Multifactor Stock Selection Strategy Based on Machine Learning: Evidence from China

Table 1

Net value of factor stratified back-test and long-short portfolio.

		a	b	c	d	e	Long-short portfolio
Valuation factors	PE (price/earnings)	1.15	1.75	2.30	2.58	2.32	1.43
	PB(price/book value)	1.07	1.78	2.29	2.36	2.81	2.01
	Market value	1.05	1.06	1.27	2.05	10.05	10.64
Financial factors	Price/cash flow	1.40	2.01	2.61	2.57	1.60	1.10
	Price/sales	1.38	1.93	2.11	2.21	2.47	1.43
	Turnover	0.29	0.77	2.03	4.43	14.89	47.62
	Turnover rate	0.34	1.91	2.94	3.75	4.08	7.58
Momentum factors	Yield	0.35	1.72	3.45	4.16	3.51	10.08
	Length of wick	1.25	2.18	2.61	2.33	1.88	1.35
	Closing price	0.53	1.29	2.24	3.15	6.39	10.78
Technical factors	Length of lower shadow	1.43	2.83	2.65	2.10	1.39	1.06
	Length of upper shadow	0.59	2.38	2.88	2.76	2.77	3.74