20231009 便宜股動能回測

這是網路看到別人的策略 持有時間我這邊設定1年

在網路看到別人提出這個策略，想說那就來回測看看，看起來是有回測價值
於是開始做參數調整，那這邊要考慮的點第一個是週期，以天為單位做交易週期對我來說太困難(資金量不夠)，其實以週為單位仍然需要蠻大筆資金，但以月為單位太不現實，所以基本上就是以週為週期做交易。

第二個問題是殖利率的問題，去XQ查發現定義如下：(現金股利 + 股票股利) ∕ 收盤價 * 100%。然後是以前一年為單位，而不是平均5年之類。

改成以週為單位，一樣持有一年

殖利率5%

殖利率6%

殖利率7%

殖利率8%

那可以看到，在殖利率6%表現是最好的，策略回測到這邊基本上就可以用了，但我本人後續是想做現金殖利率部分回測看看，就等之後有做再把內容補上來。

20231010更新

改成現金殖利率之後
4%：73.28%/438.05%
5%：74.86%/497.27%
6%：77.63%/553.21%
7%：77.03%/522.12%
8%：75.09%/450.83%

基本上，勝率跟報酬率都提高，虧損方面無顯著差別，然後還是6%回測起來表現最好。

然後是再更改淨值比

淨值比1.5 勝率跟報酬都上升

淨值比1.5倍情況下
4%：75.58%/478.82%
5%：77.46%/516.08%
6%：79.21%/599.53%
7%：78.74%/648.61%
8%：75.89%/450.70%

淨值比1倍情況下
4%：78.13%/562.18%
5%：77.83%/617.68%
6%：80.74%/711.42%
7%：70.54%/767.00%
8%：80.33%/303.95%

股淨比維持2倍，本益比改10倍或12倍的情況下，績效都沒有比原本好。

持有時間改22週 勝率下降 但虧損率也下降 報酬率上升超多

其他不變，持有時間更改的話(淨值比1.5倍)
13週：64.79%/936.22%/-52.66%
14週：66.77%/1068.71%/-52.97%
22週：71.51%/873.41%/-53.59%
26週：73.18%/801.02%/-48.99%
39週：76.53%/739.80%/-57.44%
52週：79.21%/599.53%/-65.15%

以報酬率來說的話，持有14週(一季)，報酬率最高，但勝率不到7成，考量到實際情況的話，以上面選股條件，至少持有兩季，我覺得是比較合理的情況。

20231011 更新

拿掉成交量條件(變化不大，可以得知成交量大於0.5倍沒有參考價值)
13週：64.40%/1029.43%/-52.66%
14週：65.88%/1101.13%/-52.97%
22週：71.36%/891.64%/-53.59%
26週：73.27%/794.00%/-48.99%
39週：76.50%/733.05%/-57.44%
52週：78.64%/598.12%/-65.15%

日成交量1.5倍條件(三樣都有顯著改善)
13週：65.33%/1442.39%/-25.59%
14週：69.20%/1467.32%/-33.37%
22週：74.31%/1199.34%/-30.84%
26週：76.10%/1061.26%/-31.48%
39週：79.55%/954.66%/-33.26%
52週：80.94%/682.85%/-45.27%

日成交量2倍條件(改善得更明顯)
13週：66.34%/2805.47%/-22.86%
14週：71.67%/2594.87%/-23.09%
22週：77.72%/2419.49%/-20.51%
26週：79.42%/2362.53%/-25.69%
39週：81.11%/1565.13%/-33.26%
52週：82.57%/1060.37%/-45.27%

日成交量3倍條件(持有一季的勝率上升到7成)
13週：69.23%/2730.31%/-22.86%
14週：73.63%/2258.94%/-23.09%
22週：77.90%/3727.92%/-19.59%
26週：78.02%/3533.2%/-20.17%
39週：83.52%/2208.97%/-33.26%
52週：85.16%/1464.42%/-45.27%

日成交量3.5倍條件
13週：70.08%/2118.69%/-15.83%
26週：80.31%/4856.02%/-18.11%
39週：85.83%/2616.36%/-33.26%
52週：88.19%/1686.13%/-45.27%

日成交量4倍條件(可知到3.5倍為止最好)
13週：64.95%/519.94%/-15.83%
14週：69.07%/509.43%/-17.51%
26週：76.29%/2360.59%/-18.11%
39週：84.54%/2718.42%/-33.26%
52週：87.63%/1596.4%/-45.27%

淨值比1倍 日成交量2倍
13週：65.97%/1038.25%/-22.92%
26週：81.25%/1915.92%/-20.17%
39週：83.33%/1527.52%/-29.79%
52週：83.33%/1157.93%/-26.55%

淨值比1倍 日成交量3倍
13週：63.01%/423.46%/-22.92%
26週：80.82%/1390.05%/-20.17%
39週：83.56%/1769.81%/-29.79%
52週：82.19%/1448.59%/-22.80%

目前
成交量3-3.5倍
持有時間26週
淨值比以1.5倍
現金殖利率6%

但後續還必須回去看交易次數，次數太少的話可能也不適用。

看交易資料不會有獲利500%出場的情況

20231220

PE13 / PB1.4 會更好

技術面60/120最好

月營收YOY>0%最好

稅後淨利1季成長就好最好