| Since the 1970s,computer information technology has developed rapidly,and more and more researchers are using computer information technology to make quantitative investments,and as a result quantitative investments have grown considerably.However,most of the existing investment strategies focus on the analysis of single indicators such as technical analysis or investor sentiment analysis,and it is increasingly difficult to use them to achieve excess returns.This thesis considers the buying and selling points of stocks based on a combination of dynamic market efficiency theory and behavioural finance theory.For the buy point of the stock,the selling behaviour of an investor who borrows the stock through a securities transaction is treated as holding a perpetual American put option on the stock with a continuous dividend rate and an exercise price at the sell price of the stock,and the critical underlying price at the time of exercise of the option is used as the buy point of the stock.As for the sell point of the stock,an innovative quantitative stock timing strategy is constructed using an "asymmetric" treatment using a composite indicator of investor sentiment.This thesis firstly compares the current status of domestic and international research on quantitative timing and perpetual American options,as well as theories related to financing and financing theory,perpetual American options,and investor sentiment.Secondly,the quantitative timing strategy based on the critical price of permanent American put options to determine the buying point of stocks(referred to as BS strategy)and the comprehensive index of investor sentiment to determine the selling point of stocks is theoretically constructed and analyzed for stock financing transactions.After that,this thesis selects data on stock prices and investor sentiment of 1470 stocks in Shanghai and Shenzhen A-shares available for financing from March 31,2010 to March 31,2022,and conducts extensive historical data backtesting of the six strategies,while exploring the effectiveness of the strategies in this thesis.Cumulative return,annualized compound return,Sharpe ratio,win ratio and profit/loss ratio are used as evaluation indicators,and the feasibility of BS strategies in the actual investment process is revealed by conducting nonparametric pairwise tests on each evaluation indicator under different strategies.The findings of this thesis include(1)the cumulative return,annualized compound return,Sharpe ratio,win ratio,and P/L ratio of the Short selling strategy are improved after adding the BS strategy.(2)Adding BS strategy to the moving average strategy and investor sentiment cross-timing strategy improves the cumulative return,annualized compound return,Sharpe ratio,win ratio,and P/L ratio of the trade.It can be seen that the strategy formed by adding the BS strategy can guide investors to obtain excess returns,while improving the overall performance and probability of profitability of the trade. |
