Task #5 v0+ Sensitivity: m_price_above_ma200
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 | 0.1427 | 0.2064 | 0.6914 | -0.3304 | 2.1304 |
| OOS-A | -0.2011 | 0.1010 | -1.9901 | -0.1717 | 0.8549 |
| OOS-B | 0.2388 | 0.3749 | 0.6370 | -0.2151 | 1.1683 |
| OOS-C | 1.0020 | 0.3509 | 2.8552 | -0.1400 | 1.7882 |
| FULL | 0.1835 | 0.2393 | 0.7666 | -0.4292 | 3.8049 |
Strict candidates: 8255 rows / 832 stocks.
Trades: 666 rows; buys=322; sells=344.
Average exposure: 42.05%; average holdings: 5.01; max holdings: 12.
Exit Reasons
| reason | 0 |
|---|---|
| atr_or_trailing_stop | 165 |
| trend_break | 105 |
| fundamental_disproof | 40 |
| winner_trim_15pct | 34 |
Latest Holdings (2026-05-15)
| order_book_id | weight | close | entry_price | unrealized_return |
|---|---|---|---|---|
| 300308.XSHE | 0.1109 | 1049.8700 | 539.3720 | 0.9465 |
| 300857.XSHE | 0.1034 | 274.0100 | 156.4324 | 0.7516 |
| 688025.XSHG | 0.1030 | 394.8000 | 224.2000 | 0.7609 |
| 300604.XSHE | 0.1001 | 209.5000 | 123.6200 | 0.6947 |
| 001309.XSHE | 0.0970 | 712.0600 | 524.8100 | 0.3568 |
| 300502.XSHE | 0.0940 | 610.0500 | 383.0200 | 0.5927 |
| 688313.XSHG | 0.0867 | 175.6000 | 143.5000 | 0.2237 |
| 301200.XSHE | 0.0779 | 221.9500 | 202.7900 | 0.0945 |
| 002487.XSHE | 0.0721 | 77.4000 | 61.1330 | 0.2661 |
| 300548.XSHE | 0.0680 | 251.4000 | 146.1300 | 0.7204 |
| 301308.XSHE | 0.0671 | 590.5200 | 590.5200 | 0.0000 |
| 301377.XSHE | 0.0199 | 247.6900 | 181.1241 | 0.3675 |