Task #5 v0+ Sensitivity: industry_cap_30pct
Config: strict weekly CANSLIM/Minervini candidates; daily active-set exits; M filter; 8% entry weight; 12 holding cap; 15% winner trim; 10bp one-way cost.
Engineering note: candidate scan is weekly; daily tracking is limited to strict candidate/held names. This matches the compact implementation direction: active set daily + universe weekly screening.
| period | annualized | vol | sharpe | max_drawdown | final_nav |
|---|---|---|---|---|---|
| IS | 0.1512 | 0.1826 | 0.8280 | -0.1889 | 2.2225 |
| OOS-A | 0.0000 | 0.0000 | nan | 0.0000 | 1.0000 |
| OOS-B | 0.0340 | 0.2810 | 0.1210 | -0.2016 | 1.0246 |
| OOS-C | 0.7195 | 0.3390 | 2.1222 | -0.1936 | 1.5744 |
| FULL | 0.1746 | 0.2079 | 0.8401 | -0.2193 | 3.5851 |
Strict candidates: 9513 rows / 977 stocks.
Trades: 644 rows; buys=314; sells=330.
Average exposure: 34.49%; average holdings: 4.13; max holdings: 12.
Exit Reasons
| reason | 0 |
|---|---|
| atr_or_trailing_stop | 168 |
| trend_break | 80 |
| fundamental_disproof | 54 |
| winner_trim_15pct | 28 |
Latest Holdings (2026-05-15)
| order_book_id | weight | close | entry_price | unrealized_return |
|---|---|---|---|---|
| 300308.XSHE | 0.1238 | 1049.8700 | 533.3691 | 0.9684 |
| 300604.XSHE | 0.1170 | 209.5000 | 105.0300 | 0.9947 |
| 603256.XSHG | 0.1086 | 134.1000 | 81.1800 | 0.6519 |
| 001309.XSHE | 0.0990 | 712.0600 | 524.8100 | 0.3568 |
| 300502.XSHE | 0.0893 | 610.0500 | 397.1900 | 0.5359 |
| 688025.XSHG | 0.0799 | 394.8000 | 394.8000 | 0.0000 |
| 301377.XSHE | 0.0760 | 247.6900 | 214.2417 | 0.1561 |
| 002487.XSHE | 0.0700 | 77.4000 | 69.5338 | 0.1131 |
| 300548.XSHE | 0.0694 | 251.4000 | 260.1000 | -0.0334 |
| 301200.XSHE | 0.0479 | 221.3341 | 181.3155 | 0.2207 |
| 300857.XSHE | 0.0425 | 274.0100 | 226.1046 | 0.2119 |
| 688313.XSHG | 0.0178 | 175.6000 | 143.5000 | 0.2237 |