基于均线优化RSRS标准分的量化投资策略外文翻译资料

基于均线优化RSRS标准分的量化投资策略

原文作者：Benjamin Graham, David Dodd. 单位：Mc Graw-Hill, Inc

摘要：本策略分为量化选股、量化择时和风险控制三部分。在选股方面以价值投资为理论，选用PS、PE和PB三个指标，利用排序打分法，以全部A股作为初始股票池，筛选得到具有较高投资价值的30只股票构建投资组合。择时利用RSRS标准分指标和MA指标结合构建的均线优化的RSRS标准分作为择时依据：以RSRS标准分衡量大盘，以MA指标衡量个股，只有当两个指标同向时才进行操作。因此，本策略的风险控制分为个股和整体两个维度：当个股跌幅超过10%时卖出该股；当大盘下跌达到13%时，卖出所有股票清仓处理。每月月末重新选股进行调仓，并控制组合最大持股数为30。

对本策略进行回测检验，发现在2010年1月1日至2020年12月31日的十年间，本策略与沪深300基准收益相比，能够稳定地跑赢大盘，取得巨额的超额收益。说明本策略采用的价值选股和均线优化RSRS标准分指标择时具有一定的有效性，是一个可取的投资构想。

关键词：均线； RSRS标准分指标； 价值投资； 量化交易

迄今为止，我们对普通股投资理论的长篇大论还只能得出一些否定性的结论。由于具有代表性的工商业部门与日俱增的不稳定性，将稳定的平均盈利能力作为主导性因素的传统分析方法已经显得不合时宜。至于将收益变化趋势作为判断股票价值的唯一标准的新时代观念，无论就其本身而言存在着怎样的合理性，在不加以计算或限制条件的情况下，盲目地将其运用于购买普通股实践的做法，必将因发生骇人听闻的灾难而宣告失败。那么，在普通股投资方面是否还存在着有效的原则呢?

仔细分析一下前文中的批评，我们会发现这些受到批评的普通股投资观念，也并非如我们的第一印象所感觉的那般一无是处。不难想见，具体公司的不稳定性所带来的风险，可以通过周密安排的分散化投资加以中和。另外，尽管将收益趋势指标作为选择投资对象的唯一标准极具危险性，但它仍不失为一项反映投资品质的有效指标。如果这种分析方法是可取的，我们就可以构造一组可以接受的普通股投资原则，它们包括:

l.投资应被视为一种组合性操作，风险分散措施是获得令人满意的平均结果的保证。

2.具体证券的选择应采用与固定价值投资选择所采用的定性和定量检验措施相对应的检验措施。

3.相比起对债券的选择，更加重视对所考察证券未来前景的分析。

遵循以上原则所采取的普通股购买策略是否可被定义为投资，肯定是一个众说纷纭的问题。考虑到这个问题所具有的重要性，以及对此缺乏明确定义和被广泛认同的观点的现状，我们有必要对这个建议最受争议的几个环节加以澄清。

以长期扩张为基础。持有一组仔细挑选的、以合理的价格分散购买的普通股，是否可以被定义为一种正确的投资策略呢？要对这个问题作出肯定回答，必须基于这样一个假设，即这个国家的经济发展历程中某些基本的和早已形成的规律仍一如既往地可靠。它们包括：（1）整个国家的福利和盈利能力将继续增进；（2）这种增进本身反映在重要的公司企业在资源和利润方面的增长；（3）这种增长主要是追加资本的投资和未分配收益的再投资的正常过程所带来的。第三个假设强调了在累积盈余和未来盈利能力方面存在着明显的因果联系，因此普通股的选择不是纯粹的碰运气或凭空猜测，而是应当以与当前市场价格相关的历史记录的分析为根据。

如果这些基本条件仍然存在，那么具有良好历史数据的普通股，从整体上来说将数十年如一日地为人们提供有利的机会。因此，不稳定性这个根本的弱点将不会威胁到普通股整体的长期发展。随着经济周期的波动，不稳定性确实为所有的工商业部门带来了巨大的短期影响，而且对个别企业和工业部门具有永久性的负面作用。但是对于这两种危险性，后者可以一方面通过精挑细选，并且更主要地通过充分的分散化来加以化解；前一种风险则可通过采取始终坚持以合理的价格进行每一项购买的办法来加以防范。

如果他们明确表示支持或反对这一基本假设，即美国企业在未来的发展将与过去基本相同，那么他们将是轻率的作者。我们在导言中指出，过去15年的经验对这一主张是不利的。在不寻求预言未来的情况下，我们是否可以宣布，投资者不能安全地依赖收益的普遍增长来提供长期的安全和利润？在这方面，我们似乎又回到了1913年投资者的态度——不同的是，他当时的谨慎似乎对我们经济中固有的世俗增长的有力证据毫无必要地视而不见。我们今天的谨慎似乎至少是基于痛苦的经验和对整个商业图景中一些较新的和不太乐观的因素的认识。

个人成长作为选择的基础。那些拒绝将普通股投资安全地建立在普遍的长期扩张之上的人可能会被第二种方法所吸引。这种方法强调选择性的因素，并以某些受青睐的公司可依靠其稳定增长为前提。因此，当找到这些公司时，投资者可以放心地将其作为长期投资来购买。这种投资理念在国家投资者公司（一个投资信托基金）1938年的报告中做了较详细的阐述，我们引用如下内容：

本组织的研究，特别是针对改进选择程序的研究，提供了证据表明，成长型公司的普通股——也就是说，其收益从一个周期到另一个周期，只是暂时被周期性的商业萧条所打断--在普通股领域提供了最有效的投资媒介，无论是从股息回报还是从长期资本增值来看。我们认为，这个一般的结论可以通过统计学来证明，并得到经济分析和实际推理的支持。

在批判性地考虑这一说法时，我们必须从一个强调但相当明显的断言开始，即当投资者的股票以合理的价格出售时，如果能够成功地识别这种 '增长型公司'，那么他的资本肯定会得到极大的回报。但也不能否认，有一些投资者能够高度准确地做出这样的选择，而且他们已经从他们的远见和良好判断中获得了巨大的利益。但真正的问题是，是否所有谨慎和聪明的投资者都能遵循这一政策并取得公平的成功。

问题的三个方面。实际上，这个问题分为三个部分。第一，什么是“成长型公司”？第二，投资者能否合理准确地识别这种关注？第三，为这类股票支付的价格在多大程度上影响了计划的成功？

1.什么是成长型公司？国家投资者公司的讨论将增长型公司定义为那些“其收益从一个周期到另一个周期的移动”。需要多少个周期才能满足这个定义？事实上似乎在1930年之前，所有公开拥有的美国企业中，有很大一部分是在一个又一个周期中成长的。按照现在的理解，成长型公司的显著特征只在1929年和1936至1937年之间发展起来。在这一个周期中，我们发现大多数公司都未能挽回其全部的萧条损失。而少数公司则从其他公司中脱颖而出，正是这些公司现在被冠以 '成长型公司 '的赞誉。但是，由于这种区别实际上是基于一个周期内的表现，投资者如何确定这种区别会在未来更长时间内保持下去呢？

诚然，从我们之前所说的来看，许多从1929年到1937年扩张的公司在1929年之前就已经参与了一般的增长记录，因此，它们结合了长期积累的优势和在过去十年扩张的特殊能力。以下是这一类大型知名公司的例子：

2.投资者能识别它们吗？但是，我们对这种优秀记录的自然热情被一种清醒的考虑所抑制。从历史上看，过去大多数成功的公司都有一个明确的生命周期，首先是一系列的挣扎和挫折；其次是繁荣和持续增长的光辉时期；然后进入最后的超级成熟阶段——其特点是扩张速度减慢，甚至可能实际失去领导地位或盈利能力。因此，寻找增长型股票的人确实面临着两难境地；因为如果他选择扩张记录较短的新公司，他就有可能被暂时的繁荣所欺骗；而如果他选择那些已经在几个商业周期中取得进展的企业，他可能会发现这种表面上的力量是即将到来的衰弱的预兆。

因此，我们看到，识别成长型公司并不像初看起来那么简单。它不能仅仅通过对统计数据和记录的检查来完成，而是需要对特别调查和商业判断进行相当大的补充。成长型公司投资原则的支持者们目前习惯于把重点放在工业研究的因素上。在没有普遍的商业扩张的情况下，提供新产品或新工艺的公司可能会取得特殊的收益。而这些又可能来自于研究实验室。从玻璃纸、乙烯气体和各种塑料制品，以及从无线电、摄影、制冷、航空等艺术领域的进步中获得的利润，使人们对研究作为一种商业资产产生了自然的热情，并有一种将拥有研究设施视为工业进步的必要条件的自然趋势。

一如既往地，这也需要谨慎行事。如果仅仅是拥有一个研究实验室就能保证未来的成功，那么这片土地上的每家公司都会有一个。因此，投资者必须注意所拥有的设施种类、研究人员的能力以及所调查领域的潜力。要成功地研究这些问题并非不可能，但这项任务并不容易，而且出错的机会也很大。

1. 价格是否会折损潜在的增长？第三个困难的来源可能是最大的。假设投资者对公司未来的发展有相当程度的信心，那么他有理由为这个有吸引力的因素付出什么代价呢？显然，如果他可以不花钱就得到一个好的未来，也就是说，如果价格只反映了过去的记录，他就是在做一项合理的投资。但是，如果市场本身就指望着未来的增长，情况当然就不是这样了。典型的情况是，被认为具有良好前景的股票以相对高的价格出售。投资者要如何判断价格是否过高呢？我们认为，这个问题没有很好的答案——事实上，我们倾向于认为，即使人们确切地知道一家公司在很长一段时间内注定要赚多少钱，也不可能知道今天为它支付多少才是合理的价格。因此，一旦投资者为增长因素支付了大量的费用，他就不可避免地要承担某些风险；即，增长将低于他的预期，从长远来看，他将为他得到的东西支付过多的费用，在相当长的一段时间内，市场对股票的估价将不会像他一样乐观。

另一方面，假设投资者努力避免为未来的前景支付高额溢价，选择他个人看好的公司，尽管这些公司不是股票市场的宠儿。毫无疑问，这是一种判断，如果正确的话，这将被证明是最有利的。但是，根据情况的性质，它必须表现为思想坚定、胆大妄为的个人活动，而不是按照公认的规则和标准进行的投资。

外文文献出处：Benjamin Graham, David Dodd. Security Analysis[M]. Mc Graw-Hill, Inc.1934, First Edition

Our extended discussion of the theory of common-stock investment has thus far led only to negative conclusions. The older approach, centering upon the conception of a stable average earning power, appears to have been vitiated by the increasing instability of the typical business. As for the new-era view, which turned upon the earnings trend as the sole criterion of value, whatever truth may lurk in this generalization, its blind adoption as a basis for common-stock purchases, without calculation or restraint, was certain to end in an appalling debacle. Is there anything at all left, then, of the idea of sound investment in common stocks?

A careful review of the preceding criticism will show that it need not be so destructive to the notion of investment in common stocks as a first impression would suggest. The instability of individual companies may conceivably be offset by means of thoroughgoing diversification. Moreover, the trend of earnings, although most dangerous as a sole basis for selection, may prove a useful indication of investment merit. If this approach

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外文文献出处：Benjamin Graham, David Dodd. Security Analysis[M]. Mc Graw-Hill, Inc.1934, First Edition

Our extended discussion of the theory of common-stock investment has thus far led only to negative conclusions. The older approach, centering upon the conception of a stable average earning power, appears to have been vitiated by the increasing instability of the typical business. As for the new-era view, which turned upon the earnings trend as the sole criterion of value, whatever truth may lurk in this generalization, its blind adoption as a basis for common-stock purchases, without calculation or restraint, was certain to end in an appalling debacle. Is there anything at all left, then, of the idea of sound investment in common stocks?

A careful review of the preceding criticism will show that it need not be so destructive to the notion of investment in common stocks as a first impression would suggest. The instability of individual companies may conceivably be offset by means of thoroughgoing diversification. Moreover, the trend of earnings, although most dangerous as a sole basis for selection, may prove a useful indication of investment merit. If this approach is a sound one, there may be formulated an acceptable canon of common-stock investment, containing the following elements:

1. Investment is conceived as a group operation, in which diversification of risk is depended upon to yield a favorable average result.
2. The individual issues are selected by means of qualitative and quantitative tests corresponding to those employed in the choice of fixed-value investments.
3. A greater effort is made, than in the case of bond selection, to determine the future outlook of the issues considered.

Whether or not a policy of common-stock acquisition based upon the foregoing principles deserves the title of investment is undoubtedly open to debate. The importance of the question, and the lack of well-defined and authoritative views thereon, compel us to weigh here the leading arguments for and against this proposition.

Secular Expansion as Basis. May the ownership of a carefully selected, diversified group of common stocks, purchased at reasonable prices, be characterized as a sound investment policy? An affirmative answer may be developed from any one of three different kinds of assumptions relating to the future of American business and the policy of selection that is followed. The first will posit that certain basic and long-established elements in this countryrsquo;s economic experience may still be counted upon. These are (1) that our national wealth and earning power will increase, (2) that such increase will reflect itself in the increased resources and profits of our important corporations, and (3) that such increases will in the main take place through the normal process of investment of new capital and reinvestment of undistributed earnings. The third part of this assumption signifies that a broad causal connection exists between accumulating surplus and future earning power, so that common-stock selection is not a matter purely of chance or guesswork but should be governed by an analysis of past records in relation to cur- rent market prices.

If these fundamental conditions still obtain, then common stocks with suitable exhibits should on the whole present the same favorable opportunities in the future as they have for generations past. The cardinal defect of instability may not be regarded, therefore, as menacing the long-range development of common stocks as a whole. It does indeed exert a powerful temporary effect upon all business through the variations of the economic cycle, and it has permanently adverse effects upon individual enterprises and single industries. But of these two dangers, the latter may be offset in part by careful selection and chiefly by wide diversification; the former may be guarded against by unvarying insistence upon the reasonableness of the price paid for each purchase.

They would be rash authors who would express themselves unequivocally for or against this basic assumption that American business will develop in the future pretty much as in the past. In our Introduction we point out that the experience of the last fifteen years weighs against this proposition. Without seeking to prophesy the future, may it not suffice to declare that the investor cannot safely rely upon a general growth of earnings to provide both safety and profit over the long pull? In this respect it would seem that we are back to the investorrsquo;s attitude in 1913— with the difference that his caution then seemed needlessly blind to the powerful evidences of secular growth inherent in our economy. Our caution today would appear, at least, to be based on bitter experience and on the recognition of some newer and less promising factors in the whole business picture.

Individual Growth as Basis of Selection. Those who would reject the suggestion that common-stock investment may be founded securely on a general secular expansion may be attracted to a second approach. This stresses the element of selectivity and is based on the premise that certain favored companies may be relied on to grow steadily. Hence such companies, when located, can be bought with confidence as long-term investments. This philosophy of investment is set forth at some length in the 1938 report of National Investors Corporation, an investment trust, from which we quote as follows:

The studies by this organization, directed specifically toward improved procedure in selection, afford evidence that the common stocks of growth companies—that is, companies whose earnings move forward from cycle to cycle, and are only temporarily interrupted by periodic business depressions—offer the most effective medium of investment in the field of common stocks, either in terms of dividend return or longer term capital appreciation. We believe t

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