Task #5 v0+ Sensitivity: industry_cap_30pct
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 | 0.1447 | 0.1783 | 0.8114 | -0.1919 | 2.1518 |
| OOS-A | 0.0000 | 0.0000 | nan | 0.0000 | 1.0000 |
| OOS-B | 0.1080 | 0.2663 | 0.4056 | -0.1732 | 1.0773 |
| OOS-C | 0.7160 | 0.3217 | 2.2258 | -0.1609 | 1.5717 |
| FULL | 0.1770 | 0.2004 | 0.8835 | -0.2189 | 3.6435 |
Strict candidates: 8255 rows / 832 stocks.
Trades: 440 rows; buys=210; sells=230.
Average exposure: 29.18%; average holdings: 3.52; max holdings: 12.
Exit Reasons
| reason | 0 |
|---|---|
| atr_or_trailing_stop | 118 |
| trend_break | 50 |
| winner_trim_15pct | 32 |
| fundamental_disproof | 30 |
Latest Holdings (2026-05-15)
| order_book_id | weight | close | entry_price | unrealized_return |
|---|---|---|---|---|
| 300308.XSHE | 0.1223 | 1049.8700 | 533.3691 | 0.9684 |
| 603256.XSHG | 0.1067 | 134.1000 | 81.1800 | 0.6519 |
| 001309.XSHE | 0.0991 | 712.0600 | 524.8100 | 0.3568 |
| 300604.XSHE | 0.0986 | 209.5000 | 150.7000 | 0.3902 |
| 300857.XSHE | 0.0860 | 274.0100 | 226.1046 | 0.2119 |
| 688025.XSHG | 0.0799 | 394.8000 | 394.8000 | 0.0000 |
| 300502.XSHE | 0.0780 | 610.0500 | 397.1900 | 0.5359 |
| 301377.XSHE | 0.0747 | 247.6900 | 214.2417 | 0.1561 |
| 300548.XSHE | 0.0726 | 251.4000 | 223.8000 | 0.1233 |
| 002487.XSHE | 0.0692 | 77.4000 | 69.5338 | 0.1131 |
| 301200.XSHE | 0.0542 | 221.9500 | 181.8200 | 0.2207 |
| 688313.XSHG | 0.0236 | 175.6000 | 125.7900 | 0.3960 |