{
  "window": "2018-01-01 ~ 2026-06-09",
  "cost": {
    "fee_ratio": 0.000475,
    "tax_ratio": 0.003,
    "trade_at_price": "close",
    "note": "finlab 預設台股成本(手續費三折 0.0475%+證交稅 0.3%)"
  },
  "universe": "60 日均量>1000 張、收盤>10 元、月營收 YoY>0,取 YoY 前 25 名等權,月再平衡",
  "atr_rule": "Wilder ATR(14)(還原高低收);持有期內還原收盤 < 期間高點 - k*ATR → 次日收盤出場,當期不回補",
  "stop_events": {
    "atr2x": 1736,
    "atr3x": 1074
  },
  "baseline": {
    "name": "月營收動能 25 檔(無停損)",
    "cagr": 8.0,
    "daily_sharpe": 0.36,
    "daily_sortino": 0.54,
    "max_drawdown": -49.2,
    "win_ratio": 42.8,
    "annual_turnover_oneway": 6.0
  },
  "atr2x": {
    "name": "同策略 + ATR(14)x2 移動停損",
    "cagr": -3.6,
    "daily_sharpe": -0.21,
    "daily_sortino": -0.29,
    "max_drawdown": -57.4,
    "win_ratio": 36.5,
    "annual_turnover_oneway": 10.02
  },
  "atr3x": {
    "name": "同策略 + ATR(14)x3 移動停損",
    "cagr": -0.4,
    "daily_sharpe": 0.0,
    "daily_sortino": 0.0,
    "max_drawdown": -55.3,
    "win_ratio": 39.3,
    "annual_turnover_oneway": 8.5
  },
  "benchmark": {
    "name": "0050 含息(etl:adj_close)",
    "cagr": 25.6,
    "daily_sharpe": 1.14,
    "daily_sortino": 1.9,
    "max_drawdown": -34.0
  },
  "crosscheck_native_trail_stop": {
    "note": "同一選股以 finlab 原生 sim(resample='M') 重跑:無停損 vs trail_stop=0.10",
    "native_baseline": {
      "cagr": 8.8,
      "daily_sharpe": 0.39,
      "max_drawdown": -47.5
    },
    "native_trail10": {
      "cagr": -1.3,
      "daily_sharpe": -0.09,
      "max_drawdown": -53.9
    }
  }
}