Research On Trading Strategy Based On Quantitative Investment

Quantitative investment has been developing overseas for more than 30 years.However,in China,the rise of quantitative technology was relatively late,and it was only in the early 21 st century that it began to truly enter China.Since quantitative investment is very high in knowledge structure and technical requirements,it is very difficult for ordinary retail investors to understand and apply quantitative techniques,which are mainly institutional investors.Mr Simmons' s success has allowed more investors to see the advantages of quantitative investing,and has encouraged more and more people to join the team of quantitative investing.Quantitative investment is the integration of mathematical knowledge and computer technology into investment,and the model is trained by quantitative methods,and the corresponding investment decisions are made according to the model.In this article,through the depth research on stock selection technology,in order to establish a quantitative investment based on the stock selection and choose the trading time strategy,in the other words,through the establishment of statistical learning model to pick stocks,and then use technical analysis methods to choose the right time to trading,in this way,we can get the excess profit.In this paper,we hope to further promote the development of quantitative investment technology in China on the basis of grasping the characteristics of China's stock market and guide the investment technology of the stock market to diversify and standardize.This paper builds a statistical learning model based on cross-sectional data,which use the dates of Shanghai and Shenzhen 300 index as stock pool,then the quantitative stock selection model uses the cross-section dates to pick out stocks,and make a forecast based on yields for individual stocks,then select the corresponding individual stocks to build the portfolio.This model borrows the thought of Fama-French factor model and use cross-sectional data to predict the profit.In addition,we use technical analysis to choose the right moment to buy and sell stock in one day.This paper is divided into five chapters.The chapters are as follows:Chapter 1: the first chapter mainly introduces the development of quantitative investment and the review of quantitative investment in China and abroad.Besides,introduces the research content and research method of this paper.The research methods include: literature research,comparative empirical method,case analysis and so on.Chapter two: this chapter introduces the relevant theories of quantitative investment,including the definition of quantitative investment,the advantages and characteristics of quantitative investment,the theoretical basis of quantitative investment and the process of quantitative investment.Chapter three: this chapter introduces the quantitative model of stock selection factors,including: the transverse momentum factor,variance and volatility,alpha and beta,Sharpe ratio,kurtosis and skewness and maximum retracement.The establishment of stock selection model is also described in detail.Chapter four: this chapter introduces the theories relevant choose the right moment,including Dow theory,wave theory,Gann theory,quantity and price theory.Besides,the use of several kinds of commonly used technical indicators,including the MA,MACD,RSI,KDJ.Chapter five: this chapter mainly makes an empirical study on the validity of the model of the quantized stock selection.And in the form of a case study how to choose the right moment.Finally,summarize the whole trading strategy.The innovation of this paper is that: 1.the stock selection model of this paper borrows the thought of Fama-French factor model and use cross-sectional data to predict the yield.2.Predict the return rate of stocks through the model,and then select stocks by sorting the yield,so as to build the portfolio and get the stock pool.3.Use technical analysis to improve yields in stock trading.4.This paper makes an empirical study on the stock selection and choosing the right moment trading of quantitative investment.