Research On A Stock Quantitative Trading Strategy Based On Multi Factors Model
This paper discusses the stock selection strategy based on the multi-factor model,and selects key factors such as market capitalization,current ratio,return on equity,free cash flow,revenue growth rate and earnings growth rate for modeling in the context of the Shanghai and Shenzhen stock markets.Through a detailed backtesting analysis of the data from 2010 to December 2023,we not only verified the effectiveness of each factor,but also successfully constructed an efficient multi-factor trading strategy.The strategy achieved an impressive annualized compound return of 29.31%during the backtesting period,and at the same time,indicators such as Sharpe ratio,maximum drawdown and profit and loss ratio also performed well,fully proving that the strategy has significant investment value and practical application potential in the Shanghai and Shenzhen stock markets.
万方数据
维普
