{
  "data_end": "2026-08-31",
  "window_start": "2013-05-31",
  "benchmark": {
    "name": "0050 含息買進持有",
    "start": "2013-05-31",
    "end": "2026-08-31",
    "years": 13.3,
    "cagr": 20.0,
    "daily_sharpe": 1.08,
    "daily_sortino": 1.48,
    "monthly_sortino": 1.8,
    "max_drawdown": -34.0,
    "total_return": 1015.0,
    "final_value_of_1m": 1115,
    "avg_holdings": 1.0
  },
  "strategies": [
    {
      "name": "篩選法:營收>20%+ROE>10%",
      "start": "2013-05-31",
      "end": "2026-08-31",
      "years": 13.3,
      "cagr": 18.3,
      "daily_sharpe": 0.76,
      "daily_sortino": 1.02,
      "monthly_sortino": 1.25,
      "max_drawdown": -49.8,
      "total_return": 830.0,
      "final_value_of_1m": 930,
      "avg_holdings": 18.0,
      "min_holdings": 1,
      "max_holdings": 68,
      "zero_holding_months": 0,
      "recent_3y_sharpe": 1.48,
      "recent_5y_sharpe": 1.02
    },
    {
      "name": "加嚴篩選:營收>30%+ROE>15%+PE<20",
      "start": "2013-05-31",
      "end": "2026-08-31",
      "years": 13.3,
      "cagr": 5.5,
      "daily_sharpe": 0.33,
      "daily_sortino": 0.45,
      "monthly_sortino": 0.55,
      "max_drawdown": -65.1,
      "total_return": 103.0,
      "final_value_of_1m": 203,
      "avg_holdings": 4.0,
      "min_holdings": 0,
      "max_holdings": 20,
      "zero_holding_months": 20,
      "recent_3y_sharpe": 0.66,
      "recent_5y_sharpe": 0.58
    },
    {
      "name": "排名法多因子:營收40%+ROE30%+動能30%",
      "start": "2013-04-30",
      "end": "2026-08-31",
      "years": 13.3,
      "cagr": 28.2,
      "daily_sharpe": 1.04,
      "daily_sortino": 1.37,
      "monthly_sortino": 2.01,
      "max_drawdown": -44.7,
      "total_return": 2646.0,
      "final_value_of_1m": 2746,
      "avg_holdings": 20.0,
      "min_holdings": 15,
      "max_holdings": 20,
      "zero_holding_months": 0,
      "recent_3y_sharpe": 1.24,
      "recent_5y_sharpe": 1.06,
      "monthly_turnover_pct": 56.0,
      "monthly_turnover_max_pct": 100.0
    }
  ],
  "sensitivity": [
    {
      "name": "營收40/ROE30/動能30・前20(本文)",
      "start": "2013-04-30",
      "end": "2026-08-31",
      "years": 13.3,
      "cagr": 28.2,
      "daily_sharpe": 1.04,
      "daily_sortino": 1.37,
      "monthly_sortino": 2.01,
      "max_drawdown": -44.7,
      "total_return": 2646.0,
      "final_value_of_1m": 2746,
      "avg_holdings": 20.0,
      "min_holdings": 15,
      "max_holdings": 20,
      "zero_holding_months": 0,
      "recent_3y_sharpe": 1.24,
      "recent_5y_sharpe": 1.06,
      "monthly_turnover_pct": 56.0,
      "monthly_turnover_max_pct": 100.0
    },
    {
      "name": "營收50/ROE25/動能25・前20",
      "start": "2013-04-30",
      "end": "2026-08-31",
      "years": 13.3,
      "cagr": 31.2,
      "daily_sharpe": 1.13,
      "daily_sortino": 1.48,
      "monthly_sortino": 2.16,
      "max_drawdown": -40.9,
      "total_return": 3650.0,
      "final_value_of_1m": 3750,
      "avg_holdings": 20.0,
      "min_holdings": 15,
      "max_holdings": 20,
      "zero_holding_months": 0,
      "recent_3y_sharpe": 1.33,
      "recent_5y_sharpe": 1.12
    },
    {
      "name": "營收30/ROE30/動能40・前20",
      "start": "2013-04-30",
      "end": "2026-08-31",
      "years": 13.3,
      "cagr": 24.6,
      "daily_sharpe": 0.93,
      "daily_sortino": 1.23,
      "monthly_sortino": 1.71,
      "max_drawdown": -51.1,
      "total_return": 1779.0,
      "final_value_of_1m": 1879,
      "avg_holdings": 20.0,
      "min_holdings": 15,
      "max_holdings": 20,
      "zero_holding_months": 0,
      "recent_3y_sharpe": 1.22,
      "recent_5y_sharpe": 0.96
    },
    {
      "name": "等權33/33/34・前20",
      "start": "2013-04-30",
      "end": "2026-08-31",
      "years": 13.3,
      "cagr": 27.0,
      "daily_sharpe": 1.01,
      "daily_sortino": 1.33,
      "monthly_sortino": 1.88,
      "max_drawdown": -47.4,
      "total_return": 2330.0,
      "final_value_of_1m": 2430,
      "avg_holdings": 20.0,
      "min_holdings": 15,
      "max_holdings": 20,
      "zero_holding_months": 0,
      "recent_3y_sharpe": 1.25,
      "recent_5y_sharpe": 1.02
    },
    {
      "name": "營收20/ROE40/動能40・前20",
      "start": "2013-04-30",
      "end": "2026-08-31",
      "years": 13.3,
      "cagr": 22.0,
      "daily_sharpe": 0.86,
      "daily_sortino": 1.13,
      "monthly_sortino": 1.54,
      "max_drawdown": -52.0,
      "total_return": 1315.0,
      "final_value_of_1m": 1415,
      "avg_holdings": 20.0,
      "min_holdings": 15,
      "max_holdings": 20,
      "zero_holding_months": 0,
      "recent_3y_sharpe": 1.43,
      "recent_5y_sharpe": 1.0
    },
    {
      "name": "營收40/ROE30/動能30・前10",
      "start": "2013-04-30",
      "end": "2026-08-31",
      "years": 13.3,
      "cagr": 26.1,
      "daily_sharpe": 0.9,
      "daily_sortino": 1.25,
      "monthly_sortino": 1.71,
      "max_drawdown": -54.9,
      "total_return": 2102.0,
      "final_value_of_1m": 2202,
      "avg_holdings": 10.0,
      "min_holdings": 10,
      "max_holdings": 10,
      "zero_holding_months": 0,
      "recent_3y_sharpe": 1.39,
      "recent_5y_sharpe": 1.08
    },
    {
      "name": "營收40/ROE30/動能30・前30",
      "start": "2013-04-30",
      "end": "2026-08-31",
      "years": 13.3,
      "cagr": 24.7,
      "daily_sharpe": 0.98,
      "daily_sortino": 1.24,
      "monthly_sortino": 1.76,
      "max_drawdown": -50.4,
      "total_return": 1798.0,
      "final_value_of_1m": 1898,
      "avg_holdings": 30.0,
      "min_holdings": 15,
      "max_holdings": 30,
      "zero_holding_months": 0,
      "recent_3y_sharpe": 1.24,
      "recent_5y_sharpe": 0.88
    }
  ],
  "crisis_drawdowns": [
    {
      "window": "2015 下半年修正",
      "strategy_dd": -26.3,
      "bench_dd": -21.0
    },
    {
      "window": "2020 疫情爆發",
      "strategy_dd": -29.9,
      "bench_dd": -28.2
    },
    {
      "window": "2022 升息修正",
      "strategy_dd": -31.3,
      "bench_dd": -34.0
    }
  ],
  "latest_picks": {
    "date": "2026-08-31",
    "tickers": [
      "1808",
      "2059",
      "2383",
      "2395",
      "2408",
      "2465",
      "3006",
      "3081",
      "3443",
      "3498",
      "3653",
      "4416",
      "5351",
      "6419",
      "6446",
      "6693",
      "6716",
      "6907",
      "6933",
      "7711"
    ]
  },
  "method": {
    "universe": "全上市櫃(finlab 資料含已下市股票,無生存者偏誤);未排除金融股/KY/ETF",
    "liquidity": "近 20 日平均成交金額 > 1,000 萬",
    "alignment": "月營收/ROE 依公布時點 ffill 至日頻;動能 = 60 個交易日報酬",
    "cost": "策略使用 finlab sim() 台股預設成本(手續費 0.1425%、賣出證交稅 0.3%);未另設滑價",
    "weighting": "等權,每月再平衡",
    "benchmark": "0050 etl:adj_close 還原價 buy-and-hold 純指數算術(不經 sim、不含交易成本)",
    "sample": "全段 in-sample,未做樣本外測試"
  }
}