1、What is multi-factor strategy

(1) Introduction The multi-factor strategy has a long history. 1992, Nobel Prize winner Fama published a three-factor model, Fama believes that the excess return of the stock can be explained by the market factor, market value factor and book-to-market factor together. As the market developed, there were many phenomena that could not be explained by the three-factor model. Therefore, Fama proposed a five-factor model with the addition of the earnings level and investment level factors. His student Asness then discovered the momentum factor, and after meticulous testing proved that it was possible to profit from multi-factor models, Asness went on to found the hedge fund AQR, which at the end of 2020 had approximately US$140 billion in assets under management, second only to Bridgewater. Since then, there have been six-factor models, eight-factor models and so on, and there is no definitive answer as to how many factors are appropriate. Today, multi-factor quantitative investment has blossomed everywhere and has become the most mainstream quantitative strategy. Multi-factor models have an absolute advantage in terms of capital capacity and application scope. The key lies in the mining of factors and the determination of weights. Simply put, the multi-factor strategy is to evaluate all stocks in the market (return forecast) from multiple dimensions, such as growth factor, valuation factor, momentum factor, management factor, etc. The final evaluation is formed by considering the evaluation results of each dimension, based on which individual stocks are selected to obtain excess returns. (2) Principle Before the advent of multi-factor models, the CAPM model was held up as the archetypal model, and almost all pricing was calculated according to the CAPM model. Later on, scholars discovered various anomalies which could not be explained by the CAPM model. The more typical ones were the earnings to market value ratio effect discovered by Basu and the small market value effect discovered by Banz. Unfortunately, while each of the single anomalies identified challenged the CAPM, they did not form a synergy until the Fama three-factor model emerged. Fama et al. On the basis of CAPM, Fama added two factors, HML and SMB, and proposed a three-factor model, which is also the basis of multi-factor model. 2. In addition to relying on scientific strategies, quantitative trading of speculative coins also requires finding ways to save money. Among them, the easiest way is to enjoy the discounted transaction fees. Although the handling fee is small, it must not be ignored. I have calculated that as long as the transactions are frequent and the transaction time is long, the accumulated amount may exceed 10000 U. Next, I will introduce several common ways to reduce the handling fee for large trading platforms. (1) Lowering Binance's fees Binance is currently the world's largest digital currency exchange, and you must sign up for Binance if you want to speculate on coins. The transaction fee is deducted from the assets received. For example, if you buy Ethereum/USDT, the fee is paid in Ethereum. If you sell Ethereum/USDT, the commission is paid in USDT. Example. You place an order for 10Ethereum at a price of USD3,452.55 per share. Transaction fee = 10Ethereum0.1% = 0.01Ethereum Or you place an order to sell 10Ethereum at 3,452.55 USDT per share. Transaction fee = (10Ethereum3,452.55USDT)*0.1% = 34.5255USDT What many people do not know is that the Binance transaction fee can also be reduced. If you want to reduce your Binance trading fees, you must use the invitation link below or use the invitation code "Q022W7SC" to register. https://accounts.binance.com/en/register?ref=Q022W7SC

(2) Reducing OKX fees OKX is a professional digital currency trading platform loved by many users, and its transaction fees can be reduced. Depending on the volume of transactions, OKX divides its users into two levels: normal and professional. Ordinary users are graded according to their OKB positions, while professional users are graded according to their trading volume and asset size. The different tiers determine the trading fees for the next trading day. When calculating the fee levels, if the coin trading volume, total trading volume of delivery and perpetual contracts (USDT delivery contract, coin-based delivery contract, USDT perpetual contract, coin-based perpetual contract), option contract trading volume, and asset volume meet the conditions of different fee levels, users will enjoy the fee discount of the highest level. First method: OKX has an official maximum savings rate of 20%. Use the link below to register with OKX and save 20% on fees. https://www.ouyi.business/join/BTC1ETH Second method: Open the OKX website and enter "BTC1ETH" in the "Invitation Code" on the registration page to see the cashback percentage: 20% at the bottom. Be sure to enter this invitation code, otherwise you will not get the 20% cashback percentage.

(3) Lower FTX fees FTX is currently a very fast-growing exchange with a large number of contract players, you must sign up for FTX if you play contracts. if you want to reduce the FTX transaction fees, you must use the following invitation link to register. https://ftx.com/referrals#a=121031692

3, trading road is long, together to move forward Want to know more about how to reduce the commission? telegram: btcethcool We have set up a community to study trading, add telegram friends to pull you into the community.

1、What is multi-factor strategy

(1) Introduction The multi-factor strategy has a long history. 1992, Nobel Prize winner Fama published a three-factor model, Fama believes that the excess return of the stock can be explained by the market factor, market value factor and book-to-market factor together. As the market developed, there were many phenomena that could not be explained by the three-factor model. Therefore, Fama proposed a five-factor model with the addition of the earnings level and investment level factors. His student Asness then discovered the momentum factor, and after meticulous testing proved that it was possible to profit from multi-factor models, Asness went on to found the hedge fund AQR, which at the end of 2020 had approximately US$140 billion in assets under management, second only to Bridgewater. Since then, there have been six-factor models, eight-factor models and so on, and there is no definitive answer as to how many factors are appropriate. Today, multi-factor quantitative investment has blossomed everywhere and has become the most mainstream quantitative strategy. Multi-factor models have an absolute advantage in terms of capital capacity and application scope. The key lies in the mining of factors and the determination of weights. Simply put, the multi-factor strategy is to evaluate all stocks in the market (return forecast) from multiple dimensions, such as growth factor, valuation factor, momentum factor, management factor, etc. The final evaluation is formed by considering the evaluation results of each dimension, based on which individual stocks are selected to obtain excess returns. (2) Principle Before the advent of multi-factor models, the CAPM model was held up as the archetypal model, and almost all pricing was calculated according to the CAPM model. Later on, scholars discovered various anomalies which could not be explained by the CAPM model. The more typical ones were the earnings to market value ratio effect discovered by Basu and the small market value effect discovered by Banz. Unfortunately, while each of the single anomalies identified challenged the CAPM, they did not form a synergy until the Fama three-factor model emerged. Fama et al. On the basis of CAPM, Fama added two factors, HML and SMB, and proposed a three-factor model, which is also the basis of multi-factor model. 2. In addition to relying on scientific strategies, quantitative trading of speculative coins also requires finding ways to save money. Among them, the easiest way is to enjoy the discounted transaction fees. Although the handling fee is small, it must not be ignored. I have calculated that as long as the transactions are frequent and the transaction time is long, the accumulated amount may exceed 10000 U. Next, I will introduce several common ways to reduce the handling fee for large trading platforms. (1) Lowering Binance's fees Binance is currently the world's largest digital currency exchange, and you must sign up for Binance if you want to speculate on coins. The transaction fee is deducted from the assets received. For example, if you buy Ethereum/USDT, the fee is paid in Ethereum. If you sell Ethereum/USDT, the commission is paid in USDT. Example. You place an order for 10Ethereum at a price of USD3,452.55 per share. Transaction fee = 10Ethereum0.1% = 0.01Ethereum Or you place an order to sell 10Ethereum at 3,452.55 USDT per share. Transaction fee = (10Ethereum3,452.55USDT)*0.1% = 34.5255USDT What many people do not know is that the Binance transaction fee can also be reduced. If you want to reduce your Binance trading fees, you must use the invitation link below or use the invitation code "Q022W7SC" to register. https://accounts.binance.com/en/register?ref=Q022W7SC

(2) Reducing OKX fees OKX is a professional digital currency trading platform loved by many users, and its transaction fees can be reduced. Depending on the volume of transactions, OKX divides its users into two levels: normal and professional. Ordinary users are graded according to their OKB positions, while professional users are graded according to their trading volume and asset size. The different tiers determine the trading fees for the next trading day. When calculating the fee levels, if the coin trading volume, total trading volume of delivery and perpetual contracts (USDT delivery contract, coin-based delivery contract, USDT perpetual contract, coin-based perpetual contract), option contract trading volume, and asset volume meet the conditions of different fee levels, users will enjoy the fee discount of the highest level. First method: OKX has an official maximum savings rate of 20%. Use the link below to register with OKX and save 20% on fees. https://www.ouyi.business/join/BTC1ETH Second method: Open the OKX website and enter "BTC1ETH" in the "Invitation Code" on the registration page to see the cashback percentage: 20% at the bottom. Be sure to enter this invitation code, otherwise you will not get the 20% cashback percentage.

(3) Lower FTX fees FTX is currently a very fast-growing exchange with a large number of contract players, you must sign up for FTX if you play contracts. if you want to reduce the FTX transaction fees, you must use the following invitation link to register. https://ftx.com/referrals#a=121031692

3, trading road is long, together to move forward Want to know more about how to reduce the commission? telegram: btcethcool We have set up a community to study trading, add telegram friends to pull you into the community.