Quantitative Stock Selection And Timing Strategy Research Based On A-Share Market

The stock market is a source of opportunity and wealth creation,but it is also a volatile and unpredictable market.Since the birth of the stock market,a variety of investment ideas and methods have emerged one after another.With the advent of the era of big data,quantitative investment method is increasingly favored by people because of its scientific and objective advantages.It is very important for investors to choose appropriate method and data to build a model,so that it can reflect and predict the market relatively accurately.Based on this,this paper takes A-share market stocks as the research object and uses support vector machine algorithm and rolling Sharpe ratio to construct stock selection and timing portfolio strategy,in order to help investors achieve high returns from stock investment.The details of reasearch are as follows:First of all,this paper introduces the basic concepts related to this research including stock pricing theory and other relevant theoretical basis in detail,and make comments on the existing stock selection and timing strategies in the current market and their existing problems.Secondly,the stock of normally listed companies in the A-share market from January2013 to March 2022 is selected as the research object.While,based on relevant theories and previous research results,we choose a total of 19 factors from 5 aspects including value factors,growth factors,financial quality factors,momentum factors and emotion factors.Then,we use correlation statistical analysis method to find effective factors.Thirdly,we use the support vector machine algorithm to build stock selection model with the method of optimizing the parameters.What’s more,combined with the timing strategy using the rolling Sharpe ratio,the quantitative investment model is constructed.Then,we use multiple indicators to judge the model from the perspective of benefits and risks compared with the CSI 300 index and China Securities 500 index.Finally,the empirical analysis results are summarized,and combined with the research conclusions,relevant investment strategy suggestions are put forward for investors in order to help investors obtain high returns while minimizing investment risks.