結合因子選股與系統交易的股票操作系統之分析設計與實作   – 以美股市場為例

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王崇驊(WANG,CHONG-HUA) 查詢紙本館藏

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資訊管理學系

論文名稱

結合因子選股與系統交易的股票操作系統之分析設計與實作 – 以美股市場為例
(Combining Factor Stock Selection and System Trading to Design and Implement an Analyzing System on Stocks in Major U.S. Exchanges)

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摘要(中)

許多學者透過量化多因子模型的方式，企圖以實證的角度去尋找那些績效存在規律，且能夠為投資人帶來超額報酬的因子，而除了單純的因子選股外，也有文獻開始加入擇時策略試圖進一步改善其績效。為此，研究參考卓育辰(2021)所提出之量化選股模型，並針對架構重新設計，使其具備在不同國家轉換回測之機制，除了實驗財務因子在現今美股的選股效果外，亦加入多項技術策略以驗證是否能夠一致性的改善報酬或風險。
本研究透過 Python 建構回測系統，使系統在擴充上更具彈性。系統使用七項單因子及三項雙因子以實驗財務因子在現今美國市場上的選股效果，並使用買入持有、逆勢布林通道、逢低買進及逆勢高低通道四項技術策略驗證是否能夠對績效帶來一致性的影響。除了財務因子與技術策略兩項參數外，系統亦提供兩項市場、三種最佳化窗格、兩種資金配置法、十個群組與五種持有股數等五種可調參數，以實驗不同配置對績效的影響。
實驗結果發現有些財務因子在現今的美國市場仍存在篩選股票的價值，其中市值營收比在相關性以及獲利性上的表現較為良好，而技術策略的使用普遍能夠降低最大交易回落，為投資人帶來較低的投資風險。

摘要(英)

Many scholars have attempted to find the factors that have a pattern of performance and bring profit to investors from an empirical perspective by quantifying multi-factor models. In addition to factor stock selection, some literature tried to combine timing strategy to improve investment performance. Therefore, this research refers to the quantitative selection model proposed by Zhuo, Yu-Chen and redesign the architecture. Make the model have a mechanism for switching between countries. To verify stock selection performance of the financial factor on U.S. stocks and also testing weather technical strategy could improve profit or risk consistency.
This research’s backtesting system is built in Python to make the system more flexible in terms of expansion. The system uses seven single-factor and three dual-factor to test the effectiveness of financial factor stock selection in today′s U.S. stock. It also using buy-and-hold, inverse Bollinger Bands, bargaining hunting, and inverse high-low
channels to test whether the technical strategies have a consistent impact on performance. In addition to the factor and technical strategy, the system also provides five adjustable parameters, including two markets, three optimization windows, two capital allocation methods, ten groups and five shareholdings, to test the impact of the
performance when experiment adjust it allocation.
Experiment show that some financial factors are still have value of stock selection in today′s U.S. stock, especially PS have best correlation and profitability. And also found
that technical strategies could generally reduces maximum drawdown, bring the lower investment risk for investors.

關鍵字(中)

★ 多因子模型
★ 技術策略
★ 量化交易
★ 移動窗格
★ 因子投資

關鍵字(英)

★ Multi-Factor Models
★ Technical Analysis
★ Quantitative Trading
★ Walk Forward Analysis
★ Factor Investment

論文目次

摘要.................................................................................................................................i
Abstract.........................................................................................................................ii
致謝辭........................................................................................................................... iii
圖目錄........................................................................................................................... vi
表目錄......................................................................................................................... viii
第一章、緒論........................................................................................................1
1.1 研究背景................................................................................................1
1.2 研究動機................................................................................................2
1.3 研究目的................................................................................................2
第二章、文獻探討................................................................................................4
2.1 量化交易................................................................................................4
2.1.1 最佳化............................................................................................4
2.1.2 移動窗格........................................................................................6
2.2 因子投資................................................................................................7
2.2.1 多因子模型相關理論 ...................................................................7
2.2.2 量化多因子模型 ...........................................................................8
2.3 系統交易的資金配置計算 .................................................................10
2.3.1 個股每日賺賠表 .........................................................................10
2.3.2 資金權重配置表 .........................................................................11
2.3.3 績效表..........................................................................................12
第三章、系統設計與實作 .................................................................................13
3.1 系統架構與流程 .................................................................................13
3.1.1 系統架構......................................................................................13
3.1.2 系統流程......................................................................................14
3.2 窗格切割..............................................................................................17
3.3 因子選股..............................................................................................18
3.3.1 標的排序......................................................................................18
3.3.2 標的分群......................................................................................19
3.3.3 標的選擇......................................................................................19
3.4 參數最佳化與回測 .............................................................................20
3.4.1 技術策略......................................................................................20
3.4.2 參數最佳化 .................................................................................21
3.4.3 回測..............................................................................................22
3.5 績效計算與儲存 .................................................................................22
3.5.1 每日權益計算 .............................................................................22
3.5.2 權益正規化 .................................................................................23
v
第四章、系統驗證與分析 .................................................................................24
4.1 實驗變數..............................................................................................24
4.1.1 資料來源......................................................................................24
4.1.2 市場..............................................................................................24
4.1.3 因子組合......................................................................................24
4.1.4 技術策略......................................................................................27
4.1.5 窗格最佳化 .................................................................................27
4.1.6 資金配置法 .................................................................................27
4.1.7 群組..............................................................................................27
4.1.8 持有股數......................................................................................27
4.2 實驗設計..............................................................................................28
4.2.1 實驗流程......................................................................................28
4.2.2 實驗環境......................................................................................31
4.3 實驗結果..............................................................................................31
4.3.1 因子相關性及獲利性分析 .........................................................31
4.3.2 技術面策略有效性分析 .............................................................48
4.3.3 最佳化窗格績效分析 .................................................................55
4.3.4 資金配置之績效差異分析 .........................................................57
4.4 實驗系統效益 .....................................................................................62
第五章、結論......................................................................................................63
5.1 結論......................................................................................................63
5.2 研究限制..............................................................................................64
5.3 未來建議..............................................................................................65
參考文獻......................................................................................................................66
附錄..............................................................................................................................68

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指導教授

許智誠

審核日期

2022-7-6

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