如何於股市中，找出一穩健且有效之投資方法，是為投資人長年以來所求，拜科技所賜，本研究利用Python程式語言，計算出台灣股市26年間的投資報酬績效，試圖使用Joseph D. Piotroski所提出之F-Score作為基礎進一步的做出驗證以及改進，在本研究中選用了淨值市值比、股價淨值比、本益比、股價營收比、股利殖利率等，包含F-Score一共六種績優指標，先將各個指標進行十等分運算得到各個等分之投資報酬分佈，再將其最佳之三區間作為排列組合計算成份。

根據實證結果，可以發現，在股價淨值比、本益比、股價營收比三個指標，台灣股市與美國股市的表現相當，皆是呈現隨著百分比上升而績效下降，而此一現象也符合定義所述，投資人可以以相對低的價格買入淨值、盈利又或是營收。在研究也中也發現了一個與美國股市有十分大差異的指標，也就是股利殖利率，相較於美國股市隨股利率的上升績效和緩上升，台股則是有大幅的績效上升，推測為因華人投資股票時相對的看重長期穩定的股利報酬，因而產生此差異。

而在排列組合的實證結果中，我們發現了多指標相較於單一指標確實有提升投資績效之能力，但並非越多越好，依本研究結果，使用五種指標所產生的六種排列組合，全數績效排名優於六種指標之排名，另外在單一指標影響力實證中，也能得知在單一指標時之投資績效，並非是排列組合投資績效之保證，尚需就於排列組合績效中對於各指標作進一步分析，方能得到較為客觀之論述。

This paper is seeking a way to improve Piotroski’s(2000) current F-Score portfolio, we have chosen four high performance factors from O’Shaughnessy(2011), that were Price to book ratio, Price to earning ratio, Price to sales ratio, Dividend yield, plus book to market ratio which use in F-score, there are six factors total. Using the results of each of the six factors, we can get the best 30% criteria of them, and by combining the each criteria, we can get 63 combinations. The empirical results show that, at Price to book value, Price to earning ratio and Price to sales ratio, same as Taiwan and U.S. stock market, the return fall when the percentile rise, but when it comes to Dividend yield, Taiwan’s stock market have a huge return bump compared to U.S. stock market. And the return of the 63 combination shows that, (1) Muti-factor did better than single factor. (2) More factor doesn’t mean better return. (3) Good performance at single factor doesn’t necessarily mean good performance while combining with other factors.

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