Machine Learning - In this paper, stock selection strategy design based on machine learning and multi-factor analysis is a research hotspot in quantitative investment field. Four machine learning algorithms including support vector machine, gradient lifting regression, random forest and linear regression are used to predict the rise and fall of stocks by taking stock fundamentals as input variables. The portfolio strategy is constructed on this basis. Finally, the stock selection strategy is further optimized. The empirical results show that the multifactor quantitative stock selection strategy has a good stock selection effect, and yield performance under the support vector machine algorithm is the best. With the increase of the number of factors, there is an inverse relationship between the fitting degree and the yield under various algorithms.