Task #5 v0+ Sensitivity: kaite_buy_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 | 0.0918 | 0.1434 | 0.6401 | -0.2111 | 1.6454 |
| OOS-A | 0.0000 | 0.0000 | nan | 0.0000 | 1.0000 |
| OOS-B | -0.0876 | 0.1266 | -0.6919 | -0.1386 | 0.9356 |
| OOS-C | 0.2649 | 0.2383 | 1.1114 | -0.2414 | 1.2175 |
| FULL | 0.0824 | 0.1488 | 0.5537 | -0.2414 | 1.8742 |
Strict candidates: 8255 rows / 832 stocks.
Trades: 281 rows; buys=131; sells=150.
Average exposure: 16.52%; average holdings: 1.94; max holdings: 12.
Exit Reasons
| reason | 0 |
|---|---|
| atr_or_trailing_stop | 83 |
| winner_trim_15pct | 31 |
| trend_break | 22 |
| fundamental_disproof | 14 |
Latest Holdings (2026-05-15)
| order_book_id | weight | close | entry_price | unrealized_return |
|---|---|---|---|---|
| 688313.XSHG | 0.1128 | 175.6000 | 106.5300 | 0.6484 |
| 603256.XSHG | 0.1125 | 134.1000 | 81.5859 | 0.6437 |
| 300972.XSHE | 0.1022 | 227.7500 | 160.4413 | 0.4195 |
| 300604.XSHE | 0.1011 | 209.5000 | 151.4535 | 0.3833 |
| 300502.XSHE | 0.0831 | 610.0500 | 539.9563 | 0.1298 |
| 300503.XSHE | 0.0825 | 71.1400 | 68.8324 | 0.0335 |
| 688525.XSHG | 0.0823 | 306.3000 | 272.0233 | 0.1260 |
| 001309.XSHE | 0.0796 | 712.0600 | 715.6203 | -0.0050 |
| 300548.XSHE | 0.0765 | 251.4000 | 224.9190 | 0.1177 |
| 002487.XSHE | 0.0759 | 77.4000 | 69.8815 | 0.1076 |
| 688183.XSHG | 0.0643 | 97.6100 | 110.9319 | -0.1201 |
| 300308.XSHE | 0.0142 | 1049.8700 | 854.2446 | 0.2290 |