software design pattern and achieves the system.At last we effectively solve the problems brought by the hierarchical design,and achieve the system in extended maintenance target.At present,the mainstream of domestic quantitative investment focuses on quantitative trading,but little to quantitative stock,especially the construction of the research and the system of multi factor stock picking strategy,so this thesis is to do the exploration of the theory and practice in this field.In the application process of software design method,we make up the defects of layered system architecture design with software design pattern of factory method in the process of application software design method,and combine the factory method pattern with the reflection mechanism in the application process of software designing method,then we finally reduce the encoding amount greatly,shorten the development cycle,provide a guarantee for meet the demand rapidly.The system built according to the design scheme,has excellent performance in terms of service,performance,reliability testing and meet the demand rapidly.Now the system has been applied to a mutual fund company,and has achieved good results in practical business applications,and achieved good investment results.