美股 低股價淨值比策略
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%%capture
!pip install finlab
%%capture
!pip install finlab
價值因子¶
基本面策略。主要進場條件為低股價淨值比、股價位於季線之上。過濾低價股。每季換股，持有檔數20檔。條件設定簡單，卻有相當不錯的表現!
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from finlab import data
from finlab.backtest import sim
收盤價 = data.get('us_price:close')
股價淨值比 = data.get('us_daily_metrics:pb')
# 條件 1
收盤價大於五 = 收盤價 > 5
# 條件 2
季線 = 收盤價.rolling(60).mean()
收盤價在季線之上 = 收盤價 > 季線
# 條件 3
總條件 = (收盤價 * 股價淨值比)[收盤價大於五&收盤價在季線之上].is_smallest(20)
report = sim(總條件, resample='Q', fee_ratio=0, tax_ratio=0, live_performance_start='2019-01-01', name='美股低股價淨值比')
# report.display()
from finlab import data
from finlab.backtest import sim
收盤價 = data.get('us_price:close')
股價淨值比 = data.get('us_daily_metrics:pb')
# 條件 1
收盤價大於五 = 收盤價 > 5
# 條件 2
季線 = 收盤價.rolling(60).mean()
收盤價在季線之上 = 收盤價 > 季線
# 條件 3
總條件 = (收盤價 * 股價淨值比)[收盤價大於五&收盤價在季線之上].is_smallest(20)
report = sim(總條件, resample='Q', fee_ratio=0, tax_ratio=0, live_performance_start='2019-01-01', name='美股低股價淨值比')
# report.display()
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WARNING:finlab.data:us_price:close -- Daily usage: 1104.2 / 5000 MB WARNING:finlab.data:us_daily_metrics:pb -- Daily usage: 1164.6 / 5000 MB WARNING:finlab.data:security_categories -- Daily usage: 1207.9 / 5000 MB WARNING:finlab.data:us_tickers -- Daily usage: 1213.3 / 5000 MB WARNING:finlab.data:us_price:adj_close -- Daily usage: 1255.0 / 5000 MB WARNING:finlab.data:world_index:adj_close -- Daily usage: 1256.7 / 5000 MB /usr/local/lib/python3.10/dist-packages/finlab/analysis/alphaBetaAnalysis.py:22: RuntimeWarning: invalid value encountered in double_scalars
| annualized_rate_of_return | sharpe | max_drawdown | win_ratio | |
|---|---|---|---|---|
| 13.72% | 0.55 | -38.88% | 53.7% |
| entry_date | exit_date | entry_sig_date | exit_sig_date | position | period | entry_index | exit_index | return | trade_price@entry_date | trade_price@exit_date | mae | gmfe | bmfe | mdd | pdays | weight | next_weights | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| stock_id | ||||||||||||||||||
| ABC AMERISOURCEBERGEN CORP | 2023-01-03 | NaT | 2022-12-30 | 2023-06-30 | 0.05 | 110.0 | 1510.0 | -1.0 | 0.084789 | 164.290 | 178.220 | -0.096902 | 0.084789 | 0.028425 | -0.121863 | 54.0 | 0.05 | 0.00 |
| AON AON PLC | 2023-01-03 | NaT | 2022-12-30 | 2023-06-30 | 0.05 | 110.0 | 1510.0 | -1.0 | 0.049763 | 299.420 | 314.320 | -0.045321 | 0.122737 | 0.088738 | -0.123133 | 102.0 | 0.05 | 0.00 |
| AZO AUTOZONE INC | 2023-01-03 | NaT | 2022-12-30 | 2023-06-30 | 0.05 | 110.0 | 1510.0 | -1.0 | -0.027918 | 2431.060 | 2363.190 | -0.051175 | 0.124468 | 0.124468 | -0.156201 | 67.0 | 0.05 | 0.00 |
| CTGO CONTANGO ORE INC | 2023-04-03 | NaT | 2023-03-31 | 2023-06-30 | 0.05 | 48.0 | 1572.0 | -1.0 | 0.108765 | 28.410 | 31.500 | -0.119676 | 0.151003 | 0.094685 | -0.195820 | 35.0 | 0.05 | 0.00 |
| FICO FAIR ISAAC CORP | 2023-01-03 | NaT | 2022-12-30 | NaT | 0.05 | 110.0 | 1510.0 | -1.0 | 0.310425 | 591.190 | 774.710 | -0.009016 | 0.341768 | 0.030193 | -0.071310 | 108.0 | 0.05 | 0.05 |
| FTNT FORTINET INC | 2023-04-03 | NaT | 2023-03-31 | 2023-06-30 | 0.05 | 48.0 | 1572.0 | -1.0 | 0.025637 | 66.310 | 68.010 | -0.087770 | 0.074800 | 0.031368 | -0.115514 | 33.0 | 0.05 | 0.00 |
| GDNR GARDINER HEALTHCARE ACQUISITIONS CORP | 2022-07-01 | NaT | 2022-06-30 | 2023-06-30 | 0.05 | 237.0 | 1383.0 | -1.0 | 0.077543 | 9.930 | 10.700 | 0.000000 | 0.082578 | 0.000000 | -0.011268 | 232.0 | 0.05 | 0.00 |
| HCA HCA HEALTHCARE INC | 2023-01-03 | NaT | 2022-12-30 | NaT | 0.05 | 110.0 | 1510.0 | -1.0 | 0.117512 | 243.210 | 271.790 | 0.000000 | 0.181407 | 0.000000 | -0.080883 | 109.0 | 0.05 | 0.05 |
| HUDA HUDSON ACQUISITION I CORP | 2023-04-03 | NaT | 2023-03-31 | NaT | 0.05 | 48.0 | 1572.0 | -1.0 | 0.008309 | 10.230 | 10.315 | -0.001955 | 0.008309 | 0.000000 | -0.001955 | 43.0 | 0.05 | 0.05 |
| MCD MCDONALDS CORP | 2023-04-03 | NaT | 2023-03-31 | NaT | 0.05 | 48.0 | 1572.0 | -1.0 | 0.016481 | 282.140 | 286.790 | -0.000851 | 0.056461 | 0.056461 | -0.054249 | 45.0 | 0.05 | 0.05 |
| MPRA MERCATO PARTNERS ACQUISITION CORP | 2023-01-03 | NaT | 2022-12-30 | 2023-06-30 | 0.05 | 110.0 | 1510.0 | -1.0 | 0.028348 | 10.230 | NaN | 0.000000 | 0.028348 | 0.000000 | -0.005780 | 108.0 | 0.05 | 0.00 |
| MSCI MSCI INC | 2023-04-03 | NaT | 2023-03-31 | 2023-06-30 | 0.05 | 48.0 | 1572.0 | -1.0 | -0.149847 | 557.370 | 473.850 | -0.180114 | 0.000000 | 0.000000 | -0.180114 | 0.0 | 0.05 | 0.00 |
| NVAC NORTHVIEW ACQUISITION CORP | 2022-10-03 | NaT | 2022-09-30 | 2023-06-30 | 0.05 | 173.0 | 1447.0 | -1.0 | 0.043260 | 9.940 | 10.370 | 0.000000 | 0.071429 | 0.000000 | -0.028638 | 166.0 | 0.05 | 0.00 |
| ORCL ORACLE CORP | 2023-04-03 | NaT | 2023-03-31 | NaT | 0.05 | 48.0 | 1572.0 | -1.0 | 0.169612 | 93.920 | 109.850 | -0.002236 | 0.169612 | 0.027151 | -0.043952 | 44.0 | 0.05 | 0.05 |
| ORLY O REILLY AUTOMOTIVE INC | 2022-10-03 | NaT | 2022-09-30 | NaT | 0.05 | 173.0 | 1447.0 | -1.0 | 0.262883 | 718.190 | 906.990 | -0.010332 | 0.339618 | 0.019800 | -0.108000 | 171.0 | 0.05 | 0.05 |
| PUCK GOAL ACQUISITIONS CORP | 2023-04-03 | NaT | 2023-03-31 | 2023-06-30 | 0.05 | 48.0 | 1572.0 | -1.0 | 0.007805 | 10.250 | 10.330 | -0.004878 | 0.007805 | 0.000000 | -0.004878 | 31.0 | 0.05 | 0.00 |
| RETA REATA PHARMACEUTICALS INC | 2023-04-03 | NaT | 2023-03-31 | 2023-06-30 | 0.05 | 48.0 | 1572.0 | -1.0 | -0.000426 | 93.840 | 93.800 | -0.155797 | 0.122869 | 0.122869 | -0.248173 | 27.0 | 0.05 | 0.00 |
| TDG TRANSDIGM GROUP INC | 2023-01-03 | NaT | 2022-12-30 | NaT | 0.05 | 110.0 | 1510.0 | -1.0 | 0.278441 | 625.770 | 800.010 | 0.000000 | 0.320054 | 0.000000 | -0.102902 | 109.0 | 0.05 | 0.05 |
| TENK TENX KEANE ACQUISITION | 2023-04-03 | NaT | 2023-03-31 | 2023-06-30 | 0.05 | 48.0 | 1572.0 | -1.0 | 0.014016 | 10.345 | NaN | 0.000000 | 0.014016 | 0.000000 | -0.000479 | 44.0 | 0.05 | 0.00 |
| WINA WINMARK CORP | 2023-04-03 | NaT | 2023-03-31 | NaT | 0.05 | 48.0 | 1572.0 | -1.0 | 0.104913 | 327.510 | 361.870 | -0.025923 | 0.126775 | 0.066990 | -0.087080 | 35.0 | 0.05 | 0.05 |
| BLBD BLUE BIRD CORP | NaT | NaT | 2023-06-30 | NaT | NaN | NaN | NaN | NaN | NaN | NaN | NaN | NaN | NaN | NaN | NaN | NaN | 0.00 | 0.05 |
| BSIG BRIGHTSPHERE INVESTMENT GROUP INC | NaT | NaT | 2023-06-30 | NaT | NaN | NaN | NaN | NaN | NaN | NaN | NaN | NaN | NaN | NaN | NaN | NaN | 0.00 | 0.05 |
| CAR AVIS BUDGET GROUP INC | NaT | NaT | 2023-06-30 | NaT | NaN | NaN | NaN | NaN | NaN | NaN | NaN | NaN | NaN | NaN | NaN | NaN | 0.00 | 0.05 |
| GPP GREEN PLAINS PARTNERS LP | NaT | NaT | 2023-06-30 | NaT | NaN | NaN | NaN | NaN | NaN | NaN | NaN | NaN | NaN | NaN | NaN | NaN | 0.00 | 0.05 |
| HLT HILTON WORLDWIDE HOLDINGS INC | NaT | NaT | 2023-06-30 | NaT | NaN | NaN | NaN | NaN | NaN | NaN | NaN | NaN | NaN | NaN | NaN | NaN | 0.00 | 0.05 |
| IVCA INVESTCORP INDIA ACQUISITION CORP | NaT | NaT | 2023-06-30 | NaT | NaN | NaN | NaN | NaN | NaN | NaN | NaN | NaN | NaN | NaN | NaN | NaN | 0.00 | 0.05 |
| LII LENNOX INTERNATIONAL INC | NaT | NaT | 2023-06-30 | NaT | NaN | NaN | NaN | NaN | NaN | NaN | NaN | NaN | NaN | NaN | NaN | NaN | 0.00 | 0.05 |
| LYV LIVE NATION ENTERTAINMENT INC | NaT | NaT | 2023-06-30 | NaT | NaN | NaN | NaN | NaN | NaN | NaN | NaN | NaN | NaN | NaN | NaN | NaN | 0.00 | 0.05 |
| MCK MCKESSON CORP | NaT | NaT | 2023-06-30 | NaT | NaN | NaN | NaN | NaN | NaN | NaN | NaN | NaN | NaN | NaN | NaN | NaN | 0.00 | 0.05 |
| SPLK SPLUNK INC | NaT | NaT | 2023-06-30 | NaT | NaN | NaN | NaN | NaN | NaN | NaN | NaN | NaN | NaN | NaN | NaN | NaN | 0.00 | 0.05 |
| VRSN VERISIGN INC | NaT | NaT | 2023-06-30 | NaT | NaN | NaN | NaN | NaN | NaN | NaN | NaN | NaN | NaN | NaN | NaN | NaN | 0.00 | 0.05 |
| VVI VIAD CORP | NaT | NaT | 2023-06-30 | NaT | NaN | NaN | NaN | NaN | NaN | NaN | NaN | NaN | NaN | NaN | NaN | NaN | 0.00 | 0.05 |
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