Research Article
Multifactor Stock Selection Strategy Based on Machine Learning: Evidence from China
Table 1
Net value of factor stratified back-test and long-short portfolio.
| ā | ā | 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 |
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