Task #5 v0+ Sensitivity: m_always_on
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 | 0.0235 | 0.2770 | 0.0847 | -0.5752 | 1.1405 |
| OOS-A | -0.1188 | 0.2355 | -0.5046 | -0.2821 | 0.9154 |
| OOS-B | 0.1936 | 0.3558 | 0.5442 | -0.2558 | 1.1372 |
| OOS-C | 0.7760 | 0.3672 | 2.1130 | -0.1880 | 1.6175 |
| FULL | 0.0857 | 0.2925 | 0.2931 | -0.5901 | 1.9204 |
Strict candidates: 9513 rows / 977 stocks.
Trades: 1616 rows; buys=794; sells=822.
Average exposure: 67.00%; average holdings: 8.06; max holdings: 12.
Exit Reasons
| reason | 0 |
|---|---|
| trend_break | 367 |
| atr_or_trailing_stop | 320 |
| fundamental_disproof | 95 |
| winner_trim_15pct | 40 |
Latest Holdings (2026-05-15)
| order_book_id | weight | close | entry_price | unrealized_return |
|---|---|---|---|---|
| 300308.XSHE | 0.1175 | 1049.8700 | 539.3720 | 0.9465 |
| 300857.XSHE | 0.1064 | 274.0100 | 156.4324 | 0.7516 |
| 688025.XSHG | 0.1040 | 394.8000 | 224.2000 | 0.7609 |
| 300604.XSHE | 0.1029 | 209.5000 | 123.6200 | 0.6947 |
| 300502.XSHE | 0.0998 | 610.0500 | 383.0200 | 0.5927 |
| 001309.XSHE | 0.0997 | 712.0600 | 524.8100 | 0.3568 |
| 301377.XSHE | 0.0808 | 247.6900 | 181.1241 | 0.3675 |
| 002487.XSHE | 0.0765 | 77.4000 | 61.1330 | 0.2661 |
| 300548.XSHE | 0.0698 | 251.4000 | 260.1000 | -0.0334 |
| 301308.XSHE | 0.0681 | 590.5200 | 590.5200 | 0.0000 |
| 600988.XSHG | 0.0421 | 37.6400 | 39.8000 | -0.0543 |
| 688525.XSHG | 0.0323 | 306.3000 | 238.8800 | 0.2822 |