Task #5 Stress Test Summary
Stress windows compare v1.2 candidate, v1.1 production, v1 production, HS300, and CSI800. 2015 stock-level rows are unavailable because the strict candidate backtest begins in 2018.
| period | series | return | annualized | vol | sharpe | max_drawdown | start_exposure | end_exposure | avg_holdings |
|---|---|---|---|---|---|---|---|---|---|
| 2015_crash | v1_2 | 0.0000 | 0.0000 | 0.0000 | nan | 0.0000 | 0.0000 | 0.0000 | 0.0000 |
| 2015_crash | v1_1 | 0.0000 | 0.0000 | 0.0000 | nan | 0.0000 | 0.0000 | 0.0000 | 0.0000 |
| 2015_crash | v1 | 0.0000 | 0.0000 | 0.0000 | nan | 0.0000 | 0.0000 | 0.0000 | 0.0000 |
| 2015_crash | hs300 | -0.4329 | -0.9326 | 0.5966 | -1.5631 | -0.4329 | 1.0000 | 1.0000 | nan |
| 2015_crash | csi800 | -0.4413 | -0.9372 | 0.6034 | -1.5533 | -0.4413 | 1.0000 | 1.0000 | nan |
| 2018_bear | v1_2 | 0.0000 | 0.0000 | 0.0000 | nan | 0.0000 | 0.0000 | 0.0000 | 0.0000 |
| 2018_bear | v1_1 | 0.0000 | 0.0000 | 0.0000 | nan | 0.0000 | 0.0000 | 0.0000 | 0.0000 |
| 2018_bear | v1 | 0.0000 | 0.0000 | 0.0000 | nan | 0.0000 | 0.0000 | 0.0000 | 0.0000 |
| 2018_bear | hs300 | -0.2634 | -0.2717 | 0.2137 | -1.2716 | -0.3188 | 1.0000 | 1.0000 | nan |
| 2018_bear | csi800 | -0.2837 | -0.2925 | 0.2139 | -1.3674 | -0.3261 | 1.0000 | 1.0000 | nan |
| 2024_smallcap_crash | v1_2 | 0.0000 | 0.0000 | 0.0000 | nan | 0.0000 | 0.0000 | 0.0000 | 0.0000 |
| 2024_smallcap_crash | v1_1 | 0.0000 | 0.0000 | 0.0000 | nan | 0.0000 | 0.0000 | 0.0000 | 0.0000 |
| 2024_smallcap_crash | v1 | 0.0000 | 0.0000 | 0.0000 | nan | 0.0000 | 0.0000 | 0.0000 | 0.0000 |
| 2024_smallcap_crash | hs300 | -0.0063 | -0.0555 | 0.1918 | -0.2894 | -0.0610 | 1.0000 | 1.0000 | nan |
| 2024_smallcap_crash | csi800 | -0.0176 | -0.1477 | 0.2364 | -0.6247 | -0.0875 | 1.0000 | 1.0000 | nan |
Detailed sell logs and M-filter timelines are in stress_detail.md.