Quantitative Strategy Research · 量化策略研究
Taiwan Equity Backtesting Lab
Two rule-based strategies, real FinMind data, zero lookahead bias · 兩個規則化策略,真實資料,無未來值偏誤
Strategy 01 · 策略一
EBIT / TEV
Value Momentum
Value Factor TWSE Taiwan Long-Only
Enterprise value-based ranking combining EBIT/TEV with price momentum. Targets undervalued, improving businesses on the Taiwan Stock Exchange.
企業價值排名策略,結合EBIT/TEV與價格動能。鎖定台灣股市中被低估、基本面改善的企業。
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Strategy 02 · 策略二
Momentum Quality
CANSLIM EP
Momentum CANSLIM TWSE + OTC 2015–2024
Wesley Gray-style quantitative momentum combined with CANSLIM growth filters and monthly rebalancing. Bilingual EN/中文 presentation.
Wesley Gray量化動能結合CANSLIM成長篩選,月度再平衡。雙語(英文/中文)簡報呈現。
12.0%
CAGR (Mode B)
0.61
Sharpe
45.3%
Win Rate
21
Slides
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