For the stock market, quantitative investment mainly includes quantitative stock selection, quantitative timing, algorithmic trading, stock portfolio allocation, fund or position management, risk control and so on. This paper focuses on quantitative stock selection and timing strategy. The former solves which stocks are worth paying attention to or holding, and the latter solves when to buy or sell these stocks, so as to get as much income as possible under tolerable risks.
The first stage: stock selection
The goal of stock selection is to select a stock candidate set with a certain margin of safety from all tradable stocks in the market, which is usually called "stock pool", which can be adjusted from time to time according to its own operating cycle or market changes as the basis for timing or position adjustment in the next stage.
The basis of quantitative stock selection can be fundamental, technical or a combination of the two. Examples of commonly used quantitative stock selection models are as follows:
1 multifactor model
Multi-factor model: A series of "factors" are adopted as stock selection criteria, and the stocks that meet these factors will be put into the stock pool as candidates, otherwise they will be eliminated from the stock pool. These factors can be some fundamental indicators, such as PB, PE and EPS growth rate. Or some technical indicators, such as momentum, turnover rate, volatility, etc. , or other indicators, such as expected profit growth, changes in analysts' consensus expectations, macroeconomic variables, etc. The multi-factor model is relatively stable, because there are always some factors that will play a role in different market conditions.
2 plate rotation model
Plate rotation mode: one is called style rotation, which invests according to market style characteristics. For example, sometimes the market prefers small and medium-sized stocks, and sometimes it prefers large-cap stocks. If you intervene in the early stage of style conversion, you can get more excess income; The other is called industry rotation, that is, due to the economic cycle, there are always some industries that start the market first, and others (such as upstream and downstream of the industrial chain) will follow suit. In the process of economic cycle, it is better to allocate these rotating industries in turn than to simply buy and hold.
3 Consistent expectation model
Consistent expectation model: it means that investors in the market may have consistent views on some information. For example, most analysts are optimistic about a stock and may rise in the future; If most analysts are bearish on a stock, it may fall in the future. Consensus expectation strategy is to use the views of most analysts to buy and sell stocks.
Similar ideas are based on public sentiment or positive/negative news mentioned in stock bars, forums, news media and so on. Another way of thinking is reverse operation to avoid herd effect (extremes meet) and avoid falling into the trap of main capital shipment when the market is crazy.
4 Capital flow model
Capital flow model: its basic idea is to judge the rise and fall of stocks according to the flow of main funds. If the capital continues to flow in, the stock should rise, and if the capital continues to flow out, the stock should fall. Therefore, the inflow and outflow of funds can be compiled into an index to predict the future rise and fall of stocks as the basis for stock selection.
The second stage: opportunity
The goal of timing is to determine the specific trading opportunity of stocks, which is mainly based on technology. According to the investment cycle or style (such as long-term, short-term or ultra-short-term), the timing strategy can range from a rough judgment of the relative position of the stock price to a more accurate technical indicator or event message as a signal to trigger trading behavior.
Generally speaking, the generation of timing action can be based on the daily K-line (or weekly K-line), the hour or minute K-line in a day, or even the time-sharing chart at the level of the minute. Specific quantitative timing strategies can be divided into the following categories:
1 trend tracking type
Trend tracking strategy is suitable for unilateral rise or unilateral fall (if you can short)-when the market or individual stocks rise or fall to a certain extent, think that the price trend will rise or fall further and take corresponding actions (buy-> Keep->; Masukura->; Keep pressing-> For sale).
2 high throw and low suction type
High-selling and low-sucking type: the strategy of high-selling and low-sucking type is suitable for volatile market-when the price trend fluctuates between the upper and lower tracks of a certain trading range (box consolidation) or a certain price channel (parallel ascending or descending channel), repeatedly buy near the lower track and sell near the upper track to earn the band difference profit (lower track buy->; Selling on the track-> Buy the lower rail-> Selling on the track-> …)。
3 sideways breakthrough type
Breakthrough type: the price trend may fluctuate within a certain range for a long time, and then the market trend will be clear after a certain day or a certain moment, or when the price goes up (such as rising at the end of the financing stage), or when the price goes down (such as completing the main shipment or falling to the next target price to find effective support).
The strategy of sideways breakthrough is to seize this breakthrough opportunity to decisively open positions more or less, enter the market at the most favorable price and with the least risk, and obtain subsequent profits (short positions or waiting for opportunities->; Break the upper rail to buy or flat/break the lower rail to sell or short).
Common trend tracking strategies include: short-term and long-term moving average crossing strategy, moving average multi-position and short-position entry and exit strategy, MACD DIFF and DEA line crossing strategy, etc. As shown in the figure below:
Common high-throwing and low-sucking strategies generally judge the oversold or oversold state of the price trend by oscillating technical indicators, such as KDJ, RSI, CCI, etc., or predict the inflection point of the fluctuation range by MACD red-green column or the deviation between the quantity and energy indicators and the price trend. As shown in the figure below:
The common sideways breakthrough strategies are bollinger band's upper and lower rails breakthrough, high and low price channel breakthrough, Hans- 123, encircling rule and so on. As shown in the figure below:
It must be emphasized that the trend tracking strategy and the high-throwing and low-sucking strategy are suitable for completely different market stages-if you do high-throwing and low-sucking in a unilateral trend, or do trend tracking in a volatile market, it may cause great losses. Therefore, when using these two methods, the most important thing is, first, to judge the current market type as accurately as possible, and second, to protect the stop loss (and take profit in time) at all times.
To sum up:
There are a lot of revelations about the laws of the stock market and quantitative strategies based on these laws in the series of mad cow cheats and mad cow morphology products, such as strategies and laws based on various announcement events, capital trends, technical indicators, and corresponding trading opportunities such as next-day opportunities and bottom morphology reversal.
These real-time and dynamic strategies can provide efficient and valuable reference for investors' stock selection and timing operation.