Task #5 v0+ Sensitivity: lhb_north_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 | 0.1092 | 0.1825 | 0.5984 | -0.2143 | 1.7998 |
| OOS-A | 0.0000 | 0.0000 | nan | 0.0000 | 1.0000 |
| OOS-B | 0.0815 | 0.2675 | 0.3047 | -0.1717 | 1.0586 |
| OOS-C | 0.4423 | 0.3218 | 1.3742 | -0.2196 | 1.3588 |
| FULL | 0.1274 | 0.2031 | 0.6273 | -0.2441 | 2.5888 |
Strict candidates: 8255 rows / 832 stocks.
Trades: 460 rows; buys=222; sells=238.
Average exposure: 29.27%; average holdings: 3.49; max holdings: 12.
Exit Reasons
| reason | 0 |
|---|---|
| atr_or_trailing_stop | 126 |
| trend_break | 53 |
| fundamental_disproof | 31 |
| winner_trim_15pct | 28 |
Latest Holdings (2026-05-15)
| order_book_id | weight | close | entry_price | unrealized_return |
|---|---|---|---|---|
| 603256.XSHG | 0.1125 | 134.1000 | 81.5859 | 0.6437 |
| 300972.XSHE | 0.0919 | 227.7500 | 175.0678 | 0.3009 |
| 300857.XSHE | 0.0910 | 274.0100 | 227.2351 | 0.2058 |
| 300475.XSHE | 0.0874 | 190.4000 | 162.8603 | 0.1691 |
| 300502.XSHE | 0.0868 | 610.0500 | 384.9351 | 0.5848 |
| 600961.XSHG | 0.0840 | 29.2600 | 26.6224 | 0.0991 |
| 001309.XSHE | 0.0796 | 712.0600 | 715.6203 | -0.0050 |
| 301377.XSHE | 0.0787 | 247.6900 | 215.3130 | 0.1504 |
| 002487.XSHE | 0.0713 | 77.4000 | 69.8815 | 0.1076 |
| 301200.XSHE | 0.0667 | 221.9500 | 182.7291 | 0.2146 |
| 300548.XSHE | 0.0591 | 251.4000 | 224.9190 | 0.1177 |
| 300308.XSHE | 0.0543 | 1049.8700 | 536.0360 | 0.9586 |