Task #5 v1.1 Production Backtest Summary
Locked config: v1 production + B3 RPS dual window (RPS250 > 80 and RPS125 > 80).
| period | annualized | vol | sharpe | max_drawdown | final_nav |
|---|---|---|---|---|---|
| IS | 0.1308 | 0.1778 | 0.7355 | -0.1919 | 2.0076 |
| OOS-A | 0.0000 | 0.0000 | nan | 0.0000 | 1.0000 |
| OOS-B | 0.1032 | 0.2658 | 0.3882 | -0.1836 | 1.0739 |
| OOS-C | 0.4217 | 0.3233 | 1.3043 | -0.2342 | 1.3426 |
| FULL | 0.1434 | 0.2001 | 0.7164 | -0.2342 | 2.8946 |
Portfolio Profile
Average exposure: 28.24%
Average holdings: 3.37
Max holdings: 12
Trades: 433 rows; buys=204; sells=229
Exit Reasons
| reason | 0 |
|---|---|
| atr_or_trailing_stop | 117 |
| trend_break | 47 |
| winner_trim_15pct | 37 |
| fundamental_disproof | 28 |
Latest Holdings
| date | order_book_id | weight | close | entry_price | unrealized_return |
|---|---|---|---|---|---|
| 2026-05-15 00:00:00 | 300308.XSHE | 0.1272 | 1049.8700 | 536.0360 | 0.9586 |
| 2026-05-15 00:00:00 | 603256.XSHG | 0.1075 | 134.1000 | 81.5859 | 0.6437 |
| 2026-05-15 00:00:00 | 001309.XSHE | 0.0991 | 712.0600 | 527.4340 | 0.3500 |
| 2026-05-15 00:00:00 | 300604.XSHE | 0.0988 | 209.5000 | 138.7403 | 0.5100 |
| 2026-05-15 00:00:00 | 300502.XSHE | 0.0948 | 610.0500 | 399.1760 | 0.5283 |
| 2026-05-15 00:00:00 | 300857.XSHE | 0.0771 | 274.0100 | 260.9985 | 0.0499 |
| 2026-05-15 00:00:00 | 000426.XSHE | 0.0756 | 44.1400 | 44.3607 | -0.0050 |
| 2026-05-15 00:00:00 | 301377.XSHE | 0.0753 | 247.6900 | 215.3130 | 0.1504 |
| 2026-05-15 00:00:00 | 688630.XSHG | 0.0682 | 258.7100 | 248.0570 | 0.0429 |
| 2026-05-15 00:00:00 | 300548.XSHE | 0.0681 | 251.4000 | 261.4005 | -0.0383 |
| 2026-05-15 00:00:00 | 688025.XSHG | 0.0672 | 394.8000 | 278.6061 | 0.4171 |
| 2026-05-15 00:00:00 | 002487.XSHE | 0.0412 | 77.4000 | 61.6696 | 0.2551 |