The crimes occurred in Chak Jumra town, around 215 kilometres (135 miles) northwest of Lahore.
"Irshad Ahmed, a resident of Chak Jumra strangled his four daughters, two sets of twins, late Sunday night," local police official Ghulam Shabir told AFP.
He said the victims were all aged between four and seven.
"The father was on anti-depressants," Shabir said, adding that the mother had taken two other children to a wedding in a neighbouring town and left the four girls with their father.
Zaheer Ahmed, the investigating officer, said there were rope marks on the girls' necks.
In Pakistan's conservative patriarchal society daughters are often considered a burden.
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