Task #5 Per-Rule A/B Summary
Each rule is tested individually on top of v1 production. Buy rules are additional entry filters. Sell rules are added on top of existing trend/ATR/fundamental exits.
B5 uses RQData historical get_turnover_rate(..., fields="today"); units are percentage points.
| scenario | full_annualized | full_sharpe | full_mdd | avg_exposure | trades | delta_sharpe | passes_lock_rule |
|---|---|---|---|---|---|---|---|
| v1_production | 0.1253 | 0.6025 | -0.2439 | 0.3416 | 675 | 0.0000 | False |
| B1_growth_2q | 0.0882 | 0.4553 | -0.2767 | 0.2855 | 651 | -0.1472 | False |
| B2_rsi12_gt50 | 0.1026 | 0.5200 | -0.2598 | 0.3334 | 662 | -0.0825 | False |
| B3_rps250_125_gt80 | 0.1399 | 0.6935 | -0.2170 | 0.3160 | 628 | 0.0910 | True |
| B4_volume_ratio_gt1_5 | 0.0853 | 0.4928 | -0.2039 | 0.2567 | 560 | -0.1097 | False |
| B5_turnover_lt10 | 0.1228 | 0.5986 | -0.2929 | 0.3434 | 677 | -0.0039 | False |
| S1_exhaustion_gap | 0.1253 | 0.6025 | -0.2439 | 0.3416 | 675 | 0.0000 | False |
| S2_climax_5d_gt30 | 0.0736 | 0.5035 | -0.2649 | 0.2611 | 2440 | -0.0990 | False |
| S3_high_volume_stall | 0.1254 | 0.6029 | -0.2439 | 0.3406 | 679 | 0.0005 | True |
| S4_six_down_days_proxy | 0.0588 | 0.4988 | -0.1790 | 0.1545 | 2871 | -0.1037 | False |
| S5_170pct_above_ma200 | 0.0295 | 0.2305 | -0.2595 | 0.2613 | 2633 | -0.3720 | False |
| S6_new_high_fail | 0.0549 | 0.3222 | -0.2802 | 0.2678 | 1142 | -0.2803 | False |