出關日（T10）在今日及回推2個月內的20分鐘撮合處置股，依出關日降序排列。
| 出關日 | 代號 | 名稱 | Gap% | 部位 ↗ | 建議 | T10開盤 | T10收盤 | 日內漲跌 | 價差 | 淨EV |
|---|---|---|---|---|---|---|---|---|---|---|
| 2026-05-06 | 6141 | 柏承 | +0.82% | — | — | 37.00 | 35.70 | -3.51% | -1.30 | — |
| 2026-05-06 | 3581 | 博磊 | +9.93% | — | 開盤賣 | 238.00 | 234.00 | -1.68% | -4.00 | +2.12% |
| 2026-05-05 | 6456 | GIS-KY | +0.39% | — | — | 78.20 | 80.70 | +3.20% | +2.50 | — |
| 2026-05-05 | 4764 | 雙鍵 | +0.00% | — | — | 283.50 | 311.00 | +9.70% | +27.50 | — |
| 2026-05-05 | 8438 | 昶昕 | +1.27% | — | — | 95.80 | 94.10 | -1.77% | -1.70 | — |
| 2026-05-05 | 3229 | 晟鈦 | -1.26% | — | — | 43.00 | 42.95 | -0.12% | -0.05 | — |
| 2026-05-05 | 3042 | 晶技 | +0.00% | — | — | 166.00 | 165.50 | -0.30% | -0.50 | — |
| 2026-05-05 | 3555 | 博士旺 | -2.78% | 4.7% (1x) | 等收盤 | 262.50 | 276.00 | +5.14% | +13.50 | +4.70% |
| 2026-05-05 | 5340 | 建榮 | -0.82% | — | — | 121.00 | 126.50 | +4.54% | +5.50 | — |
| 2026-05-05 | 4908 | 前鼎 | +0.64% | — | — | 236.50 | 250.00 | +5.71% | +13.50 | — |
| 2026-05-05 | 4979 | 華星光 | +1.05% | — | — | 676.00 | 718.00 | +6.21% | +42.00 | — |
| 2026-05-04 | 6278 | 台表科 | +2.98% | — | — | 173.00 | 180.00 | +4.05% | +7.00 | — |
| 2026-05-04 | 6224 | 聚鼎 | +2.46% | — | — | 75.10 | 73.00 | -2.80% | -2.10 | — |
| 2026-05-04 | 3714 | 富采 | +2.56% | — | — | 76.00 | 78.40 | +3.16% | +2.40 | — |
| 2026-05-04 | 2923 | 鼎固-KY | +2.33% | — | — | 22.00 | 21.55 | -2.04% | -0.45 | — |
| 2026-04-30 | 4989 | 榮科 | +1.88% | — | — | 108.50 | 113.00 | +4.15% | +4.50 | — |
| 2026-04-30 | 3593 | 力銘 | +0.00% | — | — | 19.95 | 19.85 | -0.50% | -0.10 | — |
| 2026-04-30 | 3443 | 創意 | +1.46% | — | — | 4180.00 | 4260.00 | +1.91% | +80.00 | — |
| 2026-04-30 | 6949 | 沛爾生醫-創 | -1.14% | — | — | 778.00 | 771.00 | -0.90% | -7.00 | — |
| 2026-04-29 | 3532 | 台勝科 | +0.56% | — | — | 179.00 | 181.50 | +1.40% | +2.50 | — |
| 2026-04-29 | 4949 | 有成精密 | -1.38% | — | — | 92.60 | 102.50 | +10.69% | +9.90 | — |
| 2026-04-29 | 4764 | 雙鍵 | -3.38% | 4.7% (1x) | 等收盤 | 229.00 | 247.00 | +7.86% | +18.00 | +7.42% |
| 2026-04-29 | 4576 | 大銀微系統 | +1.00% | — | — | 201.00 | 202.00 | +0.50% | +1.00 | — |
| 2026-04-29 | 4569 | 六方科-KY | -3.19% | 4.7% (1x) | 等收盤 | 182.00 | 188.50 | +3.57% | +6.50 | +3.13% |
| 2026-04-29 | 3042 | 晶技 | +2.01% | — | — | 152.50 | 157.50 | +3.28% | +5.00 | — |
| 2026-04-28 | 3026 | 禾伸堂 | +0.00% | — | — | 218.00 | 234.00 | +7.34% | +16.00 | — |
| 2026-04-28 | 8996 | 高力 | +4.21% | — | — | 1115.00 | 1175.00 | +5.38% | +60.00 | — |
| 2026-04-28 | 7610 | 聯友金屬-創 | +3.30% | — | — | 594.00 | 632.00 | +6.40% | +38.00 | — |
| 2026-04-28 | 8021 | 尖點 | -0.49% | — | — | 404.00 | 399.50 | -1.11% | -4.50 | — |
| 2026-04-28 | 4991 | 環宇-KY | +3.16% | — | — | 588.00 | 627.00 | +6.63% | +39.00 | — |
| 2026-04-27 | 6443 | 元晶 | +0.27% | — | — | 36.60 | 37.45 | +2.32% | +0.85 | — |
| 2026-04-27 | 3583 | 辛耘 | -5.52% | 4.7% (1x) | 等收盤 | 770.00 | 736.00 | -4.42% | -34.00 | -4.86% |
| 2026-04-27 | 6217 | 中探針 | +1.70% | — | — | 300.00 | 280.00 | -6.67% | -20.00 | — |
| 2026-04-24 | 6683 | 雍智科技 | +4.44% | — | — | 1880.00 | 1825.00 | -2.93% | -55.00 | — |
| 2026-04-24 | 6806 | 森崴能源 | -1.43% | — | — | 24.05 | 23.35 | -2.91% | -0.70 | — |
| 2026-04-24 | 5243 | 乙盛-KY | +0.00% | — | — | 123.50 | 119.00 | -3.64% | -4.50 | — |
| 2026-04-23 | 3163 | 波若威 | +2.97% | — | — | 1215.00 | 1160.00 | -4.53% | -55.00 | — |
| 2026-04-22 | 4741 | 泓瀚 | +0.34% | — | — | 58.40 | 59.00 | +1.03% | +0.60 | — |
| 2026-04-21 | 6727 | 亞泰金屬 | +1.95% | — | — | 443.50 | 431.00 | -2.82% | -12.50 | — |
| 2026-04-17 | 7721 | 微程式 | -4.68% | 4.7% (1x) | 等收盤 | 87.60 | 87.50 | -0.11% | -0.10 | -0.56% |
| 2026-04-17 | 1905 | 華紙 | +1.03% | — | — | 14.75 | 14.10 | -4.41% | -0.65 | — |
| 2026-04-16 | 6907 | 雅特力-KY | +3.33% | — | — | 139.50 | 142.00 | +1.79% | +2.50 | — |
| 2026-04-16 | 4971 | IET-KY | +4.56% | — | — | 711.00 | 698.00 | -1.83% | -13.00 | — |
| 2026-04-16 | 3135 | 凌航 | +0.00% | — | — | 125.00 | 122.00 | -2.40% | -3.00 | — |
| 2026-04-15 | 5386 | 青雲 | +2.20% | — | — | 371.00 | 390.00 | +5.12% | +19.00 | — |
| 2026-04-15 | 2231 | 為升 | -2.77% | 4.7% (1x) | 等收盤 | 123.00 | 119.00 | -3.25% | -4.00 | -3.69% |
| 2026-04-14 | 6584 | 南俊國際 | +4.62% | — | — | 680.00 | 698.00 | +2.65% | +18.00 | — |
| 2026-04-14 | 6187 | 萬潤 | +1.44% | — | — | 1055.00 | 1035.00 | -1.90% | -20.00 | — |
| 2026-04-13 | 4991 | 環宇-KY | +2.72% | — | — | 567.00 | 583.00 | +2.82% | +16.00 | — |
| 2026-04-13 | 4979 | 華星光 | -0.67% | — | — | 446.50 | 465.00 | +4.14% | +18.50 | — |
| 2026-04-10 | 6515 | 穎崴 | +0.31% | — | — | 8020.00 | 7930.00 | -1.12% | -90.00 | — |
| 2026-04-09 | 6584 | 南俊國際 | +3.67% | — | — | 678.00 | 589.00 | -13.13% | -89.00 | — |
| 2026-04-09 | 3363 | 上詮 | -2.22% | 4.7% (1x) | 等收盤 | 704.00 | 763.00 | +8.38% | +59.00 | +7.94% |
| 2026-04-08 | 7711 | 永擎 | +2.72% | — | — | 283.50 | 294.00 | +3.70% | +10.50 | — |
| 2026-04-07 | 4573 | 高明鐵 | +0.59% | — | — | 257.00 | 268.50 | +4.47% | +11.50 | — |
| 2026-04-07 | 2399 | 映泰 | +4.14% | — | — | 35.20 | 34.50 | -1.99% | -0.70 | — |
| 2026-04-07 | 2451 | 創見 | +4.29% | — | — | 243.00 | 233.50 | -3.91% | -9.50 | — |
| 2026-04-07 | 6907 | 雅特力-KY | +2.34% | — | — | 100.50 | 108.00 | +7.46% | +7.50 | — |
| 2026-04-02 | 3093 | 港建* | +1.76% | — | — | 49.20 | 47.90 | -2.64% | -1.30 | — |
| 2026-04-02 | 6226 | 光鼎 | -0.78% | — | — | 12.80 | 12.00 | -6.25% | -0.80 | — |
| 2026-04-02 | 3006 | 晶豪科 | +1.92% | — | — | 159.50 | 150.50 | -5.64% | -9.00 | — |
| 2026-04-02 | 1735 | 日勝化 | -1.96% | — | — | 25.00 | 23.00 | -8.00% | -2.00 | — |
| 2026-04-02 | 6217 | 中探針 | +1.39% | — | — | 182.00 | 192.50 | +5.77% | +10.50 | — |
| 2026-04-02 | 1711 | 永光 | +1.41% | — | — | 39.50 | 37.50 | -5.06% | -2.00 | — |
| 2026-04-02 | 5386 | 青雲 | +0.00% | — | — | 287.00 | 276.00 | -3.83% | -11.00 | — |
| 2026-04-02 | 3189 | 景碩 | +3.01% | — | — | 342.00 | 336.00 | -1.75% | -6.00 | — |
| 2026-04-02 | 5289 | 宜鼎 | +4.51% | — | — | 973.00 | 957.00 | -1.64% | -16.00 | — |
| 2026-04-02 | 4973 | 廣穎 | +4.12% | — | — | 69.79 | 67.13 | -3.82% | -2.67 | — |
| 2026-04-02 | 3555 | 博士旺 | -0.64% | — | — | 156.00 | 150.00 | -3.85% | -6.00 | — |
| 2026-04-02 | 7751 | 竑騰 | +3.96% | — | — | 1575.00 | 1665.00 | +5.71% | +90.00 | — |
| 2026-04-02 | 6451 | 訊芯-KY | +0.82% | — | — | 307.50 | 295.50 | -3.90% | -12.00 | — |
| 2026-04-02 | 2485 | 兆赫 | -0.12% | — | — | 81.40 | 78.50 | -3.56% | -2.90 | — |
| 2026-04-01 | 3437 | 榮創 | +4.37% | — | — | 21.50 | 22.55 | +4.88% | +1.05 | — |
| 2026-04-01 | 2337 | 旺宏 | +8.22% | — | 開盤賣 | 125.00 | 127.00 | +1.60% | +2.00 | -1.16% |
| 2026-04-01 | 2243 | 宏旭-KY | -2.75% | 4.7% (1x) | 等收盤 | 21.20 | 22.05 | +4.01% | +0.85 | +3.57% |
| 2026-03-31 | 3163 | 波若威 | -2.74% | 7.0% (1.5x) | 等收盤 | 851.00 | 788.00 | -7.40% | -63.00 | -7.85% |
| 2026-03-31 | 5246 | 勵威 | -0.55% | — | — | 180.00 | 157.00 | -12.78% | -23.00 | — |
| 2026-03-30 | 8271 | 宇瞻 | -4.84% | 7.0% (1.5x) | 等收盤 | 137.50 | 144.00 | +4.73% | +6.50 | +4.29% |
| 2026-03-30 | 5386 | 青雲 | +1.92% | — | — | 265.50 | 286.50 | +7.91% | +21.00 | — |
| 2026-03-30 | 3555 | 博士旺 | -1.63% | — | — | 150.50 | 152.50 | +1.33% | +2.00 | — |
| 2026-03-30 | 4960 | 誠美材 | -3.49% | 7.0% (1.5x) | 等收盤 | 24.90 | 27.00 | +8.43% | +2.10 | +7.99% |
| 2026-03-30 | 5340 | 建榮 | -2.80% | 7.0% (1.5x) | 等收盤 | 104.00 | 107.50 | +3.37% | +3.50 | +2.92% |
| 2026-03-27 | 2426 | 鼎元 | -2.23% | 7.0% (1.5x) | 等收盤 | 32.85 | 36.00 | +9.59% | +3.15 | +9.15% |
| 2026-03-27 | 6683 | 雍智科技 | -3.57% | 7.0% (1.5x) | 等收盤 | 1215.00 | 1385.00 | +13.99% | +170.00 | +13.55% |
| 2026-03-26 | 4416 | 三圓 | +0.39% | — | — | 12.85 | 13.35 | +3.89% | +0.50 | — |
| 2026-03-26 | 6715 | 嘉基 | +6.73% | — | 開盤賣 | 325.00 | 322.00 | -0.92% | -3.00 | +1.37% |
| 2026-03-26 | 3054 | 立萬利 | +0.00% | — | — | 65.00 | 65.00 | +0.00% | +0.00 | — |
| 2026-03-26 | 5521 | 工信 | -2.18% | 7.0% (1.5x) | 等收盤 | 13.45 | 13.35 | -0.74% | -0.10 | -1.19% |
| 2026-03-25 | 3081 | 聯亞 | +10.00% | — | 開盤賣 | 1540.00 | 1540.00 | +0.00% | +0.00 | +0.44% |
| 2026-03-25 | 4971 | IET-KY | +8.04% | — | 開盤賣 | 470.50 | 479.00 | +1.81% | +8.50 | -1.36% |
| 2026-03-25 | 5386 | 青雲 | +2.62% | — | — | 332.50 | 321.00 | -3.46% | -11.50 | — |
| 2026-03-25 | 7717 | 萊德光電-KY | +6.55% | — | 開盤賣 | 618.00 | 638.00 | +3.24% | +20.00 | -2.79% |
| 2026-03-25 | 3491 | 昇達科 | +4.67% | — | — | 1345.00 | 1410.00 | +4.83% | +65.00 | — |
| 2026-03-23 | 2616 | 山隆 | +3.60% | — | — | 18.70 | 19.50 | +4.28% | +0.80 | — |
| 2026-03-20 | 6230 | 尼得科超眾 | +1.11% | — | — | 182.00 | 176.00 | -3.30% | -6.00 | — |
| 2026-03-19 | 6187 | 萬潤 | +2.00% | — | — | 714.00 | 745.00 | +4.34% | +31.00 | — |
| 2026-03-19 | 8358 | 金居 | -2.01% | 7.0% (1.5x) | 等收盤 | 268.00 | 269.00 | +0.37% | +1.00 | -0.07% |
| 2026-03-19 | 6141 | 柏承 | -2.88% | 7.0% (1.5x) | 等收盤 | 25.25 | 28.30 | +12.08% | +3.05 | +11.64% |
| 2026-03-18 | 2230 | 泰茂 | -1.13% | — | — | 35.00 | 36.30 | +3.71% | +1.30 | — |
| 2026-03-18 | 2367 | 燿華 | +2.60% | — | — | 78.80 | 76.00 | -3.55% | -2.80 | — |
| 2026-03-18 | 2467 | 志聖 | +1.20% | — | — | 381.00 | 401.00 | +5.25% | +20.00 | — |
| 2026-03-18 | 6830 | 汎銓 | +3.63% | — | — | 384.42 | 383.92 | -0.13% | -0.50 | — |
| 2026-03-18 | 1589 | 永冠-KY | +0.00% | — | — | 7.90 | 8.64 | +9.37% | +0.74 | — |
| 2026-03-17 | 3576 | 聯合再生 | +3.88% | — | — | 26.75 | 26.70 | -0.19% | -0.05 | — |
| 2026-03-17 | 3491 | 昇達科 | +4.80% | — | — | 1420.00 | 1445.00 | +1.76% | +25.00 | — |
| 2026-03-17 | 7744 | 崴寶 | +1.16% | — | — | 480.50 | 497.00 | +3.43% | +16.50 | — |
| 2026-03-17 | 3092 | 鴻碩 | +1.98% | — | — | 36.00 | 35.30 | -1.94% | -0.70 | — |
| 2026-03-17 | 6907 | 雅特力-KY | -2.89% | 7.0% (1.5x) | 等收盤 | 117.50 | 132.00 | +12.34% | +14.50 | +11.90% |
| 2026-03-17 | 4991 | 環宇-KY | +1.74% | — | — | 350.00 | 321.50 | -8.14% | -28.50 | — |
| 2026-03-17 | 6716 | 應廣 | +0.00% | — | — | 78.50 | 81.00 | +3.19% | +2.50 | — |
| 2026-03-17 | 2338 | 光罩 | +0.00% | — | — | 50.60 | 51.00 | +0.79% | +0.40 | — |
| 2026-03-16 | 7717 | 萊德光電-KY | +3.33% | — | — | 620.00 | 635.00 | +2.42% | +15.00 | — |
| 2026-03-16 | 2360 | 致茂 | -0.65% | — | — | 1520.00 | 1450.00 | -4.61% | -70.00 | — |
| 2026-03-16 | 6861 | 睿生光電 | +3.19% | — | — | 178.00 | 156.50 | -12.08% | -21.50 | — |
| 2026-03-16 | 5386 | 青雲 | +4.14% | — | — | 327.00 | 345.00 | +5.50% | +18.00 | — |
| 2026-03-16 | 3037 | 欣興 | +2.17% | — | — | 519.00 | 549.00 | +5.78% | +30.00 | — |
| 2026-03-16 | 6588 | 東典光電 | -0.36% | — | — | 82.70 | 86.50 | +4.59% | +3.80 | — |
| 2026-03-16 | 4927 | 泰鼎-KY | +0.45% | — | — | 44.80 | 45.05 | +0.56% | +0.25 | — |
| 2026-03-13 | 2230 | 泰茂 | -4.45% | 14.1% (3x) | 等收盤 | 33.25 | 35.40 | +6.47% | +2.15 | +6.02% |
| 2026-03-13 | 3163 | 波若威 | -3.69% | 7.0% (1.5x) | 等收盤 | 810.00 | 888.00 | +9.63% | +78.00 | +9.19% |
| 2026-03-13 | 2455 | 全新 | -2.24% | 7.0% (1.5x) | 等收盤 | 218.00 | 237.50 | +8.95% | +19.50 | +8.50% |
| 2026-03-12 | 5475 | 德宏 | +0.00% | — | — | 201.00 | 221.00 | +9.95% | +20.00 | — |
| 2026-03-11 | 6588 | 東典光電 | -2.48% | 7.0% (1.5x) | 等收盤 | 70.80 | 79.80 | +12.71% | +9.00 | +12.27% |
| 2026-03-11 | 5386 | 青雲 | +9.86% | — | 開盤賣 | 345.50 | 319.00 | -7.67% | -26.50 | +8.11% |
| 2026-03-10 | 7610 | 聯友金屬-創 | +9.98% | — | 開盤賣 | 314.00 | 310.00 | -1.27% | -4.00 | +1.72% |
| 2026-03-10 | 3167 | 大量 | +5.40% | — | 開盤賣 | 293.00 | 294.00 | +0.34% | +1.00 | +0.10% |
| 2026-03-10 | 3163 | 波若威 | +9.98% | — | 開盤賣 | 716.00 | 700.00 | -2.23% | -16.00 | +2.68% |
| 2026-03-09 | 5340 | 建榮 | -7.89% | 7.0% (1.5x) | 等收盤 | 105.00 | 105.00 | +0.00% | +0.00 | -0.44% |
· 僅顯示 20分鐘撮合（interval_min=20）事件。5/6位代號（權證/認購證/權益）已排除。
· Gap% = (T10開盤 − T9收盤) / T9收盤 × 100。紅=等收盤；藍=開盤賣。
· 等收盤 淨EV = 日內漲跌 − 成本(0.4425%)。開盤賣 淨EV = 成本 − 日內漲跌（正值代表開盤賣優於持有到收盤）。
台股處置股在 T10（第10個交易日，仍在20分撮合） 開盤時，若前日收盤到今日開盤出現 ≥2% 隔夜 gap down，持有至收盤的期望報酬顯著正向。 以 OOS（2020–2023）驗證：每筆平均 淨 EV +2.56%，勝率 62.4%，7年全正，年均貢獻 +8.66–9.36%。
| 項目 | 說明 |
|---|---|
| 前提 | 你已在 T1–T9 持有某檔處置股倉位，並打算在 T10 出場 |
| 決策時機 | T10 開盤後（20 分撮合首次成交後），立即知道 T10 開盤價 |
| 決策問題 | 「現在（T10 開盤）賣」 vs 「等 T10 收盤賣」哪個期望值更高？ |
| 適用範圍 | 台股處置股，20 分鐘撮合制度下的第 10 個交易日 |
| 不適用 | T1–T9 任一天的進出場決策（此策略專為 T10 設計） |
| 賣出成本 | 0.4425%（手續費 0.1425% + 印花稅 0.3%，單向） |
| 資料集 | n | mean | 勝率 | 淨 EV | CI 90% |
|---|---|---|---|---|---|
| IS (2024–2026) | 169 | +2.258% | 63.9% | +1.815% | — |
| OOS (2020–2023) | 258 | +3.000% | 62.4% | +2.558% | [2.41, 3.59] |
| 資料集 | n | mean | 勝率 | 淨 EV |
|---|---|---|---|---|
| IS consec=1 | 15 | +4.925% | 86.7% | +4.482% |
| OOS consec=1 | 16 | +5.270% | 68.8% | +4.827% |
| OOS consec=0 | 242 | +2.850% | 62.0% | +2.408% |
| 季度 | IS n | IS 淨 EV | OOS 淨 EV | IS p vs rest | |
|---|---|---|---|---|---|
| Q1（採用） | 67 | +3.084% | +3.055% | 0.009 ✅ | |
| Q1 | 67 | +3.084% | 0.0001✅ | 0.0085✅ | +3.055% |
| Q2 | 35 | +1.685% | 0.0210✅ | 0.8661 | +2.881% |
| Q3 | 35 | +1.217% | 0.1468 | 0.4385 | +2.832% |
| Q4 | 32 | -0.044% | 0.9506 | 0.0218✅ | +1.058% |
| 組合 | 最大部位 | OOS 年均回報 | IS 年均回報 | 備註 |
|---|---|---|---|---|
| ① 純基礎（flat 4.7%） | 4.7% | +7.75% | — | 每筆 4.7%，無分層，R4 基準 |
| ② 三連紅分層 | 9.4% | +8.66% | +5.86% | consec=9.4%, regular=4.7% |
| ③ 三連紅 + Q1 1.5×（採用）✅ | 14.1% | +9.36% | +7.77% | R17 最終策略規格 |
| 年份 | 最終策略 | 未加 Q1（基準） | Q1 增量 |
|---|---|---|---|
| 2020 OOS | +18.51% | +18.10% | +0.41% |
| 2021 OOS | +11.67% | +10.14% | +1.53% |
| 2022 OOS | +4.38% | +3.70% | +0.68% |
| 2023 OOS | +2.89% | +2.72% | +0.17% |
| 2024 IS | +7.22% | +6.30% | +0.92% |
| 2025 IS | +1.42% | +1.45% | -0.02% |
| 2026 IS | +14.67% | +9.84% | +4.83% |
| 條件 | 月份 | 部位（占投組） | 備註 |
|---|---|---|---|
| consec_neg_3 = 1 | Q1（1–3月） | 14.1% | = 9.4% × 1.5 |
| consec_neg_3 = 1 | 非 Q1 | 9.4% | = 4.7% × 2 |
| consec_neg_3 = 0 | Q1（1–3月） | 7.05% | = 4.7% × 1.5 |
| consec_neg_3 = 0 | 非 Q1 | 4.7% | 基礎 1/4-Kelly |
| Kelly = 18.8%（OOS），保守採 1/4-Kelly = 4.7%。多事件同日：每筆獨立計算，總上限請自行控管（p50=1事件/日）。 | |||
| 項目 | 比率 |
|---|---|
| 手續費（賣） | 0.1425% |
| 印花稅 | 0.300% |
| 總賣出成本 | 0.4425% |
| 損益兩平 mean（OOS） | 3.00%（= 賣出成本 × 6.8×） |
| 現有安全邊際 | +2.56%（OOS net_ev） |
| 風險 | 數據 | 說明 |
|---|---|---|
| 深回撤 | 21% 事件 | T10 intraday draw ≤-3%，平均收在 -4%；無停損可有效過濾 |
| 勝率不高 | 62.4% | 約 1/3 持有到收盤仍負報酬；正 EV 來自少數大漲事件 |
| 2025 弱年 | IS +1.42% | 近期信號強度有所下降，但仍正向；每筆淨 EV +0.42% |
| consec 樣本小 | IS n=15 | 三連紅事件頻率低（≈15%），估計區間較寬 |
| 條件 | 決定 | 原因 |
|---|---|---|
| gap -2%~-1%（中性區） | 開盤賣 | OOS CI=[-0.07,1.32] 跨 0；8 個子特徵 IS 全不顯著（R10） |
| gap > 0% | 開盤賣 | OOS net_ev = -0.27%，無期望值 |
| 停損@-1% | 不設停損 | IS/OOS 改善幅度不一致（R7），停損規則不穩健 |
| 量能條件（vol 壓縮等） | 不採用 | 7 特徵 IS p全>0.33（R27），量能維度在 IS 無預測力 |
| Gap 強度分層（severe vs mild） | 不採用 | IS Spearman p=0.75（R26）；OOS 雖顯著但制度差異 |
| Q4 縮減 | 不採用 | OOS Q4 淨 EV 仍正（+1.06%），縮減損失 OOS 貢獻（R17） |
| 項目 | 狀態 |
|---|---|
| 迭代輪次 | R1–R28（共 28 輪，80+ 特徵掃描） |
| 採用信號 | 2 個（gap≤-2% 必要條件 + consec_neg_3 分層 + Q1 1.5×） |
| 廢棄信號 | 20+ 個（含 Amihud、rg、停損、量能、路徑動量、TAIEX、h-特徵等） |
| 目前狀態 | ✅ 最終規格確認，進入長期監控模式 |
| 監控指標 | 最近 20 IS 事件 net_ev（目標：> 基準 +1.82%）；現況 +5.01% |
| IS 健康確認 | ✅ Bootstrap CI 正向率 100%，IS 3 年全正，最近事件遠超基準 |
| 項目 | 說明 |
|---|---|
| 目標變量 | (T10_close − T10_open) / T10_open × 100（T10 日內報酬） |
| 決策時機 | T10 開盤後立即可執行（t9_to_t10_gap 在 T10 開盤時已知） |
| 特徵限制 | 只能用 T1–T9 的資料 + T10 開盤價 |
| 賣出成本 | 0.4425%（手續費 0.1425% + 印花稅 0.3%，單向賣出） |
| IS / OOS 切分 | IS = 2024+2025+2026（is_clean）｜ OOS = 2020+2021+2022+2023 |
| 核心假設 | T10 隔夜 gap down → 超賣反彈；20 分鐘撮合限制殺盤效率，日內逐步回補 |
| 應用場景 | 已持有處置股倉位到 T10，決定是否持有到 T10 收盤出場 |
| 條件 | IS n | IS mean | IS win | OOS n | OOS mean | OOS win | 90% CI | OOS 淨 EV |
|---|---|---|---|---|---|---|---|---|
| gap≤-0.5% | 323 | +1.236% | 56.4% | 438 | +2.017% | 59.6% | [1.60,2.46] | +1.575% |
| gap≤-1.0% | 270 | +1.593% | 57.8% | 372 | +2.284% | 60.5% | [1.82,2.78] | +1.841% |
| gap≤-1.5% | 215 | +1.793% | 60.9% | 312 | +2.554% | 59.6% | [2.02,3.06] | +2.111% |
| gap≤-2.0% | 169 | +2.258% | 63.9% | 258 | +3.000% | 62.4% | [2.41,3.59] | +2.558% |
| gap (-1%,0] | — | — | — | 276 | +0.394% | 44.9% | — | -0.048% |
| gap > 0% | — | — | — | 628 | +0.174% | 48.1% | — | -0.268% |
| 全體（無篩選） | — | — | — | 1276 | +0.837% | 51.0% | — | +0.395% |
| 區間 | OOS n | OOS mean | 勝率 | 淨 EV | 90% CI | p vs 0 |
|---|---|---|---|---|---|---|
| gap≤-2.0%（主規則） | 258 | +3.000% | 62.4% | +2.558% | [2.41, 3.59] | 0.000 |
-2.0%| 114 |
+0.662% |
56.1% |
+0.220% |
[-0.07, 1.32] |
0.124 |
|
| gap>0%（無優勢） | 628 | +0.174% | 48.1% | -0.268% | [-0.15, 0.51] | 0.388 |
| 賣出成本 | OOS mean | 淨 EV |
|---|---|---|
| 34.2500% | +3.000% | +2.658% ✅ |
| 44.2500% | +3.000% | +2.558% ✅ |
| 54.2500% | +3.000% | +2.458% ✅ |
| 64.2500% | +3.000% | +2.358% ✅ |
| 排除年份 | 剩餘年份 | n | 淨 EV | 90% CI |
|---|---|---|---|---|
| 排除 2020 | 2021+2022+2023 | 156 | +2.058% | [1.73,3.23] |
| 排除 2021 | 2020+2022+2023 | 172 | +2.640% | [2.39,3.81] |
| 排除 2022 | 2020+2021+2023 | 218 | +2.742% | [2.54,3.87] |
| 排除 2023 | 2020+2021+2022 | 228 | +2.662% | [2.49,3.76] |
| 閾值 | IS n | IS mean | IS 淨EV | OOS n | OOS mean | OOS 淨EV | OOS/IS |
|---|---|---|---|---|---|---|---|
| ≤-1.00% | 270 | +1.593% | +1.150% | 372 | +2.284% | +1.841% | 1.43x |
| ≤-1.25% | 246 | +1.811% | +1.368% | 343 | +2.404% | +1.961% | 1.33x |
| ≤-1.50% | 215 | +1.793% | +1.350% | 312 | +2.554% | +2.111% | 1.42x |
| ≤-1.75% | 188 | +1.992% | +1.549% | 280 | +2.712% | +2.269% | 1.36x |
| ≤-2.00% ← IS最優 | 169 | +2.258% | +1.815% | 258 | +3.000% | +2.558% | 1.33x |
| ≤-2.25% | 151 | +2.202% | +1.759% | 242 | +3.031% | +2.589% | 1.38x |
| ≤-2.50% | 136 | +2.091% | +1.649% | 224 | +3.049% | +2.607% | 1.46x |
| ≤-3.00% | 97 | +2.139% | +1.696% | 178 | +3.651% | +3.208% | 1.71x |
| Bootstrap 指標（OOS gap≤-2%，n=2000） | 數值 |
|---|---|
| 樣本數 | 258 |
| 實測 net_ev | +2.558% |
| Boot net_ev p5 / p10 | +1.965% / +2.106% |
| Boot net_ev p50 | +2.556% |
| Boot net_ev p90 | +3.025% |
| net_ev > 0 比例 | 100.0% |
| 年份 | n | mean | 勝率 | 淨 EV |
|---|---|---|---|---|
| 2020 OOS | 102 | +3.765% | 61.8% | +3.323% ✅ |
| 2021 OOS | 86 | +2.835% | 61.6% | +2.393% ✅ |
| 2022 OOS | 40 | +1.997% | 62.5% | +1.554% ✅ |
| 2023 OOS | 30 | +2.210% | 66.7% | +1.768% ✅ |
| 2024 IS | 64 | +2.009% | 68.8% | +1.567% ✅ |
| 2025 IS | 54 | +0.862% | 51.8% | +0.419% ✅ |
| 2026 IS | 51 | +4.048% | 70.6% | +3.605% ✅ |
| 回撤分組 | n | mean | 勝率 | 淨 EV |
|---|---|---|---|---|
| 回撤 > -1%（極淺） | 172 (67%) | +5.513% | 83.1% | +5.071% |
| 回撤 -1%~-2%（淺） | 16 (6%) | +0.701% | 31.2% | +0.259% |
| 回撤 -2%~-3%（中） | 17 (7%) | +0.465% | 41.2% | +0.023% |
| 回撤 ≤ -3%（深） | 53 (21%) | -3.647% | 11.3% | -4.090% |
| 停損設定 | OOS 淨EV | IS 淨EV | OOS觸發率 |
|---|---|---|---|
| 無停損（基準） | +2.558% | +1.815% | — |
| 停損@-1.0% | +2.900% | +1.872% | 33.3% |
| 停損@-2.0% | +2.734% | +1.971% | 27.1% |
| 停損@-3.0% | +2.691% | +1.825% | 20.5% |
| TAIEX 大盤條件（OOS gap≤-2%） | n | mean | 淨 EV | 裁決 |
|---|---|---|---|---|
| 大盤正日 | 113 | +3.173% | +2.731% | OOS 差距 0.31% 不足以分層 ❌ |
| 大盤負日 | 145 | +2.865% | +2.423% |
| Amihud 分層 | n | OOS mean | 勝率 | 淨 EV |
|---|---|---|---|---|
| ami_all 基準 | 258 | +3.000% | 62.4% | +2.558% |
| ami | 23 | +0.794% | 43.5% | +0.352% |
| ami_q20_q50 | 54 | +1.998% | 55.6% | +1.556% |
| ami_q50_q80 | 65 | +2.429% | 56.9% | +1.986% |
| ami≥q80=0.239 ⚠️ OOS 強，IS 未確認 | 116 | +4.225% | 72.4% | +3.782% |
| 條件 | OOS n | IS mean | OOS mean | OOS/IS ratio |
|---|---|---|---|---|
| rg≤p10 (=-0.844) | 156 | +1.905% | +3.989% | 2.09x |
| rg≤p15 (=-0.638) | 207 | +2.037% | +3.529% | 1.73x |
| rg≤p20 (=-0.478) | 246 | +1.803% | +3.072% | 1.70x |
| rg≤p25 (=-0.360) | 305 | +1.600% | +2.700% | 1.69x |
| rg≤p30 (=-0.227) | 379 | +1.446% | +2.190% | 1.51x |
| 特徵 | IS rho → max_draw | IS p | OOS rho | OOS p | 裁決 |
|---|---|---|---|---|---|
| T9→T10 隔夜 gap | -0.178 | 0.0209✅ | -0.419 | 0.0000 | ⚠️ 分組IS p=0.90 |
| T1-T9 累計跌幅 | -0.047 | 0.5461 | -0.187 | 0.0026 | ❌ IS不顯著 |
| T9 日內報酬 | -0.115 | 0.1355 | +0.019 | 0.7568 | ❌ IS不顯著 |
| T1-T9 波動度 | -0.078 | 0.3123 | -0.002 | 0.9777 | ❌ IS不顯著 |
| T9 成交量Z-score | -0.075 | 0.3314 | -0.150 | 0.0159 | ❌ IS不顯著 |
| Amihud 非流動性 | +0.151 | 0.0500 | +0.246 | 0.0001 | ❌ IS不顯著 |
| T10_open vs T1_open | -0.070 | 0.3677 | -0.237 | 0.0001 | ❌ IS不顯著 |
| ID | 名稱 | 公式 | 機制 | 狀態 | 輪次 |
|---|---|---|---|---|---|
| gap_down | T9→T10 隔夜 Gap Down | t9_to_t10_gap = (T10_open − T9_close) / T9_close × 100 | T9 收盤後隔夜跳空向下，T10 開盤出現超賣。20分鐘撮合模式限制了殺盤效率，日內逐步回補。 | 採用 | R1, R2, R3, R4 |
| amihud_filter | Amihud 非流動性條件 | amihud_t1t9 = mean(|日報酬| / (amount / 1e8))，i = T1~T9 | 流動性越差的股票反彈彈性更大。但 IS gap≤-2% 子集內 Spearman p=0.57，Welch 全分位 p>0.17。 | 廢棄 | R1, R2, R3 |
| rg_signal | 相對 Gap（t9_to_t10_rg） | t9_to_t10_rg = t9_to_t10_gap / (T1-T9 日內波動度 × 100) | 同樣 -2% gap，低波動股的相對極端程度更強。但 IS gap≤-1% 子集 Spearman p=0.167，Welch p>0.77。 | 廢棄 | R2, R3 |
| consec_neg_3 | T7+T8+T9 三連紅（部位分層） | consec_neg_3 = (T9| 連續三日收黑反映更大超賣積累，T10 解封前最後一天反彈動能更強。IS p=0.037，OOS net_ev=+4.83%，Bootstrap CI=[2.69%,7.90%]。 |
採用 |
R11, R12 |
|
| neutral_zone_rescue | 中性區條件救援（-2%| t9_positive / t8t9_both_neg / t10_below_t9low 等 8 個特徵 |
中性區 8 個特徵 IS 全部不顯著（p≥0.420）。中性區無法通過任何特徵升格。 |
廢棄 |
R10 |
|
| t9_vol_spike | T9 成交量暴增（vol>2×均） | t9_vol / mean(T1-T8_vol) > 2.0 | IS p=0.015 看似顯著，但 OOS net_ev=-0.71%（方向完全逆轉）。IS 小樣本（n=5）過擬合。 | 廢棄 | R13 |
| gap_bucket_layering | Gap 分桶量化分層 | gap -2%~-4%: 4.7%; gap -4%~-6%: 7%; gap <-6%: 9.4% | gap<-6% OOS net_ev=+5.03%（n=95）但 IS net_ev=+1.34%（n=29）。IS/OOS 桶序完全逆轉，IS Spearman p=0.748。OOS 高收益可能是 2020 COVID 異常。 | 廢棄 | R14 |
| q1_seasonality | Q1 季節性強化（1.5× 部位） | quarter = 1（1-3月）→ 部位 × 1.5 | Q1 IS net_ev=+3.08% vs 非Q1 +1.66%，IS p_vs_rest=0.009✅，OOS Q1 net_ev=+3.06%（完美一致）。月份 KW IS p=0.009。採用 1.5× 保守倍率（2× 超出 Kelly）。 | 採用 | R16, R17 |
| t8_overnight_gap | T8 隔夜跳空方向 | t8_overnight_gap = (T8_open − T7_close) / T7_close × 100 | IS Spearman rho=+0.166 p=0.032✅，IS Welch p=0.048✅；但 OOS rho=-0.082（方向完全逆轉）。IS 過擬合或 IS/OOS 制度差異。 | 廢棄 | R22 |
| h28_h31_lookahead | feature_df_r4 h-特徵（h28/h31/h30） | h28_last_dir, h31_late_excess, h30_intraday_cum（pre-computed in feature_df_r4） | IS rho 高達 +0.722；⚠️ Lookahead contamination：feature_df_r4 計算期間為 T1-T10（含 T10）。h28_last_dir=1 對應 T10 intraday 100% 正向（52/52），與 t10_c2c_pos 吻合率 95.2%。特徵直接編碼 T10 結果，非 T1-T9 預測信號。 | 廢棄 | R24, R25 |
| volume_features | 量能特徵系列（7 個特徵） | vol_compress_a/b/c, vol_trend_neg, t9_vol_spike_15, log_vol_mean, vol_range | IS 全部 7 特徵 p>0.33，無任何 IS 顯著性。OOS log_vol_mean p=0.0004（顯著）但 IS p=0.63。IS/OOS 制度差異（2024-2026 量能行為不同於 2020-2023）。 | 廢棄 | R27 |
| gap_severity_regime | Gap 嚴重度 + T10 開盤新低 | severe_gap = gap<-5.5%; t10_is_new_low = T10_open < min(T1-T9 close) | OOS 顯著（t10_is_new_low p=0.0006，severe nev=+4.96%）但 IS 均不顯著（p>0.25）。制度差異：2024-2026 牛市下 distress 信號失效，2020-2023 有效。IS-first 廢棄。 | 廢棄 | R26 |
| 輪次 | 日期 | 主要發現 | IS | OOS |
|---|---|---|---|---|
| ✅ R1 | 2026-05-06 | T10 日內整體正偏（OOS +0.837%）；t9_to_t10_gap IS/OOS 均顯著；gap≤-1% OOS +2.28% win=60.5% | 2024+2025+2026 | 2020+2021+2022+2023 |
| ✅ R2 | 2026-05-06 | gap threshold 單調：越極端越好；gap≤-2% OOS +3.0% net_ev=+2.56%；四年全正；rg OOS/IS 2.09x；Amihud IS/OOS 不一致 → 僅觀察 | 2024+2025+2026 | 2020+2021+2022+2023 |
| ✅ R3 | 2026-05-06 | Amihud IS 全分位 Welch p>0.17 → 正式廢棄；rg 輔助 IS p=0.167 → 廢棄；gap≤-2% IS IR=5.74 / OOS IR=8.30 最高；策略收斂 | 2024+2025+2026 | 2020+2021+2022+2023 |
| ✅ R4 | 2026-05-06 | 7/7 年 walk-forward 全正（最差年 +0.42%）；Kelly=18.8%；Day1 gap rho=0.107；策略完整確認 | 2024+2025+2026 | 2020+2021+2022+2023 |
| ✅ R5 | 2026-05-06 | 三區間拆分：gap≤-2% CI=[2.41,3.59]✅；中性區 CI=[-0.07,1.32]跨 0⚠️；gap>0% net_ev=-0.27%❌；中性區 4/7 年正向→保守開盤賣 | 2024+2025+2026 | 2020+2021+2022+2023 |
| ✅ R6 | 2026-05-06 | 成本上限 3.00%（緩衝 2.56%）；閾值 -1%~-3% 全正；Bootstrap 100% 正向；LOYO 最薄弱 +2.06%；策略極度穩健 | 2024+2025+2026 | 2020+2021+2022+2023 |
| ✅ R7 | 2026-05-06 | p50 回撤=0%（67%事件不破開盤）；停損@-1% IS/OOS 改善不一致→廢棄；大盤條件 OOS 差距<0.31%→廢棄；策略規格不變 | 2024+2025+2026 | 2020+2021+2022+2023 |
| ✅ R8 | 2026-05-06 | 深回撤預測：IS 唯一顯著特徵 gap（rho=-0.178），但分組 IS p=0.897（不影響持有決策）；6/6 輔助特徵 IS 不顯著；深回撤 21% 屬固有風險，無法篩除 | 2024+2025+2026 | 2020+2021+2022+2023 |
| ✅ R9 | 2026-05-06 | 信號日 20%（202/1008）；80% 單事件日；同日相關 rho=0.233；1/4-Kelly 年均 +7.75%；年化 Sharpe=3.43；策略可直接投入使用 | 2024+2025+2026 | 2020+2021+2022+2023 |
| ✅ R10 | 2026-05-06 | 中性區救援掃描（8 特徵）全部 IS 不顯著；gap≤-2% total_ev=+659.9% 與 gap≤-1.5% 幾乎相同（658.6%）；主區 t9_positive IS p=0.069 → 不採用 | 2024+2025+2026 | 2020+2021+2022+2023 |
| ✅ R11 | 2026-05-06 | 發現 consec_neg_3（T7+T8+T9 三連紅，IS p=0.037✅）；OOS n=16 net_ev=+4.83%（基準 +2.56%）；其他 T9 路徑特徵 IS 均不顯著 | 2024+2025+2026 | 2020+2021+2022+2023 |
| ✅ R12 | 2026-05-06 | consec_neg_3 Bootstrap 90% CI=[2.69%,7.90%]，99.9% 正向；walk-forward 5/6 有效年份優於基準；2× 部位分層年均 +8.66%（+0.91%） | 2024+2025+2026 | 2020+2021+2022+2023 |
| ✅ R13 | 2026-05-06 | consec_neg_4 IS p=0.699❌；t9_vol_spike_20 IS p=0.015 但 OOS 方向逆轉❌；t9_lower_shadow IS p=0.035 但 OOS 逆轉❌；consec_neg_3 仍是唯一 IS 顯著輔助信號 | 2024+2025+2026 | 2020+2021+2022+2023 |
| ✅ R14 | 2026-05-06 | Gap<-6% OOS net_ev=+5.03%（n=95）但 IS=+1.34%（n=29），IS Spearman p=0.748，IS/OOS 桶序逆轉❌；星期效應 KW IS p=0.334❌；Gap 分層不採用 | 2024+2025+2026 | 2020+2021+2022+2023 |
| ✅ R15 | 2026-05-06 | 極端 gap 非 2020 異常（OOS 2021-2023 net_ev=+5.06%=2020的+5.00%）；IS 2024-2025 弱化是近期機制改變；最終策略 7/7 年正向；IS 年均 +5.86%；研究完整，進入監控 | 2024+2025+2026 | 2020+2021+2022+2023 |
| ✅ R16 | 2026-05-06 | 月份效應 IS KW p=0.009✅；三月 IS p<0.001 net_ev=+3.89%，OOS+3.84%（完美一致）；Q1 IS/OOS 均~+3.06%；Q4 IS≈零；重複觸發 IS p=0.86 無效；最近 20 IS 事件 net_ev=+5.01%（策略健康） | 2024+2025+2026 | 2020+2021+2022+2023 |
| ✅ R17 | 2026-05-06 | Q1=1.5× IS-first 確認：Q1 IS p_vs_rest=0.009✅；IS年均+5.86%→+7.77%（+1.91%）；OOS年均+8.66%→+9.36%（+0.70%）；Q4縮減IS/OOS均負向❌；採用Q1=1.5×（consec+Q1=14.1%，regular+Q1=7.05%） | 2024+2025+2026 | 2020+2021+2022+2023 |
| 🔵 R18 | 2026-05-06 | 7特徵掃描：t9_intra_positive IS p=0.042✅但OOS split≈0（IS overfitting）；is_march IS p=0.003✅ IS/OOS一致（3.89%≈3.84%）但OOS n=11過小且已被Q1覆蓋；量能萎縮/T8日內/深跌全部IS不顯著；無新信號採用 | 2024+2025+2026 | 2020+2021+2022+2023 |
| 🔵 R19 | 2026-05-06 | 路徑動量掃描：7特徵全IS p>0.05；borderline: mid_recovery IS p=0.070 n=17 nev=+3.95% OOS nev=+4.73%；t9_near_low IS p=0.111 nev=+3.16% OOS nev=+3.41%（一致不顯著）；early_consec_3 nev=+2.41% << consec_neg_3 nev=+4.48%（晚期信號優於早期確認） | 2024+2025+2026 | 2020+2021+2022+2023 |
| 🔵 R20 | 2026-05-06 | 中期高點陷阱掃描：recovery_then_fall IS p=0.219 n=39 nev=+2.70% OOS nev=+3.64%；t9_near_low_strict IS p=0.299；high_water_drop Spearman p=0.567；5特徵+3連續值全IS p>0.10；廣義化 mid_recovery 稀釋信號，無新採用 | 2024+2025+2026 | 2020+2021+2022+2023 |
| 🔵 R21 | 2026-05-06 | TAIEX情境+股價水位：taiex_down_hard IS p=0.054（borderline）但OOS nev=+0.50%（IS/OOS不一致）；taiex_down IS p=0.117 方向一致；stock_alpha OOS rho=-0.129✅ 但IS逆轉；price_cheap IS p=0.91；無新採用 | 2024+2025+2026 | 2020+2021+2022+2023 |
| 🔵 R22 | 2026-05-06 | 隔夜跳空+負收日計數：t8_overnight_gap IS p=0.032✅ rho=+0.166 但OOS rho=-0.082（方向逆轉）；t8_gap_down IS Welch p=0.048✅ 但OOS方向逆轉；neg_day_count IS p=0.39；所有通過IS gate的特徵均IS/OOS不一致，無新信號採用 | 2024+2025+2026 | 2020+2021+2022+2023 |
| ✅ R23 | 2026-05-06 | 同日集中度掃描IS p=0.515；策略健康確認（R17）：IS Bootstrap CI=[+0.093%,+0.186%] 正向率100%；OOS CI=[+0.111%,+0.179%] 正向率100%；IS 3年全正；OOS 4年全正；最近20 IS事件 nev=+5.01%>>基準+1.82%；策略健康確認完成 | 2024+2025+2026 | 2020+2021+2022+2023 |
| 🔵 R24 | 2026-05-06 | feature_df_r4 h-特徵掃描（12特徵）：h28_last_dir IS rho=+0.722 p≈0、h31_late_excess IS rho=+0.520 p≈0；⚠️ 後確認（R25）：h28/h31/h30為lookahead特徵（含T10資料）——h28_last_dir=1對應T10 intraday 100%正向；吻合率95.2%，純屬選擇偏誤，非預測信號 | 2024+2025+2026 | 2020+2021+2022+2023 |
| 🔵 R25 | 2026-05-06 | h28/h31 OOS驗證：proxy與原始一致率44%（方向反轉）；IS proxy rho=-0.140/-0.124（vs原始+0.722/+0.520完全相反）；T9陰線比T9陽線IS nev更高（+2.49% vs +1.21%）與h28方向相反；確認feature_df_r4 h特徵含T10 lookahead，整個系列廢棄 | 2024+2025+2026 | 2020+2021+2022+2023 |
| 🔵 R26 | 2026-05-06 | Gap強度細分+T10開盤位置：9特徵全IS p>0.25；OOS t10_is_new_low p=0.0006、severe_gap nev=+4.96%方向一致但IS不顯著；IS/OOS制度差異（2024-2026牛市vs 2020-2023）；close-to-close後段趨勢IS p=0.81；無新信號採用 | 2024+2025+2026 | 2020+2021+2022+2023 |
| 🔵 R27 | 2026-05-06 | 量能特徵深掃（7特徵）：h24_vol_compression代理相關rho=-0.468（反向）；量能壓縮/趨勢/T9量異常/絕對量水準全IS p>0.33；OOS log_vol顯著(p=0.0004)但IS p=0.63（IS-first廢棄）；量能維度完全無法通過IS gate | 2024+2025+2026 | 2020+2021+2022+2023 |
| 🔵 R28 | 2026-05-06 | 星期效應+late_excess（T1_open版）：5特徵全IS不顯著；Friday IS nev=+3.14% OOS nev=+3.38%方向一致但ANOVA IS p=0.18；late_excess v2/v3 IS rho=-0.055/-0.045（反向）；研究結論：R17策略已達最優，R18-R28共80+特徵掃描無新有效信號 | 2024+2025+2026 | 2020+2021+2022+2023 |
| 指標 | 數值 | 說明 |
|---|---|---|
| 主規則 | gap≤-2.0% → 等 T10 收盤賣 | R2 IS 選出，R4 WF 確認 |
| OOS net_ev | +2.56% | 扣 0.4425% 賣出成本後 |
| OOS win_rate | 62.4% | 2020+2021+2022+2023 |
| WF 一致性 | 7/7 年正向 | 2020–2026 全正（最差 +0.42%） |
| OOS Kelly | 18.8% | win=62.4%，avg_win=+6.33%，avg_loss=-2.52% |
| 保守部位 | 4.7% (1/4-Kelly) | 建議保守起步 |
| Coverage | ≈20% 事件 | IS 18.1% / OOS 20.2%（穩定） |
| 信號頻率 | ≈64 筆/年 | 基於 OOS 4 年平均 |
| Day1 連動 | rho=+0.107 p=0.027 | T10 大漲時 Day1 gap≈0，出場好不惡化次日進場 |
| 廢棄條件 | Amihud + rg | IS 全不顯著（p>0.17 / p=0.167） |
| 中性區裁決 | 開盤賣（保守） | CI=[-0.07,1.32]跨 0，4/7 年正向，近 3 年轉負（R5） |
| 年份 | n | 1%/事件 | 2%/事件 | 4.7%/事件 |
|---|---|---|---|---|
| 2020 | 102 | +3.389% | +6.779% | +15.931% |
| 2021 | 86 | +2.058% | +4.115% | +9.671% |
| 2022 | 40 | +0.622% | +1.244% | +2.922% |
| 2023 | 30 | +0.530% | +1.060% | +2.492% |
| 年均 | 64.5 | +1.650% | +3.300% | +7.754% |
| 策略 Sharpe 分析（OOS） | |
|---|---|
| net_ev / trade | +2.558% |
| std / trade | +5.804% |
| IR per trade | 0.4407 |
| 事件數/年 | 64.5 |
| 年化 Sharpe（獨立） | 3.539 |
| 同日相關 rho | 0.233 (p=0.044) |
| 叢集校正後 Sharpe | 3.43 |
|
信號日佔比 20.0%（有事件/全部交易日） 80% 信號日 = 單一事件，叢集影響極小 | |
| consec_neg_3 信號（IS p=0.037，gap≤-2% 主區內） | |
|---|---|
| 定義 | T7+T8+T9 三連紅（每日 close < open），已符合 gap≤-2% 條件 |
| OOS n | 16 個事件 |
| OOS net_ev | +4.827% |
| Bootstrap 90% CI（5000次） | [2.69%, 7.90%] |
| Boot net_ev > 0 比例 | 99.9% |
| 部位建議 | 9.4%（2× 1/4-Kelly） |
| 機制 | 連續三日收黑 → 更大超賣積累 → T10 解封前最後一天反彈力道更強 |
| 年份 | consec_neg_3 淨EV | 非 consec 淨EV |
|---|---|---|
| 2020 OOS | +9.213% (n=5) | +3.019% |
| 2021 OOS | +1.649% (n=6) | +2.448% |
| 2022 OOS | +5.507% (n=3) | +1.234% |
| 2023 OOS | n=2（不足） | +1.724% |
| 2024 IS | +4.814% (n=7) | +1.168% |
| 2025 IS | n=2（不足） | +0.280% |
| 2026 IS | +4.241% (n=6) | +3.520% |
| 策略 | 年均回報 | vs 基準 | 各年 |
|---|---|---|---|
| 基準 | +7.754% | — | 2020=+15.931% | 2021=+9.671% | 2022=+2.922% | 2023=+2.492% |
| 2× consec | +8.662% | +0.91% | 2020=+18.096% | 2021=+10.136% | 2022=+3.699% | 2023=+2.716% |
| 3× consec | +9.569% | +1.81% | 2020=+20.261% | 2021=+10.601% | 2022=+4.475% | 2023=+2.939% |
| 年份 | n | 基準（4.7%） | 分層（consec 2×） |
|---|---|---|---|
| 2020 OOS | 102 | +15.931% | +18.096% ✅ |
| 2021 OOS | 86 | +9.671% | +10.136% ✅ |
| 2022 OOS | 40 | +2.922% | +3.699% ✅ |
| 2023 OOS | 30 | +2.492% | +2.716% ✅ |
| 2024 IS | 64 | +4.713% | +6.297% ✅ |
| 2025 IS | 54 | +1.065% | +1.445% ✅ |
| 2026 IS | 51 | +8.641% | +9.837% ✅ |
| 年份 | 主區 n | 極端 n | 極端 net_ev |
|---|---|---|---|
| 2020 OOS | 102 | 53 | +5.000% |
| 2021 OOS | 86 | 30 | +4.940% |
| 2022 OOS | 40 | 8 | +6.320% |
| 2023 OOS | 30 | 4 | +3.440% |
| 2024 IS | 64 | 13 | -0.050% |
| 2025 IS | 54 | 9 | +0.810% |
| 2026 IS | 51 | 7 | +4.630% |
| 最終策略規格（R17 更新版） | |
|---|---|
| 進場資格 | t9_to_t10_gap ≤ -2.0%（T10 開盤時已知） |
| 行動 | 等 T10 收盤賣出 |
| 季節倍數（R17） | Q1（1-3月）= 1.5×；其餘 = 1.0× |
| 標準部位 | 4.7% × seasonal_mult（Q1: 7.05%；其他: 4.7%） |
| consec_neg_3 部位 | 9.4% × seasonal_mult（Q1: 14.1%；其他: 9.4%） |
| OOS net_ev（全體） | +2.56% |
| WF 一致性 | 7/7 年正向（OOS+IS，最差 2025=+1.45%） |
| OOS 年均（Q1=1.5× + consec 2×） | +9.36% |
| IS 年均（Q1=1.5× + consec 2×） | +7.77% |
| 成本緩衝 | +2.56%（需 6.8× 成本才失效） |
| 年化 Sharpe | 3.43（叢集校正，基準部位） |
| 主要監控指標 | IS net_ev vs OOS 水準；最近 20/40 事件 net_ev；Q1 效應季內穩定性 |
| 策略健康監控（最近 IS 事件） | |
|---|---|
| 長期 OOS net_ev（基準） | +2.56% |
| 最近 20 IS 事件 net_ev | +5.013% |
| 最近 40 IS 事件 net_ev | +4.051% |
| 預警閾值（基準 50%） | +1.279% |
| 策略狀態 | ✅ 健康（最近 20 事件遠超基準，無衰減） |
| 月份 | IS n | IS net_ev | OOS net_ev | 一致性 |
|---|---|---|---|---|
| 1月 | 10 | +5.277% ✅ | +2.332% | ✅ |
| 2月 | 17 | -0.100% | +3.984% | ❌ |
| 3月 | 40 | +3.889% ✅ | +3.844% | ✅ |
| 4月 | 14 | +0.983% | +3.764% | ❌ |
| 5月 | 5 | +0.943% | +0.847% | ⚠️ |
| 6月 | 16 | +2.531% ✅ | +3.274% | ✅ |
| 7月 | 15 | +1.657% ✅ | +2.333% | ✅ |
| 8月 | 11 | +3.396% | +1.362% | ⚠️ |
| 9月 | 9 | -2.177% | +4.475% | ❌ |
| 10月 | 12 | -0.851% | +0.006% | ❌ |
| 11月 | 10 | -0.211% | +0.938% | ❌ |
| 12月 | 10 | +1.090% | +1.696% | ⚠️ |
| 季度 | IS n | IS net_ev | IS p | OOS net_ev |
|---|---|---|---|---|
| Q1 | 67 | +3.084% | 0.000✅ | +3.055% |
| Q2 | 35 | +1.685% | 0.004✅ | +2.881% |
| Q3 | 35 | +1.217% | 0.051 | +2.832% |
| Q4 | 32 | -0.044% | 0.579 | +1.058% |
| 採用決定：Q1=1.5×（IS-first 確認） | |
|---|---|
| IS Q1 net_ev | +3.08%（p_vs_0=0.0001✅，p_vs_rest=0.009✅） |
| OOS Q1 net_ev | +3.06%（IS/OOS 完美一致） |
| Q1=1.5× IS 年均 | +7.77%（+5.86% 基準 → +7.77%，+1.91%） |
| Q1=1.5× OOS 年均 | +9.36%（+8.66% 基準 → +9.36%，+0.70%） |
| 最大部位（consec+Q1） | 9.4% × 1.5 = 14.1%（≈3/4-Kelly，安全） |
| Q4 縮減 | ❌ 不採用（OOS Q4 net_ev=+1.06%，縮減損失 OOS EV） |
| 方案 | IS 年均 | IS△ | OOS 年均 | OOS△ |
|---|---|---|---|---|
| base | +5.860% | +0.00% ❌ | +8.662% | +0.00% |
| Q1=1.5× ← 採用 | +7.771% | +1.91% ✅ | +9.362% | +0.70% |
| Q1=2.0× | +9.682% | +3.82% ✅ | +10.062% | +1.40% |
| Q4=0.5× | +5.752% | -0.11% ❌ | +8.327% | -0.33% |
| Q4=0.0×（Q4不交易） | +5.644% | -0.22% ❌ | +7.993% | -0.67% |
| Q1=1.5× + Q4=0.5× | +7.663% | +1.80% ✅ | +9.027% | +0.37% |
| Q1=1.5× + Q4=0.0× | +7.555% | +1.70% ✅ | +8.693% | +0.03% |
| 季度 | IS n | IS net_ev | p_vs_0 | p_vs_rest | OOS net_ev |
|---|---|---|---|---|---|
| Q1 | 67 | +3.084% | 0.0001✅ | 0.0085✅ | +3.055% |
| Q2 | 35 | +1.685% | 0.0210✅ | 0.8661 | +2.881% |
| Q3 | 35 | +1.217% | 0.1468 | 0.4385 | +2.832% |
| Q4 | 32 | -0.044% | 0.9506 | 0.0218✅ | +1.058% |
| 名詞 | 說明 |
|---|---|
| T10 | 處置期最後一天（第 10 個交易日），仍在 20 分鐘撮合模式 |
| t9_to_t10_gap | T9 收盤 → T10 開盤的隔夜 overnight gap（%） |
| t9_to_t10_rg | 相對 gap = t9_to_t10_gap / (T1-T9 日內波動度)，標準化後的極端程度 |
| Amihud 非流動性 | = mean(|日報酬| / 成交額)，值越高代表流動性越差 |
| IS（In-Sample） | 假設建立與閾值訓練用資料集（2024+2025+2026，is_clean） |
| OOS（Out-of-Sample） | 獨立驗證資料集（2020+2021+2022+2023），不參與假設設計 |
| Walk-forward | 每年獨立驗證（不依賴 IS/OOS 切分），確認信號在各時期穩健 |
| Kelly fraction | 最優部位比例 = win_rate/|avg_loss| − loss_rate/avg_win |
| 淨 EV | 扣除賣出成本（0.4425%）後的期望報酬 |
| Net EV 門檻 | 大於 0% = 繼續持有到 T10 收盤優於開盤立即賣出 |
| consec_neg_3 | T7+T8+T9 三連紅（每日 close < open），已在 gap≤-2% 主區內；IS p=0.037，OOS net_ev=+4.83% |
| 部位分層 | consec_neg_3 事件用 2× 1/4-Kelly（9.4%），其餘用 1× 1/4-Kelly（4.7%）；OOS 年均回報 +8.66% |