{
  "data_end": "2026-07-09",
  "window_start": "2018-01-01",
  "benchmark": {
    "name": "0050 含息",
    "start": "2018-01-02",
    "end": "2026-07-09",
    "cagr": 25.1,
    "daily_sharpe": 1.22,
    "daily_sortino": 1.66,
    "monthly_sortino": 1.92,
    "max_drawdown": -34.0,
    "annual_vol": 21.0,
    "total_return": 573.0,
    "avg_holdings": 1
  },
  "hero": {
    "name": "高股息+品質+動能+低波動 四因子(前15)",
    "start": "2018-01-31",
    "end": "2026-07-09",
    "cagr": 18.6,
    "daily_sharpe": 1.3,
    "daily_sortino": 1.44,
    "monthly_sortino": 2.06,
    "max_drawdown": -27.3,
    "annual_vol": 14.4,
    "total_return": 323.0,
    "avg_holdings": 15.0
  },
  "iteration_three_factor": {
    "name": "高股息+品質+動能 三因子(前15)",
    "start": "2018-01-31",
    "end": "2026-07-09",
    "cagr": 21.7,
    "daily_sharpe": 1.14,
    "daily_sortino": 1.33,
    "monthly_sortino": 1.64,
    "max_drawdown": -34.6,
    "annual_vol": 19.5,
    "total_return": 423.0,
    "avg_holdings": 15.0
  },
  "naive_baseline": {
    "name": "naive 只挑殖利率最高",
    "start": "2018-01-31",
    "end": "2026-07-09",
    "cagr": -4.4,
    "daily_sharpe": -0.14,
    "daily_sortino": -0.16,
    "monthly_sortino": -0.14,
    "max_drawdown": -57.4,
    "annual_vol": 19.7,
    "total_return": -31.0,
    "avg_holdings": 15.0
  },
  "design_iterations": [
    {
      "name": "A. 三因子+低波動排名(採用=hero)",
      "cagr": 18.6,
      "daily_sharpe": 1.3,
      "monthly_sortino": 2.06,
      "max_drawdown": -27.3,
      "annual_vol": 14.4,
      "avg_holdings": 15.0
    },
    {
      "name": "B. 三因子選股+波動率倒數加權+單檔上限10%",
      "cagr": 21.2,
      "daily_sharpe": 1.17,
      "monthly_sortino": 1.75,
      "max_drawdown": -33.2,
      "annual_vol": 18.5,
      "avg_holdings": 14.0
    },
    {
      "name": "C. 先剔除波動率較高的一半+三因子",
      "cagr": 19.3,
      "daily_sharpe": 1.26,
      "monthly_sortino": 2.0,
      "max_drawdown": -28.9,
      "annual_vol": 15.4,
      "avg_holdings": 15.0
    },
    {
      "name": "D. 連續三年有配息+四因子",
      "cagr": 16.5,
      "daily_sharpe": 1.2,
      "monthly_sortino": 2.07,
      "max_drawdown": -27.5,
      "annual_vol": 14.1,
      "avg_holdings": 15.0
    },
    {
      "name": "E. D選股+波動率倒數加權+單檔上限10%",
      "cagr": 16.0,
      "daily_sharpe": 1.23,
      "monthly_sortino": 2.03,
      "max_drawdown": -26.6,
      "annual_vol": 13.2,
      "avg_holdings": 15.0
    }
  ],
  "sensitivity": [
    {
      "name": "前15(本文)",
      "start": "2018-01-31",
      "end": "2026-07-09",
      "cagr": 18.6,
      "daily_sharpe": 1.3,
      "daily_sortino": 1.44,
      "monthly_sortino": 2.06,
      "max_drawdown": -27.3,
      "annual_vol": 14.4,
      "total_return": 323.0,
      "avg_holdings": 15.0
    },
    {
      "name": "前20",
      "start": "2018-01-31",
      "end": "2026-07-09",
      "cagr": 19.1,
      "daily_sharpe": 1.35,
      "daily_sortino": 1.48,
      "monthly_sortino": 2.03,
      "max_drawdown": -28.3,
      "annual_vol": 14.2,
      "total_return": 336.0,
      "avg_holdings": 20.0
    },
    {
      "name": "前30",
      "start": "2018-01-31",
      "end": "2026-07-09",
      "cagr": 19.5,
      "daily_sharpe": 1.4,
      "daily_sortino": 1.51,
      "monthly_sortino": 1.84,
      "max_drawdown": -28.3,
      "annual_vol": 13.9,
      "total_return": 349.0,
      "avg_holdings": 30.0
    }
  ],
  "method": {
    "universe": "全上市櫃(finlab 含已下市股票,無生存者偏誤);未排除金融股/KY/ETF",
    "liquidity": "近 20 日平均成交金額 > 1,000 萬",
    "cost": "finlab sim() 台股預設:手續費 0.1425%、賣出證交稅 0.3%;未另設滑價",
    "alignment": "季財報 index_str_to_date 對齊公布時點再 ffill 至日頻;殖利率 ffill;動能與波動率只用已實現收盤價",
    "rebalance": "每月再平衡,分數加權(naive 基準為等權)",
    "benchmark": "0050 etl:adj_close 還原價 buy-and-hold 純指數算術(不經 sim)",
    "sample": "全段 in-sample"
  }
}