融合Steve Leuthold选股原则的Whitney George量化投资策略

The Improvement of Whitney George Quantitative Investment Strategy Based on Steve Leuthold Stock Selection Principle

Whitney George量化投资策略源于美国股票市场,对我国的股票市场表现出一定的不适应性。通过Steve Leuthold选股的估值水平、分红水平和财务健康状况三个角度对Whitney George策略选股条件进行改进,分别更替为市净率、股息收益率、长期借款和流动比率。利用中国A股市场现有市场数据对Whitney George原策略和改进后的策略进行回测与稳健性检验。回测结果显示,策略在2015年12月29日到2016年12月29日年化超额收益率为18.3%,累计收益率为6%,胜率为55.8%,夏普比率0.41,盈利因子10.52,信息比率0.732。根据结果显示改进之后的Whitney George策略收益率比原策略有所提高。

Whitney George's quantitative investment strategy originated from the stock market of the United States and showed certain inadaptability in China's stock market.Through Steve Leuthold's stock selection valuation level,dividend level and financial health,Whitney George's strategy stock selection conditions are improved,which are replaced by market-to-net ratio,dividend yield,long-term borrowing and liquidity ratio.Using the existing market data of China's A-share market,the paper carried out a back test and robustness test on Whitney George's original strategy and the improved strategy.The back test results Whitney George strategy is higher than that of the original strategy.