Task #5 v1 Production Spec Snapshot
Locked Config
- Strict M-filter: HS300 close > MA50 and MA50 > MA200.
- Industry cap: Shenwan level-1 industry <= 30% NAV.
- Execution friction: 50 bp buy slippage + 50 bp sell slippage + 10 bp one-way trading cost.
- Limit handling: skip limit-up entries; stress variant also skips near-limit-up entries >= 98.5% of limit-up.
- Positioning: 8% entry weight, max 12 holdings, 15% winner trim.
Metrics
| period | annualized | vol | sharpe | max_drawdown | final_nav |
|---|---|---|---|---|---|
| IS | 0.1052 | 0.1797 | 0.5856 | -0.2022 | 1.7635 |
| 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 | 0.5999 | 0.3250 | 1.8456 | -0.1812 | 1.4822 |
| FULL | 0.1369 | 0.2019 | 0.6780 | -0.2441 | 2.7669 |
v0 vs v1 Production Delta
| version | full_ann | full_vol | full_sharpe | full_mdd | avg_exposure | avg_holdings | trades |
|---|---|---|---|---|---|---|---|
| v0_baseline | 0.1800 | 0.2045 | 0.8801 | -0.2178 | 0.2964 | 3.5292 | 445 |
| v1_production | 0.1369 | 0.2019 | 0.6780 | -0.2441 | 0.2929 | 3.4882 | 458 |
Interpretation
- M-filter remains strict. Sensitivity showed relaxed M filters materially worsen drawdown and Sharpe.
- Industry cap has near-zero alpha cost and improves governance/deployability.
- 50 bp slippage is a material haircut and should be the default reported backtest line, not an optional stress line.
- v1 production line remains inside the target drawdown band, but Sharpe is materially lower than paper v0.
Latest Holdings Snapshot
| date | order_book_id | weight | close | entry_price | unrealized_return |
|---|---|---|---|---|---|
| 2026-05-15 | 300308.XSHE | 0.1232 | 1049.8700 | 536.0360 | 0.9586 |
| 2026-05-15 | 603256.XSHG | 0.1117 | 134.1000 | 81.5859 | 0.6437 |
| 2026-05-15 | 300604.XSHE | 0.1017 | 209.5000 | 151.4535 | 0.3833 |
| 2026-05-15 | 001309.XSHE | 0.0987 | 712.0600 | 527.4340 | 0.3500 |
| 2026-05-15 | 300502.XSHE | 0.0806 | 610.0500 | 399.1760 | 0.5283 |
| 2026-05-15 | 301200.XSHE | 0.0801 | 221.9500 | 203.8039 | 0.0890 |
| 2026-05-15 | 688025.XSHG | 0.0796 | 394.8000 | 396.7740 | -0.0050 |
| 2026-05-15 | 301377.XSHE | 0.0782 | 247.6900 | 215.3130 | 0.1504 |
| 2026-05-15 | 300857.XSHE | 0.0744 | 274.0100 | 265.5009 | 0.0320 |
| 2026-05-15 | 002487.XSHE | 0.0696 | 77.4000 | 69.8815 | 0.1076 |
| 2026-05-15 | 300548.XSHE | 0.0259 | 251.4000 | 224.9190 | 0.1177 |
| 2026-05-15 | 600988.XSHG | 0.0231 | 37.6400 | 32.4314 | 0.1606 |
Remaining v1+ Queue
- Sponsorship expansion: northbound -> dragon-tiger list + public fund quarterly holdings.
- Kaite buy-rule A/B tests.
- O'Neil sell-rule A/B tests.