Task #5 v0+ Sensitivity: industry_cap_30pct_slippage_50bp
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 | 0.0870 | 0.1822 | 0.4775 | -0.2054 | 1.6048 |
| OOS-A | 0.0000 | 0.0000 | nan | 0.0000 | 1.0000 |
| OOS-B | 0.0018 | 0.2820 | 0.0063 | -0.2074 | 1.0013 |
| OOS-C | 0.7360 | 0.3401 | 2.1641 | -0.1862 | 1.5870 |
| FULL | 0.1253 | 0.2079 | 0.6025 | -0.2439 | 2.5502 |
Strict candidates: 9513 rows / 977 stocks.
Trades: 675 rows; buys=330; sells=345.
Average exposure: 34.16%; average holdings: 4.06; max holdings: 12.
Exit Reasons
| reason | 0 |
|---|---|
| atr_or_trailing_stop | 180 |
| trend_break | 83 |
| fundamental_disproof | 55 |
| winner_trim_15pct | 27 |
Latest Holdings (2026-05-15)
| order_book_id | weight | close | entry_price | unrealized_return |
|---|---|---|---|---|
| 300308.XSHE | 0.1192 | 1049.8700 | 536.0360 | 0.9586 |
| 300604.XSHE | 0.1160 | 209.5000 | 105.5551 | 0.9847 |
| 603256.XSHG | 0.1064 | 134.1000 | 81.5859 | 0.6437 |
| 001309.XSHE | 0.0976 | 712.0600 | 527.4340 | 0.3500 |
| 300502.XSHE | 0.0885 | 610.0500 | 399.1759 | 0.5283 |
| 688025.XSHG | 0.0798 | 394.8000 | 357.7900 | 0.1034 |
| 301200.XSHE | 0.0777 | 221.3341 | 203.2384 | 0.0890 |
| 301377.XSHE | 0.0744 | 247.6900 | 215.3130 | 0.1504 |
| 300857.XSHE | 0.0731 | 274.0100 | 265.5009 | 0.0320 |
| 002487.XSHE | 0.0674 | 77.4000 | 69.8815 | 0.1076 |
| 301308.XSHE | 0.0500 | 590.5200 | 593.4726 | -0.0050 |
| 300548.XSHE | 0.0093 | 251.4000 | 224.9190 | 0.1177 |