Task #5 v0+ Sensitivity: m_always_on
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 | 0.0428 | 0.2776 | 0.1540 | -0.5252 | 1.2679 |
| OOS-A | -0.0732 | 0.2406 | -0.3043 | -0.2674 | 0.9483 |
| OOS-B | 0.1950 | 0.3348 | 0.5823 | -0.2456 | 1.1381 |
| OOS-C | 0.9017 | 0.3480 | 2.5909 | -0.1453 | 1.7129 |
| FULL | 0.1134 | 0.2885 | 0.3929 | -0.5326 | 2.3439 |
Strict candidates: 8255 rows / 832 stocks.
Trades: 1245 rows; buys=609; sells=636.
Average exposure: 65.69%; average holdings: 7.88; max holdings: 12.
Exit Reasons
| reason | 0 |
|---|---|
| trend_break | 292 |
| atr_or_trailing_stop | 252 |
| fundamental_disproof | 53 |
| winner_trim_15pct | 39 |
Latest Holdings (2026-05-15)
| order_book_id | weight | close | entry_price | unrealized_return |
|---|---|---|---|---|
| 300308.XSHE | 0.1110 | 1049.8700 | 539.3720 | 0.9465 |
| 300857.XSHE | 0.1030 | 274.0100 | 156.4324 | 0.7516 |
| 688025.XSHG | 0.1026 | 394.8000 | 224.2000 | 0.7609 |
| 300604.XSHE | 0.0996 | 209.5000 | 123.6200 | 0.6947 |
| 300502.XSHE | 0.0939 | 610.0500 | 383.0200 | 0.5927 |
| 001309.XSHE | 0.0896 | 712.0600 | 524.8100 | 0.3568 |
| 688313.XSHG | 0.0867 | 175.6000 | 143.5000 | 0.2237 |
| 301200.XSHE | 0.0780 | 221.9500 | 202.7900 | 0.0945 |
| 002487.XSHE | 0.0722 | 77.4000 | 61.1330 | 0.2661 |
| 300548.XSHE | 0.0694 | 251.4000 | 146.1300 | 0.7204 |
| 301308.XSHE | 0.0567 | 590.5200 | 590.5200 | 0.0000 |
| 301377.XSHE | 0.0374 | 247.6900 | 181.1241 | 0.3675 |