{
  "data_end": "2026-06-09",
  "window_start": "2013-05-31",
  "benchmark": {
    "name": "0050 含息買進持有",
    "start": "2013-05-31",
    "end": "2026-06-09",
    "years": 13.0,
    "cagr": 20.0,
    "daily_sharpe": 1.11,
    "daily_sortino": 1.51,
    "monthly_sortino": 1.8,
    "max_drawdown": -34.0,
    "total_return": 980.0,
    "final_value_of_1m": 1080,
    "avg_holdings": 1.0
  },
  "strategies": [
    {
      "name": "篩選法:營收>20%+ROE>10%",
      "start": "2013-05-31",
      "end": "2026-06-11",
      "years": 13.0,
      "cagr": 18.0,
      "daily_sharpe": 0.69,
      "daily_sortino": 1.09,
      "monthly_sortino": 1.32,
      "max_drawdown": -49.8,
      "total_return": 768.0,
      "final_value_of_1m": 868,
      "avg_holdings": 17.0,
      "min_holdings": 1,
      "max_holdings": 50,
      "zero_holding_months": 0,
      "recent_3y_sharpe": 1.46,
      "recent_5y_sharpe": 0.99
    },
    {
      "name": "加嚴篩選:營收>30%+ROE>15%+PE<20",
      "start": "2013-05-31",
      "end": "2026-06-11",
      "years": 13.0,
      "cagr": 5.4,
      "daily_sharpe": 0.27,
      "daily_sortino": 0.44,
      "monthly_sortino": 0.52,
      "max_drawdown": -65.1,
      "total_return": 98.0,
      "final_value_of_1m": 198,
      "avg_holdings": 4.0,
      "min_holdings": 0,
      "max_holdings": 20,
      "zero_holding_months": 20,
      "recent_3y_sharpe": 1.0,
      "recent_5y_sharpe": 0.61
    },
    {
      "name": "排名法多因子:營收40%+ROE30%+動能30%",
      "start": "2013-04-30",
      "end": "2026-06-11",
      "years": 13.1,
      "cagr": 29.4,
      "daily_sharpe": 1.02,
      "daily_sortino": 1.62,
      "monthly_sortino": 2.38,
      "max_drawdown": -44.7,
      "total_return": 2851.0,
      "final_value_of_1m": 2951,
      "avg_holdings": 20.0,
      "min_holdings": 15,
      "max_holdings": 20,
      "zero_holding_months": 0,
      "recent_3y_sharpe": 1.38,
      "recent_5y_sharpe": 1.11,
      "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": "2026-06-11",
      "years": 13.1,
      "cagr": 29.4,
      "daily_sharpe": 1.02,
      "daily_sortino": 1.62,
      "monthly_sortino": 2.38,
      "max_drawdown": -44.7,
      "total_return": 2851.0,
      "final_value_of_1m": 2951,
      "avg_holdings": 20.0,
      "min_holdings": 15,
      "max_holdings": 20,
      "zero_holding_months": 0,
      "recent_3y_sharpe": 1.38,
      "recent_5y_sharpe": 1.11,
      "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": "2026-06-11",
      "years": 13.1,
      "cagr": 32.4,
      "daily_sharpe": 1.11,
      "daily_sortino": 1.76,
      "monthly_sortino": 2.59,
      "max_drawdown": -40.9,
      "total_return": 3885.0,
      "final_value_of_1m": 3985,
      "avg_holdings": 20.0,
      "min_holdings": 15,
      "max_holdings": 20,
      "zero_holding_months": 0,
      "recent_3y_sharpe": 1.45,
      "recent_5y_sharpe": 1.2
    },
    {
      "name": "營收30/ROE30/動能40・前20",
      "start": "2013-04-30",
      "end": "2026-06-11",
      "years": 13.1,
      "cagr": 25.8,
      "daily_sharpe": 0.91,
      "daily_sortino": 1.44,
      "monthly_sortino": 2.03,
      "max_drawdown": -51.1,
      "total_return": 1936.0,
      "final_value_of_1m": 2036,
      "avg_holdings": 20.0,
      "min_holdings": 15,
      "max_holdings": 20,
      "zero_holding_months": 0,
      "recent_3y_sharpe": 1.37,
      "recent_5y_sharpe": 1.02
    },
    {
      "name": "等權33/33/34・前20",
      "start": "2013-04-30",
      "end": "2026-06-11",
      "years": 13.1,
      "cagr": 28.4,
      "daily_sharpe": 0.99,
      "daily_sortino": 1.57,
      "monthly_sortino": 2.25,
      "max_drawdown": -47.4,
      "total_return": 2545.0,
      "final_value_of_1m": 2645,
      "avg_holdings": 20.0,
      "min_holdings": 15,
      "max_holdings": 20,
      "zero_holding_months": 0,
      "recent_3y_sharpe": 1.4,
      "recent_5y_sharpe": 1.1
    },
    {
      "name": "營收20/ROE40/動能40・前20",
      "start": "2013-04-30",
      "end": "2026-06-11",
      "years": 13.1,
      "cagr": 23.4,
      "daily_sharpe": 0.84,
      "daily_sortino": 1.33,
      "monthly_sortino": 1.82,
      "max_drawdown": -52.0,
      "total_return": 1479.0,
      "final_value_of_1m": 1579,
      "avg_holdings": 20.0,
      "min_holdings": 15,
      "max_holdings": 20,
      "zero_holding_months": 0,
      "recent_3y_sharpe": 1.61,
      "recent_5y_sharpe": 1.1
    },
    {
      "name": "營收40/ROE30/動能30・前10",
      "start": "2013-04-30",
      "end": "2026-06-11",
      "years": 13.1,
      "cagr": 26.4,
      "daily_sharpe": 0.86,
      "daily_sortino": 1.39,
      "monthly_sortino": 1.95,
      "max_drawdown": -54.9,
      "total_return": 2060.0,
      "final_value_of_1m": 2160,
      "avg_holdings": 10.0,
      "min_holdings": 10,
      "max_holdings": 10,
      "zero_holding_months": 0,
      "recent_3y_sharpe": 1.36,
      "recent_5y_sharpe": 1.12
    },
    {
      "name": "營收40/ROE30/動能30・前30",
      "start": "2013-04-30",
      "end": "2026-06-11",
      "years": 13.1,
      "cagr": 25.9,
      "daily_sharpe": 0.95,
      "daily_sortino": 1.48,
      "monthly_sortino": 2.09,
      "max_drawdown": -50.4,
      "total_return": 1940.0,
      "final_value_of_1m": 2040,
      "avg_holdings": 30.0,
      "min_holdings": 15,
      "max_holdings": 30,
      "zero_holding_months": 0,
      "recent_3y_sharpe": 1.34,
      "recent_5y_sharpe": 0.94
    }
  ],
  "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": "2026-06-09",
    "tickers": [
      "2059",
      "2360",
      "2383",
      "2408",
      "3135",
      "3167",
      "3443",
      "3528",
      "3555",
      "4931",
      "4973",
      "5274",
      "5289",
      "5386",
      "5864",
      "6016",
      "6274",
      "6419",
      "7610",
      "8926"
    ]
  },
  "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"
  }
}