Task #5 v0+ Sensitivity: slippage_50bp
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 | 0.1079 | 0.1801 | 0.5994 | -0.2055 | 1.7884 |
| OOS-A | 0.0000 | 0.0000 | nan | 0.0000 | 1.0000 |
| OOS-B | 0.0345 | 0.2764 | 0.1247 | -0.1945 | 1.0249 |
| OOS-C | 0.6777 | 0.3387 | 2.0008 | -0.1610 | 1.5423 |
| FULL | 0.1400 | 0.2056 | 0.6806 | -0.2432 | 2.8268 |
Strict candidates: 8255 rows / 832 stocks.
Trades: 454 rows; buys=219; sells=235.
Average exposure: 29.43%; average holdings: 3.48; max holdings: 12.
Exit Reasons
| reason | 0 |
|---|---|
| atr_or_trailing_stop | 129 |
| trend_break | 48 |
| fundamental_disproof | 30 |
| winner_trim_15pct | 28 |
Latest Holdings (2026-05-15)
| order_book_id | weight | close | entry_price | unrealized_return |
|---|---|---|---|---|
| 300308.XSHE | 0.1209 | 1049.8700 | 536.0360 | 0.9586 |
| 603256.XSHG | 0.1087 | 134.1000 | 81.5859 | 0.6437 |
| 300604.XSHE | 0.1002 | 209.5000 | 151.4535 | 0.3833 |
| 001309.XSHE | 0.0968 | 712.0600 | 527.4340 | 0.3500 |
| 300502.XSHE | 0.0874 | 610.0500 | 399.1759 | 0.5283 |
| 301200.XSHE | 0.0789 | 221.9500 | 203.8039 | 0.0890 |
| 301377.XSHE | 0.0761 | 247.6900 | 215.3130 | 0.1504 |
| 300548.XSHE | 0.0740 | 251.4000 | 224.9190 | 0.1177 |
| 300857.XSHE | 0.0735 | 274.0100 | 265.5009 | 0.0320 |
| 002487.XSHE | 0.0683 | 77.4000 | 69.8815 | 0.1076 |
| 688025.XSHG | 0.0622 | 394.8000 | 396.7740 | -0.0050 |
| 688313.XSHG | 0.0530 | 175.6000 | 126.4189 | 0.3890 |