InvestMarket 指標回測 20260920

InvestMarket 指標回測（固定最佳操作方式，搜尋選股指標）

產生時間：2026-09-20 19:44:40 台灣時間
固定操作方式：槓桿1x／停損3.79%／第一段：漲11.83%啟動、回落6.65%賣出75%／第二段：漲10.65%啟動、回落18.88%賣出剩餘25%／最長持有14日曆日（來源：操作方式回測最佳）
每個訊號日取預測前 3 名等權重；標的 42 檔；進場樣本 51555；評估期間 4 段（每段只用該段開始前的資料訓練＝walk-forward，訓練樣本的標籤窗格不跨進評估期）；搜尋 15 次試驗（optuna-tpe）

排名目標（與操作方式回測相同）：複利平均為主、最差期間不得低於底線（違反底線者按超出幅度重罰）；底線 -0.3%

✅ 選股指標勝過「全買」基準
最佳指標組合：最差期間 +0.487% ／複利平均 +0.965%（算術 +0.966%）
全買基準：最差期間 +0.294% ／複利平均 +0.642%（算術 +0.643%）
預設指標組合：最差期間 -0.453% ／複利平均 +0.349%（算術 +0.352%）
（最佳組合同時勝過預設指標組合）
使用指標：rsi_norm, macd_norm, momentum_short, ma_ratio, dist_from_high, atr_pct, peer_momentum_short, peer_momentum_long, peer_volatility
9 個指標／窗格組 #2／depth=4, eta=0.096, rounds=350

最佳組合：各期間（out-of-sample）

期間（訊號日）	per_trade_compound%	選中標的單筆平均%（權益）	訊號日數	軌道獲利比例
2022-10-11~2023-10-05	+0.487	+0.893	248	57%
2023-10-06~2024-09-29	+0.595	+0.987	246	71%
2024-09-30~2025-09-24	+1.960	+1.252	247	86%
2025-09-25~2026-09-19	+0.823	+0.541	237	86%

期間（訊號日）

per_trade_compound%

選中標的單筆平均%（權益）

訊號日數

軌道獲利比例

2022-10-11~2023-10-05

+0.487

+0.893

248

57%

2023-10-06~2024-09-29

+0.595

+0.987

246

71%

2024-09-30~2025-09-24

+1.960

+1.252

247

86%

2025-09-25~2026-09-19

+0.823

+0.541

237

86%

全買基準

前 12 名指標組合

#	設定	最差期間 min_pc%	複利平均 gavg_pc%（排名用）	算術平均 avg_pc%	使用指標
1	9 個指標／窗格組 #2／depth=4, eta=0.096, rounds=350	+0.487	+0.965	+0.966	rsi_norm, macd_norm, momentum_short, ma_ratio, dist_from_high, atr_pct, peer_momentum_short, peer_momentum_long, peer_volatility
2	9 個指標／窗格組 #2／depth=5, eta=0.111, rounds=350	+0.161	+0.842	+0.845	macd_norm, bb_pct, momentum_short, ma_ratio, atr_pct, peer_momentum_short, peer_momentum_long, peer_volatility, peer_dist_from_high
3	9 個指標／窗格組 #2／depth=5, eta=0.096, rounds=100	+0.007	+0.837	+0.840	macd_norm, bb_pct, momentum_short, ma_ratio, atr_pct, peer_momentum_short, peer_momentum_long, peer_volatility, peer_dist_from_high
4	8 個指標／窗格組 #2／depth=5, eta=0.062, rounds=350	+0.018	+0.830	+0.832	macd_norm, bb_pct, momentum_short, ma_ratio, atr_pct, peer_momentum_short, peer_momentum_long, peer_dist_from_high
5	8 個指標／窗格組 #0／depth=6, eta=0.052, rounds=250	+0.280	+0.589	+0.590	bb_pct, momentum_long, volatility, ma_ratio, range_pos, peer_momentum_short, peer_volatility, peer_dist_from_high
6	9 個指標／窗格組 #2／depth=5, eta=0.102, rounds=350	-0.390	+0.803	+0.807	rsi_norm, macd_norm, bb_pct, momentum_short, momentum_long, dist_from_high, peer_momentum_short, peer_rsi_norm, peer_dist_from_high
7	5 個指標／窗格組 #2／depth=5, eta=0.059, rounds=100	-0.270	+0.264	+0.264	rsi_norm, ma_ratio, dist_from_high, range_pos, peer_volatility
8	7 個指標／窗格組 #0／depth=6, eta=0.117, rounds=100	-0.047	+0.259	+0.259	macd_norm, bb_pct, volatility, atr_pct, range_pos, peer_rsi_norm, peer_dist_from_high
9	11 個指標／窗格組 #0／depth=3, eta=0.103, rounds=250	-0.255	+0.230	+0.231	rsi_norm, macd_norm, bb_pct, mchg_norm, ma_ratio, dist_from_high, atr_pct, peer_momentum_long, peer_volatility, peer_rsi_norm, peer_dist_from_high
10	10 個指標／窗格組 #0／depth=3, eta=0.114, rounds=250	-0.430	+0.519	+0.524	rsi_norm, macd_norm, bb_pct, momentum_short, momentum_long, ma_ratio, dist_from_high, atr_pct, peer_volatility, peer_dist_from_high
11	9 個指標／窗格組 #1／depth=5, eta=0.087, rounds=250	-0.395	+0.276	+0.278	macd_norm, bb_pct, momentum_long, volatility, dist_from_high, peer_momentum_short, peer_momentum_long, peer_volatility, peer_rsi_norm
12	9 個指標／窗格組 #1／depth=6, eta=0.087, rounds=100	-0.376	+0.016	+0.017	macd_norm, bb_pct, momentum_short, volatility, dist_from_high, peer_momentum_short, peer_momentum_long, peer_volatility, peer_rsi_norm

設定

最差期間 min_pc%

複利平均 gavg_pc%（排名用）

算術平均 avg_pc%

使用指標

9 個指標／窗格組 #2／depth=4, eta=0.096, rounds=350

+0.487

+0.965

+0.966

rsi_norm, macd_norm, momentum_short, ma_ratio, dist_from_high, atr_pct, peer_momentum_short, peer_momentum_long, peer_volatility

9 個指標／窗格組 #2／depth=5, eta=0.111, rounds=350

+0.161

+0.842

+0.845

macd_norm, bb_pct, momentum_short, ma_ratio, atr_pct, peer_momentum_short, peer_momentum_long, peer_volatility, peer_dist_from_high

9 個指標／窗格組 #2／depth=5, eta=0.096, rounds=100

+0.007

+0.837

+0.840

macd_norm, bb_pct, momentum_short, ma_ratio, atr_pct, peer_momentum_short, peer_momentum_long, peer_volatility, peer_dist_from_high

8 個指標／窗格組 #2／depth=5, eta=0.062, rounds=350

+0.018

+0.830

+0.832

macd_norm, bb_pct, momentum_short, ma_ratio, atr_pct, peer_momentum_short, peer_momentum_long, peer_dist_from_high

8 個指標／窗格組 #0／depth=6, eta=0.052, rounds=250

+0.280

+0.589

+0.590

bb_pct, momentum_long, volatility, ma_ratio, range_pos, peer_momentum_short, peer_volatility, peer_dist_from_high

9 個指標／窗格組 #2／depth=5, eta=0.102, rounds=350

-0.390

+0.803

+0.807

rsi_norm, macd_norm, bb_pct, momentum_short, momentum_long, dist_from_high, peer_momentum_short, peer_rsi_norm, peer_dist_from_high

5 個指標／窗格組 #2／depth=5, eta=0.059, rounds=100

-0.270

+0.264

rsi_norm, ma_ratio, dist_from_high, range_pos, peer_volatility

7 個指標／窗格組 #0／depth=6, eta=0.117, rounds=100

-0.047

+0.259

macd_norm, bb_pct, volatility, atr_pct, range_pos, peer_rsi_norm, peer_dist_from_high

11 個指標／窗格組 #0／depth=3, eta=0.103, rounds=250

-0.255

+0.230

+0.231

rsi_norm, macd_norm, bb_pct, mchg_norm, ma_ratio, dist_from_high, atr_pct, peer_momentum_long, peer_volatility, peer_rsi_norm, peer_dist_from_high

10 個指標／窗格組 #0／depth=3, eta=0.114, rounds=250

-0.430

+0.519

+0.524

rsi_norm, macd_norm, bb_pct, momentum_short, momentum_long, ma_ratio, dist_from_high, atr_pct, peer_volatility, peer_dist_from_high

9 個指標／窗格組 #1／depth=5, eta=0.087, rounds=250

-0.395

+0.276

+0.278

macd_norm, bb_pct, momentum_long, volatility, dist_from_high, peer_momentum_short, peer_momentum_long, peer_volatility, peer_rsi_norm

9 個指標／窗格組 #1／depth=6, eta=0.087, rounds=100

-0.376

+0.016

+0.017

macd_norm, bb_pct, momentum_short, volatility, dist_from_high, peer_momentum_short, peer_momentum_long, peer_volatility, peer_rsi_norm

選中交易的進出場目視檢查（最佳指標組合＋最佳操作方式）

報酬最高的交易（時線 K 棒圖）

報酬最低的交易（時線 K 棒圖）

隨機抽樣的交易（時線 K 棒圖）

圖為時線逐根判定（藍＝進場價、紅虛線＝停損價、綠點線＝武裝價、橘階梯線＝移動停利價、紫＝出場）；標題的「日線回測」是主體回測（日線＋校正表）判定的結果，兩者出場點可能略有差異——這正是用來目視檢查日線回測是否合理的依據。

訓練目標＝持有期報酬減去同日全體平均（relative strength），完全不含槓桿/停損；操作方式只用來評估「選出的標的」實際套用該操作方式後的報酬，所以指標好壞與操作方式好壞分開判斷。穩健度＝各評估期間 per_trade_compound 的最小值；試驗次數愈多，「最佳」愈可能只是雜訊，請對照「預設指標組合」與「全買」兩個基準，不要只看單一數字。本頁不構成投資建議。

2022-10-11~2023-10-05	+0.294	+0.440	248	71%
2023-10-06~2024-09-29	+0.787	+0.905	246	100%
2024-09-30~2025-09-24	+0.980	+0.913	247	100%
2025-09-25~2026-09-19	+0.510	+0.439	237	100%