Design Of CCI Timing Quantitative Investment Strategy Based On Industry Rotation

With the scale of Chinese securities investment market increasing and the number of investment varieties increasing day by day,the complexity of the market is also increasing.The traditional investment method which mainly relies on individual subjective judgment can not adapt to the current investment environment,and the quantitative investment based on data analysis and procedures develops rapidly.As the development technology of quantitative investment strategy is constantly improved,investors begin to pursue more refined quantitative strategy control,and constantly optimize and improve the existing quantitative model in order to obtain higher excess returns.From the perspective of combining investment theory and practice,this paper conducts quantitative investment strategy research and design based on industry rotation theory and CCI(Commodity Channel Index)timing model,so as to study the return ability of industry rotation stock selection combined with CCI timing.CCI,also known as homeopathic index,is a technical analysis tool for determining the degree of security price deviation.In this paper,all the CSI 300 industry indexes are selected,and the industry rotation stock selection model is established according to the three rotation cycles of daily,weekly and monthly respectively.Through the historical data test,the empirical analysis of the industry rotation stock selection model is carried out.The results show that the monthly rotation cycle is the best.Secondly,all the CSI 300 industry indexes are also selected to establish quantitative models for the four timing schemes B1S2,B1S3,B3S2 and B3S3 of CCI respectively.The optimal timing scheme B1S3 is selected by testing historical data and comparing results.According to the results of empirical analysis,CCI timing strategy is superimposed on the basis of the industry rotation stock picking model to improve the returns of quantitative strategy.The test results based on the buying and selling industry index show that the industry rotation stock selection strategy achieved an annualized excess return of 8.98% after superimposed CCI timing.Then,this paper changes the trading index in the quantitative investment strategy into trading industry index components,and based on the gold-mining quantitative platform,establishes a complete program trading system for the modified quantitative trading strategy,and analyzes and avoids the pitfalls that are prone to appear in the process of trading strategy program.Finally,the simulated backtest of the constructed quantitative trading strategy shows that there is still an annualized excess return of 3.79% when the transaction costs are deducted.The backtest results of the quantitative investment strategy model show that the CCI timing strategy overlay industry rotation stock picking model has a good excess return compared with the simple industry rotation stock picking model.The quantitative investment strategy designed in this paper has been tested and can be applied to the investment in the A-share market,providing investment strategy reference for investors to flexibly use the industry rotation stock selection model.