Task #5 v0+ Sensitivity: m_price_above_ma100
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 | 0.1593 | 0.2214 | 0.7194 | -0.3654 | 2.3123 |
| OOS-A | 0.1012 | 0.1729 | 0.5853 | -0.1336 | 1.0696 |
| OOS-B | 0.1530 | 0.3518 | 0.4349 | -0.2082 | 1.1089 |
| OOS-C | 1.0322 | 0.3791 | 2.7229 | -0.1605 | 1.8108 |
| FULL | 0.2239 | 0.2533 | 0.8838 | -0.3654 | 4.9665 |
Strict candidates: 9513 rows / 977 stocks.
Trades: 979 rows; buys=477; sells=502.
Average exposure: 49.00%; average holdings: 5.82; max holdings: 12.
Exit Reasons
| reason | 0 |
|---|---|
| atr_or_trailing_stop | 233 |
| trend_break | 163 |
| fundamental_disproof | 69 |
| winner_trim_15pct | 37 |
Latest Holdings (2026-05-15)
| order_book_id | weight | close | entry_price | unrealized_return |
|---|---|---|---|---|
| 300308.XSHE | 0.1216 | 1049.8700 | 539.3720 | 0.9465 |
| 300502.XSHE | 0.1155 | 610.0500 | 310.5800 | 0.9642 |
| 603256.XSHG | 0.1090 | 134.1000 | 81.1800 | 0.6519 |
| 300604.XSHE | 0.1001 | 209.5000 | 138.0500 | 0.5176 |
| 001309.XSHE | 0.0852 | 712.0600 | 524.8100 | 0.3568 |
| 301200.XSHE | 0.0805 | 221.3341 | 181.3155 | 0.2207 |
| 002487.XSHE | 0.0791 | 77.4000 | 61.1330 | 0.2661 |
| 301377.XSHE | 0.0763 | 247.6900 | 214.2417 | 0.1561 |
| 300857.XSHE | 0.0745 | 274.0100 | 264.1800 | 0.0372 |
| 300548.XSHE | 0.0741 | 251.4000 | 223.8000 | 0.1233 |
| 688025.XSHG | 0.0650 | 394.8000 | 394.8000 | 0.0000 |
| 688313.XSHG | 0.0190 | 175.6000 | 143.5000 | 0.2237 |