Strategy, a set of programs that can achieve the goal; In securities trading, strategy refers to taking corresponding trading actions when preset events or signals occur.
What is a quantitative strategy?
Quantitative strategy refers to the analysis, judgment and decision-making through a set of fixed logic by using computers as tools.
Quantization strategies can be implemented automatically or manually.
What does a complete quantitative strategy contain?
A complete policy needs to include input, policy processing logic and output; The strategy processing logic needs to consider factors such as stock selection, timing, position management and stop loss.
Screen stocks
Quantitative stock selection is to select a portfolio through quantitative methods, hoping that such a portfolio can obtain investment income beyond the broader market. Commonly used stock selection methods include multi-factor stock selection, industry rotation stock selection, trend tracking stock selection and so on.
1 Multi-factor stock selection
Multi-factor stock selection is the most classic stock selection method. This method uses a series of factors (such as price-earnings ratio, price-to-book ratio, market-to-sales ratio, etc. ) as a stock selection standard, stocks that meet these factors are bought and sold unsatisfied. For example, value investors like Buffett will buy stocks with low PE and sell them when PE returns.
2 style rotation stock selection
Style rotation stock selection is to make use of market style characteristics to invest. The market prefers large-cap stocks at a certain moment and small-cap stocks at a certain moment. If we find the law of market switching preference and get involved in the early stage of style switching, we may get more benefits.
3 industry rotation stock selection
The industry rotates stock selection because of the economic cycle. After some industries start, other industries will follow suit. After discovering these laws, we can buy the latter after the former begins to get higher returns. Under different macroeconomic stages and monetary policies, there may be different characteristics of industry rotation.
4 Capital flows to stock selection
Capital flow stock selection is to use the flow of funds to judge the trend of stocks. Buffett said that the stock market is a voting machine in the short term and a weighing machine in the long term. The transaction of short-term investors is a kind of voting behavior, and the so-called vote is capital. If funds flow in, stocks should rise; If the capital flows out, the stock should fall. Therefore, according to the flow of funds, we can construct corresponding investment strategies.
5 momentum reversal stock selection
Momentum reversal stock selection method is a portfolio constructed by using the characteristics of investors' investment behavior. Soros's so-called reflexivity theory emphasizes that the positive feedback of price rise will lead investors to continue buying, which is the basic basis of momentum stock selection. Momentum effect refers to stocks that were strong in the early stage and will continue to be strong in the future. When the positive feedback reaches an unsustainable stage, the price will collapse and return. In this environment, there will be a reversal feature, that is, stocks that were weak some time ago will become stronger in the future.
6 trend tracking strategy
Buying when the stock price has an upward trend and selling when it has a downward trend is essentially a strategy of chasing up and killing down. In many markets, there are many trends due to herd effect. If we can control the amount of losses and stick to the trend, in the long run, we can get additional benefits.
opportunity
Quantitative timing refers to judging trading points in a quantitative way. If it is judged to be rising, buy and hold; If it is judged to be a decline, sell the clearance; If the judgment is shock, throw high and suck low.
Commonly used timing methods include: quantitative timing of trend, quantitative timing of market sentiment, quantitative timing of effective funds, quantitative timing of SVM, etc.
Position management
Position management is a technique to decide how to enter the market in batches and how to stop profit and stop loss when you decide to invest in a stock portfolio.
Commonly used position management methods include: funnel position management method, rectangular position management method, pyramid position management method and so on.
full stop
Take profit, as the name implies, sells in time when it gains income and profits; Stop loss, when the stock loses money, sell the stock in time to avoid greater losses.
Timely stop loss is an effective way to obtain stable income.
A strategy often goes through several stages: generating an idea, implementing the strategy, testing the strategy, running the strategy and losing the strategy.
Got an idea
Anyone can put forward a strategic idea at any time, which can be based on his own investment experience or the successful experience of others.
implementation strategy
The biggest leap is from generating ideas to implementing strategies. The implementation strategy can refer to the above-mentioned "What does a complete quantitative strategy contain?"
Check strategy
After the strategy is realized, it needs to pass the retrospective test of historical data and the test of simulated transactions, which is also the key link before the firm offer, screening high-quality strategies and eliminating inferior ones.
Real deal
Invest funds, test the effectiveness of the strategy through the market, take risks and earn profits.
Policy failure
The ever-changing market requires real-time monitoring of the effectiveness of the strategy. Once the strategy fails, it should be stopped in time or further optimized.