This repo includes all materials used for implementing “Magic Formula” and creating new value investing strategies in Chinese stock market.
This is an essay using data driven approach and value investing strategy named “Magic Formula” to help the decision making process for common investors in China to create a portfolio. My essay can be divided into three parts. For the first past, I collected and cleaned the stock information, constructed features that are used in original formula -ROC and EY - and successfully verified the validity of original formula in Chinese Market. In the second part, by plotting historical trend of market index via line chart, I found best holding period (1.5 years) and purchasing time (1 and 3 quarter). Finally, I selected 12 common financial features, constructed multiple regression models with average earning of the stock and retained 3 most valuable factors - AVGROE, AVGROA and PEG - to construct new strategy for investors. This essay successfully helped user to construct high performance portfolio with simple factors, improving the popularity of value investing strategy in Chinese Market.
This repo includes Chinese and English Vesion of the same thesis. For the security of my continual research, source files should be requested via my e-mail in the last page of my thesis. Welcome to message me at any time and talk more about the further development of this topic.