Task #5 v0+ Sensitivity: strict_limit_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 | 0.1053 | 0.1830 | 0.5754 | -0.1938 | 1.7641 |
| OOS-A | 0.0000 | 0.0000 | nan | 0.0000 | 1.0000 |
| OOS-B | -0.0371 | 0.2851 | -0.1301 | -0.2104 | 0.9729 |
| OOS-C | 0.6862 | 0.3434 | 1.9985 | -0.2000 | 1.5488 |
| FULL | 0.1312 | 0.2093 | 0.6266 | -0.2429 | 2.6582 |
Strict candidates: 9513 rows / 977 stocks.
Trades: 672 rows; buys=328; sells=344.
Average exposure: 34.57%; average holdings: 4.08; max holdings: 12.
Exit Reasons
| reason | 0 |
|---|---|
| atr_or_trailing_stop | 177 |
| trend_break | 85 |
| fundamental_disproof | 54 |
| winner_trim_15pct | 28 |
Latest Holdings (2026-05-15)
| order_book_id | weight | close | entry_price | unrealized_return |
|---|---|---|---|---|
| 300308.XSHE | 0.1178 | 1049.8700 | 536.0360 | 0.9586 |
| 300604.XSHE | 0.1173 | 209.5000 | 105.5551 | 0.9847 |
| 603256.XSHG | 0.1063 | 134.1000 | 81.5859 | 0.6437 |
| 001309.XSHE | 0.0891 | 712.0600 | 527.4340 | 0.3500 |
| 300502.XSHE | 0.0877 | 610.0500 | 399.1759 | 0.5283 |
| 301200.XSHE | 0.0786 | 221.3341 | 203.2384 | 0.0890 |
| 002487.XSHE | 0.0758 | 77.4000 | 55.0338 | 0.4064 |
| 301377.XSHE | 0.0744 | 247.6900 | 215.3130 | 0.1504 |
| 300857.XSHE | 0.0737 | 274.0100 | 265.5009 | 0.0320 |
| 300548.XSHE | 0.0723 | 251.4000 | 224.9190 | 0.1177 |
| 688025.XSHG | 0.0573 | 394.8000 | 396.7740 | -0.0050 |
| 688313.XSHG | 0.0498 | 175.6000 | 126.4189 | 0.3890 |