Task #5 v0+ Sensitivity: kaite_buy_plus_oneil_sell_v0
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 | -0.0016 | 0.1053 | -0.0155 | -0.1887 | 0.9908 |
| OOS-A | 0.0000 | 0.0000 | nan | 0.0000 | 1.0000 |
| OOS-B | -0.0659 | 0.0938 | -0.7033 | -0.1129 | 0.9517 |
| OOS-C | 0.2692 | 0.2393 | 1.1247 | -0.2057 | 1.2209 |
| FULL | 0.0179 | 0.1216 | 0.1473 | -0.2057 | 1.1512 |
Strict candidates: 8255 rows / 832 stocks.
Trades: 321 rows; buys=163; sells=158.
Average exposure: 10.36%; average holdings: 1.19; max holdings: 12.
Exit Reasons
| reason | 0 |
|---|---|
| oneil_weak_rsi_loser | 83 |
| atr_or_trailing_stop | 45 |
| fundamental_disproof | 8 |
| oneil_heavy_volume_reversal | 8 |
| trend_break | 5 |
| winner_trim_15pct | 5 |
| oneil_ma50_winner | 4 |
Latest Holdings (2026-05-15)
| order_book_id | weight | close | entry_price | unrealized_return |
|---|---|---|---|---|
| 688313.XSHG | 0.1159 | 175.6000 | 106.5300 | 0.6484 |
| 603256.XSHG | 0.1156 | 134.1000 | 81.5859 | 0.6437 |
| 300604.XSHE | 0.1023 | 209.5000 | 151.4535 | 0.3833 |
| 300502.XSHE | 0.0834 | 610.0500 | 539.9563 | 0.1298 |
| 300503.XSHE | 0.0823 | 71.1400 | 68.8324 | 0.0335 |
| 001309.XSHE | 0.0796 | 712.0600 | 715.6203 | -0.0050 |
| 688127.XSHG | 0.0796 | 95.5000 | 95.9775 | -0.0050 |
| 603045.XSHG | 0.0796 | 69.9300 | 70.2797 | -0.0050 |
| 300548.XSHE | 0.0786 | 251.4000 | 224.9190 | 0.1177 |
| 300308.XSHE | 0.0320 | 1049.8700 | 890.3718 | 0.1791 |