{
  "slug": "stock-selection",
  "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": {
    "ss_composite": {
      "name": "四因子複合(品質+動能+低波+營收)",
      "cagr": 0.200529669610352,
      "total_return": 3.507017565568079,
      "daily_sharpe": 1.4643158267409884,
      "monthly_sharpe": 1.502462889314329,
      "daily_sortino": 1.592433130978167,
      "monthly_sortino": 1.918764951605732,
      "recent_3y_sharpe": 1.4926922809586798,
      "recent_5y_sharpe": 1.3612955232266395,
      "max_drawdown": -0.24812582444224018,
      "avg_holdings": 25.0,
      "gate_pass": true,
      "gate_passing_metrics": [
        "monthly_sharpe",
        "daily_sortino",
        "monthly_sortino"
      ],
      "note": "吸收自 /blog/how-to-select-stocks-taiwan hero,低波 2 倍權重、分數三次方加權前 25",
      "resample": "M+14D"
    },
    "ss_value_quality": {
      "name": "價值+品質+股息(低 PB+高 ROE)",
      "cagr": 0.22916746597393844,
      "total_return": 4.420787371869868,
      "daily_sharpe": 1.2538928359597703,
      "monthly_sharpe": 1.1405843005226286,
      "daily_sortino": 1.4166804702565285,
      "monthly_sortino": 1.873302029661352,
      "recent_3y_sharpe": 1.6004940451439202,
      "recent_5y_sharpe": 1.2692685434175548,
      "max_drawdown": -0.32188494712434024,
      "avg_holdings": 20.0,
      "gate_pass": true,
      "gate_passing_metrics": [
        "monthly_sortino",
        "recent_3y_sharpe"
      ],
      "note": "低 PB+高 ROE+高殖利率分數加權,6 個月動能>0 確認,季換前 20",
      "resample": "Q"
    },
    "ss_chips": {
      "name": "籌碼選股(投信買超+動能)",
      "cagr": 0.16519661300168909,
      "total_return": 2.5862847159294735,
      "daily_sharpe": 0.7010805356672887,
      "monthly_sharpe": 0.6869992072405828,
      "daily_sortino": 0.907251108387013,
      "monthly_sortino": 1.3138761924631732,
      "recent_3y_sharpe": 1.5619083947411694,
      "recent_5y_sharpe": 0.958926620304568,
      "max_drawdown": -0.3925548386104095,
      "avg_holdings": 15.0,
      "gate_pass": true,
      "gate_passing_metrics": [
        "recent_3y_sharpe"
      ],
      "note": "投信 20 日買超佔日均量比,市值前 600+流動性過濾,前 15",
      "resample": "M"
    }
  },
  "star": "ss_composite",
  "all_gate_pass": true,
  "generated_by": "scripts/backtest_factory.py"
}