Task #5 v0+ Sensitivity: oneil_sell_v0_assumption
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 | 0.0747 | 0.1614 | 0.4629 | -0.1955 | 1.5045 |
| OOS-A | 0.0000 | 0.0000 | nan | 0.0000 | 1.0000 |
| OOS-B | -0.2087 | 0.2598 | -0.8032 | -0.2503 | 0.8437 |
| OOS-C | 0.9606 | 0.3406 | 2.8202 | -0.1496 | 1.7572 |
| FULL | 0.1064 | 0.1928 | 0.5521 | -0.3166 | 2.2304 |
Strict candidates: 8255 rows / 832 stocks.
Trades: 860 rows; buys=425; sells=435.
Average exposure: 24.11%; average holdings: 2.81; max holdings: 12.
Exit Reasons
| reason | 0 |
|---|---|
| oneil_weak_rsi_loser | 281 |
| atr_or_trailing_stop | 80 |
| winner_trim_15pct | 21 |
| fundamental_disproof | 19 |
| oneil_heavy_volume_reversal | 14 |
| oneil_ma50_winner | 10 |
| trend_break | 10 |
Latest Holdings (2026-05-15)
| order_book_id | weight | close | entry_price | unrealized_return |
|---|---|---|---|---|
| 300308.XSHE | 0.1301 | 1049.8700 | 536.0360 | 0.9586 |
| 603256.XSHG | 0.1117 | 134.1000 | 81.5859 | 0.6437 |
| 300604.XSHE | 0.1027 | 209.5000 | 138.7403 | 0.5100 |
| 001309.XSHE | 0.0994 | 712.0600 | 527.4340 | 0.3500 |
| 300857.XSHE | 0.0889 | 274.0100 | 227.2351 | 0.2058 |
| 002487.XSHE | 0.0844 | 77.4000 | 55.0338 | 0.4064 |
| 300502.XSHE | 0.0819 | 610.0500 | 539.9563 | 0.1298 |
| 688025.XSHG | 0.0812 | 394.8000 | 357.7900 | 0.1034 |
| 301377.XSHE | 0.0782 | 247.6900 | 215.3130 | 0.1504 |
| 301308.XSHE | 0.0718 | 590.5200 | 593.4726 | -0.0050 |
| 300548.XSHE | 0.0697 | 251.4000 | 261.4005 | -0.0383 |