Microcap portfolio execution diagnostic

Chinese version

Plain-language takeaway

A short historical list of target stocks was sent through a public trading simulator to see what could be bought or sold under basic trading limits. This checks whether the simulation process runs; it does not show that a strategy makes money. The sample is short, and both prices and costs are simplified.

A 5% participation rate limits simulated trading in a stock to 5% of its daily trading value. T+1 means a stock bought today cannot be sold until the next trading day. Five basis points equals a 0.05% assumed cost per trade. Any unfilled amount stays in cash.

The microcap-execution-diagnostic experiment selects the smallest N eligible stocks from cleaned daily data using post-close market capitalization, ST status, suspension, and listing-state rules. Each decision date has an independent research clock. The input is submitted by content hash to quant-backtest-runtime, whose worker calls the public execution simulator in quant-platform.

The diagnostic uses a 5% participation rate, T+1, daily limit-up and limit-down blocking, unfilled cash, and a simplified 5-basis-point per-trade cost. Prices use the cleaned daily adj_close proxy. Targets, orders, fills, daily cash, and NAV ledgers remain outside the repository. Only runtime-validated ledgers are copied into the diagnostic directory, and summary.json records the job ID.

This diagnostic ledger is separate from historical paper returns. It is an execution feasibility check, not a live-trading result or strategy promotion.