{ "run_date": "2026-10-31", "finlab_version": "2.2.24", "data_end": "2026-10-30", "base_strategy": { "name": "月營收動能（monthly-revenue-momentum）", "start": "2015-01-01", "by_n": { "8": { "strategy": { "start": "2015-02-11", "end": "2026-10-30", "cagr": 0.417631, "sharpe": 1.259356, "mdd": -0.404458, "total_return": 58.649065 }, "bench": { "start": "2015-02-11", "end": "2026-10-30", "cagr": 0.202452, "sharpe": 1.063985, "mdd": -0.33957, "total_return": 7.669916 }, "win": true }, "10": { "strategy": { "start": "2015-02-11", "end": "2026-10-30", "cagr": 0.459121, "sharpe": 1.422889, "mdd": -0.355509, "total_return": 82.631925 }, "bench": { "start": "2015-02-11", "end": "2026-10-30", "cagr": 0.202452, "sharpe": 1.063985, "mdd": -0.33957, "total_return": 7.669916 }, "win": true }, "12": { "strategy": { "start": "2015-02-11", "end": "2026-10-30", "cagr": 0.462612, "sharpe": 1.486104, "mdd": -0.342578, "total_return": 85.006622 }, "bench": { "start": "2015-02-11", "end": "2026-10-30", "cagr": 0.202452, "sharpe": 1.063985, "mdd": -0.33957, "total_return": 7.669916 }, "win": true } }, "halves_n10": [ { "strategy": { "start": "2015-02-11", "end": "2020-12-18", "cagr": 0.397893, "sharpe": 1.381235, "mdd": -0.355509, "total_return": 6.098005 }, "bench": { "start": "2015-02-11", "end": "2020-12-18", "cagr": 0.131997, "sharpe": 0.868818, "mdd": -0.282177, "total_return": 1.065556 }, "win": true }, { "strategy": { "start": "2020-12-21", "end": "2026-10-30", "cagr": 0.524106, "sharpe": 1.470284, "mdd": -0.354559, "total_return": 10.797346 }, "bench": { "start": "2020-12-21", "end": "2026-10-30", "cagr": 0.27544, "sharpe": 1.223312, "mdd": -0.33957, "total_return": 3.156933 }, "win": true } ] }, "leveraged_buy_hold": { "strategy": { "start": "2014-11-03", "end": "2026-10-30", "cagr": 0.351189, "sharpe": 1.009744, "mdd": -0.551437, "total_return": 35.911591 }, "bench": { "start": "2014-11-03", "end": "2026-10-30", "cagr": 0.202458, "sharpe": 1.067807, "mdd": -0.33957, "total_return": 8.119272 }, "win": false }, "designs": { "1": { "name": "預測法說日前 N 日買進", "x": { "name": "預測法說日前進場交易日 N", "values": [ 5, 10, 20 ] }, "y": { "name": "出場（相對預測法說日）e", "values": [ -1, 0, 1 ] }, "base": [ 10, 0 ], "grid": [ { "strategy": { "start": "2007-12-28", "end": "2026-10-30", "cagr": -0.314487, "sharpe": -1.525876, "mdd": -0.999434, "total_return": -0.999186 }, "bench": { "start": "2007-12-28", "end": "2026-10-30", "cagr": 0.143074, "sharpe": 0.762564, "mdd": -0.523828, "total_return": 11.418538 }, "win": false, "x": 5, "y": -1, "trades": { "trades": 26695, "trades_per_year": 1417.0, "avg_hold_days": 6.2, "win_rate": 0.4362, "mean_return": -0.003314, "invested": 0.9663, "avg_holdings": 24.8 } }, { "strategy": { "start": "2007-12-28", "end": "2026-10-30", "cagr": -0.251354, "sharpe": -1.164795, "mdd": -0.997497, "total_return": -0.99572 }, "bench": { "start": "2007-12-28", "end": "2026-10-30", "cagr": 0.143074, "sharpe": 0.762564, "mdd": -0.523828, "total_return": 11.418538 }, "win": false, "x": 5, "y": 0, "trades": { "trades": 26310, "trades_per_year": 1396.6, "avg_hold_days": 7.8, "win_rate": 0.4483, "mean_return": -0.002132, "invested": 0.9775, "avg_holdings": 30.4 } }, { "strategy": { "start": "2007-12-28", "end": "2026-10-30", "cagr": -0.218072, "sharpe": -0.999345, "mdd": -0.994058, "total_return": -0.990287 }, "bench": { "start": "2007-12-28", "end": "2026-10-30", "cagr": 0.143074, "sharpe": 0.762564, "mdd": -0.523828, "total_return": 11.418538 }, "win": false, "x": 5, "y": 1, "trades": { "trades": 25984, "trades_per_year": 1379.3, "avg_hold_days": 9.3, "win_rate": 0.4557, "mean_return": -0.000951, "invested": 0.9859, "avg_holdings": 35.9 } }, { "strategy": { "start": "2007-12-21", "end": "2026-10-30", "cagr": -0.123084, "sharpe": -0.493702, "mdd": -0.964241, "total_return": -0.915999 }, "bench": { "start": "2007-12-21", "end": "2026-10-30", "cagr": 0.145199, "sharpe": 0.771792, "mdd": -0.523828, "total_return": 11.894142 }, "win": false, "x": 10, "y": -1, "trades": { "trades": 25043, "trades_per_year": 1328.0, "avg_hold_days": 14.2, "win_rate": 0.4609, "mean_return": -0.000567, "invested": 0.9959, "avg_holdings": 52.2 } }, { "strategy": { "start": "2007-12-21", "end": "2026-10-30", "cagr": -0.098853, "sharpe": -0.374133, "mdd": -0.94115, "total_return": -0.859551 }, "bench": { "start": "2007-12-21", "end": "2026-10-30", "cagr": 0.145199, "sharpe": 0.771792, "mdd": -0.523828, "total_return": 11.894142 }, "win": false, "x": 10, "y": 0, "trades": { "trades": 24703, "trades_per_year": 1309.9, "avg_hold_days": 15.9, "win_rate": 0.4666, "mean_return": 0.000583, "invested": 0.9972, "avg_holdings": 57.5 } }, { "strategy": { "start": "2007-12-21", "end": "2026-10-30", "cagr": -0.091523, "sharpe": -0.342517, "mdd": -0.928313, "total_return": -0.836366 }, "bench": { "start": "2007-12-21", "end": "2026-10-30", "cagr": 0.145199, "sharpe": 0.771792, "mdd": -0.523828, "total_return": 11.894142 }, "win": false, "x": 10, "y": 1, "trades": { "trades": 24418, "trades_per_year": 1294.8, "avg_hold_days": 17.4, "win_rate": 0.4734, "mean_return": 0.001754, "invested": 0.9983, "avg_holdings": 62.8 } }, { "strategy": { "start": "2007-12-07", "end": "2026-10-30", "cagr": -0.024674, "sharpe": -0.011871, "mdd": -0.763829, "total_return": -0.376315 }, "bench": { "start": "2007-12-07", "end": "2026-10-30", "cagr": 0.140278, "sharpe": 0.749376, "mdd": -0.523828, "total_return": 10.948436 }, "win": false, "x": 20, "y": -1, "trades": { "trades": 21511, "trades_per_year": 1138.4, "avg_hold_days": 32.8, "win_rate": 0.4827, "mean_return": 0.0076, "invested": 0.9994, "avg_holdings": 102.4 } }, { "strategy": { "start": "2007-12-07", "end": "2026-10-30", "cagr": -0.017952, "sharpe": 0.020947, "mdd": -0.729466, "total_return": -0.289875 }, "bench": { "start": "2007-12-07", "end": "2026-10-30", "cagr": 0.140278, "sharpe": 0.749376, "mdd": -0.523828, "total_return": 10.948436 }, "win": false, "x": 20, "y": 0, "trades": { "trades": 21111, "trades_per_year": 1117.2, "avg_hold_days": 35.0, "win_rate": 0.4883, "mean_return": 0.008856, "invested": 0.9996, "avg_holdings": 107.0 } }, { "strategy": { "start": "2007-12-07", "end": "2026-10-30", "cagr": -0.012494, "sharpe": 0.047337, "mdd": -0.710514, "total_return": -0.211462 }, "bench": { "start": "2007-12-07", "end": "2026-10-30", "cagr": 0.140278, "sharpe": 0.749376, "mdd": -0.523828, "total_return": 10.948436 }, "win": false, "x": 20, "y": 1, "trades": { "trades": 20774, "trades_per_year": 1099.3, "avg_hold_days": 36.9, "win_rate": 0.4926, "mean_return": 0.010182, "invested": 0.9998, "avg_holdings": 111.6 } } ], "grid_wins": 0, "base_default_cost": { "strategy": { "start": "2007-12-21", "end": "2026-10-30", "cagr": -0.098853, "sharpe": -0.374133, "mdd": -0.94115, "total_return": -0.859551 }, "bench": { "start": "2007-12-21", "end": "2026-10-30", "cagr": 0.145199, "sharpe": 0.771792, "mdd": -0.523828, "total_return": 11.894142 }, "win": false, "x": 10, "y": 0, "trades": { "trades": 24703, "trades_per_year": 1309.9, "avg_hold_days": 15.9, "win_rate": 0.4666, "mean_return": 0.000583, "invested": 0.9972, "avg_holdings": 57.5 } }, "halves": [ { "strategy": { "start": "2007-12-21", "end": "2017-05-26", "cagr": -0.163033, "sharpe": -0.666841, "mdd": -0.873536, "total_return": -0.813275 }, "bench": { "start": "2007-12-21", "end": "2017-05-26", "cagr": 0.062599, "sharpe": 0.400218, "mdd": -0.523828, "total_return": 0.772725 }, "win": false }, { "strategy": { "start": "2017-05-26", "end": "2026-10-30", "cagr": -0.029752, "sharpe": -0.045028, "mdd": -0.585313, "total_return": -0.24783 }, "bench": { "start": "2017-05-26", "end": "2026-10-30", "cagr": 0.234219, "sharpe": 1.152098, "mdd": -0.33957, "total_return": 6.273627 }, "win": false } ], "base_zero_cost": { "strategy": { "start": "2007-12-24", "end": "2026-10-30", "cagr": 0.127469, "sharpe": 0.670114, "mdd": -0.569905, "total_return": 8.59792 }, "bench": { "start": "2007-12-24", "end": "2026-10-30", "cagr": 0.144854, "sharpe": 0.770116, "mdd": -0.523828, "total_return": 11.806946 }, "win": false }, "best_year_removed": { "best_year": 2007, "excess_that_year": 0.084453, "strategy_sharpe": -0.407259, "bench_sharpe": 0.760329, "win": false }, "pass": { "neighbors": false, "halves": false, "cost": false, "best_year": null, "all": false } }, "2": { "name": "法說反應為正後持有", "x": { "name": "兩日超額反應門檻 θ", "values": [ 0.0, 0.02, 0.04 ] }, "y": { "name": "持有交易日 H", "values": [ 40, 60, 80 ] }, "base": [ 0.02, 60 ], "grid": [ { "strategy": { "start": "2007-05-22", "end": "2026-10-30", "cagr": 0.035523, "sharpe": 0.275354, "mdd": -0.690245, "total_return": 0.971197 }, "bench": { "start": "2007-05-22", "end": "2026-10-30", "cagr": 0.141627, "sharpe": 0.752773, "mdd": -0.557528, "total_return": 12.132782 }, "win": false, "x": 0.0, "y": 40, "trades": { "trades": 11405, "trades_per_year": 586.6, "avg_hold_days": 70.1, "win_rate": 0.4701, "mean_return": 0.019988, "invested": 0.9998, "avg_holdings": 112.3 } }, { "strategy": { "start": "2007-05-22", "end": "2026-10-30", "cagr": 0.067107, "sharpe": 0.420855, "mdd": -0.648735, "total_return": 2.535092 }, "bench": { "start": "2007-05-22", "end": "2026-10-30", "cagr": 0.141627, "sharpe": 0.752773, "mdd": -0.557528, "total_return": 12.132782 }, "win": false, "x": 0.0, "y": 60, "trades": { "trades": 9420, "trades_per_year": 484.5, "avg_hold_days": 117.6, "win_rate": 0.4818, "mean_return": 0.054255, "invested": 0.9998, "avg_holdings": 154.9 } }, { "strategy": { "start": "2007-05-22", "end": "2026-10-30", "cagr": 0.078371, "sharpe": 0.472228, "mdd": -0.645324, "total_return": 3.335755 }, "bench": { "start": "2007-05-22", "end": "2026-10-30", "cagr": 0.141627, "sharpe": 0.752773, "mdd": -0.557528, "total_return": 12.132782 }, "win": false, "x": 0.0, "y": 80, "trades": { "trades": 7686, "trades_per_year": 395.3, "avg_hold_days": 175.5, "win_rate": 0.4859, "mean_return": 0.090588, "invested": 0.9998, "avg_holdings": 188.9 } }, { "strategy": { "start": "2007-05-22", "end": "2026-10-30", "cagr": 0.046166, "sharpe": 0.316541, "mdd": -0.685154, "total_return": 1.40474 }, "bench": { "start": "2007-05-22", "end": "2026-10-30", "cagr": 0.141627, "sharpe": 0.752773, "mdd": -0.557528, "total_return": 12.132782 }, "win": false, "x": 0.02, "y": 40, "trades": { "trades": 6596, "trades_per_year": 339.3, "avg_hold_days": 64.9, "win_rate": 0.465, "mean_return": 0.025111, "invested": 0.9998, "avg_holdings": 60.1 } }, { "strategy": { "start": "2007-05-22", "end": "2026-10-30", "cagr": 0.079169, "sharpe": 0.456817, "mdd": -0.651032, "total_return": 3.398512 }, "bench": { "start": "2007-05-22", "end": "2026-10-30", "cagr": 0.141627, "sharpe": 0.752773, "mdd": -0.557528, "total_return": 12.132782 }, "win": false, "x": 0.02, "y": 60, "trades": { "trades": 5921, "trades_per_year": 304.6, "avg_hold_days": 103.3, "win_rate": 0.4824, "mean_return": 0.058684, "invested": 0.9998, "avg_holdings": 85.6 } }, { "strategy": { "start": "2007-05-22", "end": "2026-10-30", "cagr": 0.090569, "sharpe": 0.50639, "mdd": -0.639937, "total_return": 4.395547 }, "bench": { "start": "2007-05-22", "end": "2026-10-30", "cagr": 0.141627, "sharpe": 0.752773, "mdd": -0.557528, "total_return": 12.132782 }, "win": false, "x": 0.02, "y": 80, "trades": { "trades": 5246, "trades_per_year": 269.8, "avg_hold_days": 146.8, "win_rate": 0.4884, "mean_return": 0.087676, "invested": 0.9998, "avg_holdings": 107.8 } }, { "strategy": { "start": "2007-05-22", "end": "2026-10-30", "cagr": 0.069574, "sharpe": 0.400335, "mdd": -0.700599, "total_return": 2.697466 }, "bench": { "start": "2007-05-22", "end": "2026-10-30", "cagr": 0.141627, "sharpe": 0.752773, "mdd": -0.557528, "total_return": 12.132782 }, "win": false, "x": 0.04, "y": 40, "trades": { "trades": 3749, "trades_per_year": 192.8, "avg_hold_days": 62.5, "win_rate": 0.4676, "mean_return": 0.032343, "invested": 0.9998, "avg_holdings": 32.9 } }, { "strategy": { "start": "2007-05-22", "end": "2026-10-30", "cagr": 0.106511, "sharpe": 0.544664, "mdd": -0.666964, "total_return": 6.154302 }, "bench": { "start": "2007-05-22", "end": "2026-10-30", "cagr": 0.141627, "sharpe": 0.752773, "mdd": -0.557528, "total_return": 12.132782 }, "win": false, "x": 0.04, "y": 60, "trades": { "trades": 3493, "trades_per_year": 179.7, "avg_hold_days": 97.4, "win_rate": 0.4824, "mean_return": 0.066141, "invested": 0.9998, "avg_holdings": 47.6 } }, { "strategy": { "start": "2007-05-22", "end": "2026-10-30", "cagr": 0.115606, "sharpe": 0.583361, "mdd": -0.640121, "total_return": 7.388445 }, "bench": { "start": "2007-05-22", "end": "2026-10-30", "cagr": 0.141627, "sharpe": 0.752773, "mdd": -0.557528, "total_return": 12.132782 }, "win": false, "x": 0.04, "y": 80, "trades": { "trades": 3223, "trades_per_year": 165.8, "avg_hold_days": 135.1, "win_rate": 0.4921, "mean_return": 0.09896, "invested": 0.9998, "avg_holdings": 61.0 } } ], "grid_wins": 0, "base_default_cost": { "strategy": { "start": "2007-05-22", "end": "2026-10-30", "cagr": 0.079169, "sharpe": 0.456817, "mdd": -0.651032, "total_return": 3.398512 }, "bench": { "start": "2007-05-22", "end": "2026-10-30", "cagr": 0.141627, "sharpe": 0.752773, "mdd": -0.557528, "total_return": 12.132782 }, "win": false, "x": 0.02, "y": 60, "trades": { "trades": 5921, "trades_per_year": 304.6, "avg_hold_days": 103.3, "win_rate": 0.4824, "mean_return": 0.058684, "invested": 0.9998, "avg_holdings": 85.6 } }, "halves": [ { "strategy": { "start": "2007-05-22", "end": "2017-02-08", "cagr": 0.003687, "sharpe": 0.133522, "mdd": -0.651032, "total_return": 0.036421 }, "bench": { "start": "2007-05-22", "end": "2017-02-08", "cagr": 0.055055, "sharpe": 0.361762, "mdd": -0.557528, "total_return": 0.683523 }, "win": false }, { "strategy": { "start": "2017-02-09", "end": "2026-10-30", "cagr": 0.15982, "sharpe": 0.798978, "mdd": -0.378221, "total_return": 3.2251 }, "bench": { "start": "2017-02-09", "end": "2026-10-30", "cagr": 0.234907, "sharpe": 1.166314, "mdd": -0.33957, "total_return": 6.773689 }, "win": false } ], "base_zero_cost": { "strategy": { "start": "2007-05-23", "end": "2026-10-30", "cagr": 0.122972, "sharpe": 0.635363, "mdd": -0.631631, "total_return": 8.530417 }, "bench": { "start": "2007-05-23", "end": "2026-10-30", "cagr": 0.141403, "sharpe": 0.751806, "mdd": -0.557528, "total_return": 12.078107 }, "win": false }, "best_year_removed": { "best_year": 2009, "excess_that_year": 0.299858, "strategy_sharpe": 0.302105, "bench_sharpe": 0.646487, "win": false }, "pass": { "neighbors": false, "halves": false, "cost": false, "best_year": null, "all": false } }, "3": { "name": "股東常會前買進", "x": { "name": "股東會前進場交易日 k", "values": [ 5, 10, 20 ] }, "y": { "name": "出場（相對股東會）j", "values": [ -3, 0, 3 ] }, "base": [ 10, 0 ], "grid": [ { "strategy": { "start": "2007-05-22", "end": "2026-10-30", "cagr": -0.125799, "sharpe": -0.929469, "mdd": -0.930885, "total_return": -0.926745 }, "bench": { "start": "2007-05-22", "end": "2026-10-30", "cagr": 0.141627, "sharpe": 0.752773, "mdd": -0.557528, "total_return": 12.132782 }, "win": false, "x": 5, "y": -3, "trades": { "trades": 12853, "trades_per_year": 661.1, "avg_hold_days": 3.0, "win_rate": 0.4, "mean_return": -0.004111, "invested": 0.1863, "avg_holdings": 28.9 } }, { "strategy": { "start": "2007-05-22", "end": "2026-10-30", "cagr": -0.034831, "sharpe": -0.165491, "mdd": -0.631635, "total_return": -0.498047 }, "bench": { "start": "2007-05-22", "end": "2026-10-30", "cagr": 0.141627, "sharpe": 0.752773, "mdd": -0.557528, "total_return": 12.132782 }, "win": false, "x": 5, "y": 0, "trades": { "trades": 12861, "trades_per_year": 661.5, "avg_hold_days": 7.2, "win_rate": 0.4402, "mean_return": -0.002206, "invested": 0.2308, "avg_holdings": 58.3 } }, { "strategy": { "start": "2007-05-22", "end": "2026-10-30", "cagr": -0.027377, "sharpe": -0.102922, "mdd": -0.606496, "total_return": -0.417064 }, "bench": { "start": "2007-05-22", "end": "2026-10-30", "cagr": 0.141627, "sharpe": 0.752773, "mdd": -0.557528, "total_return": 12.132782 }, "win": false, "x": 5, "y": 3, "trades": { "trades": 12862, "trades_per_year": 661.6, "avg_hold_days": 11.9, "win_rate": 0.4627, "mean_return": 0.002288, "invested": 0.2549, "avg_holdings": 84.4 } }, { "strategy": { "start": "2007-05-21", "end": "2026-10-30", "cagr": -0.054983, "sharpe": -0.303286, "mdd": -0.74692, "total_return": -0.666999 }, "bench": { "start": "2007-05-21", "end": "2026-10-30", "cagr": 0.141802, "sharpe": 0.753535, "mdd": -0.557528, "total_return": 12.176851 }, "win": false, "x": 10, "y": -3, "trades": { "trades": 12941, "trades_per_year": 665.5, "avg_hold_days": 10.2, "win_rate": 0.4548, "mean_return": 0.000301, "invested": 0.2517, "avg_holdings": 75.2 } }, { "strategy": { "start": "2007-05-21", "end": "2026-10-30", "cagr": -0.039142, "sharpe": -0.185331, "mdd": -0.710821, "total_return": -0.539928 }, "bench": { "start": "2007-05-21", "end": "2026-10-30", "cagr": 0.141802, "sharpe": 0.753535, "mdd": -0.557528, "total_return": 12.176851 }, "win": false, "x": 10, "y": 0, "trades": { "trades": 12947, "trades_per_year": 665.9, "avg_hold_days": 14.4, "win_rate": 0.4673, "mean_return": 0.002083, "invested": 0.2716, "avg_holdings": 99.6 } }, { "strategy": { "start": "2007-05-21", "end": "2026-10-30", "cagr": -0.038563, "sharpe": -0.169537, "mdd": -0.599362, "total_return": -0.534507 }, "bench": { "start": "2007-05-21", "end": "2026-10-30", "cagr": 0.141802, "sharpe": 0.753535, "mdd": -0.557528, "total_return": 12.176851 }, "win": false, "x": 10, "y": 3, "trades": { "trades": 12948, "trades_per_year": 665.9, "avg_hold_days": 19.1, "win_rate": 0.4843, "mean_return": 0.006545, "invested": 0.2886, "avg_holdings": 121.9 } }, { "strategy": { "start": "2007-05-21", "end": "2026-10-30", "cagr": -0.075703, "sharpe": -0.394258, "mdd": -0.857794, "total_return": -0.783613 }, "bench": { "start": "2007-05-21", "end": "2026-10-30", "cagr": 0.141802, "sharpe": 0.753535, "mdd": -0.557528, "total_return": 12.176851 }, "win": false, "x": 20, "y": -3, "trades": { "trades": 12777, "trades_per_year": 657.1, "avg_hold_days": 24.5, "win_rate": 0.4978, "mean_return": 0.011906, "invested": 0.3235, "avg_holdings": 140.1 } }, { "strategy": { "start": "2007-05-21", "end": "2026-10-30", "cagr": -0.083459, "sharpe": -0.424882, "mdd": -0.855917, "total_return": -0.816315 }, "bench": { "start": "2007-05-21", "end": "2026-10-30", "cagr": 0.141802, "sharpe": 0.753535, "mdd": -0.557528, "total_return": 12.176851 }, "win": false, "x": 20, "y": 0, "trades": { "trades": 12785, "trades_per_year": 657.5, "avg_hold_days": 28.7, "win_rate": 0.5026, "mean_return": 0.01339, "invested": 0.3411, "avg_holdings": 156.4 } }, { "strategy": { "start": "2007-05-21", "end": "2026-10-30", "cagr": -0.090816, "sharpe": -0.441157, "mdd": -0.866423, "total_return": -0.842958 }, "bench": { "start": "2007-05-21", "end": "2026-10-30", "cagr": 0.141802, "sharpe": 0.753535, "mdd": -0.557528, "total_return": 12.176851 }, "win": false, "x": 20, "y": 3, "trades": { "trades": 12787, "trades_per_year": 657.6, "avg_hold_days": 33.3, "win_rate": 0.5065, "mean_return": 0.017396, "invested": 0.358, "avg_holdings": 171.4 } } ], "grid_wins": 0, "base_default_cost": { "strategy": { "start": "2007-05-21", "end": "2026-10-30", "cagr": -0.039142, "sharpe": -0.185331, "mdd": -0.710821, "total_return": -0.539928 }, "bench": { "start": "2007-05-21", "end": "2026-10-30", "cagr": 0.141802, "sharpe": 0.753535, "mdd": -0.557528, "total_return": 12.176851 }, "win": false, "x": 10, "y": 0, "trades": { "trades": 12947, "trades_per_year": 665.9, "avg_hold_days": 14.4, "win_rate": 0.4673, "mean_return": 0.002083, "invested": 0.2716, "avg_holdings": 99.6 } }, "halves": [ { "strategy": { "start": "2007-05-21", "end": "2017-02-08", "cagr": -0.080566, "sharpe": -0.488541, "mdd": -0.680484, "total_return": -0.558078 }, "bench": { "start": "2007-05-21", "end": "2017-02-08", "cagr": 0.055403, "sharpe": 0.363324, "mdd": -0.557528, "total_return": 0.689172 }, "win": false }, { "strategy": { "start": "2017-03-24", "end": "2026-10-30", "cagr": 0.004201, "sharpe": 0.107471, "mdd": -0.449038, "total_return": 0.041072 }, "bench": { "start": "2017-03-24", "end": "2026-10-30", "cagr": 0.234144, "sharpe": 1.159106, "mdd": -0.33957, "total_return": 6.538122 }, "win": false } ], "base_zero_cost": { "strategy": { "start": "2007-05-22", "end": "2026-10-30", "cagr": 0.034124, "sharpe": 0.299279, "mdd": -0.406294, "total_return": 0.920041 }, "bench": { "start": "2007-05-22", "end": "2026-10-30", "cagr": 0.141627, "sharpe": 0.752773, "mdd": -0.557528, "total_return": 12.132782 }, "win": false }, "best_year_removed": { "best_year": 2008, "excess_that_year": 0.346142, "strategy_sharpe": -0.171561, "bench_sharpe": 1.001879, "win": false }, "pass": { "neighbors": false, "halves": false, "cost": false, "best_year": null, "all": false } }, "4": { "name": "季底作帳：投信買超股季底前買進", "x": { "name": "季底前進場交易日 N", "values": [ 5, 10, 20 ] }, "y": { "name": "投信買超前 K 檔", "values": [ 10, 20, 30 ] }, "base": [ 10, 20 ], "grid": [ { "strategy": { "start": "2013-06-20", "end": "2026-10-30", "cagr": -0.008576, "sharpe": -0.062304, "mdd": -0.298721, "total_return": -0.108698 }, "bench": { "start": "2013-06-20", "end": "2026-10-30", "cagr": 0.20106, "sharpe": 1.089888, "mdd": -0.33957, "total_return": 10.562254 }, "win": false, "x": 5, "y": 10, "trades": { "trades": 540, "trades_per_year": 40.4, "avg_hold_days": 7.2, "win_rate": 0.4815, "mean_return": -0.001547, "invested": 0.0827, "avg_holdings": 10.0 } }, { "strategy": { "start": "2013-06-20", "end": "2026-10-30", "cagr": -0.017641, "sharpe": -0.204254, "mdd": -0.32196, "total_return": -0.211643 }, "bench": { "start": "2013-06-20", "end": "2026-10-30", "cagr": 0.20106, "sharpe": 1.089888, "mdd": -0.33957, "total_return": 10.562254 }, "win": false, "x": 5, "y": 20, "trades": { "trades": 1080, "trades_per_year": 80.8, "avg_hold_days": 7.2, "win_rate": 0.4454, "mean_return": -0.003922, "invested": 0.0827, "avg_holdings": 20.0 } }, { "strategy": { "start": "2013-06-20", "end": "2026-10-30", "cagr": -0.018014, "sharpe": -0.223257, "mdd": -0.321151, "total_return": -0.215635 }, "bench": { "start": "2013-06-20", "end": "2026-10-30", "cagr": 0.20106, "sharpe": 1.089888, "mdd": -0.33957, "total_return": 10.562254 }, "win": false, "x": 5, "y": 30, "trades": { "trades": 1620, "trades_per_year": 121.3, "avg_hold_days": 7.2, "win_rate": 0.4352, "mean_return": -0.004088, "invested": 0.0827, "avg_holdings": 30.0 } }, { "strategy": { "start": "2013-06-13", "end": "2026-10-30", "cagr": 0.002606, "sharpe": 0.084269, "mdd": -0.315004, "total_return": 0.035431 }, "bench": { "start": "2013-06-13", "end": "2026-10-30", "cagr": 0.199514, "sharpe": 1.083033, "mdd": -0.33957, "total_return": 10.404587 }, "win": false, "x": 10, "y": 10, "trades": { "trades": 540, "trades_per_year": 40.4, "avg_hold_days": 14.4, "win_rate": 0.4556, "mean_return": 0.00181, "invested": 0.1652, "avg_holdings": 10.0 } }, { "strategy": { "start": "2013-06-13", "end": "2026-10-30", "cagr": -0.002832, "sharpe": 0.029419, "mdd": -0.315831, "total_return": -0.03723 }, "bench": { "start": "2013-06-13", "end": "2026-10-30", "cagr": 0.199514, "sharpe": 1.083033, "mdd": -0.33957, "total_return": 10.404587 }, "win": false, "x": 10, "y": 20, "trades": { "trades": 1080, "trades_per_year": 80.7, "avg_hold_days": 14.4, "win_rate": 0.4444, "mean_return": 0.000127, "invested": 0.1652, "avg_holdings": 20.0 } }, { "strategy": { "start": "2013-06-13", "end": "2026-10-30", "cagr": -0.004424, "sharpe": 0.006699, "mdd": -0.317413, "total_return": -0.057596 }, "bench": { "start": "2013-06-13", "end": "2026-10-30", "cagr": 0.199514, "sharpe": 1.083033, "mdd": -0.33957, "total_return": 10.404587 }, "win": false, "x": 10, "y": 30, "trades": { "trades": 1620, "trades_per_year": 121.1, "avg_hold_days": 14.4, "win_rate": 0.4284, "mean_return": -0.000399, "invested": 0.1652, "avg_holdings": 30.0 } }, { "strategy": { "start": "2013-05-29", "end": "2026-10-30", "cagr": -0.042993, "sharpe": -0.172923, "mdd": -0.608944, "total_return": -0.445551 }, "bench": { "start": "2013-05-29", "end": "2026-10-30", "cagr": 0.19465, "sharpe": 1.061319, "mdd": -0.33957, "total_return": 9.880352 }, "win": false, "x": 20, "y": 10, "trades": { "trades": 540, "trades_per_year": 40.2, "avg_hold_days": 28.6, "win_rate": 0.4222, "mean_return": -0.007988, "invested": 0.3294, "avg_holdings": 10.0 } }, { "strategy": { "start": "2013-05-29", "end": "2026-10-30", "cagr": -0.040317, "sharpe": -0.1932, "mdd": -0.543405, "total_return": -0.424374 }, "bench": { "start": "2013-05-29", "end": "2026-10-30", "cagr": 0.19465, "sharpe": 1.061319, "mdd": -0.33957, "total_return": 9.880352 }, "win": false, "x": 20, "y": 20, "trades": { "trades": 1080, "trades_per_year": 80.5, "avg_hold_days": 28.6, "win_rate": 0.4185, "mean_return": -0.007987, "invested": 0.3294, "avg_holdings": 20.0 } }, { "strategy": { "start": "2013-05-29", "end": "2026-10-30", "cagr": -0.029723, "sharpe": -0.137531, "mdd": -0.473466, "total_return": -0.332998 }, "bench": { "start": "2013-05-29", "end": "2026-10-30", "cagr": 0.19465, "sharpe": 1.061319, "mdd": -0.33957, "total_return": 9.880352 }, "win": false, "x": 20, "y": 30, "trades": { "trades": 1620, "trades_per_year": 120.7, "avg_hold_days": 28.6, "win_rate": 0.4228, "mean_return": -0.005581, "invested": 0.3294, "avg_holdings": 30.0 } } ], "grid_wins": 0, "base_default_cost": { "strategy": { "start": "2013-06-13", "end": "2026-10-30", "cagr": -0.002832, "sharpe": 0.029419, "mdd": -0.315831, "total_return": -0.03723 }, "bench": { "start": "2013-06-13", "end": "2026-10-30", "cagr": 0.199514, "sharpe": 1.083033, "mdd": -0.33957, "total_return": 10.404587 }, "win": false, "x": 10, "y": 20, "trades": { "trades": 1080, "trades_per_year": 80.7, "avg_hold_days": 14.4, "win_rate": 0.4444, "mean_return": 0.000127, "invested": 0.1652, "avg_holdings": 20.0 } }, "halves": [ { "strategy": { "start": "2013-06-13", "end": "2020-02-20", "cagr": -0.004012, "sharpe": 0.003249, "mdd": -0.19591, "total_return": -0.026529 }, "bench": { "start": "2013-06-13", "end": "2020-02-20", "cagr": 0.116732, "sharpe": 0.879147, "mdd": -0.209622, "total_return": 1.092713 }, "win": false }, { "strategy": { "start": "2020-03-16", "end": "2026-10-30", "cagr": -0.001668, "sharpe": 0.049909, "mdd": -0.315831, "total_return": -0.010993 }, "bench": { "start": "2020-03-16", "end": "2026-10-30", "cagr": 0.325526, "sharpe": 1.393113, "mdd": -0.33957, "total_return": 5.46487 }, "win": false } ], "base_zero_cost": { "strategy": { "start": "2013-06-14", "end": "2026-10-30", "cagr": 0.021041, "sharpe": 0.248974, "mdd": -0.252961, "total_return": 0.321206 }, "bench": { "start": "2013-06-14", "end": "2026-10-30", "cagr": 0.199885, "sharpe": 1.084698, "mdd": -0.33957, "total_return": 10.446209 }, "win": false }, "best_year_removed": { "best_year": 2015, "excess_that_year": 0.141979, "strategy_sharpe": -0.028573, "bench_sharpe": 1.181088, "win": false }, "pass": { "neighbors": false, "halves": false, "cost": false, "best_year": null, "all": false } }, "5": { "name": "元月效應：年底買市值最小股", "x": { "name": "新年第 H 個交易日賣", "values": [ 5, 10, 20 ] }, "y": { "name": "市值最小 n 檔", "values": [ 30, 50, 100 ] }, "base": [ 10, 50 ], "grid": [ { "strategy": { "start": "2013-12-30", "end": "2026-10-30", "cagr": 0.005464, "sharpe": 0.322369, "mdd": -0.085052, "total_return": 0.072421 }, "bench": { "start": "2013-12-30", "end": "2026-10-30", "cagr": 0.200405, "sharpe": 1.077528, "mdd": -0.33957, "total_return": 9.42222 }, "win": false, "x": 5, "y": 30, "trades": { "trades": 390, "trades_per_year": 30.4, "avg_hold_days": 8.9, "win_rate": 0.3923, "mean_return": 0.005736, "invested": 0.0208, "avg_holdings": 30.0 } }, { "strategy": { "start": "2013-12-30", "end": "2026-10-30", "cagr": 0.003, "sharpe": 0.206213, "mdd": -0.068455, "total_return": 0.03919 }, "bench": { "start": "2013-12-30", "end": "2026-10-30", "cagr": 0.200405, "sharpe": 1.077528, "mdd": -0.33957, "total_return": 9.42222 }, "win": false, "x": 5, "y": 50, "trades": { "trades": 650, "trades_per_year": 50.7, "avg_hold_days": 8.9, "win_rate": 0.3892, "mean_return": 0.003179, "invested": 0.0208, "avg_holdings": 50.0 } }, { "strategy": { "start": "2013-12-30", "end": "2026-10-30", "cagr": 0.000804, "sharpe": 0.070065, "mdd": -0.041833, "total_return": 0.010372 }, "bench": { "start": "2013-12-30", "end": "2026-10-30", "cagr": 0.200405, "sharpe": 1.077528, "mdd": -0.33957, "total_return": 9.42222 }, "win": false, "x": 5, "y": 100, "trades": { "trades": 1298, "trades_per_year": 101.2, "avg_hold_days": 8.9, "win_rate": 0.379, "mean_return": 0.000936, "invested": 0.0208, "avg_holdings": 99.8 } }, { "strategy": { "start": "2013-12-30", "end": "2026-10-30", "cagr": 0.006858, "sharpe": 0.300519, "mdd": -0.096655, "total_return": 0.09167 }, "bench": { "start": "2013-12-30", "end": "2026-10-30", "cagr": 0.200405, "sharpe": 1.077528, "mdd": -0.33957, "total_return": 9.42222 }, "win": false, "x": 10, "y": 30, "trades": { "trades": 390, "trades_per_year": 30.4, "avg_hold_days": 15.9, "win_rate": 0.4, "mean_return": 0.007276, "invested": 0.0415, "avg_holdings": 30.0 } }, { "strategy": { "start": "2013-12-30", "end": "2026-10-30", "cagr": 0.005084, "sharpe": 0.247955, "mdd": -0.079305, "total_return": 0.067245 }, "bench": { "start": "2013-12-30", "end": "2026-10-30", "cagr": 0.200405, "sharpe": 1.077528, "mdd": -0.33957, "total_return": 9.42222 }, "win": false, "x": 10, "y": 50, "trades": { "trades": 650, "trades_per_year": 50.7, "avg_hold_days": 15.9, "win_rate": 0.3923, "mean_return": 0.005487, "invested": 0.0415, "avg_holdings": 50.0 } }, { "strategy": { "start": "2013-12-30", "end": "2026-10-30", "cagr": -0.001295, "sharpe": -0.057355, "mdd": -0.10176, "total_return": -0.016496 }, "bench": { "start": "2013-12-30", "end": "2026-10-30", "cagr": 0.200405, "sharpe": 1.077528, "mdd": -0.33957, "total_return": 9.42222 }, "win": false, "x": 10, "y": 100, "trades": { "trades": 1298, "trades_per_year": 101.2, "avg_hold_days": 15.9, "win_rate": 0.3729, "mean_return": -0.000867, "invested": 0.0415, "avg_holdings": 99.8 } }, { "strategy": { "start": "2013-12-30", "end": "2026-10-30", "cagr": 0.028569, "sharpe": 0.82369, "mdd": -0.075264, "total_return": 0.435431 }, "bench": { "start": "2013-12-30", "end": "2026-10-30", "cagr": 0.200405, "sharpe": 1.077528, "mdd": -0.33957, "total_return": 9.42222 }, "win": false, "x": 20, "y": 30, "trades": { "trades": 390, "trades_per_year": 30.4, "avg_hold_days": 34.1, "win_rate": 0.4846, "mean_return": 0.029021, "invested": 0.0831, "avg_holdings": 30.0 } }, { "strategy": { "start": "2013-12-30", "end": "2026-10-30", "cagr": 0.026009, "sharpe": 0.8489, "mdd": -0.086091, "total_return": 0.390263 }, "bench": { "start": "2013-12-30", "end": "2026-10-30", "cagr": 0.200405, "sharpe": 1.077528, "mdd": -0.33957, "total_return": 9.42222 }, "win": false, "x": 20, "y": 50, "trades": { "trades": 650, "trades_per_year": 50.7, "avg_hold_days": 34.1, "win_rate": 0.4877, "mean_return": 0.026552, "invested": 0.0831, "avg_holdings": 50.0 } }, { "strategy": { "start": "2013-12-30", "end": "2026-10-30", "cagr": 0.016352, "sharpe": 0.594494, "mdd": -0.093919, "total_return": 0.231375 }, "bench": { "start": "2013-12-30", "end": "2026-10-30", "cagr": 0.200405, "sharpe": 1.077528, "mdd": -0.33957, "total_return": 9.42222 }, "win": false, "x": 20, "y": 100, "trades": { "trades": 1298, "trades_per_year": 101.2, "avg_hold_days": 34.1, "win_rate": 0.4599, "mean_return": 0.016814, "invested": 0.0831, "avg_holdings": 99.8 } } ], "grid_wins": 0, "base_default_cost": { "strategy": { "start": "2013-12-30", "end": "2026-10-30", "cagr": 0.005084, "sharpe": 0.247955, "mdd": -0.079305, "total_return": 0.067245 }, "bench": { "start": "2013-12-30", "end": "2026-10-30", "cagr": 0.200405, "sharpe": 1.077528, "mdd": -0.33957, "total_return": 9.42222 }, "win": false, "x": 10, "y": 50, "trades": { "trades": 650, "trades_per_year": 50.7, "avg_hold_days": 15.9, "win_rate": 0.3923, "mean_return": 0.005487, "invested": 0.0415, "avg_holdings": 50.0 } }, "halves": [ { "strategy": { "start": "2013-12-30", "end": "2020-05-29", "cagr": 0.009973, "sharpe": 0.459715, "mdd": -0.079305, "total_return": 0.065696 }, "bench": { "start": "2013-12-30", "end": "2020-05-29", "cagr": 0.092288, "sharpe": 0.664551, "mdd": -0.282177, "total_return": 0.761248 }, "win": false }, { "strategy": { "start": "2020-12-30", "end": "2026-10-30", "cagr": 0.000249, "sharpe": 0.022751, "mdd": -0.069705, "total_return": 0.001453 }, "bench": { "start": "2020-12-30", "end": "2026-10-30", "cagr": 0.272669, "sharpe": 1.21245, "mdd": -0.33957, "total_return": 3.080016 }, "win": false } ], "base_zero_cost": { "strategy": { "start": "2013-12-31", "end": "2026-10-30", "cagr": 0.011072, "sharpe": 0.53689, "mdd": -0.065467, "total_return": 0.151737 }, "bench": { "start": "2013-12-31", "end": "2026-10-30", "cagr": 0.200611, "sharpe": 1.078419, "mdd": -0.33957, "total_return": 9.439975 }, "win": false }, "best_year_removed": { "best_year": 2022, "excess_that_year": 0.21162, "strategy_sharpe": 0.294726, "bench_sharpe": 1.28516, "win": false }, "pass": { "neighbors": false, "halves": false, "cost": false, "best_year": null, "all": false } }, "6": { "name": "月底月初持有 0050", "x": { "name": "月底最後 k 個交易日", "values": [ 0, 1, 2 ] }, "y": { "name": "次月前 j 個交易日", "values": [ 2, 3, 4 ] }, "base": [ 1, 3 ], "grid": [ { "strategy": { "start": "2007-04-27", "end": "2026-10-30", "cagr": -0.04768, "sharpe": -0.690055, "mdd": -0.642737, "total_return": -0.614473 }, "bench": { "start": "2007-04-27", "end": "2026-10-30", "cagr": 0.143393, "sharpe": 0.760912, "mdd": -0.557528, "total_return": 12.658093 }, "win": false, "x": 0, "y": 2, "trades": { "trades": 234, "trades_per_year": 12.0, "avg_hold_days": 3.9, "win_rate": 0.4231, "mean_return": -0.003881, "invested": 0.0976, "avg_holdings": 1.0 } }, { "strategy": { "start": "2007-04-27", "end": "2026-10-30", "cagr": -0.038056, "sharpe": -0.426338, "mdd": -0.609085, "total_return": -0.53091 }, "bench": { "start": "2007-04-27", "end": "2026-10-30", "cagr": 0.143393, "sharpe": 0.760912, "mdd": -0.557528, "total_return": 12.658093 }, "win": false, "x": 0, "y": 3, "trades": { "trades": 234, "trades_per_year": 12.0, "avg_hold_days": 5.3, "win_rate": 0.4573, "mean_return": -0.002927, "invested": 0.1464, "avg_holdings": 1.0 } }, { "strategy": { "start": "2007-04-27", "end": "2026-10-30", "cagr": -0.034468, "sharpe": -0.30622, "mdd": -0.638862, "total_return": -0.495568 }, "bench": { "start": "2007-04-27", "end": "2026-10-30", "cagr": 0.143393, "sharpe": 0.760912, "mdd": -0.557528, "total_return": 12.658093 }, "win": false, "x": 0, "y": 4, "trades": { "trades": 234, "trades_per_year": 12.0, "avg_hold_days": 6.7, "win_rate": 0.4786, "mean_return": -0.002496, "invested": 0.1952, "avg_holdings": 1.0 } }, { "strategy": { "start": "2007-04-26", "end": "2026-10-30", "cagr": -0.033104, "sharpe": -0.360453, "mdd": -0.600074, "total_return": -0.481538 }, "bench": { "start": "2007-04-26", "end": "2026-10-30", "cagr": 0.143168, "sharpe": 0.759955, "mdd": -0.557528, "total_return": 12.610751 }, "win": false, "x": 1, "y": 2, "trades": { "trades": 235, "trades_per_year": 12.0, "avg_hold_days": 5.2, "win_rate": 0.4383, "mean_return": -0.002505, "invested": 0.1466, "avg_holdings": 1.0 } }, { "strategy": { "start": "2007-04-26", "end": "2026-10-30", "cagr": -0.023334, "sharpe": -0.195749, "mdd": -0.591966, "total_return": -0.369162 }, "bench": { "start": "2007-04-26", "end": "2026-10-30", "cagr": 0.143168, "sharpe": 0.759955, "mdd": -0.557528, "total_return": 12.610751 }, "win": false, "x": 1, "y": 3, "trades": { "trades": 235, "trades_per_year": 12.0, "avg_hold_days": 6.6, "win_rate": 0.4936, "mean_return": -0.001523, "invested": 0.1954, "avg_holdings": 1.0 } }, { "strategy": { "start": "2007-04-26", "end": "2026-10-30", "cagr": -0.019691, "sharpe": -0.124411, "mdd": -0.584824, "total_return": -0.321633 }, "bench": { "start": "2007-04-26", "end": "2026-10-30", "cagr": 0.143168, "sharpe": 0.759955, "mdd": -0.557528, "total_return": 12.610751 }, "win": false, "x": 1, "y": 4, "trades": { "trades": 235, "trades_per_year": 12.0, "avg_hold_days": 8.0, "win_rate": 0.5021, "mean_return": -0.001111, "invested": 0.2442, "avg_holdings": 1.0 } }, { "strategy": { "start": "2007-04-25", "end": "2026-10-30", "cagr": -0.023125, "sharpe": -0.197306, "mdd": -0.547747, "total_return": -0.366566 }, "bench": { "start": "2007-04-25", "end": "2026-10-30", "cagr": 0.143248, "sharpe": 0.760311, "mdd": -0.557528, "total_return": 12.634381 }, "win": false, "x": 2, "y": 2, "trades": { "trades": 235, "trades_per_year": 12.0, "avg_hold_days": 6.6, "win_rate": 0.4851, "mean_return": -0.001571, "invested": 0.1956, "avg_holdings": 1.0 } }, { "strategy": { "start": "2007-04-25", "end": "2026-10-30", "cagr": -0.013256, "sharpe": -0.070574, "mdd": -0.537974, "total_return": -0.22927 }, "bench": { "start": "2007-04-25", "end": "2026-10-30", "cagr": 0.143248, "sharpe": 0.760311, "mdd": -0.557528, "total_return": 12.634381 }, "win": false, "x": 2, "y": 3, "trades": { "trades": 235, "trades_per_year": 12.0, "avg_hold_days": 8.0, "win_rate": 0.4851, "mean_return": -0.000596, "invested": 0.2444, "avg_holdings": 1.0 } }, { "strategy": { "start": "2007-04-25", "end": "2026-10-30", "cagr": -0.009576, "sharpe": -0.019731, "mdd": -0.477751, "total_return": -0.171201 }, "bench": { "start": "2007-04-25", "end": "2026-10-30", "cagr": 0.143248, "sharpe": 0.760311, "mdd": -0.557528, "total_return": 12.634381 }, "win": false, "x": 2, "y": 4, "trades": { "trades": 235, "trades_per_year": 12.0, "avg_hold_days": 9.4, "win_rate": 0.5234, "mean_return": -0.000212, "invested": 0.2932, "avg_holdings": 1.0 } } ], "grid_wins": 0, "base_default_cost": { "strategy": { "start": "2007-04-26", "end": "2026-10-30", "cagr": -0.023334, "sharpe": -0.195749, "mdd": -0.591966, "total_return": -0.369162 }, "bench": { "start": "2007-04-26", "end": "2026-10-30", "cagr": 0.143168, "sharpe": 0.759955, "mdd": -0.557528, "total_return": 12.610751 }, "win": false, "x": 1, "y": 3, "trades": { "trades": 235, "trades_per_year": 12.0, "avg_hold_days": 6.6, "win_rate": 0.4936, "mean_return": -0.001523, "invested": 0.1954, "avg_holdings": 1.0 } }, "halves": [ { "strategy": { "start": "2007-04-26", "end": "2017-01-24", "cagr": -0.020499, "sharpe": -0.179045, "mdd": -0.32081, "total_return": -0.182848 }, "bench": { "start": "2007-04-26", "end": "2017-01-24", "cagr": 0.058528, "sharpe": 0.377032, "mdd": -0.557528, "total_return": 0.741147 }, "win": false }, { "strategy": { "start": "2017-02-02", "end": "2026-10-30", "cagr": -0.025675, "sharpe": -0.20602, "mdd": -0.407555, "total_return": -0.223768 }, "bench": { "start": "2017-02-02", "end": "2026-10-30", "cagr": 0.235795, "sharpe": 1.170769, "mdd": -0.33957, "total_return": 6.86001 }, "win": false } ], "base_zero_cost": { "strategy": { "start": "2007-04-27", "end": "2026-10-30", "cagr": 0.048102, "sharpe": 0.541151, "mdd": -0.250176, "total_return": 1.500749 }, "bench": { "start": "2007-04-27", "end": "2026-10-30", "cagr": 0.143393, "sharpe": 0.760912, "mdd": -0.557528, "total_return": 12.658093 }, "win": false }, "best_year_removed": { "best_year": 2008, "excess_that_year": 0.169709, "strategy_sharpe": -0.041599, "bench_sharpe": 1.008584, "win": false }, "base_etf_tax": { "strategy": { "start": "2007-04-26", "end": "2026-10-30", "cagr": 0.000559, "sharpe": 0.055001, "mdd": -0.429509, "total_return": 0.010969 }, "bench": { "start": "2007-04-26", "end": "2026-10-30", "cagr": 0.143168, "sharpe": 0.759955, "mdd": -0.557528, "total_return": 12.610751 }, "win": false }, "pass": { "neighbors": false, "halves": false, "cost": false, "best_year": null, "all": false } }, "7": { "name": "避開結算週持有 0050", "x": { "name": "結算日前 k 日起空手", "values": [ 1, 2, 3 ] }, "y": { "name": "空手到結算日＋e", "values": [ -1, 0, 1 ] }, "base": [ 2, 0 ], "grid": [ { "strategy": { "start": "2007-04-23", "end": "2026-10-30", "cagr": 0.050075, "sharpe": 0.346327, "mdd": -0.588289, "total_return": 1.595617 }, "bench": { "start": "2007-04-23", "end": "2026-10-30", "cagr": 0.142952, "sharpe": 0.759033, "mdd": -0.557528, "total_return": 12.57546 }, "win": false, "x": 1, "y": -1, "trades": { "trades": 235, "trades_per_year": 12.0, "avg_hold_days": 29.3, "win_rate": 0.5745, "mean_return": 0.00554, "invested": 0.9508, "avg_holdings": 1.0 } }, { "strategy": { "start": "2007-04-23", "end": "2026-10-30", "cagr": 0.04404, "sharpe": 0.320055, "mdd": -0.571032, "total_return": 1.319416 }, "bench": { "start": "2007-04-23", "end": "2026-10-30", "cagr": 0.142952, "sharpe": 0.759033, "mdd": -0.557528, "total_return": 12.57546 }, "win": false, "x": 1, "y": 0, "trades": { "trades": 235, "trades_per_year": 12.0, "avg_hold_days": 28.0, "win_rate": 0.5489, "mean_return": 0.005036, "invested": 0.902, "avg_holdings": 1.0 } }, { "strategy": { "start": "2007-04-23", "end": "2026-10-30", "cagr": 0.040589, "sharpe": 0.306116, "mdd": -0.567105, "total_return": 1.17423 }, "bench": { "start": "2007-04-23", "end": "2026-10-30", "cagr": 0.142952, "sharpe": 0.759033, "mdd": -0.557528, "total_return": 12.57546 }, "win": false, "x": 1, "y": 1, "trades": { "trades": 235, "trades_per_year": 12.0, "avg_hold_days": 26.9, "win_rate": 0.5532, "mean_return": 0.004703, "invested": 0.8533, "avg_holdings": 1.0 } }, { "strategy": { "start": "2007-04-23", "end": "2026-10-30", "cagr": 0.062052, "sharpe": 0.407872, "mdd": -0.522978, "total_return": 2.238857 }, "bench": { "start": "2007-04-23", "end": "2026-10-30", "cagr": 0.142952, "sharpe": 0.759033, "mdd": -0.557528, "total_return": 12.57546 }, "win": false, "x": 2, "y": -1, "trades": { "trades": 235, "trades_per_year": 12.0, "avg_hold_days": 26.3, "win_rate": 0.5787, "mean_return": 0.006334, "invested": 0.902, "avg_holdings": 1.0 } }, { "strategy": { "start": "2007-04-23", "end": "2026-10-30", "cagr": 0.055949, "sharpe": 0.382477, "mdd": -0.502258, "total_return": 1.894209 }, "bench": { "start": "2007-04-23", "end": "2026-10-30", "cagr": 0.142952, "sharpe": 0.759033, "mdd": -0.557528, "total_return": 12.57546 }, "win": false, "x": 2, "y": 0, "trades": { "trades": 235, "trades_per_year": 12.0, "avg_hold_days": 25.0, "win_rate": 0.566, "mean_return": 0.005817, "invested": 0.8533, "avg_holdings": 1.0 } }, { "strategy": { "start": "2007-04-23", "end": "2026-10-30", "cagr": 0.052458, "sharpe": 0.37024, "mdd": -0.501946, "total_return": 1.713043 }, "bench": { "start": "2007-04-23", "end": "2026-10-30", "cagr": 0.142952, "sharpe": 0.759033, "mdd": -0.557528, "total_return": 12.57546 }, "win": false, "x": 2, "y": 1, "trades": { "trades": 235, "trades_per_year": 12.0, "avg_hold_days": 23.8, "win_rate": 0.566, "mean_return": 0.005482, "invested": 0.8045, "avg_holdings": 1.0 } }, { "strategy": { "start": "2007-04-23", "end": "2026-10-30", "cagr": 0.056092, "sharpe": 0.383375, "mdd": -0.517973, "total_return": 1.901861 }, "bench": { "start": "2007-04-23", "end": "2026-10-30", "cagr": 0.142952, "sharpe": 0.759033, "mdd": -0.557528, "total_return": 12.57546 }, "win": false, "x": 3, "y": -1, "trades": { "trades": 235, "trades_per_year": 12.0, "avg_hold_days": 25.3, "win_rate": 0.5787, "mean_return": 0.005893, "invested": 0.8533, "avg_holdings": 1.0 } }, { "strategy": { "start": "2007-04-23", "end": "2026-10-30", "cagr": 0.050022, "sharpe": 0.357008, "mdd": -0.498742, "total_return": 1.593072 }, "bench": { "start": "2007-04-23", "end": "2026-10-30", "cagr": 0.142952, "sharpe": 0.759033, "mdd": -0.557528, "total_return": 12.57546 }, "win": false, "x": 3, "y": 0, "trades": { "trades": 235, "trades_per_year": 12.0, "avg_hold_days": 24.0, "win_rate": 0.5872, "mean_return": 0.00536, "invested": 0.8045, "avg_holdings": 1.0 } }, { "strategy": { "start": "2007-04-23", "end": "2026-10-30", "cagr": 0.046551, "sharpe": 0.343955, "mdd": -0.491346, "total_return": 1.430757 }, "bench": { "start": "2007-04-23", "end": "2026-10-30", "cagr": 0.142952, "sharpe": 0.759033, "mdd": -0.557528, "total_return": 12.57546 }, "win": false, "x": 3, "y": 1, "trades": { "trades": 235, "trades_per_year": 12.0, "avg_hold_days": 22.8, "win_rate": 0.5745, "mean_return": 0.005023, "invested": 0.7557, "avg_holdings": 1.0 } } ], "grid_wins": 0, "base_default_cost": { "strategy": { "start": "2007-04-23", "end": "2026-10-30", "cagr": 0.055949, "sharpe": 0.382477, "mdd": -0.502258, "total_return": 1.894209 }, "bench": { "start": "2007-04-23", "end": "2026-10-30", "cagr": 0.142952, "sharpe": 0.759033, "mdd": -0.557528, "total_return": 12.57546 }, "win": false, "x": 2, "y": 0, "trades": { "trades": 235, "trades_per_year": 12.0, "avg_hold_days": 25.0, "win_rate": 0.566, "mean_return": 0.005817, "invested": 0.8533, "avg_holdings": 1.0 } }, "halves": [ { "strategy": { "start": "2007-04-23", "end": "2017-01-24", "cagr": -0.008232, "sharpe": 0.057533, "mdd": -0.502258, "total_return": -0.077487 }, "bench": { "start": "2007-04-23", "end": "2017-01-24", "cagr": 0.058196, "sharpe": 0.375516, "mdd": -0.557528, "total_return": 0.736632 }, "win": false }, { "strategy": { "start": "2017-02-02", "end": "2026-10-30", "cagr": 0.125208, "sharpe": 0.727381, "mdd": -0.355272, "total_return": 2.154525 }, "bench": { "start": "2017-02-02", "end": "2026-10-30", "cagr": 0.235795, "sharpe": 1.170769, "mdd": -0.33957, "total_return": 6.86001 }, "win": false } ], "base_zero_cost": { "strategy": { "start": "2007-04-24", "end": "2026-10-30", "cagr": 0.133162, "sharpe": 0.75299, "mdd": -0.465942, "total_return": 10.473134 }, "bench": { "start": "2007-04-24", "end": "2026-10-30", "cagr": 0.142721, "sharpe": 0.758035, "mdd": -0.557528, "total_return": 12.517045 }, "win": false }, "best_year_removed": { "best_year": 2008, "excess_that_year": 0.029624, "strategy_sharpe": 0.572843, "bench_sharpe": 1.007445, "win": false }, "base_etf_tax": { "strategy": { "start": "2007-04-23", "end": "2026-10-30", "cagr": 0.081771, "sharpe": 0.509285, "mdd": -0.490079, "total_return": 3.638204 }, "bench": { "start": "2007-04-23", "end": "2026-10-30", "cagr": 0.142952, "sharpe": 0.759033, "mdd": -0.557528, "total_return": 12.57546 }, "win": false }, "pass": { "neighbors": false, "halves": false, "cost": false, "best_year": null, "all": false } }, "8": { "name": "五窮六絕：5、6 月空手", "x": { "name": "5 月第一個交易日＋a 起空手", "values": [ -10, 0, 10 ] }, "y": { "name": "空手到 6 月最後一個交易日＋b", "values": [ -10, 0, 10 ] }, "base": [ 0, 0 ], "grid": [ { "strategy": { "start": "2007-06-13", "end": "2026-10-30", "cagr": 0.10795, "sharpe": 0.638766, "mdd": -0.522154, "total_return": 6.292192 }, "bench": { "start": "2007-06-13", "end": "2026-10-30", "cagr": 0.140734, "sharpe": 0.748341, "mdd": -0.557528, "total_return": 11.832358 }, "win": false, "x": -10, "y": -10, "trades": { "trades": 20, "trades_per_year": 1.0, "avg_hold_days": 296.4, "win_rate": 0.7, "mean_return": 0.125857, "invested": 0.8337, "avg_holdings": 1.0 } }, { "strategy": { "start": "2007-06-28", "end": "2026-10-30", "cagr": 0.099703, "sharpe": 0.6069, "mdd": -0.486532, "total_return": 5.284575 }, "bench": { "start": "2007-06-28", "end": "2026-10-30", "cagr": 0.137324, "sharpe": 0.733832, "mdd": -0.557528, "total_return": 11.045097 }, "win": false, "x": -10, "y": 0, "trades": { "trades": 20, "trades_per_year": 1.0, "avg_hold_days": 281.9, "win_rate": 0.7, "mean_return": 0.115869, "invested": 0.7934, "avg_holdings": 1.0 } }, { "strategy": { "start": "2007-07-12", "end": "2026-10-30", "cagr": 0.076023, "sharpe": 0.495925, "mdd": -0.45899, "total_return": 3.113552 }, "bench": { "start": "2007-07-12", "end": "2026-10-30", "cagr": 0.134966, "sharpe": 0.723528, "mdd": -0.557528, "total_return": 10.515254 }, "win": false, "x": -10, "y": 10, "trades": { "trades": 20, "trades_per_year": 1.0, "avg_hold_days": 267.8, "win_rate": 0.65, "mean_return": 0.089873, "invested": 0.7528, "avg_holdings": 1.0 } }, { "strategy": { "start": "2007-04-23", "end": "2026-10-30", "cagr": 0.114828, "sharpe": 0.662853, "mdd": -0.524387, "total_return": 7.347208 }, "bench": { "start": "2007-04-23", "end": "2026-10-30", "cagr": 0.142952, "sharpe": 0.759033, "mdd": -0.557528, "total_return": 12.57546 }, "win": false, "x": 0, "y": -10, "trades": { "trades": 21, "trades_per_year": 1.1, "avg_hold_days": 295.3, "win_rate": 0.619, "mean_return": 0.13037, "invested": 0.8679, "avg_holdings": 1.0 } }, { "strategy": { "start": "2007-04-23", "end": "2026-10-30", "cagr": 0.106368, "sharpe": 0.631419, "mdd": -0.488932, "total_return": 6.193811 }, "bench": { "start": "2007-04-23", "end": "2026-10-30", "cagr": 0.142952, "sharpe": 0.759033, "mdd": -0.557528, "total_return": 12.57546 }, "win": false, "x": 0, "y": 0, "trades": { "trades": 21, "trades_per_year": 1.1, "avg_hold_days": 281.4, "win_rate": 0.6667, "mean_return": 0.120658, "invested": 0.8262, "avg_holdings": 1.0 } }, { "strategy": { "start": "2007-04-23", "end": "2026-10-30", "cagr": 0.082607, "sharpe": 0.523288, "mdd": -0.461518, "total_return": 3.708691 }, "bench": { "start": "2007-04-23", "end": "2026-10-30", "cagr": 0.142952, "sharpe": 0.759033, "mdd": -0.557528, "total_return": 12.57546 }, "win": false, "x": 0, "y": 10, "trades": { "trades": 21, "trades_per_year": 1.1, "avg_hold_days": 268.0, "win_rate": 0.619, "mean_return": 0.09542, "invested": 0.7845, "avg_holdings": 1.0 } }, { "strategy": { "start": "2007-04-23", "end": "2026-10-30", "cagr": 0.118606, "sharpe": 0.670892, "mdd": -0.515827, "total_return": 7.91698 }, "bench": { "start": "2007-04-23", "end": "2026-10-30", "cagr": 0.142952, "sharpe": 0.759033, "mdd": -0.557528, "total_return": 12.57546 }, "win": false, "x": 10, "y": -10, "trades": { "trades": 21, "trades_per_year": 1.1, "avg_hold_days": 310.0, "win_rate": 0.6667, "mean_return": 0.133944, "invested": 0.9095, "avg_holdings": 1.0 } }, { "strategy": { "start": "2007-04-23", "end": "2026-10-30", "cagr": 0.110117, "sharpe": 0.639998, "mdd": -0.479734, "total_return": 6.684853 }, "bench": { "start": "2007-04-23", "end": "2026-10-30", "cagr": 0.142952, "sharpe": 0.759033, "mdd": -0.557528, "total_return": 12.57546 }, "win": false, "x": 10, "y": 0, "trades": { "trades": 21, "trades_per_year": 1.1, "avg_hold_days": 296.1, "win_rate": 0.6667, "mean_return": 0.124318, "invested": 0.8679, "avg_holdings": 1.0 } }, { "strategy": { "start": "2007-04-23", "end": "2026-10-30", "cagr": 0.086275, "sharpe": 0.534068, "mdd": -0.451827, "total_return": 4.030101 }, "bench": { "start": "2007-04-23", "end": "2026-10-30", "cagr": 0.142952, "sharpe": 0.759033, "mdd": -0.557528, "total_return": 12.57546 }, "win": false, "x": 10, "y": 10, "trades": { "trades": 21, "trades_per_year": 1.1, "avg_hold_days": 282.7, "win_rate": 0.5714, "mean_return": 0.099378, "invested": 0.8262, "avg_holdings": 1.0 } } ], "grid_wins": 0, "base_default_cost": { "strategy": { "start": "2007-04-23", "end": "2026-10-30", "cagr": 0.106368, "sharpe": 0.631419, "mdd": -0.488932, "total_return": 6.193811 }, "bench": { "start": "2007-04-23", "end": "2026-10-30", "cagr": 0.142952, "sharpe": 0.759033, "mdd": -0.557528, "total_return": 12.57546 }, "win": false, "x": 0, "y": 0, "trades": { "trades": 21, "trades_per_year": 1.1, "avg_hold_days": 281.4, "win_rate": 0.6667, "mean_return": 0.120658, "invested": 0.8262, "avg_holdings": 1.0 } }, "halves": [ { "strategy": { "start": "2007-04-23", "end": "2017-01-24", "cagr": 0.058414, "sharpe": 0.389073, "mdd": -0.488932, "total_return": 0.740136 }, "bench": { "start": "2007-04-23", "end": "2017-01-24", "cagr": 0.058196, "sharpe": 0.375516, "mdd": -0.557528, "total_return": 0.736632 }, "win": true }, { "strategy": { "start": "2017-02-02", "end": "2026-10-30", "cagr": 0.157541, "sharpe": 0.896091, "mdd": -0.282177, "total_return": 3.156734 }, "bench": { "start": "2017-02-02", "end": "2026-10-30", "cagr": 0.235795, "sharpe": 1.170769, "mdd": -0.33957, "total_return": 6.86001 }, "win": false } ], "base_zero_cost": { "strategy": { "start": "2007-04-24", "end": "2026-10-30", "cagr": 0.113382, "sharpe": 0.664762, "mdd": -0.485928, "total_return": 7.136 }, "bench": { "start": "2007-04-24", "end": "2026-10-30", "cagr": 0.142721, "sharpe": 0.758035, "mdd": -0.557528, "total_return": 12.517045 }, "win": false }, "best_year_removed": { "best_year": 2010, "excess_that_year": 0.112551, "strategy_sharpe": 0.593158, "bench_sharpe": 0.756201, "win": false }, "base_etf_tax": { "strategy": { "start": "2007-04-23", "end": "2026-10-30", "cagr": 0.108759, "sharpe": 0.642827, "mdd": -0.487905, "total_return": 6.503469 }, "bench": { "start": "2007-04-23", "end": "2026-10-30", "cagr": 0.142952, "sharpe": 0.759033, "mdd": -0.557528, "total_return": 12.57546 }, "win": false }, "pass": { "neighbors": false, "halves": false, "cost": false, "best_year": null, "all": false } }, "9": { "name": "封關前買市值最小股、開紅盤後賣", "x": { "name": "封關前進場交易日 k", "values": [ 3, 5, 10 ] }, "y": { "name": "開紅盤後第 j 個交易日賣", "values": [ 1, 3, 5 ] }, "base": [ 5, 3 ], "grid": [ { "strategy": { "start": "2014-01-21", "end": "2026-10-30", "cagr": 0.004645, "sharpe": 0.294739, "mdd": -0.042266, "total_return": 0.060981 }, "bench": { "start": "2014-01-21", "end": "2026-10-30", "cagr": 0.201841, "sharpe": 1.08228, "mdd": -0.33957, "total_return": 9.466721 }, "win": false, "x": 3, "y": 1, "trades": { "trades": 650, "trades_per_year": 50.9, "avg_hold_days": 15.6, "win_rate": 0.4646, "mean_return": 0.0047, "invested": 0.0167, "avg_holdings": 50.0 } }, { "strategy": { "start": "2014-01-21", "end": "2026-10-30", "cagr": 0.01653, "sharpe": 0.81205, "mdd": -0.042687, "total_return": 0.23293 }, "bench": { "start": "2014-01-21", "end": "2026-10-30", "cagr": 0.201841, "sharpe": 1.08228, "mdd": -0.33957, "total_return": 9.466721 }, "win": false, "x": 3, "y": 3, "trades": { "trades": 650, "trades_per_year": 50.9, "avg_hold_days": 18.1, "win_rate": 0.52, "mean_return": 0.016528, "invested": 0.025, "avg_holdings": 50.0 } }, { "strategy": { "start": "2014-01-21", "end": "2026-10-30", "cagr": 0.028892, "sharpe": 1.163064, "mdd": -0.042376, "total_return": 0.438765 }, "bench": { "start": "2014-01-21", "end": "2026-10-30", "cagr": 0.201841, "sharpe": 1.08228, "mdd": -0.33957, "total_return": 9.466721 }, "win": true, "x": 3, "y": 5, "trades": { "trades": 650, "trades_per_year": 50.9, "avg_hold_days": 21.0, "win_rate": 0.5415, "mean_return": 0.028781, "invested": 0.0334, "avg_holdings": 50.0 } }, { "strategy": { "start": "2014-01-17", "end": "2026-10-30", "cagr": 0.009584, "sharpe": 0.472302, "mdd": -0.038659, "total_return": 0.129677 }, "bench": { "start": "2014-01-17", "end": "2026-10-30", "cagr": 0.201491, "sharpe": 1.081188, "mdd": -0.33957, "total_return": 9.448875 }, "win": false, "x": 5, "y": 1, "trades": { "trades": 649, "trades_per_year": 50.8, "avg_hold_days": 17.9, "win_rate": 0.4777, "mean_return": 0.009493, "invested": 0.025, "avg_holdings": 49.9 } }, { "strategy": { "start": "2014-01-17", "end": "2026-10-30", "cagr": 0.022219, "sharpe": 0.899846, "mdd": -0.040606, "total_return": 0.324336 }, "bench": { "start": "2014-01-17", "end": "2026-10-30", "cagr": 0.201491, "sharpe": 1.081188, "mdd": -0.33957, "total_return": 9.448875 }, "win": false, "x": 5, "y": 3, "trades": { "trades": 649, "trades_per_year": 50.8, "avg_hold_days": 20.4, "win_rate": 0.51, "mean_return": 0.021977, "invested": 0.0334, "avg_holdings": 49.9 } }, { "strategy": { "start": "2014-01-17", "end": "2026-10-30", "cagr": 0.034904, "sharpe": 1.221389, "mdd": -0.034967, "total_return": 0.550493 }, "bench": { "start": "2014-01-17", "end": "2026-10-30", "cagr": 0.201491, "sharpe": 1.081188, "mdd": -0.33957, "total_return": 9.448875 }, "win": true, "x": 5, "y": 5, "trades": { "trades": 649, "trades_per_year": 50.8, "avg_hold_days": 23.3, "win_rate": 0.5331, "mean_return": 0.034604, "invested": 0.0417, "avg_holdings": 49.9 } }, { "strategy": { "start": "2014-01-10", "end": "2026-10-30", "cagr": 0.012665, "sharpe": 0.517977, "mdd": -0.047791, "total_return": 0.174829 }, "bench": { "start": "2014-01-10", "end": "2026-10-30", "cagr": 0.202939, "sharpe": 1.088137, "mdd": -0.33957, "total_return": 9.648593 }, "win": false, "x": 10, "y": 1, "trades": { "trades": 650, "trades_per_year": 50.8, "avg_hold_days": 24.9, "win_rate": 0.46, "mean_return": 0.012666, "invested": 0.0458, "avg_holdings": 49.9 } }, { "strategy": { "start": "2014-01-10", "end": "2026-10-30", "cagr": 0.025051, "sharpe": 0.905137, "mdd": -0.047791, "total_return": 0.37266 }, "bench": { "start": "2014-01-10", "end": "2026-10-30", "cagr": 0.202939, "sharpe": 1.088137, "mdd": -0.33957, "total_return": 9.648593 }, "win": false, "x": 10, "y": 3, "trades": { "trades": 650, "trades_per_year": 50.8, "avg_hold_days": 27.3, "win_rate": 0.5108, "mean_return": 0.025013, "invested": 0.0541, "avg_holdings": 49.9 } }, { "strategy": { "start": "2014-01-10", "end": "2026-10-30", "cagr": 0.03825, "sharpe": 1.215639, "mdd": -0.047791, "total_return": 0.616959 }, "bench": { "start": "2014-01-10", "end": "2026-10-30", "cagr": 0.202939, "sharpe": 1.088137, "mdd": -0.33957, "total_return": 9.648593 }, "win": true, "x": 10, "y": 5, "trades": { "trades": 650, "trades_per_year": 50.8, "avg_hold_days": 30.2, "win_rate": 0.5477, "mean_return": 0.038097, "invested": 0.0625, "avg_holdings": 49.9 } } ], "grid_wins": 3, "base_default_cost": { "strategy": { "start": "2014-01-17", "end": "2026-10-30", "cagr": 0.022219, "sharpe": 0.899846, "mdd": -0.040606, "total_return": 0.324336 }, "bench": { "start": "2014-01-17", "end": "2026-10-30", "cagr": 0.201491, "sharpe": 1.081188, "mdd": -0.33957, "total_return": 9.448875 }, "win": false, "x": 5, "y": 3, "trades": { "trades": 649, "trades_per_year": 50.8, "avg_hold_days": 20.4, "win_rate": 0.51, "mean_return": 0.021977, "invested": 0.0334, "avg_holdings": 49.9 } }, "halves": [ { "strategy": { "start": "2014-01-17", "end": "2020-06-08", "cagr": 0.030184, "sharpe": 1.028255, "mdd": -0.039237, "total_return": 0.209283 }, "bench": { "start": "2014-01-17", "end": "2020-06-08", "cagr": 0.103036, "sharpe": 0.728499, "mdd": -0.282177, "total_return": 0.871342 }, "win": true }, { "strategy": { "start": "2021-01-28", "end": "2026-10-30", "cagr": 0.015925, "sharpe": 0.794664, "mdd": -0.032464, "total_return": 0.095141 }, "bench": { "start": "2021-01-28", "end": "2026-10-30", "cagr": 0.25686, "sharpe": 1.157658, "mdd": -0.33957, "total_return": 2.724957 }, "win": false } ], "base_zero_cost": { "strategy": { "start": "2014-01-20", "end": "2026-10-30", "cagr": 0.028366, "sharpe": 1.118212, "mdd": -0.034967, "total_return": 0.429495 }, "bench": { "start": "2014-01-20", "end": "2026-10-30", "cagr": 0.201393, "sharpe": 1.080292, "mdd": -0.33957, "total_return": 9.42222 }, "win": true }, "best_year_removed": { "best_year": 2022, "excess_that_year": 0.211885, "strategy_sharpe": 0.98649, "bench_sharpe": 1.289722, "win": false }, "pass": { "neighbors": false, "halves": false, "cost": false, "best_year": null, "all": false } }, "1c": { "name": "月營收動能＋預測法說日加分", "x": { "name": "預測法說日在之後 W 日內", "values": [ 10, 20, 30 ] }, "y": { "name": "持股數 N", "values": [ 8, 10, 12 ] }, "base": [ 20, 10 ], "grid": [ { "strategy": { "start": "2015-02-11", "end": "2026-10-30", "cagr": 0.33541, "sharpe": 1.316584, "mdd": -0.412975, "total_return": 28.621666 }, "bench": { "start": "2015-02-11", "end": "2026-10-30", "cagr": 0.202452, "sharpe": 1.063985, "mdd": -0.33957, "total_return": 7.669916 }, "win": true, "x": 10, "y": 8, "trades": { "trades": 1131, "trades_per_year": 96.5, "avg_hold_days": 27.0, "win_rate": 0.4845, "mean_return": 0.027858, "invested": 0.9933, "avg_holdings": 7.1 } }, { "strategy": { "start": "2015-02-11", "end": "2026-10-30", "cagr": 0.385738, "sharpe": 1.543019, "mdd": -0.290562, "total_return": 44.690965 }, "bench": { "start": "2015-02-11", "end": "2026-10-30", "cagr": 0.202452, "sharpe": 1.063985, "mdd": -0.33957, "total_return": 7.669916 }, "win": true, "x": 10, "y": 10, "trades": { "trades": 1415, "trades_per_year": 120.8, "avg_hold_days": 27.1, "win_rate": 0.4947, "mean_return": 0.030761, "invested": 0.9996, "avg_holdings": 8.9 } }, { "strategy": { "start": "2015-02-11", "end": "2026-10-30", "cagr": 0.347026, "sharpe": 1.474404, "mdd": -0.299557, "total_return": 31.785016 }, "bench": { "start": "2015-02-11", "end": "2026-10-30", "cagr": 0.202452, "sharpe": 1.063985, "mdd": -0.33957, "total_return": 7.669916 }, "win": true, "x": 10, "y": 12, "trades": { "trades": 1697, "trades_per_year": 144.9, "avg_hold_days": 27.1, "win_rate": 0.4856, "mean_return": 0.028035, "invested": 0.9996, "avg_holdings": 10.7 } }, { "strategy": { "start": "2015-02-11", "end": "2026-10-30", "cagr": 0.338326, "sharpe": 1.274435, "mdd": -0.338129, "total_return": 29.388226 }, "bench": { "start": "2015-02-11", "end": "2026-10-30", "cagr": 0.202452, "sharpe": 1.063985, "mdd": -0.33957, "total_return": 7.669916 }, "win": true, "x": 20, "y": 8, "trades": { "trades": 1126, "trades_per_year": 96.1, "avg_hold_days": 26.9, "win_rate": 0.4734, "mean_return": 0.02807, "invested": 0.9947, "avg_holdings": 7.1 } }, { "strategy": { "start": "2015-02-11", "end": "2026-10-30", "cagr": 0.307279, "sharpe": 1.250164, "mdd": -0.333625, "total_return": 22.082691 }, "bench": { "start": "2015-02-11", "end": "2026-10-30", "cagr": 0.202452, "sharpe": 1.063985, "mdd": -0.33957, "total_return": 7.669916 }, "win": true, "x": 20, "y": 10, "trades": { "trades": 1407, "trades_per_year": 120.1, "avg_hold_days": 27.0, "win_rate": 0.4712, "mean_return": 0.025387, "invested": 0.9947, "avg_holdings": 8.9 } }, { "strategy": { "start": "2015-02-11", "end": "2026-10-30", "cagr": 0.326157, "sharpe": 1.366828, "mdd": -0.303945, "total_return": 26.304317 }, "bench": { "start": "2015-02-11", "end": "2026-10-30", "cagr": 0.202452, "sharpe": 1.063985, "mdd": -0.33957, "total_return": 7.669916 }, "win": true, "x": 20, "y": 12, "trades": { "trades": 1689, "trades_per_year": 144.2, "avg_hold_days": 27.1, "win_rate": 0.4766, "mean_return": 0.026537, "invested": 0.9996, "avg_holdings": 10.6 } }, { "strategy": { "start": "2015-02-11", "end": "2026-10-30", "cagr": 0.391526, "sharpe": 1.385197, "mdd": -0.296031, "total_return": 46.977506 }, "bench": { "start": "2015-02-11", "end": "2026-10-30", "cagr": 0.202452, "sharpe": 1.063985, "mdd": -0.33957, "total_return": 7.669916 }, "win": true, "x": 30, "y": 8, "trades": { "trades": 1122, "trades_per_year": 95.8, "avg_hold_days": 26.7, "win_rate": 0.4911, "mean_return": 0.031126, "invested": 0.9919, "avg_holdings": 7.0 } }, { "strategy": { "start": "2015-02-11", "end": "2026-10-30", "cagr": 0.335617, "sharpe": 1.296428, "mdd": -0.339838, "total_return": 28.675477 }, "bench": { "start": "2015-02-11", "end": "2026-10-30", "cagr": 0.202452, "sharpe": 1.063985, "mdd": -0.33957, "total_return": 7.669916 }, "win": true, "x": 30, "y": 10, "trades": { "trades": 1401, "trades_per_year": 119.6, "avg_hold_days": 26.8, "win_rate": 0.4832, "mean_return": 0.026992, "invested": 0.9947, "avg_holdings": 8.8 } }, { "strategy": { "start": "2015-02-11", "end": "2026-10-30", "cagr": 0.351663, "sharpe": 1.397128, "mdd": -0.309839, "total_return": 33.131725 }, "bench": { "start": "2015-02-11", "end": "2026-10-30", "cagr": 0.202452, "sharpe": 1.063985, "mdd": -0.33957, "total_return": 7.669916 }, "win": true, "x": 30, "y": 12, "trades": { "trades": 1683, "trades_per_year": 143.7, "avg_hold_days": 26.9, "win_rate": 0.4926, "mean_return": 0.027819, "invested": 0.9947, "avg_holdings": 10.6 } } ], "grid_wins": 9, "base_default_cost": { "strategy": { "start": "2015-02-11", "end": "2026-10-30", "cagr": 0.307279, "sharpe": 1.250164, "mdd": -0.333625, "total_return": 22.082691 }, "bench": { "start": "2015-02-11", "end": "2026-10-30", "cagr": 0.202452, "sharpe": 1.063985, "mdd": -0.33957, "total_return": 7.669916 }, "win": true, "x": 20, "y": 10, "trades": { "trades": 1407, "trades_per_year": 120.1, "avg_hold_days": 27.0, "win_rate": 0.4712, "mean_return": 0.025387, "invested": 0.9947, "avg_holdings": 8.9 } }, "halves": [ { "strategy": { "start": "2015-02-11", "end": "2020-12-18", "cagr": 0.14195, "sharpe": 0.776218, "mdd": -0.333625, "total_return": 1.174106 }, "bench": { "start": "2015-02-11", "end": "2020-12-18", "cagr": 0.131997, "sharpe": 0.868818, "mdd": -0.282177, "total_return": 1.065556 }, "win": false }, { "strategy": { "start": "2020-12-21", "end": "2026-10-30", "cagr": 0.496115, "sharpe": 1.621125, "mdd": -0.304623, "total_return": 9.583781 }, "bench": { "start": "2020-12-21", "end": "2026-10-30", "cagr": 0.27544, "sharpe": 1.223312, "mdd": -0.33957, "total_return": 3.156933 }, "win": true } ], "base_zero_cost": { "strategy": { "start": "2015-02-12", "end": "2026-10-30", "cagr": 0.398372, "sharpe": 1.540724, "mdd": -0.286439, "total_return": 49.770277 }, "bench": { "start": "2015-02-12", "end": "2026-10-30", "cagr": 0.202504, "sharpe": 1.064172, "mdd": -0.33957, "total_return": 7.669916 }, "win": true }, "best_year_removed": { "best_year": 2026, "excess_that_year": 0.399948, "strategy_sharpe": 1.103011, "bench_sharpe": 0.942023, "win": true }, "beats_base": 4, "new_holding_share": 0.8623, "pass": { "neighbors": true, "halves": false, "cost": true, "beats_base": false, "best_year": null, "all": false } }, "2c": { "name": "月營收動能＋法說反應為正加分", "x": { "name": "過去 W 日內法說反應 > 2%", "values": [ 20, 40, 60 ] }, "y": { "name": "持股數 N", "values": [ 8, 10, 12 ] }, "base": [ 40, 10 ], "grid": [ { "strategy": { "start": "2015-02-11", "end": "2026-10-30", "cagr": 0.224932, "sharpe": 0.90164, "mdd": -0.35811, "total_return": 9.771006 }, "bench": { "start": "2015-02-11", "end": "2026-10-30", "cagr": 0.202452, "sharpe": 1.063985, "mdd": -0.33957, "total_return": 7.669916 }, "win": false, "x": 20, "y": 8, "trades": { "trades": 1126, "trades_per_year": 96.1, "avg_hold_days": 26.4, "win_rate": 0.4343, "mean_return": 0.020551, "invested": 0.9986, "avg_holdings": 6.9 } }, { "strategy": { "start": "2015-02-11", "end": "2026-10-30", "cagr": 0.263723, "sharpe": 1.061012, "mdd": -0.332907, "total_return": 14.519505 }, "bench": { "start": "2015-02-11", "end": "2026-10-30", "cagr": 0.202452, "sharpe": 1.063985, "mdd": -0.33957, "total_return": 7.669916 }, "win": false, "x": 20, "y": 10, "trades": { "trades": 1406, "trades_per_year": 120.0, "avg_hold_days": 26.3, "win_rate": 0.436, "mean_return": 0.022409, "invested": 0.9996, "avg_holdings": 8.6 } }, { "strategy": { "start": "2015-02-11", "end": "2026-10-30", "cagr": 0.236075, "sharpe": 1.009662, "mdd": -0.402822, "total_return": 10.976492 }, "bench": { "start": "2015-02-11", "end": "2026-10-30", "cagr": 0.202452, "sharpe": 1.063985, "mdd": -0.33957, "total_return": 7.669916 }, "win": false, "x": 20, "y": 12, "trades": { "trades": 1686, "trades_per_year": 143.9, "avg_hold_days": 26.2, "win_rate": 0.4359, "mean_return": 0.020169, "invested": 0.9996, "avg_holdings": 10.3 } }, { "strategy": { "start": "2015-02-11", "end": "2026-10-30", "cagr": 0.299751, "sharpe": 1.11334, "mdd": -0.475604, "total_return": 20.572481 }, "bench": { "start": "2015-02-11", "end": "2026-10-30", "cagr": 0.202452, "sharpe": 1.063985, "mdd": -0.33957, "total_return": 7.669916 }, "win": true, "x": 40, "y": 8, "trades": { "trades": 1116, "trades_per_year": 95.3, "avg_hold_days": 26.3, "win_rate": 0.4489, "mean_return": 0.024574, "invested": 0.9951, "avg_holdings": 6.9 } }, { "strategy": { "start": "2015-02-11", "end": "2026-10-30", "cagr": 0.289509, "sharpe": 1.130057, "mdd": -0.397899, "total_return": 18.663084 }, "bench": { "start": "2015-02-11", "end": "2026-10-30", "cagr": 0.202452, "sharpe": 1.063985, "mdd": -0.33957, "total_return": 7.669916 }, "win": true, "x": 40, "y": 10, "trades": { "trades": 1394, "trades_per_year": 119.0, "avg_hold_days": 26.3, "win_rate": 0.4484, "mean_return": 0.023585, "invested": 0.9996, "avg_holdings": 8.5 } }, { "strategy": { "start": "2015-02-11", "end": "2026-10-30", "cagr": 0.24382, "sharpe": 1.02432, "mdd": -0.391685, "total_return": 11.885716 }, "bench": { "start": "2015-02-11", "end": "2026-10-30", "cagr": 0.202452, "sharpe": 1.063985, "mdd": -0.33957, "total_return": 7.669916 }, "win": false, "x": 40, "y": 12, "trades": { "trades": 1670, "trades_per_year": 142.5, "avg_hold_days": 26.2, "win_rate": 0.4365, "mean_return": 0.020369, "invested": 0.9996, "avg_holdings": 10.2 } }, { "strategy": { "start": "2015-02-11", "end": "2026-10-30", "cagr": 0.366119, "sharpe": 1.259367, "mdd": -0.383214, "total_return": 37.662074 }, "bench": { "start": "2015-02-11", "end": "2026-10-30", "cagr": 0.202452, "sharpe": 1.063985, "mdd": -0.33957, "total_return": 7.669916 }, "win": true, "x": 60, "y": 8, "trades": { "trades": 1116, "trades_per_year": 95.3, "avg_hold_days": 26.3, "win_rate": 0.4624, "mean_return": 0.029381, "invested": 0.9912, "avg_holdings": 6.9 } }, { "strategy": { "start": "2015-02-11", "end": "2026-10-30", "cagr": 0.360518, "sharpe": 1.30475, "mdd": -0.357331, "total_return": 35.845257 }, "bench": { "start": "2015-02-11", "end": "2026-10-30", "cagr": 0.202452, "sharpe": 1.063985, "mdd": -0.33957, "total_return": 7.669916 }, "win": true, "x": 60, "y": 10, "trades": { "trades": 1390, "trades_per_year": 118.6, "avg_hold_days": 26.3, "win_rate": 0.459, "mean_return": 0.0281, "invested": 0.9951, "avg_holdings": 8.6 } }, { "strategy": { "start": "2015-02-11", "end": "2026-10-30", "cagr": 0.326349, "sharpe": 1.258395, "mdd": -0.340495, "total_return": 26.350681 }, "bench": { "start": "2015-02-11", "end": "2026-10-30", "cagr": 0.202452, "sharpe": 1.063985, "mdd": -0.33957, "total_return": 7.669916 }, "win": true, "x": 60, "y": 12, "trades": { "trades": 1665, "trades_per_year": 142.1, "avg_hold_days": 26.4, "win_rate": 0.4547, "mean_return": 0.025742, "invested": 0.9996, "avg_holdings": 10.2 } } ], "grid_wins": 5, "base_default_cost": { "strategy": { "start": "2015-02-11", "end": "2026-10-30", "cagr": 0.289509, "sharpe": 1.130057, "mdd": -0.397899, "total_return": 18.663084 }, "bench": { "start": "2015-02-11", "end": "2026-10-30", "cagr": 0.202452, "sharpe": 1.063985, "mdd": -0.33957, "total_return": 7.669916 }, "win": true, "x": 40, "y": 10, "trades": { "trades": 1394, "trades_per_year": 119.0, "avg_hold_days": 26.3, "win_rate": 0.4484, "mean_return": 0.023585, "invested": 0.9996, "avg_holdings": 8.5 } }, "halves": [ { "strategy": { "start": "2015-02-11", "end": "2020-12-18", "cagr": 0.211224, "sharpe": 0.975342, "mdd": -0.329644, "total_return": 2.068519 }, "bench": { "start": "2015-02-11", "end": "2020-12-18", "cagr": 0.131997, "sharpe": 0.868818, "mdd": -0.282177, "total_return": 1.065556 }, "win": true }, { "strategy": { "start": "2020-12-21", "end": "2026-10-30", "cagr": 0.37337, "sharpe": 1.267636, "mdd": -0.397899, "total_return": 5.410906 }, "bench": { "start": "2020-12-21", "end": "2026-10-30", "cagr": 0.27544, "sharpe": 1.223312, "mdd": -0.33957, "total_return": 3.156933 }, "win": true } ], "base_zero_cost": { "strategy": { "start": "2015-02-12", "end": "2026-10-30", "cagr": 0.373168, "sharpe": 1.381868, "mdd": -0.359236, "total_return": 40.029243 }, "bench": { "start": "2015-02-12", "end": "2026-10-30", "cagr": 0.202504, "sharpe": 1.064172, "mdd": -0.33957, "total_return": 7.669916 }, "win": true }, "best_year_removed": { "best_year": 2020, "excess_that_year": 0.64691, "strategy_sharpe": 0.982738, "bench_sharpe": 1.036221, "win": false }, "beats_base": 1, "new_holding_share": 0.8326, "pass": { "neighbors": false, "halves": true, "cost": true, "beats_base": false, "best_year": null, "all": false } }, "3c": { "name": "月營收動能＋股東會將至加分", "x": { "name": "股東常會在之後 W 日內", "values": [ 10, 20, 30 ] }, "y": { "name": "持股數 N", "values": [ 8, 10, 12 ] }, "base": [ 20, 10 ], "grid": [ { "strategy": { "start": "2015-02-11", "end": "2026-10-30", "cagr": 0.433525, "sharpe": 1.325699, "mdd": -0.364017, "total_return": 66.97208 }, "bench": { "start": "2015-02-11", "end": "2026-10-30", "cagr": 0.202452, "sharpe": 1.063985, "mdd": -0.33957, "total_return": 7.669916 }, "win": true, "x": 10, "y": 8, "trades": { "trades": 1125, "trades_per_year": 96.0, "avg_hold_days": 24.5, "win_rate": 0.4284, "mean_return": 0.035231, "invested": 0.9989, "avg_holdings": 6.5 } }, { "strategy": { "start": "2015-02-11", "end": "2026-10-30", "cagr": 0.42639, "sharpe": 1.385531, "mdd": -0.383448, "total_return": 63.112367 }, "bench": { "start": "2015-02-11", "end": "2026-10-30", "cagr": 0.202452, "sharpe": 1.063985, "mdd": -0.33957, "total_return": 7.669916 }, "win": true, "x": 10, "y": 10, "trades": { "trades": 1405, "trades_per_year": 119.9, "avg_hold_days": 24.5, "win_rate": 0.4356, "mean_return": 0.034185, "invested": 0.9996, "avg_holdings": 8.1 } }, { "strategy": { "start": "2015-02-11", "end": "2026-10-30", "cagr": 0.438709, "sharpe": 1.464458, "mdd": -0.355347, "total_return": 69.908153 }, "bench": { "start": "2015-02-11", "end": "2026-10-30", "cagr": 0.202452, "sharpe": 1.063985, "mdd": -0.33957, "total_return": 7.669916 }, "win": true, "x": 10, "y": 12, "trades": { "trades": 1688, "trades_per_year": 144.1, "avg_hold_days": 24.8, "win_rate": 0.4491, "mean_return": 0.034672, "invested": 0.9996, "avg_holdings": 9.8 } }, { "strategy": { "start": "2015-02-11", "end": "2026-10-30", "cagr": 0.477938, "sharpe": 1.410012, "mdd": -0.398362, "total_return": 96.178058 }, "bench": { "start": "2015-02-11", "end": "2026-10-30", "cagr": 0.202452, "sharpe": 1.063985, "mdd": -0.33957, "total_return": 7.669916 }, "win": true, "x": 20, "y": 8, "trades": { "trades": 1123, "trades_per_year": 95.9, "avg_hold_days": 24.4, "win_rate": 0.4239, "mean_return": 0.038022, "invested": 0.9989, "avg_holdings": 6.4 } }, { "strategy": { "start": "2015-02-11", "end": "2026-10-30", "cagr": 0.444498, "sharpe": 1.409662, "mdd": -0.39034, "total_return": 73.323696 }, "bench": { "start": "2015-02-11", "end": "2026-10-30", "cagr": 0.202452, "sharpe": 1.063985, "mdd": -0.33957, "total_return": 7.669916 }, "win": true, "x": 20, "y": 10, "trades": { "trades": 1405, "trades_per_year": 119.9, "avg_hold_days": 24.6, "win_rate": 0.4335, "mean_return": 0.035231, "invested": 0.9996, "avg_holdings": 8.1 } }, { "strategy": { "start": "2015-02-11", "end": "2026-10-30", "cagr": 0.444185, "sharpe": 1.466067, "mdd": -0.351776, "total_return": 73.135155 }, "bench": { "start": "2015-02-11", "end": "2026-10-30", "cagr": 0.202452, "sharpe": 1.063985, "mdd": -0.33957, "total_return": 7.669916 }, "win": true, "x": 20, "y": 12, "trades": { "trades": 1688, "trades_per_year": 144.1, "avg_hold_days": 24.8, "win_rate": 0.4508, "mean_return": 0.034982, "invested": 0.9996, "avg_holdings": 9.8 } }, { "strategy": { "start": "2015-02-11", "end": "2026-10-30", "cagr": 0.443504, "sharpe": 1.341771, "mdd": -0.391024, "total_return": 72.726745 }, "bench": { "start": "2015-02-11", "end": "2026-10-30", "cagr": 0.202452, "sharpe": 1.063985, "mdd": -0.33957, "total_return": 7.669916 }, "win": true, "x": 30, "y": 8, "trades": { "trades": 1124, "trades_per_year": 95.9, "avg_hold_days": 24.5, "win_rate": 0.4262, "mean_return": 0.035983, "invested": 0.9919, "avg_holdings": 6.5 } }, { "strategy": { "start": "2015-02-11", "end": "2026-10-30", "cagr": 0.432255, "sharpe": 1.393712, "mdd": -0.389288, "total_return": 66.269951 }, "bench": { "start": "2015-02-11", "end": "2026-10-30", "cagr": 0.202452, "sharpe": 1.063985, "mdd": -0.33957, "total_return": 7.669916 }, "win": true, "x": 30, "y": 10, "trades": { "trades": 1405, "trades_per_year": 119.9, "avg_hold_days": 24.7, "win_rate": 0.4384, "mean_return": 0.03433, "invested": 0.9926, "avg_holdings": 8.2 } }, { "strategy": { "start": "2015-02-11", "end": "2026-10-30", "cagr": 0.44709, "sharpe": 1.4886, "mdd": -0.377446, "total_return": 74.900748 }, "bench": { "start": "2015-02-11", "end": "2026-10-30", "cagr": 0.202452, "sharpe": 1.063985, "mdd": -0.33957, "total_return": 7.669916 }, "win": true, "x": 30, "y": 12, "trades": { "trades": 1687, "trades_per_year": 144.0, "avg_hold_days": 24.9, "win_rate": 0.4535, "mean_return": 0.035027, "invested": 0.9996, "avg_holdings": 9.8 } } ], "grid_wins": 9, "base_default_cost": { "strategy": { "start": "2015-02-11", "end": "2026-10-30", "cagr": 0.444498, "sharpe": 1.409662, "mdd": -0.39034, "total_return": 73.323696 }, "bench": { "start": "2015-02-11", "end": "2026-10-30", "cagr": 0.202452, "sharpe": 1.063985, "mdd": -0.33957, "total_return": 7.669916 }, "win": true, "x": 20, "y": 10, "trades": { "trades": 1405, "trades_per_year": 119.9, "avg_hold_days": 24.6, "win_rate": 0.4335, "mean_return": 0.035231, "invested": 0.9996, "avg_holdings": 8.1 } }, "halves": [ { "strategy": { "start": "2015-02-11", "end": "2020-12-18", "cagr": 0.390955, "sharpe": 1.383814, "mdd": -0.337933, "total_return": 5.894365 }, "bench": { "start": "2015-02-11", "end": "2020-12-18", "cagr": 0.131997, "sharpe": 0.868818, "mdd": -0.282177, "total_return": 1.065556 }, "win": true }, { "strategy": { "start": "2020-12-21", "end": "2026-10-30", "cagr": 0.501147, "sharpe": 1.443822, "mdd": -0.39034, "total_return": 9.793979 }, "bench": { "start": "2020-12-21", "end": "2026-10-30", "cagr": 0.27544, "sharpe": 1.223312, "mdd": -0.33957, "total_return": 3.156933 }, "win": true } ], "base_zero_cost": { "strategy": { "start": "2015-02-12", "end": "2026-10-30", "cagr": 0.546484, "sharpe": 1.650253, "mdd": -0.33977, "total_return": 164.087532 }, "bench": { "start": "2015-02-12", "end": "2026-10-30", "cagr": 0.202504, "sharpe": 1.064172, "mdd": -0.33957, "total_return": 7.669916 }, "win": true }, "best_year_removed": { "best_year": 2020, "excess_that_year": 1.367374, "strategy_sharpe": 1.236844, "bench_sharpe": 1.036221, "win": true }, "beats_base": 4, "new_holding_share": 0.129, "pass": { "neighbors": true, "halves": true, "cost": true, "beats_base": false, "best_year": true, "all": false } }, "4c": { "name": "月營收動能＋季底月投信買超加分", "x": { "name": "投信買超比率前 q", "values": [ 0.05, 0.1, 0.2 ] }, "y": { "name": "持股數 N", "values": [ 8, 10, 12 ] }, "base": [ 0.1, 10 ], "grid": [ { "strategy": { "start": "2015-02-11", "end": "2026-10-30", "cagr": 0.452679, "sharpe": 1.371788, "mdd": -0.388539, "total_return": 78.407326 }, "bench": { "start": "2015-02-11", "end": "2026-10-30", "cagr": 0.202452, "sharpe": 1.063985, "mdd": -0.33957, "total_return": 7.669916 }, "win": true, "x": 0.05, "y": 8, "trades": { "trades": 1124, "trades_per_year": 95.9, "avg_hold_days": 24.9, "win_rate": 0.4457, "mean_return": 0.036848, "invested": 0.9986, "avg_holdings": 6.5 } }, { "strategy": { "start": "2015-02-11", "end": "2026-10-30", "cagr": 0.4394, "sharpe": 1.404222, "mdd": -0.431093, "total_return": 70.3077 }, "bench": { "start": "2015-02-11", "end": "2026-10-30", "cagr": 0.202452, "sharpe": 1.063985, "mdd": -0.33957, "total_return": 7.669916 }, "win": true, "x": 0.05, "y": 10, "trades": { "trades": 1401, "trades_per_year": 119.6, "avg_hold_days": 25.0, "win_rate": 0.4475, "mean_return": 0.035441, "invested": 0.9996, "avg_holdings": 8.2 } }, { "strategy": { "start": "2015-02-11", "end": "2026-10-30", "cagr": 0.408461, "sharpe": 1.363943, "mdd": -0.434186, "total_return": 54.282195 }, "bench": { "start": "2015-02-11", "end": "2026-10-30", "cagr": 0.202452, "sharpe": 1.063985, "mdd": -0.33957, "total_return": 7.669916 }, "win": true, "x": 0.05, "y": 12, "trades": { "trades": 1681, "trades_per_year": 143.5, "avg_hold_days": 25.1, "win_rate": 0.4485, "mean_return": 0.032777, "invested": 0.9996, "avg_holdings": 9.8 } }, { "strategy": { "start": "2015-02-11", "end": "2026-10-30", "cagr": 0.49898, "sharpe": 1.444055, "mdd": -0.423699, "total_return": 113.68221 }, "bench": { "start": "2015-02-11", "end": "2026-10-30", "cagr": 0.202452, "sharpe": 1.063985, "mdd": -0.33957, "total_return": 7.669916 }, "win": true, "x": 0.1, "y": 8, "trades": { "trades": 1124, "trades_per_year": 95.9, "avg_hold_days": 25.0, "win_rate": 0.444, "mean_return": 0.039781, "invested": 0.9996, "avg_holdings": 6.6 } }, { "strategy": { "start": "2015-02-11", "end": "2026-10-30", "cagr": 0.480939, "sharpe": 1.477992, "mdd": -0.461425, "total_return": 98.514887 }, "bench": { "start": "2015-02-11", "end": "2026-10-30", "cagr": 0.202452, "sharpe": 1.063985, "mdd": -0.33957, "total_return": 7.669916 }, "win": true, "x": 0.1, "y": 10, "trades": { "trades": 1404, "trades_per_year": 119.8, "avg_hold_days": 25.2, "win_rate": 0.448, "mean_return": 0.037832, "invested": 0.9996, "avg_holdings": 8.2 } }, { "strategy": { "start": "2015-02-11", "end": "2026-10-30", "cagr": 0.451659, "sharpe": 1.453068, "mdd": -0.414364, "total_return": 77.756477 }, "bench": { "start": "2015-02-11", "end": "2026-10-30", "cagr": 0.202452, "sharpe": 1.063985, "mdd": -0.33957, "total_return": 7.669916 }, "win": true, "x": 0.1, "y": 12, "trades": { "trades": 1685, "trades_per_year": 143.8, "avg_hold_days": 25.2, "win_rate": 0.4528, "mean_return": 0.035328, "invested": 0.9996, "avg_holdings": 9.9 } }, { "strategy": { "start": "2015-02-11", "end": "2026-10-30", "cagr": 0.466997, "sharpe": 1.388301, "mdd": -0.409357, "total_return": 88.07609 }, "bench": { "start": "2015-02-11", "end": "2026-10-30", "cagr": 0.202452, "sharpe": 1.063985, "mdd": -0.33957, "total_return": 7.669916 }, "win": true, "x": 0.2, "y": 8, "trades": { "trades": 1123, "trades_per_year": 95.9, "avg_hold_days": 24.9, "win_rate": 0.4363, "mean_return": 0.037731, "invested": 0.9989, "avg_holdings": 6.5 } }, { "strategy": { "start": "2015-02-11", "end": "2026-10-30", "cagr": 0.499388, "sharpe": 1.520901, "mdd": -0.428495, "total_return": 114.047996 }, "bench": { "start": "2015-02-11", "end": "2026-10-30", "cagr": 0.202452, "sharpe": 1.063985, "mdd": -0.33957, "total_return": 7.669916 }, "win": true, "x": 0.2, "y": 10, "trades": { "trades": 1402, "trades_per_year": 119.7, "avg_hold_days": 25.2, "win_rate": 0.4472, "mean_return": 0.038753, "invested": 0.9996, "avg_holdings": 8.2 } }, { "strategy": { "start": "2015-02-11", "end": "2026-10-30", "cagr": 0.493516, "sharpe": 1.553606, "mdd": -0.373654, "total_return": 108.879241 }, "bench": { "start": "2015-02-11", "end": "2026-10-30", "cagr": 0.202452, "sharpe": 1.063985, "mdd": -0.33957, "total_return": 7.669916 }, "win": true, "x": 0.2, "y": 12, "trades": { "trades": 1683, "trades_per_year": 143.7, "avg_hold_days": 25.3, "win_rate": 0.4575, "mean_return": 0.037684, "invested": 0.9996, "avg_holdings": 9.9 } } ], "grid_wins": 9, "base_default_cost": { "strategy": { "start": "2015-02-11", "end": "2026-10-30", "cagr": 0.480939, "sharpe": 1.477992, "mdd": -0.461425, "total_return": 98.514887 }, "bench": { "start": "2015-02-11", "end": "2026-10-30", "cagr": 0.202452, "sharpe": 1.063985, "mdd": -0.33957, "total_return": 7.669916 }, "win": true, "x": 0.1, "y": 10, "trades": { "trades": 1404, "trades_per_year": 119.8, "avg_hold_days": 25.2, "win_rate": 0.448, "mean_return": 0.037832, "invested": 0.9996, "avg_holdings": 8.2 } }, "halves": [ { "strategy": { "start": "2015-02-11", "end": "2020-12-18", "cagr": 0.316379, "sharpe": 1.169616, "mdd": -0.461425, "total_return": 3.994285 }, "bench": { "start": "2015-02-11", "end": "2020-12-18", "cagr": 0.131997, "sharpe": 0.868818, "mdd": -0.282177, "total_return": 1.065556 }, "win": true }, { "strategy": { "start": "2020-12-21", "end": "2026-10-30", "cagr": 0.667842, "sharpe": 1.748183, "mdd": -0.39379, "total_return": 18.998536 }, "bench": { "start": "2020-12-21", "end": "2026-10-30", "cagr": 0.27544, "sharpe": 1.223312, "mdd": -0.33957, "total_return": 3.156933 }, "win": true } ], "base_zero_cost": { "strategy": { "start": "2015-02-12", "end": "2026-10-30", "cagr": 0.585285, "sharpe": 1.715054, "mdd": -0.390291, "total_return": 219.679883 }, "bench": { "start": "2015-02-12", "end": "2026-10-30", "cagr": 0.202504, "sharpe": 1.064172, "mdd": -0.33957, "total_return": 7.669916 }, "win": true }, "best_year_removed": { "best_year": 2023, "excess_that_year": 0.95678, "strategy_sharpe": 1.331118, "bench_sharpe": 1.014986, "win": true }, "beats_base": 6, "new_holding_share": 0.3044, "pass": { "neighbors": true, "halves": true, "cost": true, "beats_base": false, "best_year": true, "all": false } }, "5c": { "name": "0050，元月窗口換成市值最小股", "x": { "name": "新年第 H 個交易日賣", "values": [ 5, 10, 20 ] }, "y": { "name": "市值最小 n 檔", "values": [ 30, 50, 100 ] }, "base": [ 10, 50 ], "grid": [ { "strategy": { "start": "2013-11-20", "end": "2026-10-30", "cagr": 0.19344, "sharpe": 1.050934, "mdd": -0.341034, "total_return": 8.861457 }, "bench": { "start": "2013-11-20", "end": "2026-10-30", "cagr": 0.202335, "sharpe": 1.08866, "mdd": -0.33957, "total_return": 9.856095 }, "win": false, "x": 5, "y": 30, "trades": { "trades": 404, "trades_per_year": 31.2, "avg_hold_days": 20.0, "win_rate": 0.4059, "mean_return": 0.012137, "invested": 0.9997, "avg_holdings": 1.6 } }, { "strategy": { "start": "2013-11-20", "end": "2026-10-30", "cagr": 0.190529, "sharpe": 1.038533, "mdd": -0.341034, "total_return": 8.554606 }, "bench": { "start": "2013-11-20", "end": "2026-10-30", "cagr": 0.202335, "sharpe": 1.08866, "mdd": -0.33957, "total_return": 9.856095 }, "win": false, "x": 5, "y": 50, "trades": { "trades": 664, "trades_per_year": 51.3, "avg_hold_days": 15.7, "win_rate": 0.3976, "mean_return": 0.007127, "invested": 0.9997, "avg_holdings": 2.0 } }, { "strategy": { "start": "2013-11-20", "end": "2026-10-30", "cagr": 0.187934, "sharpe": 1.027503, "mdd": -0.341034, "total_return": 8.288534 }, "bench": { "start": "2013-11-20", "end": "2026-10-30", "cagr": 0.202335, "sharpe": 1.08866, "mdd": -0.33957, "total_return": 9.856095 }, "win": false, "x": 5, "y": 100, "trades": { "trades": 1312, "trades_per_year": 101.4, "avg_hold_days": 12.3, "win_rate": 0.3834, "mean_return": 0.00296, "invested": 0.9997, "avg_holdings": 3.0 } }, { "strategy": { "start": "2013-11-20", "end": "2026-10-30", "cagr": 0.187965, "sharpe": 1.0265, "mdd": -0.344129, "total_return": 8.291689 }, "bench": { "start": "2013-11-20", "end": "2026-10-30", "cagr": 0.202335, "sharpe": 1.08866, "mdd": -0.33957, "total_return": 9.856095 }, "win": false, "x": 10, "y": 30, "trades": { "trades": 404, "trades_per_year": 31.2, "avg_hold_days": 26.6, "win_rate": 0.4134, "mean_return": 0.013419, "invested": 0.9997, "avg_holdings": 2.2 } }, { "strategy": { "start": "2013-11-20", "end": "2026-10-30", "cagr": 0.185881, "sharpe": 1.01821, "mdd": -0.362397, "total_return": 8.0829 }, "bench": { "start": "2013-11-20", "end": "2026-10-30", "cagr": 0.202335, "sharpe": 1.08866, "mdd": -0.33957, "total_return": 9.856095 }, "win": false, "x": 10, "y": 50, "trades": { "trades": 664, "trades_per_year": 51.3, "avg_hold_days": 22.4, "win_rate": 0.4006, "mean_return": 0.009262, "invested": 0.9997, "avg_holdings": 3.0 } }, { "strategy": { "start": "2013-11-20", "end": "2026-10-30", "cagr": 0.178384, "sharpe": 0.984771, "mdd": -0.364926, "total_return": 7.36719 }, "bench": { "start": "2013-11-20", "end": "2026-10-30", "cagr": 0.202335, "sharpe": 1.08866, "mdd": -0.33957, "total_return": 9.856095 }, "win": false, "x": 10, "y": 100, "trades": { "trades": 1312, "trades_per_year": 101.4, "avg_hold_days": 19.2, "win_rate": 0.3773, "mean_return": 0.001112, "invested": 0.9997, "avg_holdings": 5.1 } }, { "strategy": { "start": "2013-11-20", "end": "2026-10-30", "cagr": 0.194666, "sharpe": 1.070988, "mdd": -0.328708, "total_return": 8.99328 }, "bench": { "start": "2013-11-20", "end": "2026-10-30", "cagr": 0.202335, "sharpe": 1.08866, "mdd": -0.33957, "total_return": 9.856095 }, "win": false, "x": 20, "y": 30, "trades": { "trades": 404, "trades_per_year": 31.2, "avg_hold_days": 43.5, "win_rate": 0.495, "mean_return": 0.03375, "invested": 0.9997, "avg_holdings": 3.4 } }, { "strategy": { "start": "2013-11-20", "end": "2026-10-30", "cagr": 0.191703, "sharpe": 1.060917, "mdd": -0.344352, "total_return": 8.677268 }, "bench": { "start": "2013-11-20", "end": "2026-10-30", "cagr": 0.202335, "sharpe": 1.08866, "mdd": -0.33957, "total_return": 9.856095 }, "win": false, "x": 20, "y": 50, "trades": { "trades": 664, "trades_per_year": 51.3, "avg_hold_days": 39.9, "win_rate": 0.494, "mean_return": 0.029481, "invested": 0.9997, "avg_holdings": 5.0 } }, { "strategy": { "start": "2013-11-20", "end": "2026-10-30", "cagr": 0.180534, "sharpe": 1.010907, "mdd": -0.342864, "total_return": 7.566997 }, "bench": { "start": "2013-11-20", "end": "2026-10-30", "cagr": 0.202335, "sharpe": 1.08866, "mdd": -0.33957, "total_return": 9.856095 }, "win": false, "x": 20, "y": 100, "trades": { "trades": 1312, "trades_per_year": 101.4, "avg_hold_days": 37.0, "win_rate": 0.4634, "mean_return": 0.0184, "invested": 0.9997, "avg_holdings": 9.1 } } ], "grid_wins": 0, "base_default_cost": { "strategy": { "start": "2013-11-20", "end": "2026-10-30", "cagr": 0.185881, "sharpe": 1.01821, "mdd": -0.362397, "total_return": 8.0829 }, "bench": { "start": "2013-11-20", "end": "2026-10-30", "cagr": 0.202335, "sharpe": 1.08866, "mdd": -0.33957, "total_return": 9.856095 }, "win": false, "x": 10, "y": 50, "trades": { "trades": 664, "trades_per_year": 51.3, "avg_hold_days": 22.4, "win_rate": 0.4006, "mean_return": 0.009262, "invested": 0.9997, "avg_holdings": 3.0 } }, "halves": [ { "strategy": { "start": "2013-11-20", "end": "2020-05-08", "cagr": 0.114404, "sharpe": 0.80456, "mdd": -0.276795, "total_return": 1.01413 }, "bench": { "start": "2013-11-20", "end": "2020-05-08", "cagr": 0.09822, "sharpe": 0.702898, "mdd": -0.282177, "total_return": 0.832396 }, "win": true }, { "strategy": { "start": "2020-05-11", "end": "2026-10-30", "cagr": 0.260529, "sharpe": 1.189545, "mdd": -0.362397, "total_return": 3.472289 }, "bench": { "start": "2020-05-11", "end": "2026-10-30", "cagr": 0.314846, "sharpe": 1.382645, "mdd": -0.33957, "total_return": 4.875773 }, "win": false } ], "base_zero_cost": { "strategy": { "start": "2013-11-21", "end": "2026-10-30", "cagr": 0.199375, "sharpe": 1.084159, "mdd": -0.357096, "total_return": 9.51003 }, "bench": { "start": "2013-11-21", "end": "2026-10-30", "cagr": 0.204044, "sharpe": 1.096614, "mdd": -0.33957, "total_return": 10.051876 }, "win": false }, "best_year_removed": { "best_year": 2014, "excess_that_year": 0.085824, "strategy_sharpe": 0.975519, "bench_sharpe": 1.080381, "win": false }, "pass": { "neighbors": false, "halves": false, "cost": false, "best_year": null, "all": false } }, "6c": { "name": "0050↔00631L：月底月初加槓桿", "x": { "name": "月底最後 k 個交易日", "values": [ 0, 1, 2 ] }, "y": { "name": "次月前 j 個交易日", "values": [ 2, 3, 4 ] }, "base": [ 1, 3 ], "grid": [ { "strategy": { "start": "2014-11-03", "end": "2026-10-30", "cagr": 0.065695, "sharpe": 0.406006, "mdd": -0.459442, "total_return": 1.144336 }, "bench": { "start": "2014-11-03", "end": "2026-10-30", "cagr": 0.202458, "sharpe": 1.067807, "mdd": -0.33957, "total_return": 8.119272 }, "win": false, "x": 0, "y": 2, "trades": { "trades": 287, "trades_per_year": 23.9, "avg_hold_days": 15.3, "win_rate": 0.5505, "mean_return": 0.003574, "invested": 0.9997, "avg_holdings": 1.0 } }, { "strategy": { "start": "2014-11-03", "end": "2026-10-30", "cagr": 0.069416, "sharpe": 0.408826, "mdd": -0.494739, "total_return": 1.235843 }, "bench": { "start": "2014-11-03", "end": "2026-10-30", "cagr": 0.202458, "sharpe": 1.067807, "mdd": -0.33957, "total_return": 8.119272 }, "win": false, "x": 0, "y": 3, "trades": { "trades": 288, "trades_per_year": 24.0, "avg_hold_days": 15.2, "win_rate": 0.5868, "mean_return": 0.004012, "invested": 0.9997, "avg_holdings": 1.0 } }, { "strategy": { "start": "2014-11-03", "end": "2026-10-30", "cagr": 0.07248, "sharpe": 0.411963, "mdd": -0.523505, "total_return": 1.313867 }, "bench": { "start": "2014-11-03", "end": "2026-10-30", "cagr": 0.202458, "sharpe": 1.067807, "mdd": -0.33957, "total_return": 8.119272 }, "win": false, "x": 0, "y": 4, "trades": { "trades": 288, "trades_per_year": 24.0, "avg_hold_days": 15.2, "win_rate": 0.5868, "mean_return": 0.004267, "invested": 0.9997, "avg_holdings": 1.0 } }, { "strategy": { "start": "2014-11-03", "end": "2026-10-30", "cagr": 0.075456, "sharpe": 0.436134, "mdd": -0.467869, "total_return": 1.392013 }, "bench": { "start": "2014-11-03", "end": "2026-10-30", "cagr": 0.202458, "sharpe": 1.067807, "mdd": -0.33957, "total_return": 8.119272 }, "win": false, "x": 1, "y": 2, "trades": { "trades": 289, "trades_per_year": 24.1, "avg_hold_days": 15.1, "win_rate": 0.5294, "mean_return": 0.004023, "invested": 0.9997, "avg_holdings": 1.0 } }, { "strategy": { "start": "2014-11-03", "end": "2026-10-30", "cagr": 0.079198, "sharpe": 0.438081, "mdd": -0.522341, "total_return": 1.493736 }, "bench": { "start": "2014-11-03", "end": "2026-10-30", "cagr": 0.202458, "sharpe": 1.067807, "mdd": -0.33957, "total_return": 8.119272 }, "win": false, "x": 1, "y": 3, "trades": { "trades": 290, "trades_per_year": 24.2, "avg_hold_days": 15.1, "win_rate": 0.5379, "mean_return": 0.004562, "invested": 0.9997, "avg_holdings": 1.0 } }, { "strategy": { "start": "2014-11-03", "end": "2026-10-30", "cagr": 0.082284, "sharpe": 0.440536, "mdd": -0.549563, "total_return": 1.580583 }, "bench": { "start": "2014-11-03", "end": "2026-10-30", "cagr": 0.202458, "sharpe": 1.067807, "mdd": -0.33957, "total_return": 8.119272 }, "win": false, "x": 1, "y": 4, "trades": { "trades": 290, "trades_per_year": 24.2, "avg_hold_days": 15.1, "win_rate": 0.5621, "mean_return": 0.004847, "invested": 0.9997, "avg_holdings": 1.0 } }, { "strategy": { "start": "2014-11-03", "end": "2026-10-30", "cagr": 0.077645, "sharpe": 0.437307, "mdd": -0.449625, "total_return": 1.451045 }, "bench": { "start": "2014-11-03", "end": "2026-10-30", "cagr": 0.202458, "sharpe": 1.067807, "mdd": -0.33957, "total_return": 8.119272 }, "win": false, "x": 2, "y": 2, "trades": { "trades": 289, "trades_per_year": 24.1, "avg_hold_days": 15.1, "win_rate": 0.5467, "mean_return": 0.004195, "invested": 0.9997, "avg_holdings": 1.0 } }, { "strategy": { "start": "2014-11-03", "end": "2026-10-30", "cagr": 0.081391, "sharpe": 0.440216, "mdd": -0.544607, "total_return": 1.555167 }, "bench": { "start": "2014-11-03", "end": "2026-10-30", "cagr": 0.202458, "sharpe": 1.067807, "mdd": -0.33957, "total_return": 8.119272 }, "win": false, "x": 2, "y": 3, "trades": { "trades": 290, "trades_per_year": 24.2, "avg_hold_days": 15.1, "win_rate": 0.5621, "mean_return": 0.004727, "invested": 0.9997, "avg_holdings": 1.0 } }, { "strategy": { "start": "2014-11-03", "end": "2026-10-30", "cagr": 0.084484, "sharpe": 0.443154, "mdd": -0.570568, "total_return": 1.644175 }, "bench": { "start": "2014-11-03", "end": "2026-10-30", "cagr": 0.202458, "sharpe": 1.067807, "mdd": -0.33957, "total_return": 8.119272 }, "win": false, "x": 2, "y": 4, "trades": { "trades": 290, "trades_per_year": 24.2, "avg_hold_days": 15.1, "win_rate": 0.5759, "mean_return": 0.004988, "invested": 0.9997, "avg_holdings": 1.0 } } ], "grid_wins": 0, "base_default_cost": { "strategy": { "start": "2014-11-03", "end": "2026-10-30", "cagr": 0.079198, "sharpe": 0.438081, "mdd": -0.522341, "total_return": 1.493736 }, "bench": { "start": "2014-11-03", "end": "2026-10-30", "cagr": 0.202458, "sharpe": 1.067807, "mdd": -0.33957, "total_return": 8.119272 }, "win": false, "x": 1, "y": 3, "trades": { "trades": 290, "trades_per_year": 24.2, "avg_hold_days": 15.1, "win_rate": 0.5379, "mean_return": 0.004562, "invested": 0.9997, "avg_holdings": 1.0 } }, "halves": [ { "strategy": { "start": "2014-11-03", "end": "2020-10-30", "cagr": 0.003652, "sharpe": 0.115957, "mdd": -0.393208, "total_return": 0.022079 }, "bench": { "start": "2014-11-03", "end": "2020-10-30", "cagr": 0.112434, "sharpe": 0.76106, "mdd": -0.282177, "total_return": 0.893223 }, "win": false }, { "strategy": { "start": "2020-11-02", "end": "2026-10-30", "cagr": 0.159026, "sharpe": 0.656986, "mdd": -0.522341, "total_return": 1.420718 }, "bench": { "start": "2020-11-02", "end": "2026-10-30", "cagr": 0.299254, "sharpe": 1.311994, "mdd": -0.33957, "total_return": 3.798162 }, "win": false } ], "base_zero_cost": { "strategy": { "start": "2014-11-04", "end": "2026-10-30", "cagr": 0.242937, "sharpe": 1.018097, "mdd": -0.467191, "total_return": 12.554941 }, "bench": { "start": "2014-11-04", "end": "2026-10-30", "cagr": 0.202432, "sharpe": 1.067655, "mdd": -0.33957, "total_return": 8.112326 }, "win": false }, "best_year_removed": { "best_year": 2026, "excess_that_year": 0.138752, "strategy_sharpe": 0.254852, "bench_sharpe": 0.949246, "win": false }, "base_etf_tax": { "strategy": { "start": "2014-11-03", "end": "2026-10-30", "cagr": 0.132726, "sharpe": 0.636205, "mdd": -0.503876, "total_return": 3.455586 }, "bench": { "start": "2014-11-03", "end": "2026-10-30", "cagr": 0.202458, "sharpe": 1.067807, "mdd": -0.33957, "total_return": 8.119272 }, "win": false }, "pass": { "neighbors": false, "halves": false, "cost": false, "best_year": null, "all": false } }, "7c": { "name": "0050↔00631L：結算週以外加槓桿", "x": { "name": "結算日前 k 日起降槓桿", "values": [ 1, 2, 3 ] }, "y": { "name": "降槓桿到結算日＋e", "values": [ -1, 0, 1 ] }, "base": [ 2, 0 ], "grid": [ { "strategy": { "start": "2014-11-03", "end": "2026-10-30", "cagr": 0.157862, "sharpe": 0.591431, "mdd": -0.618312, "total_return": 4.796733 }, "bench": { "start": "2014-11-03", "end": "2026-10-30", "cagr": 0.202458, "sharpe": 1.067807, "mdd": -0.33957, "total_return": 8.119272 }, "win": false, "x": 1, "y": -1, "trades": { "trades": 290, "trades_per_year": 24.2, "avg_hold_days": 15.1, "win_rate": 0.4586, "mean_return": 0.008577, "invested": 0.9997, "avg_holdings": 1.0 } }, { "strategy": { "start": "2014-11-03", "end": "2026-10-30", "cagr": 0.147069, "sharpe": 0.568369, "mdd": -0.601164, "total_return": 4.1811 }, "bench": { "start": "2014-11-03", "end": "2026-10-30", "cagr": 0.202458, "sharpe": 1.067807, "mdd": -0.33957, "total_return": 8.119272 }, "win": false, "x": 1, "y": 0, "trades": { "trades": 290, "trades_per_year": 24.2, "avg_hold_days": 15.1, "win_rate": 0.4759, "mean_return": 0.008156, "invested": 0.9997, "avg_holdings": 1.0 } }, { "strategy": { "start": "2014-11-03", "end": "2026-10-30", "cagr": 0.126398, "sharpe": 0.520988, "mdd": -0.60747, "total_return": 3.16616 }, "bench": { "start": "2014-11-03", "end": "2026-10-30", "cagr": 0.202458, "sharpe": 1.067807, "mdd": -0.33957, "total_return": 8.119272 }, "win": false, "x": 1, "y": 1, "trades": { "trades": 290, "trades_per_year": 24.2, "avg_hold_days": 15.1, "win_rate": 0.4828, "mean_return": 0.007527, "invested": 0.9997, "avg_holdings": 1.0 } }, { "strategy": { "start": "2014-11-03", "end": "2026-10-30", "cagr": 0.160729, "sharpe": 0.601637, "mdd": -0.613545, "total_return": 4.971188 }, "bench": { "start": "2014-11-03", "end": "2026-10-30", "cagr": 0.202458, "sharpe": 1.067807, "mdd": -0.33957, "total_return": 8.119272 }, "win": false, "x": 2, "y": -1, "trades": { "trades": 290, "trades_per_year": 24.2, "avg_hold_days": 15.1, "win_rate": 0.4897, "mean_return": 0.008461, "invested": 0.9997, "avg_holdings": 1.0 } }, { "strategy": { "start": "2014-11-03", "end": "2026-10-30", "cagr": 0.149909, "sharpe": 0.578473, "mdd": -0.596182, "total_return": 4.336996 }, "bench": { "start": "2014-11-03", "end": "2026-10-30", "cagr": 0.202458, "sharpe": 1.067807, "mdd": -0.33957, "total_return": 8.119272 }, "win": false, "x": 2, "y": 0, "trades": { "trades": 290, "trades_per_year": 24.2, "avg_hold_days": 15.1, "win_rate": 0.5, "mean_return": 0.008048, "invested": 0.9997, "avg_holdings": 1.0 } }, { "strategy": { "start": "2014-11-03", "end": "2026-10-30", "cagr": 0.129182, "sharpe": 0.530722, "mdd": -0.60257, "total_return": 3.291309 }, "bench": { "start": "2014-11-03", "end": "2026-10-30", "cagr": 0.202458, "sharpe": 1.067807, "mdd": -0.33957, "total_return": 8.119272 }, "win": false, "x": 2, "y": 1, "trades": { "trades": 290, "trades_per_year": 24.2, "avg_hold_days": 15.1, "win_rate": 0.4931, "mean_return": 0.00746, "invested": 0.9997, "avg_holdings": 1.0 } }, { "strategy": { "start": "2014-11-03", "end": "2026-10-30", "cagr": 0.147483, "sharpe": 0.573084, "mdd": -0.62599, "total_return": 4.203574 }, "bench": { "start": "2014-11-03", "end": "2026-10-30", "cagr": 0.202458, "sharpe": 1.067807, "mdd": -0.33957, "total_return": 8.119272 }, "win": false, "x": 3, "y": -1, "trades": { "trades": 290, "trades_per_year": 24.2, "avg_hold_days": 15.1, "win_rate": 0.5207, "mean_return": 0.008098, "invested": 0.9997, "avg_holdings": 1.0 } }, { "strategy": { "start": "2014-11-03", "end": "2026-10-30", "cagr": 0.136791, "sharpe": 0.549287, "mdd": -0.60918, "total_return": 3.65113 }, "bench": { "start": "2014-11-03", "end": "2026-10-30", "cagr": 0.202458, "sharpe": 1.067807, "mdd": -0.33957, "total_return": 8.119272 }, "win": false, "x": 3, "y": 0, "trades": { "trades": 290, "trades_per_year": 24.2, "avg_hold_days": 15.1, "win_rate": 0.5345, "mean_return": 0.00765, "invested": 0.9997, "avg_holdings": 1.0 } }, { "strategy": { "start": "2014-11-03", "end": "2026-10-30", "cagr": 0.116305, "sharpe": 0.500284, "mdd": -0.615357, "total_return": 2.739991 }, "bench": { "start": "2014-11-03", "end": "2026-10-30", "cagr": 0.202458, "sharpe": 1.067807, "mdd": -0.33957, "total_return": 8.119272 }, "win": false, "x": 3, "y": 1, "trades": { "trades": 290, "trades_per_year": 24.2, "avg_hold_days": 15.1, "win_rate": 0.5207, "mean_return": 0.007026, "invested": 0.9997, "avg_holdings": 1.0 } } ], "grid_wins": 0, "base_default_cost": { "strategy": { "start": "2014-11-03", "end": "2026-10-30", "cagr": 0.149909, "sharpe": 0.578473, "mdd": -0.596182, "total_return": 4.336996 }, "bench": { "start": "2014-11-03", "end": "2026-10-30", "cagr": 0.202458, "sharpe": 1.067807, "mdd": -0.33957, "total_return": 8.119272 }, "win": false, "x": 2, "y": 0, "trades": { "trades": 290, "trades_per_year": 24.2, "avg_hold_days": 15.1, "win_rate": 0.5, "mean_return": 0.008048, "invested": 0.9997, "avg_holdings": 1.0 } }, "halves": [ { "strategy": { "start": "2014-11-03", "end": "2020-10-30", "cagr": 0.019858, "sharpe": 0.2195, "mdd": -0.517601, "total_return": 0.125011 }, "bench": { "start": "2014-11-03", "end": "2020-10-30", "cagr": 0.112434, "sharpe": 0.76106, "mdd": -0.282177, "total_return": 0.893223 }, "win": false }, { "strategy": { "start": "2020-11-02", "end": "2026-10-30", "cagr": 0.295087, "sharpe": 0.848237, "mdd": -0.596182, "total_return": 3.706715 }, "bench": { "start": "2020-11-02", "end": "2026-10-30", "cagr": 0.299254, "sharpe": 1.311994, "mdd": -0.33957, "total_return": 3.798162 }, "win": false } ], "base_zero_cost": { "strategy": { "start": "2014-11-04", "end": "2026-10-30", "cagr": 0.324143, "sharpe": 0.980383, "mdd": -0.549036, "total_return": 27.94343 }, "bench": { "start": "2014-11-04", "end": "2026-10-30", "cagr": 0.202432, "sharpe": 1.067655, "mdd": -0.33957, "total_return": 8.112326 }, "win": false }, "best_year_removed": { "best_year": 2023, "excess_that_year": 0.147224, "strategy_sharpe": 0.519918, "bench_sharpe": 1.019883, "win": false }, "base_etf_tax": { "strategy": { "start": "2014-11-03", "end": "2026-10-30", "cagr": 0.206839, "sharpe": 0.715857, "mdd": -0.580352, "total_return": 8.525753 }, "bench": { "start": "2014-11-03", "end": "2026-10-30", "cagr": 0.202458, "sharpe": 1.067807, "mdd": -0.33957, "total_return": 8.119272 }, "win": false }, "pass": { "neighbors": false, "halves": false, "cost": false, "best_year": null, "all": false } }, "8c": { "name": "0050↔00631L：5、6 月以外加槓桿", "x": { "name": "5 月第一個交易日＋a 起降槓桿", "values": [ -10, 0, 10 ] }, "y": { "name": "降槓桿到 6 月最後一個交易日＋b", "values": [ -10, 0, 10 ] }, "base": [ 0, 0 ], "grid": [ { "strategy": { "start": "2014-11-03", "end": "2026-10-30", "cagr": 0.288225, "sharpe": 0.908563, "mdd": -0.553508, "total_return": 19.830296 }, "bench": { "start": "2014-11-03", "end": "2026-10-30", "cagr": 0.202458, "sharpe": 1.067807, "mdd": -0.33957, "total_return": 8.119272 }, "win": false, "x": -10, "y": -10, "trades": { "trades": 26, "trades_per_year": 2.2, "avg_hold_days": 168.4, "win_rate": 0.5769, "mean_return": 0.179397, "invested": 0.9997, "avg_holdings": 1.0 } }, { "strategy": { "start": "2014-11-03", "end": "2026-10-30", "cagr": 0.273272, "sharpe": 0.88392, "mdd": -0.553627, "total_return": 17.109495 }, "bench": { "start": "2014-11-03", "end": "2026-10-30", "cagr": 0.202458, "sharpe": 1.067807, "mdd": -0.33957, "total_return": 8.119272 }, "win": false, "x": -10, "y": 0, "trades": { "trades": 26, "trades_per_year": 2.2, "avg_hold_days": 168.4, "win_rate": 0.6154, "mean_return": 0.170372, "invested": 0.9997, "avg_holdings": 1.0 } }, { "strategy": { "start": "2014-11-03", "end": "2026-10-30", "cagr": 0.258587, "sharpe": 0.857029, "mdd": -0.550607, "total_return": 14.758209 }, "bench": { "start": "2014-11-03", "end": "2026-10-30", "cagr": 0.202458, "sharpe": 1.067807, "mdd": -0.33957, "total_return": 8.119272 }, "win": false, "x": -10, "y": 10, "trades": { "trades": 26, "trades_per_year": 2.2, "avg_hold_days": 168.4, "win_rate": 0.6923, "mean_return": 0.157363, "invested": 0.9997, "avg_holdings": 1.0 } }, { "strategy": { "start": "2014-11-03", "end": "2026-10-30", "cagr": 0.303955, "sharpe": 0.93486, "mdd": -0.553508, "total_return": 23.092807 }, "bench": { "start": "2014-11-03", "end": "2026-10-30", "cagr": 0.202458, "sharpe": 1.067807, "mdd": -0.33957, "total_return": 8.119272 }, "win": false, "x": 0, "y": -10, "trades": { "trades": 26, "trades_per_year": 2.2, "avg_hold_days": 168.4, "win_rate": 0.6538, "mean_return": 0.195996, "invested": 0.9997, "avg_holdings": 1.0 } }, { "strategy": { "start": "2014-11-03", "end": "2026-10-30", "cagr": 0.288827, "sharpe": 0.910808, "mdd": -0.553628, "total_return": 19.947409 }, "bench": { "start": "2014-11-03", "end": "2026-10-30", "cagr": 0.202458, "sharpe": 1.067807, "mdd": -0.33957, "total_return": 8.119272 }, "win": false, "x": 0, "y": 0, "trades": { "trades": 26, "trades_per_year": 2.2, "avg_hold_days": 168.4, "win_rate": 0.6538, "mean_return": 0.185753, "invested": 0.9997, "avg_holdings": 1.0 } }, { "strategy": { "start": "2014-11-03", "end": "2026-10-30", "cagr": 0.273976, "sharpe": 0.884534, "mdd": -0.550608, "total_return": 17.229793 }, "bench": { "start": "2014-11-03", "end": "2026-10-30", "cagr": 0.202458, "sharpe": 1.067807, "mdd": -0.33957, "total_return": 8.119272 }, "win": false, "x": 0, "y": 10, "trades": { "trades": 26, "trades_per_year": 2.2, "avg_hold_days": 168.4, "win_rate": 0.6538, "mean_return": 0.170963, "invested": 0.9997, "avg_holdings": 1.0 } }, { "strategy": { "start": "2014-11-03", "end": "2026-10-30", "cagr": 0.290736, "sharpe": 0.897678, "mdd": -0.553508, "total_return": 20.322419 }, "bench": { "start": "2014-11-03", "end": "2026-10-30", "cagr": 0.202458, "sharpe": 1.067807, "mdd": -0.33957, "total_return": 8.119272 }, "win": false, "x": 10, "y": -10, "trades": { "trades": 26, "trades_per_year": 2.2, "avg_hold_days": 168.4, "win_rate": 0.6538, "mean_return": 0.187695, "invested": 0.9997, "avg_holdings": 1.0 } }, { "strategy": { "start": "2014-11-03", "end": "2026-10-30", "cagr": 0.275767, "sharpe": 0.873182, "mdd": -0.553628, "total_return": 17.539512 }, "bench": { "start": "2014-11-03", "end": "2026-10-30", "cagr": 0.202458, "sharpe": 1.067807, "mdd": -0.33957, "total_return": 8.119272 }, "win": false, "x": 10, "y": 0, "trades": { "trades": 26, "trades_per_year": 2.2, "avg_hold_days": 168.4, "win_rate": 0.6923, "mean_return": 0.177511, "invested": 0.9997, "avg_holdings": 1.0 } }, { "strategy": { "start": "2014-11-03", "end": "2026-10-30", "cagr": 0.261071, "sharpe": 0.84666, "mdd": -0.550611, "total_return": 15.135039 }, "bench": { "start": "2014-11-03", "end": "2026-10-30", "cagr": 0.202458, "sharpe": 1.067807, "mdd": -0.33957, "total_return": 8.119272 }, "win": false, "x": 10, "y": 10, "trades": { "trades": 26, "trades_per_year": 2.2, "avg_hold_days": 168.4, "win_rate": 0.6923, "mean_return": 0.163849, "invested": 0.9997, "avg_holdings": 1.0 } } ], "grid_wins": 0, "base_default_cost": { "strategy": { "start": "2014-11-03", "end": "2026-10-30", "cagr": 0.288827, "sharpe": 0.910808, "mdd": -0.553628, "total_return": 19.947409 }, "bench": { "start": "2014-11-03", "end": "2026-10-30", "cagr": 0.202458, "sharpe": 1.067807, "mdd": -0.33957, "total_return": 8.119272 }, "win": false, "x": 0, "y": 0, "trades": { "trades": 26, "trades_per_year": 2.2, "avg_hold_days": 168.4, "win_rate": 0.6538, "mean_return": 0.185753, "invested": 0.9997, "avg_holdings": 1.0 } }, "halves": [ { "strategy": { "start": "2014-11-03", "end": "2020-10-30", "cagr": 0.172212, "sharpe": 0.694123, "mdd": -0.522941, "total_return": 1.590453 }, "bench": { "start": "2014-11-03", "end": "2020-10-30", "cagr": 0.112434, "sharpe": 0.76106, "mdd": -0.282177, "total_return": 0.893223 }, "win": false }, { "strategy": { "start": "2020-11-02", "end": "2026-10-30", "cagr": 0.415676, "sharpe": 1.086924, "mdd": -0.553628, "total_return": 7.022989 }, "bench": { "start": "2020-11-02", "end": "2026-10-30", "cagr": 0.299254, "sharpe": 1.311994, "mdd": -0.33957, "total_return": 3.798162 }, "win": false } ], "base_zero_cost": { "strategy": { "start": "2014-11-04", "end": "2026-10-30", "cagr": 0.304022, "sharpe": 0.947156, "mdd": -0.551437, "total_return": 23.090207 }, "bench": { "start": "2014-11-04", "end": "2026-10-30", "cagr": 0.202432, "sharpe": 1.067655, "mdd": -0.33957, "total_return": 8.112326 }, "win": false }, "best_year_removed": { "best_year": 2019, "excess_that_year": 0.388088, "strategy_sharpe": 0.820531, "bench_sharpe": 0.994887, "win": false }, "base_etf_tax": { "strategy": { "start": "2014-11-03", "end": "2026-10-30", "cagr": 0.293844, "sharpe": 0.923168, "mdd": -0.552633, "total_return": 20.946214 }, "bench": { "start": "2014-11-03", "end": "2026-10-30", "cagr": 0.202458, "sharpe": 1.067807, "mdd": -0.33957, "total_return": 8.119272 }, "win": false }, "pass": { "neighbors": false, "halves": false, "cost": false, "best_year": null, "all": false } }, "9c": { "name": "0050，封關窗口換成市值最小股", "x": { "name": "封關前進場交易日 k", "values": [ 3, 5, 10 ] }, "y": { "name": "開紅盤後第 j 個交易日賣", "values": [ 1, 3, 5 ] }, "base": [ 5, 3 ], "grid": [ { "strategy": { "start": "2013-12-12", "end": "2026-10-30", "cagr": 0.186455, "sharpe": 1.023451, "mdd": -0.346568, "total_return": 8.046387 }, "bench": { "start": "2013-12-12", "end": "2026-10-30", "cagr": 0.201813, "sharpe": 1.08525, "mdd": -0.33957, "total_return": 9.676421 }, "win": false, "x": 3, "y": 1, "trades": { "trades": 664, "trades_per_year": 51.5, "avg_hold_days": 22.0, "win_rate": 0.4714, "mean_return": 0.008524, "invested": 0.9997, "avg_holdings": 1.8 } }, { "strategy": { "start": "2013-12-12", "end": "2026-10-30", "cagr": 0.192552, "sharpe": 1.052384, "mdd": -0.340596, "total_return": 8.663819 }, "bench": { "start": "2013-12-12", "end": "2026-10-30", "cagr": 0.201813, "sharpe": 1.08525, "mdd": -0.33957, "total_return": 9.676421 }, "win": false, "x": 3, "y": 3, "trades": { "trades": 664, "trades_per_year": 51.5, "avg_hold_days": 24.4, "win_rate": 0.5256, "mean_return": 0.019936, "invested": 0.9997, "avg_holdings": 2.2 } }, { "strategy": { "start": "2013-12-12", "end": "2026-10-30", "cagr": 0.201209, "sharpe": 1.09046, "mdd": -0.345506, "total_return": 9.607508 }, "bench": { "start": "2013-12-12", "end": "2026-10-30", "cagr": 0.201813, "sharpe": 1.08525, "mdd": -0.33957, "total_return": 9.676421 }, "win": true, "x": 3, "y": 5, "trades": { "trades": 664, "trades_per_year": 51.5, "avg_hold_days": 27.2, "win_rate": 0.5467, "mean_return": 0.031808, "invested": 0.9997, "avg_holdings": 2.6 } }, { "strategy": { "start": "2013-12-09", "end": "2026-10-30", "cagr": 0.189756, "sharpe": 1.041788, "mdd": -0.344356, "total_return": 8.38939 }, "bench": { "start": "2013-12-09", "end": "2026-10-30", "cagr": 0.201267, "sharpe": 1.082841, "mdd": -0.33957, "total_return": 9.630122 }, "win": false, "x": 5, "y": 1, "trades": { "trades": 663, "trades_per_year": 51.4, "avg_hold_days": 24.3, "win_rate": 0.4842, "mean_return": 0.013167, "invested": 0.9997, "avg_holdings": 2.2 } }, { "strategy": { "start": "2013-12-09", "end": "2026-10-30", "cagr": 0.196685, "sharpe": 1.074165, "mdd": -0.337361, "total_return": 9.119163 }, "bench": { "start": "2013-12-09", "end": "2026-10-30", "cagr": 0.201267, "sharpe": 1.082841, "mdd": -0.33957, "total_return": 9.630122 }, "win": false, "x": 5, "y": 3, "trades": { "trades": 663, "trades_per_year": 51.4, "avg_hold_days": 26.6, "win_rate": 0.5158, "mean_return": 0.025214, "invested": 0.9997, "avg_holdings": 2.6 } }, { "strategy": { "start": "2013-12-09", "end": "2026-10-30", "cagr": 0.205671, "sharpe": 1.113708, "mdd": -0.343892, "total_return": 10.143601 }, "bench": { "start": "2013-12-09", "end": "2026-10-30", "cagr": 0.201267, "sharpe": 1.082841, "mdd": -0.33957, "total_return": 9.630122 }, "win": true, "x": 5, "y": 5, "trades": { "trades": 663, "trades_per_year": 51.4, "avg_hold_days": 29.4, "win_rate": 0.5385, "mean_return": 0.037458, "invested": 0.9997, "avg_holdings": 3.0 } }, { "strategy": { "start": "2013-12-02", "end": "2026-10-30", "cagr": 0.194241, "sharpe": 1.067472, "mdd": -0.326173, "total_return": 8.88959 }, "bench": { "start": "2013-12-02", "end": "2026-10-30", "cagr": 0.201263, "sharpe": 1.08332, "mdd": -0.33957, "total_return": 9.667129 }, "win": false, "x": 10, "y": 1, "trades": { "trades": 664, "trades_per_year": 51.4, "avg_hold_days": 31.0, "win_rate": 0.4669, "mean_return": 0.01641, "invested": 0.9997, "avg_holdings": 3.2 } }, { "strategy": { "start": "2013-12-02", "end": "2026-10-30", "cagr": 0.200865, "sharpe": 1.099092, "mdd": -0.324206, "total_return": 9.621538 }, "bench": { "start": "2013-12-02", "end": "2026-10-30", "cagr": 0.201263, "sharpe": 1.08332, "mdd": -0.33957, "total_return": 9.667129 }, "win": true, "x": 10, "y": 3, "trades": { "trades": 664, "trades_per_year": 51.4, "avg_hold_days": 33.3, "win_rate": 0.5166, "mean_return": 0.028317, "invested": 0.9997, "avg_holdings": 3.6 } }, { "strategy": { "start": "2013-12-02", "end": "2026-10-30", "cagr": 0.210452, "sharpe": 1.141218, "mdd": -0.32806, "total_return": 10.769773 }, "bench": { "start": "2013-12-02", "end": "2026-10-30", "cagr": 0.201263, "sharpe": 1.08332, "mdd": -0.33957, "total_return": 9.667129 }, "win": true, "x": 10, "y": 5, "trades": { "trades": 664, "trades_per_year": 51.4, "avg_hold_days": 36.1, "win_rate": 0.5527, "mean_return": 0.041006, "invested": 0.9997, "avg_holdings": 4.0 } } ], "grid_wins": 4, "base_default_cost": { "strategy": { "start": "2013-12-09", "end": "2026-10-30", "cagr": 0.196685, "sharpe": 1.074165, "mdd": -0.337361, "total_return": 9.119163 }, "bench": { "start": "2013-12-09", "end": "2026-10-30", "cagr": 0.201267, "sharpe": 1.082841, "mdd": -0.33957, "total_return": 9.630122 }, "win": false, "x": 5, "y": 3, "trades": { "trades": 663, "trades_per_year": 51.4, "avg_hold_days": 26.6, "win_rate": 0.5158, "mean_return": 0.025214, "invested": 0.9997, "avg_holdings": 2.6 } }, "halves": [ { "strategy": { "start": "2013-12-09", "end": "2020-05-20", "cagr": 0.122839, "sharpe": 0.859335, "mdd": -0.263631, "total_return": 1.110041 }, "bench": { "start": "2013-12-09", "end": "2020-05-20", "cagr": 0.093836, "sharpe": 0.675791, "mdd": -0.282177, "total_return": 0.782555 }, "win": true }, { "strategy": { "start": "2020-05-20", "end": "2026-10-30", "cagr": 0.275388, "sharpe": 1.253787, "mdd": -0.337361, "total_return": 3.795718 }, "bench": { "start": "2020-05-20", "end": "2026-10-30", "cagr": 0.31925, "sharpe": 1.397395, "mdd": -0.33957, "total_return": 4.963419 }, "win": false } ], "base_zero_cost": { "strategy": { "start": "2013-12-10", "end": "2026-10-30", "cagr": 0.210312, "sharpe": 1.140769, "mdd": -0.32808, "total_return": 10.703125 }, "bench": { "start": "2013-12-10", "end": "2026-10-30", "cagr": 0.201072, "sharpe": 1.081931, "mdd": -0.33957, "total_return": 9.602535 }, "win": true }, "best_year_removed": { "best_year": 2014, "excess_that_year": 0.081138, "strategy_sharpe": 1.034438, "bench_sharpe": 1.074236, "win": false }, "pass": { "neighbors": false, "halves": false, "cost": false, "best_year": null, "all": false } } }, "descriptive": { "lead": { "n": 10859, "median_calendar_days": 3.0, "share_ge_5_trading_days": 0.2332, "share_ge_10_trading_days": 0.0565, "histogram": { "0": 138, "1": 4637, "2": 1844, "3": 1020, "4": 688, "5": 761, "6": 489, "7": 289, "8": 224, "9": 156, "10": 205, "11": 104, "12": 89, "13": 43, "14": 41, "15": 131 } }, "prediction_hit_within_7_days": 0.4628, "conference_path": { "days": [ -20, -19, -18, -17, -16, -15, -14, -13, -12, -11, -10, -9, -8, -7, -6, -5, -4, -3, -2, -1, 0, 1, 2, 3, 4, 5 ], "actual": [ 0.000233, 0.000211, 0.000133, 0.000147, 2.6e-05, 0.000202, 0.000206, 0.000228, 0.000179, 0.000125, 0.000161, 0.000133, 0.000214, 5.1e-05, 0.000227, 0.000506, 0.00049, 0.000505, 0.001008, 0.001672, 0.0025, 9.9e-05, -0.00021, -0.000158, -0.000205, -0.000126 ], "predicted": [ 1e-05, -0.000106, -0.000534, -0.000894, -0.000163, -0.000106, 9e-06, -0.0001, -0.000349, -9.6e-05, 0.000119, 1e-05, -0.000218, 0.000258, -0.000186, -7.6e-05, 0.00014, -0.000122, -0.000164, -0.000413, 0.000137, 0.000207, -4.3e-05, 0.000126, 0.000202, -0.000183 ] }, "conference_drift": [ { "group": 1, "react": -0.048389, "post60": -0.027461, "n": 6212 }, { "group": 2, "react": -0.014368, "post60": -0.021969, "n": 6203 }, { "group": 3, "react": -0.000136, "post60": -0.017558, "n": 6202 }, { "group": 4, "react": 0.015105, "post60": -0.012526, "n": 6192 }, { "group": 5, "react": 0.062238, "post60": -0.001925, "n": 6205 } ], "agm_notice_lead_days_median_by_year": { "2015": 76.0, "2016": 74.0, "2017": 75.0, "2018": 64.0, "2019": 60.0, "2020": 74.0, "2021": 77.0, "2022": 76.0, "2023": 77.0, "2024": 77.0, "2025": 77.0, "2026": 77.0 }, "agm_pre10": { "mean": -0.001201, "median": -0.008609, "n": 12766 }, "window_dressing": { "quarters": 53, "pre10_mean": 0.001462, "pre10_positive_share": 0.434, "post10_mean": -0.009436 }, "small_cap_january": { "2014": 0.085994, "2015": 0.023943, "2016": 0.009734, "2017": 0.005665, "2018": -0.024914, "2019": 0.012815, "2020": 0.023447, "2021": -0.089824, "2022": -0.041929, "2023": -0.06711, "2024": 0.032903, "2025": -0.018232, "2026": -0.038163 }, "small_cap_lunar_new_year": { "2014": 0.080644, "2015": 0.044995, "2016": -0.009051, "2017": 0.058652, "2018": 0.026788, "2019": 0.025429, "2020": 0.050832, "2021": -0.006689, "2022": 0.019112, "2023": -0.032585, "2024": -0.005507, "2025": 0.000988, "2026": -0.116787 }, "calendar_days": { "turn_of_month": { "inside": { "days": 937, "mean_annualized": 0.271077, "sharpe": 1.226328 }, "outside": { "days": 3854, "mean_annualized": 0.131454, "sharpe": 0.635415 }, "t_stat": 1.1059 }, "settlement_window": { "inside": { "days": 699, "mean_annualized": 0.075303, "sharpe": 0.382738 }, "outside": { "days": 4092, "mean_annualized": 0.173017, "sharpe": 0.816586 }, "t_stat": -0.7557 }, "may_june": { "inside": { "days": 826, "mean_annualized": 0.170523, "sharpe": 0.891335 }, "outside": { "days": 3965, "mean_annualized": 0.15631, "sharpe": 0.732511 }, "t_stat": 0.1199 } }, "may_june_by_year": { "2007": 0.142355, "2008": -0.13928, "2009": 0.054804, "2010": -0.095803, "2011": -0.050806, "2012": -0.035543, "2013": -0.02305, "2014": 0.081148, "2015": -0.028691, "2016": 0.0625, "2017": 0.078471, "2018": 0.018125, "2019": -0.022947, "2020": 0.051462, "2021": -0.011735, "2022": -0.100583, "2023": 0.099659, "2024": 0.178199, "2025": 0.137503, "2026": 0.19116 } } }