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: 8242 rows / 809 stocks.
Trades: 454 rows; buys=207; sells=247.
Average exposure: 30.26%; average holdings: 3.63; max holdings: 12.
Exit Reasons
| reason | 0 |
|---|---|
| atr_or_trailing_stop | 123 |
| trend_break | 53 |
| winner_trim_15pct | 40 |
| fundamental_disproof | 31 |
Latest Holdings (2026-07-28)
| order_book_id | weight | close | entry_price | unrealized_return |
|---|---|---|---|---|
| 300604.XSHE | 0.1252 | 276.4000 | 138.0500 | 1.0022 |