Task #5 Sponsorship A/B Summary
Base is v1 production: strict M-filter + 30% industry cap + 50bp slippage + 10bp one-way cost.
LHB sponsorship uses RQData dragon-tiger institutional detail with a 20-calendar-day backward-looking PIT merge. It tests whether recent 机构专用 / 股通专用 net-buy data improves candidate ranking.
| 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 |
| lhb_inst_bonus | 0.1227 | 0.2012 | 0.6100 | -0.2618 | 0.2948 | 3.5053 | 458 |
| lhb_north_bonus | 0.1274 | 0.2031 | 0.6273 | -0.2441 | 0.2927 | 3.4922 | 460 |
| lhb_combined_bonus | 0.1251 | 0.2023 | 0.6185 | -0.2618 | 0.2942 | 3.4984 | 465 |
| lhb_positive_filter | 0.0105 | 0.1215 | 0.0866 | -0.2407 | 0.1134 | 1.3364 | 216 |