基于A股价量因子的行业轮动策略研究

Research on Industry Rotation Strategy Based on A-Share Price Volume Factor

研究旨在探究基于A股市场的价量因子在行业轮动策略中的应用。通过对A股市场相关数据的全面收集和精确处理,构建基于价量因子的多因子模型,并将其嵌入行业轮动策略框架进行实证分析。研究结果清楚揭示了价量因子在捕捉A股市场行业轮动方面的显著能力。经过一系列回测实验,充分验证了该策略在A股市场中取得了出色的收益表现。此外,出于对风险管理方面的考量,特提出针对性建议,旨在协助市场投资者更有效地管理风险并制定相关策略。

This paper aims to explore the application of price and volume factors based on A-share market in industry rotation strategies. Through the comprehensive collection and accurate processing of A-share market related data, a multi-factor model based on price and volume factors is constructed, and it is embedded in the industry rotation strategy framework for empirical analysis. The results clearly reveal the significant ability of price and volume factors in capturing the industry rotation of the A-share market. After a series of backtesting experiments, it is fully verified that the strategy has achieved excellent income performance in the A-share market. In addition, this article provides targeted recommendations for risk management considerations, aiming to help market investors manage risks more effectively and develop relevant strategies. In summary, the research results of this paper are not only of great significance at the academic level, but also have guiding value at the practical level.