Task #5 v0+ Sensitivity: lhb_inst_bonus
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 | 0.1050 | 0.1818 | 0.5776 | -0.2022 | 1.7618 |
| OOS-A | 0.0000 | 0.0000 | nan | 0.0000 | 1.0000 |
| OOS-B | -0.0009 | 0.2596 | -0.0035 | -0.1755 | 0.9993 |
| OOS-C | 0.5239 | 0.3185 | 1.6449 | -0.2257 | 1.4229 |
| FULL | 0.1227 | 0.2012 | 0.6100 | -0.2618 | 2.5052 |
Strict candidates: 8255 rows / 832 stocks.
Trades: 458 rows; buys=220; sells=238.
Average exposure: 29.48%; average holdings: 3.51; max holdings: 12.
Exit Reasons
| reason | 0 |
|---|---|
| atr_or_trailing_stop | 122 |
| trend_break | 56 |
| fundamental_disproof | 30 |
| winner_trim_15pct | 30 |
Latest Holdings (2026-05-15)
| order_book_id | weight | close | entry_price | unrealized_return |
|---|---|---|---|---|
| 300308.XSHE | 0.1250 | 1049.8700 | 536.0360 | 0.9586 |
| 603256.XSHG | 0.1128 | 134.1000 | 81.5859 | 0.6437 |
| 001309.XSHE | 0.0996 | 712.0600 | 527.4340 | 0.3500 |
| 300475.XSHE | 0.0856 | 190.4000 | 162.8603 | 0.1691 |
| 300502.XSHE | 0.0850 | 610.0500 | 384.9351 | 0.5848 |
| 301200.XSHE | 0.0833 | 221.9500 | 182.7291 | 0.2146 |
| 301377.XSHE | 0.0789 | 247.6900 | 215.3130 | 0.1504 |
| 300857.XSHE | 0.0755 | 274.0100 | 265.5009 | 0.0320 |
| 002487.XSHE | 0.0707 | 77.4000 | 69.8815 | 0.1076 |
| 600988.XSHG | 0.0550 | 37.6400 | 32.4314 | 0.1606 |
| 301308.XSHE | 0.0380 | 590.5200 | 593.4726 | -0.0050 |
| 300548.XSHE | 0.0209 | 251.4000 | 224.9190 | 0.1177 |