{
  "slug": "program-trading",
  "backtest_window": "2018-01/2026-06",
  "window_exact": {
    "start": "2018-01-01",
    "end": "2026-06-09"
  },
  "cost_model": {
    "fee_ratio": 0.001425,
    "tax_ratio": 0.003,
    "note": "sim() 內扣手續費 0.1425% 與賣出證交稅 0.3%,未另設滑價"
  },
  "benchmark_0050": {
    "name": "0050 買進持有(含息)",
    "data_key": "etl:adj_close",
    "cagr": 0.2504719746362656,
    "total_return": 5.585427892407181,
    "daily_sharpe": 1.2206945284033128,
    "monthly_sharpe": 1.090699768929395,
    "monthly_sortino": 1.9160465800355106,
    "max_drawdown": -0.3395700541458201
  },
  "strategies": {
    "pt_momentum": {
      "name": "動能輪動(動能+低波動+品質)",
      "cagr": 0.29002992225773006,
      "total_return": 7.149713985279293,
      "daily_sharpe": 1.2260516827244712,
      "monthly_sharpe": 1.1592929143078203,
      "daily_sortino": 1.6304556717861027,
      "monthly_sortino": 2.479899934175164,
      "recent_3y_sharpe": 1.940114229330662,
      "recent_5y_sharpe": 1.3207032449603968,
      "max_drawdown": -0.4148118130945797,
      "avg_holdings": 20.0,
      "gate_pass": true,
      "gate_passing_metrics": [
        "daily_sortino",
        "monthly_sortino",
        "recent_3y_sharpe"
      ],
      "note": "吸收自 /blog/what-is-program-trading 優化組,分數平方加權前 20",
      "resample": "M+14D"
    },
    "pt_trend": {
      "name": "均線趨勢過濾(多頭排列+動能)",
      "cagr": 0.2618354647821699,
      "total_return": 5.977410220430797,
      "daily_sharpe": 0.9530768995655065,
      "monthly_sharpe": 0.882002604938389,
      "daily_sortino": 1.254114472067861,
      "monthly_sortino": 1.9774692451634635,
      "recent_3y_sharpe": 1.4402996601041012,
      "recent_5y_sharpe": 1.083618978696015,
      "max_drawdown": -0.4249753207998054,
      "avg_holdings": 19.635609756097562,
      "gate_pass": true,
      "gate_passing_metrics": [
        "monthly_sortino"
      ],
      "note": "close>MA120 且 MA20>MA60,6 個月動能前 20 等權",
      "resample": "M"
    },
    "pt_revenue": {
      "name": "月營收公告自動換股",
      "cagr": 0.29122854521321706,
      "total_return": 7.212305849671923,
      "daily_sharpe": 1.0456650920550357,
      "monthly_sharpe": 0.9685012921712938,
      "daily_sortino": 1.4139919979846602,
      "monthly_sortino": 2.087956336784496,
      "recent_3y_sharpe": 1.589380497410653,
      "recent_5y_sharpe": 1.2755022090765997,
      "max_drawdown": -0.4721443970652651,
      "avg_holdings": 15.0,
      "gate_pass": true,
      "gate_passing_metrics": [
        "monthly_sortino",
        "recent_3y_sharpe"
      ],
      "note": "營收年增>20% 池,營收+3 個月動能加權前 15",
      "resample": "M+14D"
    }
  },
  "star": "pt_momentum",
  "all_gate_pass": true,
  "generated_by": "scripts/backtest_factory.py"
}