{
  "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": "投信外資買超持續三因子(前20)",
    "start": "2018-01-31",
    "end": "2026-06-09",
    "cagr": 19.8,
    "daily_sharpe": 1.05,
    "daily_sortino": 1.29,
    "monthly_sortino": 1.92,
    "max_drawdown": -32.7,
    "total_return": 352.0,
    "avg_holdings": 20.0,
    "avg_monthly_turnover": 58.0,
    "max_monthly_turnover": 95.0
  },
  "naive_baseline": {
    "name": "naive 投信買超排行(前20 等權)",
    "start": "2018-01-31",
    "end": "2026-06-09",
    "cagr": 18.1,
    "daily_sharpe": 0.87,
    "daily_sortino": 1.07,
    "monthly_sortino": 1.43,
    "max_drawdown": -38.5,
    "total_return": 302.0,
    "avg_holdings": 20.0,
    "avg_monthly_turnover": 68.0,
    "max_monthly_turnover": 100.0
  },
  "sensitivity": [
    {
      "name": "前15",
      "start": "2018-01-31",
      "end": "2026-06-09",
      "cagr": 19.8,
      "daily_sharpe": 1.05,
      "daily_sortino": 1.31,
      "monthly_sortino": 1.8,
      "max_drawdown": -33.3,
      "total_return": 352.0,
      "avg_holdings": 15.0,
      "avg_monthly_turnover": 59.0,
      "max_monthly_turnover": 93.0
    },
    {
      "name": "前20(本文)",
      "start": "2018-01-31",
      "end": "2026-06-09",
      "cagr": 19.8,
      "daily_sharpe": 1.05,
      "daily_sortino": 1.29,
      "monthly_sortino": 1.92,
      "max_drawdown": -32.7,
      "total_return": 352.0,
      "avg_holdings": 20.0,
      "avg_monthly_turnover": 58.0,
      "max_monthly_turnover": 95.0
    },
    {
      "name": "前30",
      "start": "2018-01-31",
      "end": "2026-06-09",
      "cagr": 20.7,
      "daily_sharpe": 1.08,
      "daily_sortino": 1.3,
      "monthly_sortino": 1.88,
      "max_drawdown": -31.9,
      "total_return": 381.0,
      "avg_holdings": 30.0,
      "avg_monthly_turnover": 57.0,
      "max_monthly_turnover": 85.0
    },
    {
      "name": "前20 無趨勢過濾",
      "start": "2018-01-31",
      "end": "2026-06-09",
      "cagr": 18.6,
      "daily_sharpe": 1.03,
      "daily_sortino": 1.25,
      "monthly_sortino": 1.68,
      "max_drawdown": -33.7,
      "total_return": 314.0,
      "avg_holdings": 20.0,
      "avg_monthly_turnover": 50.0,
      "max_monthly_turnover": 81.0
    },
    {
      "name": "前20 等權",
      "start": "2018-01-31",
      "end": "2026-06-09",
      "cagr": 19.8,
      "daily_sharpe": 1.05,
      "daily_sortino": 1.29,
      "monthly_sortino": 1.93,
      "max_drawdown": -32.5,
      "total_return": 354.0,
      "avg_holdings": 20.0,
      "avg_monthly_turnover": 58.0,
      "max_monthly_turnover": 95.0
    }
  ],
  "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": "三大法人買賣超為每日盤後公布資料,rolling 統計只用已公布值;無財報項目",
    "rebalance": "每月再平衡,分數平方加權(naive 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"
  }
}