當好公司無量變有量就是好的進場時機

By | 2019-10-25

如果好公司開始出量往上走,應該就是個不錯的進場訊號吧? 這是同事提出來的觀察,我把這樣的想法形諸於交易策略,回測的結果,這兩年還蠻好用的,分享給大家。

 

好公司的選股腳本

1value1=GetField("營業利益","Q");//單位百萬
2value2=GetField("稅前淨利","Q");//單位百萬
3value3=GetField("來自營運之現金流量","Q");//單位百萬
4value4=GetField("資本支出金額","Q");//單位百萬
5value5=GetField("利息支出","Q");//單位百萬
6value6=GetField("所得稅費用","Q");//單位百萬
7condition1=false;
8condition2=false;
9condition3=false;
10
11if value2>0 then begin
12if value1/value2*100>80
13then condition1=true; //本業獲利佔八成以上
14end;
15
16if value3-value4-value5-value6>0 //自由現金流量大於零
17then condition2=true;
18
19value7=GetField("利息保障倍數","Y");
20value8=GetField("股東權益報酬率","Y");//單位%
21value9=GetField("營業利益率","Q");//單位%
22value10=GetField("本益比","D");
23value11=GetField("殖利率","D");
24value12=GetField("每股淨值(元)","Q");
25value13=value12*value8/8;//獲利能力比率
26
27if value7>20 and value8>8 and value9>0 and value10<12 and value11>6 and close<value13
28then condition3=true;

if condition1 and condition2 and condition3
then ret=1;

outputfield(1,GetField(“股東權益報酬率”,”Y”),2,”ROE”);
outputfield(2,GetField(“殖利率”,”D”),2,”殖利率”, order := 1);

無量變有量的警示腳本

1Input: day(60,"日期區間");
2Input: ratioLimit(14, "區間最大漲幅%");
3
4Condition1 = H=highest(H,day);
5//今日最高創區間最高價
6
7Condition2 = V=highest(v,day);
8//今日成交量創區間最大量
9
10Condition3 = highest(H,day) < lowest(L,day)*(1 + ratioLimit*0.01);
11//今日最高價距離區間最低價漲幅尚不大
12
13if Condition1 And Condition2 And Condition3
14then ret=1;

拿這個策略雷達去回測,停損停利都設為7%,回測過去三年,報告如下

 

MDD不到8%,平均一年約有20個交易機會,每年平均報酬率為19%