基于历史K线形态的因子选股研究

Investment Rating - The report does not explicitly provide an investment rating for the industry Core Insights - Historical stock returns are a significant reference for future stock performance, and the report explores effective K-line patterns and their corresponding volume-price states without time and stock constraints [1][16] - The K-line investment framework combines K-line shape recognition with volume-price state recognition to enhance prediction accuracy and investment success rates [2][19] - Effective K-line patterns can assist in constructing investment portfolios and optimizing quantitative investments by providing low-correlated pricing information [5][16] Summary by Sections K-line Pattern Investment Framework - K-line charts represent the trading trajectory formed by the interaction of buyers and sellers, and relying solely on K-line shapes for stock selection is considered one-dimensional [2][19] - The report emphasizes the importance of integrating K-line shapes with volume-price state information to improve predictive accuracy [2][19] K-line Shape Recognition and Volume-Price State Recognition - The report utilizes various K-line characteristics such as Yin & Yang, body ratio, upper shadow ratio, lower shadow ratio, returns, open, high, low, and close prices for shape recognition [3][22] - The most commonly used volume-price states are volume expansion and contraction, along with high and low price levels [3][24] Effective K-line Patterns - Strongly effective positive K-line patterns include the large bullish line and inverted hammer, while effective negative patterns include the hammer and gap-down large bearish line [4] - In multi-K patterns, effective positive shapes include the morning star and three white soldiers, while effective negative shapes include the evening star and three black crows [4] Application of Effective K-line Patterns - Effective K-line patterns can directly aid in portfolio construction and enhance subjective stock selection and position management when combined with macroeconomic and fundamental analysis [5] - K-line patterns can serve as event factors to optimize investment portfolios based on traditional fundamental and volume-price factors [5]