金融工程专业 基于烟蒂法财务指标估值模型的定量择时策略及实证分析研究——以深证成指为例VIP免费

基于烟蒂法财务指标估值模型的定量择时策略及实证分析——以深证成指为例摘要伴随着全球信息科学技术的进步与社会的飞速发展，越来越多学者着手借助机器学习的方法对资本市场进行分析与研究。但是，要想用现有的方法对资本市场指标进行分析容易出现很多问题。例如，市场要求投资者具备一定的投资经验和能力，投资者的情绪波动容易影响投资决策，资本市场扰动因素众多导致难以进行量化分析等。因此，除了机构投资者外，越来越多个人投资者也逐渐开始接触量化投资。另外，价值投资理论虽然成熟的资本上被验证为有效的投资理念，但国内投资者对价值投资理论仍较为陌生。因此，本文以量化交易策略为技术基础，价值投资理论为理论基础，构建一个以“烟蒂指标”作为主要选股因子，深证成指作为研究标的价值投资的多因子量化投资策略。最后通过分析回测的评价指标，判断策略构建是否成功。通过本文的模型构建，使得策略累计收益达到119.77%，年化收益为8.43%，Alpha为0.033，最大回撤为36.14%，据此说明模型构建比较成功。关键词：价值投资；量化交易策略；烟蒂指标；定量择时；回测数据分析Quantitativetimingstrategyandempiricalanalysisbasedoncigarettebuttsfinancialindexvaluationmodel——TakeShenzhenSecuritiesComponentIndexanexampleAbstractWiththeadvancementofglobalinformationscienceandtechnologyandtherapiddevelopmentofsociety,moreandmorescholarshaveembarkedontheanalysisandstudyofcapitalmarketswiththehelpofmachinelearningmethods.However,analyzingcapitalmarketindicatorswiththeexistingmethodsispronetomanyproblems.Forexample,themarketrequiresinvestorstohaveacertainlevelofinvestmentexperienceandability,asinvestors'emotionalfluctuationseasilyaffectinvestmentdecisions,andnumerouscapitalmarketdisturbancesmakeitdifficulttoconductquantitativeanalysis.Therefore,inadditiontoinstitutionalinvestors,moreandmoreindividualinvestorsareturningtheirfocusontoquantitativeinvestmentmethods.Moreover,althoughvalueinvestmenttheoryhasbeenverifiedasaneffectiveinvestmentphilosophyonmaturecapitalmarkets,domesticinvestorsarestillrelativelyunfamiliarwithvalueinvestmenttheory.Therefore,thispaperusesquantitativetradingstrategyasthetechnicalbasisandvalueinvestmenttheoryasthetheoreticalbasistoconstructamulti-factorquantitativeinvestmentstrategywith"cigarettebuttindicator"asthemainstockselectionfactorandSZSIastheunderlyingvalueinvestment.Finally,thesuccessofthestrategyconstructionisjudgedbyanalyzingtheevaluationindexesofbacktesting.Throughthemodelconstructionofthispaper,theTotalReturnisupto119.77%,theTotalannualizedReturnis8.43%,theAlphais0.033,andtheMaxDrawdownis36.14%,whichindicatesthatthemodelconstructionisrelativelysuccessful.Keywords:Valueinvestment;Quantitativetradingstrategy;Cigaretteindex;Quantitativetiming;Backtestinganalysis目录一、引言.........................................................................................................................................................1（一）研究背景........................................................................................................................................1（二）文献综述........................................................................................................................................2（三）选题意义与研究内容....................................................................................................................4（四）研究的创新性与不足....................................................................................................................5二、相关理论概述.............