{
  "slug": "quant-trading-disadvantages-risks",
  "generated": "2026-09-18",
  "single_factor": {
    "window": {
      "start": "2013-01-01",
      "end": "2026-08-31"
    },
    "method": "月頻換股、各因子單獨選分數最高 30 檔等權;股票池=60 日均成交金額 > 5,000 萬、收盤價 > 10、非全額交割、排除金融/ETF;手續費 0.1425%、證交稅 0.3%;夏普=日報酬 mean/std 年化,不扣無風險利率",
    "rows": [
      {
        "key": "rev_new_high",
        "name": "營收創新高",
        "cagr": 0.05,
        "total_return": 0.94,
        "daily_sharpe": 0.3758,
        "monthly_sharpe": 0.3686,
        "daily_sortino": 0.4638,
        "monthly_sortino": 0.5303,
        "recent_3y_sharpe": 0.2208,
        "recent_5y_sharpe": 0.2471,
        "max_drawdown": -0.3819,
        "avg_holdings": 30.0
      },
      {
        "key": "low_vol",
        "name": "低波動",
        "cagr": 0.0739,
        "total_return": 1.6336,
        "daily_sharpe": 0.8382,
        "monthly_sharpe": 0.8733,
        "daily_sortino": 0.9989,
        "monthly_sortino": 1.2079,
        "recent_3y_sharpe": 0.4914,
        "recent_5y_sharpe": 0.6834,
        "max_drawdown": -0.2138,
        "avg_holdings": 30.0
      },
      {
        "key": "rev_yoy",
        "name": "月營收年增率",
        "cagr": 0.1039,
        "total_return": 2.8283,
        "daily_sharpe": 0.54,
        "monthly_sharpe": 0.5259,
        "daily_sortino": 0.6585,
        "monthly_sortino": 0.8919,
        "recent_3y_sharpe": 0.6073,
        "recent_5y_sharpe": 0.5262,
        "max_drawdown": -0.4457,
        "avg_holdings": 30.0
      },
      {
        "key": "low_pe",
        "name": "低本益比",
        "cagr": 0.008,
        "total_return": 0.1144,
        "daily_sharpe": 0.1387,
        "monthly_sharpe": 0.1381,
        "daily_sortino": 0.1616,
        "monthly_sortino": 0.1777,
        "recent_3y_sharpe": 0.7013,
        "recent_5y_sharpe": 0.1637,
        "max_drawdown": -0.5234,
        "avg_holdings": 30.0
      }
    ],
    "benchmark_0050": {
      "name": "0050 買進持有(含息)",
      "data_key": "etl:adj_close",
      "cagr": 0.1971,
      "total_return": 10.6732,
      "daily_sharpe": 1.0821,
      "monthly_sharpe": 1.0639,
      "monthly_sortino": 1.785,
      "max_drawdown": -0.3396
    }
  },
  "cost_sensitivity": {
    "window": {
      "start": "2020-01-01",
      "end": "2026-08-31"
    },
    "strategy": "營收動能 + 120 日價格動能 + 低波動三因子等權排名、反波動加權、大盤 120 日均線濾網(同 python-quant-trading-tutorial/strategy.py)",
    "tax_ratio": 0.003,
    "rows": [
      {
        "fee": 0.0,
        "cagr": 22.7
      },
      {
        "fee": 0.000475,
        "cagr": 22.0
      },
      {
        "fee": 0.001425,
        "cagr": 20.6
      },
      {
        "fee": 0.003,
        "cagr": 18.5
      },
      {
        "fee": 0.005,
        "cagr": 15.8
      }
    ]
  },
  "disclaimer": "本資料為歷史回測統計與教育用途,不構成投資建議;過去績效不代表未來表現。"
}