{
  "data_end": "2026-06-09",
  "start": "2018-01-01",
  "benchmark": {
    "name": "0050 含息",
    "cagr": 25.05,
    "daily_sharpe": 1.22,
    "daily_sortino": 1.67,
    "monthly_sortino": 1.92,
    "max_drawdown": -33.96,
    "total_return": 558.5,
    "avg_holdings": 1.0
  },
  "ablation": [
    {
      "name": "單一採樣 n=20",
      "cagr": 3.12,
      "daily_sharpe": 0.26,
      "daily_sortino": 0.3,
      "monthly_sortino": 0.36,
      "max_drawdown": -45.32,
      "total_return": 29.5,
      "avg_holdings": 290.1
    },
    {
      "name": "多採樣交集 n=10/15/20/50",
      "cagr": -0.79,
      "daily_sharpe": 0.07,
      "daily_sortino": 0.09,
      "monthly_sortino": 0.14,
      "max_drawdown": -58.75,
      "total_return": -6.5,
      "avg_holdings": 104.5
    },
    {
      "name": "多採樣+初速濾網",
      "cagr": -0.98,
      "daily_sharpe": 0.07,
      "daily_sortino": 0.08,
      "monthly_sortino": 0.13,
      "max_drawdown": -61.3,
      "total_return": -7.9,
      "avg_holdings": 92.5
    },
    {
      "name": "多採樣+初速+ROE>3(主策略)",
      "cagr": -2.58,
      "daily_sharpe": 0.02,
      "daily_sortino": 0.02,
      "monthly_sortino": 0.06,
      "max_drawdown": -70.42,
      "total_return": -19.8,
      "avg_holdings": 42.7
    },
    {
      "name": "主策略+外資10日買超",
      "cagr": -2.99,
      "daily_sharpe": -0.0,
      "daily_sortino": -0.0,
      "monthly_sortino": 0.01,
      "max_drawdown": -67.86,
      "total_return": -22.5,
      "avg_holdings": 26.8
    }
  ],
  "rebalance_fee": [
    {
      "freq": "日",
      "after_fee": {
        "name": "主策略 日再平衡(費後)",
        "cagr": -10.01,
        "daily_sharpe": -0.33,
        "daily_sortino": -0.42,
        "monthly_sortino": -0.39,
        "max_drawdown": -81.29,
        "total_return": -58.9,
        "avg_holdings": 42.7
      },
      "before_fee": {
        "name": "主策略 日再平衡(費前)",
        "cagr": 22.32,
        "daily_sharpe": 0.99,
        "daily_sortino": 1.25,
        "monthly_sortino": 1.31,
        "max_drawdown": -38.23,
        "total_return": 446.5,
        "avg_holdings": 42.7
      }
    },
    {
      "freq": "週",
      "after_fee": {
        "name": "主策略 週再平衡(費後)",
        "cagr": -2.58,
        "daily_sharpe": 0.02,
        "daily_sortino": 0.02,
        "monthly_sortino": 0.06,
        "max_drawdown": -70.42,
        "total_return": -19.8,
        "avg_holdings": 42.7
      },
      "before_fee": {
        "name": "主策略 週再平衡(費前)",
        "cagr": 16.72,
        "daily_sharpe": 0.77,
        "daily_sortino": 0.94,
        "monthly_sortino": 0.92,
        "max_drawdown": -45.78,
        "total_return": 266.4,
        "avg_holdings": 42.7
      }
    },
    {
      "freq": "月",
      "after_fee": {
        "name": "主策略 月再平衡(費後)",
        "cagr": 10.58,
        "daily_sharpe": 0.54,
        "daily_sortino": 0.7,
        "monthly_sortino": 1.04,
        "max_drawdown": -47.47,
        "total_return": 131.7,
        "avg_holdings": 42.7
      },
      "before_fee": {
        "name": "主策略 月再平衡(費前)",
        "cagr": 17.56,
        "daily_sharpe": 0.79,
        "daily_sortino": 1.04,
        "monthly_sortino": 1.61,
        "max_drawdown": -41.33,
        "total_return": 286.1,
        "avg_holdings": 42.7
      }
    }
  ],
  "annual_returns": {
    "2018": {
      "strategy": -29.6,
      "benchmark": -5.5
    },
    "2019": {
      "strategy": -6.5,
      "benchmark": 33.5
    },
    "2020": {
      "strategy": -11.0,
      "benchmark": 31.1
    },
    "2021": {
      "strategy": 7.7,
      "benchmark": 21.9
    },
    "2022": {
      "strategy": -43.9,
      "benchmark": -21.4
    },
    "2023": {
      "strategy": 41.4,
      "benchmark": 27.5
    },
    "2024": {
      "strategy": 2.3,
      "benchmark": 48.6
    },
    "2025": {
      "strategy": -1.1,
      "benchmark": 36.8
    },
    "2026": {
      "strategy": 58.3,
      "benchmark": 60.0
    }
  },
  "method": {
    "universe": "TSE+OTC 普通股(data.universe 排除 ETF),60 日均成交金額 > 5,000 萬",
    "indicator": "60 日均線(etl:adj_close 還原價)曲率,(MA.shift(n)+MA)/2 > MA.shift(n//2),n=10/15/20/50 交集",
    "filters": "還原收盤價 > MA60(初速);ROE稅後 > 3%(index_str_to_date 公布期限對齊);外資版本另加 10 日買賣超合計 > 0",
    "rebalance": "主版本週再平衡;消融含日/月與費前費後",
    "cost": "finlab sim() 台股預設(手續費 0.1425% + 證交稅 0.3%);費前版 fee_ratio=0, tax_ratio=0",
    "benchmark": "0050 etl:adj_close 純指數算術 buy-and-hold,不含成本"
  }
}