SVM Multi-factor Stock Selection Model Based On Industry Rotation Strategy And Empirical Analysis Of Investment Effect

The idea of quantitative stock selection is to quantitatively select,analyze and summarize the entire stock pool by means of quantification,and establish an objective stock selection model,and explore the intrinsic driving factors of stocks,and select high-quality stocks.The advance of quantitative investment lies in the comparison of the implementation system and the traditional investment analysis,which has the characteristics of quantitative and accurate.Among the traditional value investors,Buffett is the representative of investors who have achieved good results.For more than 40 years,they can get more than 20% compound yield per year.Known as the father of the Simmons quantitative investment,using the method of quantitative investment through the success of 20 consecutive years for the investors to get more than 35% rate of return,if you count the percentage of performance,the actual annual compound annual revenue rate of more than 60%,the huge effect thus quantitative investment in the financial market.This paper first selects the macroeconomic data from 2005 to 2017,and divides the 12 years into different economic stages according to the Merrill Lynch investment clock.At the same time,it divides 28 A-shares of the A-share industry into periodic and non-cyclical industries.Through inspection,the effectiveness of the industry's rotation strategy was obtained.Then select all A-share companies from 2013 to 2017,and screen out the effective factors of valuation,growth,capital structure and technical dimensions,and establish a multi-factor model of SVM.After that,8 industries including electronics,media,medical biology,leisure services,food and beverage,general,public utilities,textiles and clothing were selected in this stage.The industry rotation strategy model was established,and 1077 stocks of these 8 industries were established.Based on the SVM multi-factor model of industry rotation strategy,and comparing the three models with the CSI 300 index,the conclusion that the industry rotation strategy and SVM multi-factor model can be combined can obtain higher excess return rate.