{
  "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,
    "ann_vol": 20.8,
    "max_drawdown": -34.0,
    "total_return": 559.0,
    "avg_holdings": 1
  },
  "hero": {
    "name": "多週期動能+品質+雙倍低波(前20,波動率倒數加權)",
    "start": "2018-01-31",
    "end": "2026-06-09",
    "cagr": 18.4,
    "daily_sharpe": 1.18,
    "daily_sortino": 1.34,
    "monthly_sortino": 1.84,
    "ann_vol": 16.0,
    "max_drawdown": -30.2,
    "total_return": 311.0,
    "avg_holdings": 20.0
  },
  "iteration_v2": {
    "name": "多週期動能+低波控+趨勢(前20)",
    "start": "2018-01-31",
    "end": "2026-06-09",
    "cagr": 17.1,
    "daily_sharpe": 0.83,
    "daily_sortino": 1.0,
    "monthly_sortino": 1.54,
    "ann_vol": 23.0,
    "max_drawdown": -35.7,
    "total_return": 274.0,
    "avg_holdings": 20.0
  },
  "naive_baseline": {
    "name": "naive 單純多週期動能(等權)",
    "start": "2018-01-31",
    "end": "2026-06-09",
    "cagr": 16.2,
    "daily_sharpe": 0.6,
    "daily_sortino": 0.84,
    "monthly_sortino": 1.25,
    "ann_vol": 38.0,
    "max_drawdown": -53.0,
    "total_return": 251.0,
    "avg_holdings": 20.0
  },
  "design_iterations": [
    {
      "name": "A 低波權重加倍(分數平方加權)",
      "start": "2018-01-31",
      "end": "2026-06-09",
      "cagr": 15.9,
      "daily_sharpe": 1.02,
      "daily_sortino": 1.19,
      "monthly_sortino": 1.76,
      "ann_vol": 16.4,
      "max_drawdown": -28.9,
      "total_return": 243.0,
      "avg_holdings": 20.0,
      "note": "未採用:回撤與波動改善,但報酬掉到 15.9%"
    },
    {
      "name": "B 波動率倒數加權(因子不變)",
      "start": "2018-01-31",
      "end": "2026-06-09",
      "cagr": 17.1,
      "daily_sharpe": 0.88,
      "daily_sortino": 1.06,
      "monthly_sortino": 1.71,
      "ann_vol": 21.1,
      "max_drawdown": -33.8,
      "total_return": 275.0,
      "avg_holdings": 20.0,
      "note": "未採用:各項小幅改善,回撤僅追平 0050"
    },
    {
      "name": "C 加 ROE 品質(低波權重不變)",
      "start": "2018-01-31",
      "end": "2026-06-09",
      "cagr": 21.8,
      "daily_sharpe": 0.9,
      "daily_sortino": 1.15,
      "monthly_sortino": 1.7,
      "ann_vol": 26.8,
      "max_drawdown": -49.4,
      "total_return": 420.0,
      "avg_holdings": 20.0,
      "note": "未採用:報酬升到 21.8% 但回撤惡化到 -49.4%,反例"
    },
    {
      "name": "D 品質+雙倍低波+波動率倒數加權(前20)",
      "start": "2018-01-31",
      "end": "2026-06-09",
      "cagr": 18.4,
      "daily_sharpe": 1.18,
      "daily_sortino": 1.34,
      "monthly_sortino": 1.84,
      "ann_vol": 16.0,
      "max_drawdown": -30.2,
      "total_return": 311.0,
      "avg_holdings": 20.0,
      "note": "採用 ⭐:回撤 -30.2%、年化波動 16.0%,兩項優於 0050"
    },
    {
      "name": "E 同 D 前 30 分散",
      "start": "2018-01-31",
      "end": "2026-06-09",
      "cagr": 18.6,
      "daily_sharpe": 1.22,
      "daily_sortino": 1.34,
      "monthly_sortino": 1.76,
      "ann_vol": 15.5,
      "max_drawdown": -29.7,
      "total_return": 316.0,
      "avg_holdings": 30.0,
      "note": "未採用:日夏普 1.22 僅追平 0050,持股較多操作負擔較高"
    }
  ],
  "sensitivity": [
    {
      "name": "前15",
      "start": "2018-01-31",
      "end": "2026-06-09",
      "cagr": 17.2,
      "daily_sharpe": 1.1,
      "daily_sortino": 1.27,
      "monthly_sortino": 1.87,
      "ann_vol": 16.2,
      "max_drawdown": -29.5,
      "total_return": 277.0,
      "avg_holdings": 15.0
    },
    {
      "name": "前20(本文)",
      "start": "2018-01-31",
      "end": "2026-06-09",
      "cagr": 18.4,
      "daily_sharpe": 1.18,
      "daily_sortino": 1.34,
      "monthly_sortino": 1.84,
      "ann_vol": 16.0,
      "max_drawdown": -30.2,
      "total_return": 311.0,
      "avg_holdings": 20.0
    },
    {
      "name": "前30",
      "start": "2018-01-31",
      "end": "2026-06-09",
      "cagr": 18.6,
      "daily_sharpe": 1.22,
      "daily_sortino": 1.34,
      "monthly_sortino": 1.76,
      "ann_vol": 15.5,
      "max_drawdown": -29.7,
      "total_return": 316.0,
      "avg_holdings": 30.0
    }
  ],
  "stress_test": {
    "hero_v3_double_cost": {
      "name": "推薦版 v3/成本加倍",
      "start": "2018-01-31",
      "end": "2026-06-09",
      "cagr": 13.4,
      "daily_sharpe": 0.89,
      "daily_sortino": 1.02,
      "monthly_sortino": 1.39,
      "ann_vol": 16.1,
      "max_drawdown": -30.7,
      "total_return": 186.0,
      "avg_holdings": 20.0
    },
    "hero_v2_double_cost": {
      "name": "多週期動能+低波控+趨勢(前20)/成本加倍",
      "start": "2018-01-31",
      "end": "2026-06-09",
      "cagr": 11.9,
      "daily_sharpe": 0.62,
      "daily_sortino": 0.75,
      "monthly_sortino": 1.13,
      "ann_vol": 23.1,
      "max_drawdown": -38.6,
      "total_return": 155.0,
      "avg_holdings": 20.0
    },
    "naive_double_cost": {
      "name": "naive 單純多週期動能(等權)/成本加倍",
      "start": "2018-01-31",
      "end": "2026-06-09",
      "cagr": 12.0,
      "daily_sharpe": 0.5,
      "daily_sortino": 0.7,
      "monthly_sortino": 1.04,
      "ann_vol": 38.1,
      "max_drawdown": -56.5,
      "total_return": 157.0,
      "avg_holdings": 20.0
    },
    "desc": "成本加倍壓力測試:手續費 0.285%、賣出證交稅 0.6%(finlab 預設之 2 倍),其餘設定不變,實跑於 2026-07-09",
    "hero_v3_cagr_drop_pp": 5.0
  },
  "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": "ROE 季財報 index_str_to_date 對齊公布時點後 ffill 至日頻;動能/波動 = N 個交易日價量",
    "rebalance": "每月再平衡;推薦版取綜合分數前 20 名後以 60 日波動率倒數加權(v2 為分數平方加權、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"
  }
}