Task #5 Per-Rule A/B Summary
Each rule is tested individually on top of v1 production. Buy rules are additional entry filters. Sell rules are added on top of existing trend/ATR/fundamental exits.
B5 uses RQData historical get_turnover_rate(..., fields="today"); units are percentage points.
| scenario | full_annualized | full_sharpe | full_mdd | avg_exposure | trades | delta_sharpe | passes_lock_rule |
|---|---|---|---|---|---|---|---|
| v1_production | 0.1369 | 0.6780 | -0.2441 | 0.2929 | 458 | 0.0000 | False |
| B1_growth_2q | 0.0971 | 0.5067 | -0.2787 | 0.2593 | 469 | -0.1713 | False |
| B2_rsi12_gt50 | 0.1013 | 0.5270 | -0.2452 | 0.2879 | 463 | -0.1510 | False |
| B3_rps250_125_gt80 | 0.1434 | 0.7164 | -0.2342 | 0.2824 | 433 | 0.0385 | True |
| B4_volume_ratio_gt1_5 | 0.0888 | 0.5234 | -0.2039 | 0.2175 | 388 | -0.1545 | False |
| B5_turnover_lt10 | 0.1405 | 0.6895 | -0.2648 | 0.2900 | 454 | 0.0115 | False |
| S1_exhaustion_gap | 0.1369 | 0.6780 | -0.2441 | 0.2929 | 458 | 0.0000 | False |
| S2_climax_5d_gt30 | 0.0754 | 0.5118 | -0.2247 | 0.2261 | 1740 | -0.1662 | False |
| S3_high_volume_stall | 0.1365 | 0.6761 | -0.2441 | 0.2928 | 458 | -0.0018 | False |
| S4_six_down_days_proxy | 0.0487 | 0.4214 | -0.2008 | 0.1337 | 1948 | -0.2566 | False |
| S5_170pct_above_ma200 | 0.0359 | 0.2854 | -0.2110 | 0.2073 | 2060 | -0.3925 | False |
| S6_new_high_fail | 0.0578 | 0.3378 | -0.2826 | 0.2284 | 808 | -0.3402 | False |