{
  "slug": "python-stock-selection-backtest-finlab",
  "backtest_window": "2018-01/2026-08",
  "window_exact": {
    "start": "2018-01-01",
    "end": "2026-08-31"
  },
  "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": 0.2478029584630379,
    "total_return": 5.801541384795017,
    "daily_sharpe": 1.181953667002074,
    "monthly_sharpe": 1.0948302110603403,
    "monthly_sortino": 1.9181000329543096,
    "max_drawdown": -0.3395700541458201
  },
  "strategies": {
    "screen_growth_trend": {
      "name": "營收年增 + ROE + 趨勢(無本益比上限)",
      "cagr": 0.1773964724285939,
      "total_return": 3.0601971611661627,
      "daily_sharpe": 0.7021595641119066,
      "monthly_sharpe": 0.6779923330160988,
      "daily_sortino": 0.9674126660220258,
      "monthly_sortino": 1.105106856103992,
      "recent_3y_sharpe": 1.0652471707163693,
      "recent_5y_sharpe": 0.622298527810336,
      "max_drawdown": -0.4784819644931052,
      "avg_holdings": 14.538939321548018,
      "gate_pass": false,
      "gate_passing_metrics": [],
      "note": "月營收年增 > 20%、ROE > 8%、收盤 > 60 日均線;依月營收年增取前 30 檔等權,月頻",
      "resample": "M"
    },
    "screen_pe25_trend": {
      "name": "本益比 < 25 篩選 + 趨勢",
      "cagr": 0.06327231382494247,
      "total_return": 0.6928604740909603,
      "daily_sharpe": 0.3606918582415603,
      "monthly_sharpe": 0.35214413800835576,
      "daily_sortino": 0.5096906419207912,
      "monthly_sortino": 0.5939823684037925,
      "recent_3y_sharpe": 0.5787162269668666,
      "recent_5y_sharpe": 0.19010394010692153,
      "max_drawdown": -0.5510135723843109,
      "avg_holdings": 9.2504816955684,
      "gate_pass": false,
      "gate_passing_metrics": [],
      "note": "本益比 0–25、月營收年增 > 20%、ROE > 8%、收盤 > 60 日均線,前 30 檔等權",
      "resample": "M"
    },
    "screen_trend": {
      "name": "本益比 < 15 篩選 + 趨勢",
      "cagr": 0.014060628788719054,
      "total_return": 0.12727796835215277,
      "daily_sharpe": 0.2041344986103109,
      "monthly_sharpe": 0.19596577674994,
      "daily_sortino": 0.26972029600875047,
      "monthly_sortino": 0.37945821002687513,
      "recent_3y_sharpe": 0.1933001472199574,
      "recent_5y_sharpe": -0.156204217129007,
      "max_drawdown": -0.5293361088417476,
      "avg_holdings": 5.133540372670807,
      "gate_pass": false,
      "gate_passing_metrics": [],
      "note": "本益比 0–15、月營收年增 > 20%、ROE > 8%、收盤 > 60 日均線;依月營收年增取前 30 檔等權,月頻",
      "resample": "M"
    },
    "screen_only": {
      "name": "本益比 < 15 篩選(無趨勢)",
      "cagr": 0.11766883826519425,
      "total_return": 1.5974504134309742,
      "daily_sharpe": 0.5470171234606366,
      "monthly_sharpe": 0.5167892636574284,
      "daily_sortino": 0.740598184955944,
      "monthly_sortino": 0.8913519537570095,
      "recent_3y_sharpe": 0.9989537691565168,
      "recent_5y_sharpe": 0.49430815147152934,
      "max_drawdown": -0.4585129147364214,
      "avg_holdings": 9.934583934583934,
      "gate_pass": false,
      "gate_passing_metrics": [],
      "note": "同上但不加 60 日均線確認",
      "resample": "M"
    },
    "ma10_top20": {
      "name": "舊版:10 日均線前 20%",
      "cagr": 0.16973736737803513,
      "total_return": 2.8390790532390553,
      "daily_sharpe": 0.7694536489564553,
      "monthly_sharpe": 0.7164663206421606,
      "daily_sortino": 0.9347938074802025,
      "monthly_sortino": 1.0744012021674072,
      "recent_3y_sharpe": 1.1800332475617297,
      "recent_5y_sharpe": 0.8355752328552691,
      "max_drawdown": -0.3828379535427665,
      "avg_holdings": 117.7484575225439,
      "gate_pass": false,
      "gate_passing_metrics": [],
      "note": "原文示範:10 日均線在全市場前 20% 的股票等權,月頻",
      "resample": "M"
    }
  },
  "star": "screen_growth_trend",
  "all_gate_pass": false,
  "generated_by": "scripts/backtest_factory.py"
}