Task #5 v0+ Sensitivity: m_price_above_ma100
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 | 0.1388 | 0.2200 | 0.6307 | -0.3674 | 2.0893 |
| OOS-A | 0.0993 | 0.1709 | 0.5811 | -0.1321 | 1.0683 |
| OOS-B | 0.2767 | 0.3489 | 0.7930 | -0.1597 | 1.1941 |
| OOS-C | 0.8734 | 0.3583 | 2.4374 | -0.1774 | 1.6915 |
| FULL | 0.2091 | 0.2487 | 0.8406 | -0.3674 | 4.5083 |
Strict candidates: 8255 rows / 832 stocks.
Trades: 698 rows; buys=338; sells=360.
Average exposure: 44.24%; average holdings: 5.29; max holdings: 12.
Exit Reasons
| reason | 0 |
|---|---|
| atr_or_trailing_stop | 164 |
| trend_break | 122 |
| fundamental_disproof | 40 |
| winner_trim_15pct | 34 |
Latest Holdings (2026-05-15)
| order_book_id | weight | close | entry_price | unrealized_return |
|---|---|---|---|---|
| 300308.XSHE | 0.1178 | 1049.8700 | 539.3720 | 0.9465 |
| 603256.XSHG | 0.1075 | 134.1000 | 81.1800 | 0.6519 |
| 300502.XSHE | 0.0997 | 610.0500 | 383.0200 | 0.5927 |
| 300604.XSHE | 0.0987 | 209.5000 | 138.0500 | 0.5176 |
| 001309.XSHE | 0.0978 | 712.0600 | 524.8100 | 0.3568 |
| 688025.XSHG | 0.0799 | 394.8000 | 394.8000 | 0.0000 |
| 301200.XSHE | 0.0794 | 221.9500 | 181.8200 | 0.2207 |
| 301377.XSHE | 0.0752 | 247.6900 | 214.2417 | 0.1561 |
| 300857.XSHE | 0.0738 | 274.0100 | 264.1800 | 0.0372 |
| 300548.XSHE | 0.0731 | 251.4000 | 223.8000 | 0.1233 |
| 002487.XSHE | 0.0544 | 77.4000 | 54.3105 | 0.4251 |
| 688313.XSHG | 0.0423 | 175.6000 | 106.0000 | 0.6566 |