| 摘要: | 能夠在股票市場中穩定獲利一直是大眾所關心的議題，而隨著金融科技的崛起；程式交易的純熟，能夠穩定獲利似乎不再遙不可及。而過去在投資股票及投資組合領域，大多分別著重於選股、選時、獲利、風險評估，並以單一策略針對單一商品分析，但卻缺乏一個允許程式交易進行更完整、容易替換之策略與商品之流程，來呈現一個更詳細、更快速、更好判斷獲利與風險的系統。因此本研究希望能建置一個完整的系統，從基本面選股，並利用等分法依基本面因子做切割，再搭配核心交易策略、不同投資方法、不同持有股數等等，結合所有不同的面相做出分析，並將結果自動化呈現，提供一個使用者可簡單判讀結果，並做比較的平台。
本系統利用Amiboker、Python、MySQL以及Django進行實作，而其中主要可分為幾個部分，包含處理十種基本面資料並排序；透過Python建置Batch檔案讓Amibroker進行多變數及多商品自動化回測並輸出；以及最後進行獲利分析並以Django網頁呈現。
本研究針對2010年1月1日至2017年12月31日之台股進行研究，運用等切割的方式，依照十種不同的基本面因子進行排序，將台股切割為十個等分，並採用季報資料，會根據每一季不同的資料重新排序而決定該購入之股票；策略方面則比較買入持有策略以及凱特通道策略；再搭配不同的資金投入法以及持有股數進行綜合性的比較。目的為找出不同配置中，影響獲利最有效之基本面因子。
研究結果顯示，確實有多種基本面指標在排名與獲利上存在著高度相關，意即選擇適當的基本面指標中最優良的當作投組依據，確實會有更大的獲益，而搭配上適合的凱特通道策略能獲得更大的淨利，且有效降低最大交易虧損。此外本研究也提供了一個框架與流程，讓未來不論是要新增不同基本面因子資料、不同策略、投資方法等……，都可以輕易地套用到此系統，進行分析。
;We always concern about how to make profits stably on the stock market. Along with the development of financial technology, it seems no longer out of reach. In the past, most of investment in stocks field focused on stock selection, market timing, profit, risk evaluation and applied a single strategy on a single stock. They lacked of a program trading which make us change strategy and stock easily and it should be more fast, easy to comprehend and also could show more detail information to us. Therefore, this study is dedicated to build an integrated system including stock selection, equal divided method based on fundamental factors, core trading strategies, different ways of investment and number of shares held. We want to combine all of these aspects to analyze and show the result automatically to make users can understand and compare the result simply.
The system utilizes Amibroker, Python, MySQL and Django to implement. And it could be divided by several parts including sort ten different fundamental factors, make batch files to allow Amibroker to conduct multi-variables and multi-stock automated backtest and output as csv files. Finally, we can display the results of profit and risk analysis on the Django website.
This study research on Taiwan stocks from January 1, 2010 to December 31, 2017. According to different fundamental factors, the stock will be divided into ten parts by using equal divided method. In addition, quarterly reports are used, we’ll re-order all stocks for each season and then decide which part of it should be buy or not. In terms of strategy, we compare Buy and Hold with Keltner Channel, and then with different capital investment methods and the number of shares held for comprehensive comparison to find out what’s the most effective fundamental factors in different configurations.
The result of the study shows that there are several fundamental factors that are highly relevant in rank and profit which means that choosing the best group of appropriate fundamental indicators as the basic of portfolio will indeed have greater benefits. Beside, come with proper Keltner Channle will make greater net profit and reduce the maximum drawdown effectively. In addition, the study provides a framework and process to make it easily in the future if we want to add a new fundamental indicator, strategy, investment method, etc., we can easily apply to this system and complete the analysis. |
