Task #5 v0+ Sensitivity: m_price_above_ma200
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 | 0.1488 | 0.2067 | 0.7200 | -0.3100 | 2.1962 |
| OOS-A | -0.2000 | 0.1063 | -1.8814 | -0.1709 | 0.8557 |
| OOS-B | 0.1775 | 0.3714 | 0.4781 | -0.2343 | 1.1260 |
| OOS-C | 0.7673 | 0.3650 | 2.1021 | -0.1862 | 1.6109 |
| FULL | 0.1672 | 0.2413 | 0.6928 | -0.4112 | 3.4088 |
Strict candidates: 9513 rows / 977 stocks.
Trades: 909 rows; buys=442; sells=467.
Average exposure: 45.11%; average holdings: 5.38; max holdings: 12.
Exit Reasons
| reason | 0 |
|---|---|
| atr_or_trailing_stop | 214 |
| trend_break | 143 |
| fundamental_disproof | 73 |
| winner_trim_15pct | 37 |
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 | 0.1041 | 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 | 0.0422 | 37.6400 | 39.8000 | -0.0543 |
| 688525.XSHG | 0.0323 | 306.3000 | 238.8800 | 0.2822 |