Task #5 A/B Rules Summary
Base is v1 production: strict M-filter + 30% industry cap + 50bp slippage + 10bp one-way cost.
Kaite buy-rule v0 is implemented from currently known keywords: 2-quarter EPS/revenue persistence proxy, RSI12 > 50, RPS250 and RPS125 both >= 80, volume ratio >= 1.2, 20d traded value >= RMB 50m. Turnover < 10% was not implemented because free-float turnover is not available in the current active daily fields.
O'Neil sell-rule v0 is an engineering assumption pending RayDario's exact six-rule spec: winner below MA50, losing position with RSI12 < 45, or heavy-volume reversal from high close.
| scenario | full_annualized | full_vol | full_sharpe | full_mdd | avg_exposure | avg_holdings | trades |
|---|---|---|---|---|---|---|---|
| v1_production | 0.1369 | 0.2019 | 0.6780 | -0.2441 | 0.2929 | 3.4882 | 458 |
| kaite_buy_v0 | 0.0824 | 0.1488 | 0.5537 | -0.2414 | 0.1652 | 1.9369 | 281 |
| oneil_sell_v0_assumption | 0.1064 | 0.1928 | 0.5521 | -0.3166 | 0.2411 | 2.8144 | 860 |
| kaite_buy_plus_oneil_sell_v0 | 0.0179 | 0.1216 | 0.1473 | -0.2057 | 0.1036 | 1.1881 | 321 |