摘要
随着中国资本市场的逐步完善和投资者结构的日益多元化，量化投资策略在A股市场中的应用逐渐受到关注。本研究旨在探讨不同量化投资策略在A股市场的适用性及其实际表现，为投资者提供科学决策依据。研究选取了多种经典量化策略，包括动量策略、反转策略、多因子模型等，并结合A股市场的独特特征进行优化设计。通过构建回测框架，利用2010年至2022年的历史数据对各策略的表现进行全面分析，评估其收益水平、风险特征及夏普比率等关键指标。结果表明，经过本地化调整的多因子模型在A股市场中表现出显著优势，尤其在中小市值股票中具有较高的超额收益能力；而传统动量策略因市场环境变化需进一步改进才能适应当前市场条件。本研究的主要创新点在于将国际通用量化方法与A股市场特性相结合，提出了一套适用于本土市场的优化策略体系，同时揭示了市场效率提升背景下量化策略面临的挑战与机遇。研究成果不仅丰富了量化投资理论在中国资本市场的实证研究，也为机构和个人投资者制定更有效的资产配置方案提供了重要参考。
关键词：量化投资策略；多因子模型；A股市场；动量策略；市场效率
Abstract
With the gradual improvement of China's capital market and the increasing diversification of investor structure, the application of quantitative investment strategies in the A-share market has attracted growing attention. This study aims to investigate the applicability and actual performance of various quantitative investment strategies in the A-share market, providing investors with a scientific basis for decision-making. A range of classic quantitative strategies, including momentum strategies, reversal strategies, and multi-factor models, were selected and optimized by incorporating the unique characteristics of the A-share market. Through the construction of a backtesting fr amework, historical data from 2010 to 2022 were utilized to comprehensively analyze the performance of each strategy, evaluating key indicators such as return levels, risk features, and Sharpe ratios. The results indicate that the localized multi-factor model demonstrates significant advantages in the A-share market, particularly exhibiting high excess return capabilities in small- and medium-cap stocks. In contrast, traditional momentum strategies require further refinement due to changes in the market environment to adapt to current conditions. The primary innovation of this study lies in integrating internationally recognized quantitative methods with the specific traits of the A-share market, proposing an optimized strategy system tailored to the domestic market. Simultaneously, it reveals the challenges and opportunities faced by quantitative strategies against the backdrop of improving market efficiency. The research not only enriches the empirical studies of quantitative investment theory in China's capital market but also provides crucial references for institutional and individual investors in formulating more effective asset allocation plans.
Keywords：Quantitative Investment Strategy; Multi-Factor Model; A-Share Market; Momentum Strategy; Market Efficiency
目 录
摘要 I
Abstract II
一、绪论 1
(一) 量化投资策略的研究背景与意义 1
(三) 本文研究方法与技术路线 2
二、量化投资策略的理论基础与框架构建 2
(一) 量化投资的基本概念与核心原理 2
(二) 常见量化投资策略的分类与特点 3
(四) 数据处理与模型选择的关键问题 4
三、A股市场量化投资策略的应用实践 4
(一) 动量策略在 4
(二) 价值投资策略的量化实现与实证 5
(三) 多因子模型在 5
(四) 风险管理在量化投资中的作用探讨 6
四、量化投资策略的实证分析与结果评估 6
(一) 实证数据的选取与预处理方法 6
(二) 不同策略在 7
(三) 回测结果分析与策略优化建议 7
(四) 实证研究中发现的主要问题与挑战 8
结 论 9
参考文献 10
