Construction And Testing Of Multifactor Quantitative Model Based On Corporate Growth

In recent years,with the continuous reform of the capital market,China's capital market has developed rapidly,the continuous innovation of investment varieties and business processes have become relatively complex.The advantages brought by traditional investment strategies that rely solely on fundamentals analysis have become less obvious.The application of computer programming means has resulted in a number of institutions that study quantitative trading strategies.In the increasingly fierce market competition environment,it is urgent to develop a feasible investment strategy in the market.This paper designs a set of quantitative investment strategies based on growth.In the pre-investment stage,through the analysis of Barra model,the validity of style factor,industry factor and growth factor is tested.Finally,9 types of style factor,29 types of industry factor and 3 types of growth factor are selected as the risk factors to be selected in the multi-factor quantitative stock selection model.The mean value of T value and the absolute value of T value are used in the test,as long as they are greater than 2.Through the test,and then from the factor of annualized yield,annual volatility and SHARP rate and other dimensions of the relevant assessment,more stringent than the traditional single factor stock selection model.In the mid-investment stage,the quantitative stock selection strategy is constructed based on the financial indicators obtained from the saliency test,and the growing stocks are selected.The quantitative stock selection strategy based on the growth is given.In the practice of investment,the quantitative stock selection strategy given in the paper provides an effective stock selection idea for investors.Investors can get inspiration from this method,and thus formulate a suitable stock selection strategy.Stock selection strategy with investment strategy.After selecting growth stocks,we use trend tracking strategy to construct and adjust the portfolio by introducing MACD index in the quantitative trading strategy.Finally,we get the excess return rate higher than the index return rate,which verifies the validity of the quantitative investment strategy.Through the combination of theory and practice,this paper designs a set of feasible quantitative investment strategies,and enriches the research of quantitative investment strategies in China,which can play an enlightening and reference role for other institutional investors in quantitative investment strategies.