Research On Multi-factor Quantitative Trading Strategy Based On Rotation Factor

Industry rotation has always been a hot topic in the field of stock investment,and multifactor model is the research content in the field of quantitative investment.In this paper,by creating a rotations factor and applying the rotations factor to the multi-factor model,the industrial rotations phenomenon and the multi-factor stock selection model are organically combined.There are two main research contents in this paper,which are the creation and validity test of rotation factor and the construction and analysis of multi-factor stock selection model.During the construction and test phase of the rotations factor,this paper constructed the rotations factor index based on the understanding of mean reversion and industry rotations,hoping that after the screening of this factor,it could select the industries that are more likely to obtain excess returns in shenwan 28 industries.After the construction of the rotations factor,this paper tested it,and the results of the final stratification test showed that the rotations factor had a significant distinction in the screening of the industries with excess returns.In the second phase of this paper,the rotations already constructed in the first part are applied to the multi-factor stock selection model.First,industries were screened with rotations,and then,on the basis of the stock pool constituted by these industries,three factors that had been verified to be effective by predecessors were selected.Then,a multifactor stock selection model was constructed by equal-weight scoring method.Finally,two groups of control were compared.The comparison results show that the rotations factor can be effectively applied to the multi-factor model,and the above control results further demonstrate the effectiveness of the rotations factor.In addition,the multi-factor model based on rotation factor can also obtain considerable excess returns.