{
  "data_end": "2026-06-09",
  "window_start": "2018-01-01",
  "benchmark": {
    "name": "0050 含息",
    "start": "2018-01-02",
    "end": "2026-06-09",
    "cagr": 25.0,
    "daily_sharpe": 1.22,
    "daily_sortino": 1.67,
    "monthly_sortino": 1.92,
    "max_drawdown": -34.0,
    "total_return": 559.0,
    "avg_holdings": 1
  },
  "hero": {
    "name": "品質+動能+低波 三因子(前25)",
    "start": "2018-01-31",
    "end": "2026-06-09",
    "cagr": 18.6,
    "daily_sharpe": 1.26,
    "daily_sortino": 1.41,
    "monthly_sortino": 1.96,
    "max_drawdown": -26.4,
    "total_return": 315.0,
    "avg_holdings": 25.0
  },
  "naive_baseline": {
    "name": "只看低本益淨值比(單因子)",
    "start": "2018-01-31",
    "end": "2026-06-09",
    "cagr": 11.4,
    "daily_sharpe": 0.66,
    "daily_sortino": 0.78,
    "monthly_sortino": 1.0,
    "max_drawdown": -35.3,
    "total_return": 147.0,
    "avg_holdings": 25.0
  },
  "sensitivity": [
    {
      "name": "前20",
      "start": "2018-01-31",
      "end": "2026-06-09",
      "cagr": 17.0,
      "daily_sharpe": 1.16,
      "daily_sortino": 1.3,
      "monthly_sortino": 1.81,
      "max_drawdown": -25.3,
      "total_return": 270.0,
      "avg_holdings": 20.0
    },
    {
      "name": "前25(本文)",
      "start": "2018-01-31",
      "end": "2026-06-09",
      "cagr": 18.6,
      "daily_sharpe": 1.26,
      "daily_sortino": 1.41,
      "monthly_sortino": 1.96,
      "max_drawdown": -26.4,
      "total_return": 315.0,
      "avg_holdings": 25.0
    },
    {
      "name": "前30",
      "start": "2018-01-31",
      "end": "2026-06-09",
      "cagr": 17.1,
      "daily_sharpe": 1.19,
      "daily_sortino": 1.29,
      "monthly_sortino": 1.77,
      "max_drawdown": -27.0,
      "total_return": 275.0,
      "avg_holdings": 30.0
    },
    {
      "name": "前40",
      "start": "2018-01-31",
      "end": "2026-06-09",
      "cagr": 17.1,
      "daily_sharpe": 1.19,
      "daily_sortino": 1.29,
      "monthly_sortino": 1.75,
      "max_drawdown": -26.8,
      "total_return": 275.0,
      "avg_holdings": 40.0
    }
  ],
  "method": {
    "universe": "全上市櫃(finlab 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",
    "cost": "finlab sim() 台股預設:手續費 0.1425%、賣出證交稅 0.3%;未另設滑價",
    "alignment": "季財報 index_str_to_date 對齊公布時點、月營收 ffill 至日頻;動能 = N 個交易日報酬",
    "rebalance": "每月再平衡,分數平方加權(基準為等權)",
    "benchmark": "0050 etl:adj_close 還原價 buy-and-hold 純指數算術(不經 sim)",
    "sample": "全段 in-sample"
  }
}