Strategy Audit

2026-03-30

Primary strategy: unknown

Overfit risk: HIGH | Interpretation: Model or candidate quality likely looks better on paper than in live admission or execution conditions.

System NAV

0.000
Current drawdown 0.00%

20D Excess vs HS300

0.00%
System 20D 0.00% vs HS300 -5.27%

Live Account

10000
Cash 8000

System vs Benchmark

No time-series comparison available.

Strategy Allocation

Industry Chain
0.0%
Earnings
0.0%
Asset Allocation
0.0%

Deployment Funnel

Filter Drop
30.4%
Tech Reject
89.7%
Fill Ratio
75.0%

What Helped

  • No strong positive driver is available yet because realized PnL attribution history is still incomplete.

What Hurt

  • Technical confirmation reject ratio is high, so many candidates never reached the final portfolio.
  • Too much candidate loss happened in the tradable-universe filter, which weakens paper-to-live conversion.
  • There is a high overfit or paper-to-live mismatch warning.

Key Metrics

Candidate source
latest_scores_executable_fallback
Kept / Dropped
39 / 17
Allow / Reject
4 / 35
Final exposure
54.00%
Exposure cap
72.00%
Overfit reasons
portfolio_used_latest_scores_fallback, candidate_universe_filter_drop_high, technical_reject_ratio_high, post_filter_fill_ratio_low, paper_metrics_ok_but_live_admission_friction_high

Top Industries

IndustryWeight
火力发电7.42%
水力发电7.20%
电气设备6.81%
化工原料4.46%
化纤4.00%
半导体4.00%
种植业4.00%
机械基件3.99%