Task #5 v0+ Sensitivity: v0_baseline
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 | 0.1303 | 0.1841 | 0.7076 | -0.1904 | 2.0025 |
| OOS-A | 0.0000 | 0.0000 | nan | 0.0000 | 1.0000 |
| OOS-B | -0.0068 | 0.2810 | -0.0241 | -0.1997 | 0.9951 |
| OOS-C | 0.7885 | 0.3477 | 2.2681 | -0.1839 | 1.6271 |
| FULL | 0.1598 | 0.2103 | 0.7600 | -0.2182 | 3.2423 |
Strict candidates: 9513 rows / 977 stocks.
Trades: 654 rows; buys=320; sells=334.
Average exposure: 34.62%; average holdings: 4.10; max holdings: 12.
Exit Reasons
| reason | 0 |
|---|---|
| atr_or_trailing_stop | 171 |
| trend_break | 84 |
| fundamental_disproof | 53 |
| winner_trim_15pct | 26 |
Latest Holdings (2026-05-15)
| order_book_id | weight | close | entry_price | unrealized_return |
|---|---|---|---|---|
| 300308.XSHE | 0.1228 | 1049.8700 | 533.3691 | 0.9684 |
| 300604.XSHE | 0.1169 | 209.5000 | 105.0300 | 0.9947 |
| 603256.XSHG | 0.1060 | 134.1000 | 81.1800 | 0.6519 |
| 300502.XSHE | 0.0896 | 610.0500 | 397.1900 | 0.5359 |
| 001309.XSHE | 0.0845 | 712.0600 | 524.8100 | 0.3568 |
| 301200.XSHE | 0.0786 | 221.3341 | 202.2273 | 0.0945 |
| 301377.XSHE | 0.0742 | 247.6900 | 214.2417 | 0.1561 |
| 300548.XSHE | 0.0721 | 251.4000 | 223.8000 | 0.1233 |
| 300857.XSHE | 0.0719 | 274.0100 | 264.1800 | 0.0372 |
| 002487.XSHE | 0.0694 | 77.4000 | 69.5338 | 0.1131 |
| 688025.XSHG | 0.0631 | 394.8000 | 394.8000 | 0.0000 |
| 688313.XSHG | 0.0508 | 175.6000 | 125.7900 | 0.3960 |