Task #5 Strict Active-Set Baseline Results
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 | 0.1692 | 0.1821 | 0.9292 | -0.1842 | 2.4268 |
| OOS-A | 0.0000 | 0.0000 | nan | 0.0000 | 1.0000 |
| OOS-B | -0.0413 | 0.2416 | -0.1710 | -0.2165 | 0.9698 |
| OOS-C | 0.7394 | 0.3404 | 2.1720 | -0.1736 | 1.5896 |
| FULL | 0.1810 | 0.2032 | 0.8904 | -0.2530 | 3.7411 |
Strict candidates: 8159 rows / 809 stocks.
Trades: 437 rows; buys=205; sells=232.
Average exposure: 29.86%; average holdings: 3.58; max holdings: 12.
Exit Reasons
| reason | 0 |
|---|---|
| atr_or_trailing_stop | 111 |
| trend_break | 52 |
| winner_trim_15pct | 38 |
| fundamental_disproof | 31 |
Latest Holdings (2026-06-10)
| order_book_id | weight | close | entry_price | unrealized_return |
|---|---|---|---|---|
| 300502.XSHE | 0.1273 | 772.5000 | 383.0200 | 1.0169 |
| 301377.XSHE | 0.1237 | 432.2000 | 214.2417 | 1.0173 |
| 300604.XSHE | 0.1007 | 226.7400 | 138.0500 | 0.6424 |
| 688630.XSHG | 0.0952 | 383.0000 | 246.8229 | 0.5517 |
| 301200.XSHE | 0.0914 | 270.8100 | 181.8200 | 0.4894 |
| 002463.XSHE | 0.0854 | 130.6000 | 97.2071 | 0.3435 |
| 300503.XSHE | 0.0830 | 79.0000 | 73.5000 | 0.0748 |
| 001309.XSHE | 0.0782 | 627.9500 | 524.8100 | 0.1965 |
| 301308.XSHE | 0.0710 | 507.0000 | 551.2900 | -0.0803 |
| 688127.XSHG | 0.0404 | 80.2900 | 53.7400 | 0.4940 |
| 603256.XSHG | 0.0266 | 197.8500 | 81.1800 | 1.4372 |