{ "strategy_label": "merged_cs_ra_steve_live_v1", "window": { "start": "2007-01-03", "end": "2026-05-26", "n_days": 4879, "n_assets": 8 }, "bias": { "strategy_label": "merged_cs_ra_steve_live_v1", "overall_pass": false, "shift": { "test": "shift_lookahead", "sh_same": 0.8145538229092968, "sh_lag1": 0.7311939890104157, "sh_lead1": -0.20719556782980952, "sh_lead5": -0.20548112137836425, "lead1_gain": -1.0217493907391062, "lag1_drop": 0.08335983389888113, "threshold": 0.3, "asymmetry_min": 0.8, "passed": false, "verdict": "FAILED \u2014 lead-1 gain -1.022 < 0.3 threshold; strategy may have built-in lookahead (no room to cheat further)" }, "autocorr": { "test": "autocorrelation", "n_assets_checked": 8, "mean_autocorr": 0.8838708184265529, "median_autocorr": 0.8860168252958341, "min_autocorr": 0.8633037267942735, "max_autocorr": 0.8990440542077553, "threshold": 0.5, "passed": true, "verdict": "OK \u2014 mean AC 0.884 \u2265 0.5 (shift test reliable)" }, "truncate": null }, "gross_metrics": { "sharpe": 0.7967624093676965, "cagr": 0.10894639989559907, "annual_vol": 0.14257148965079283, "max_drawdown": -0.3355374292102138, "calmar": 0.3246922411965679, "sortino": 1.0263333549949412, "win_rate": 0.5421192867390858, "var_95": -0.01386937753507905, "cvar_95": -0.021414653713140275, "n_days": 4879 }, "net_metrics": { "sharpe": 0.7137673264694271, "cagr": 0.09589019271511878, "annual_vol": 0.14254613800418073, "max_drawdown": -0.3412840125102322, "calmar": 0.28096889745822434, "sortino": 0.9190355621954172, "win_rate": 0.5400696864111498, "var_95": -0.01388535996176151, "cvar_95": -0.02147022333857126, "n_days": 4879 }, "tc_annual": { "fee_signal": 0.3950275926507072, "fee_roll": 0.0, "slip_signal": 0.7900551853014144, "slip_roll": 0.0, "total": 1.1850827779521216 }, "eval_matrix": { "p0": { "core_metrics": { "status": "computed", "gross": { "sharpe": 0.7967624093676965, "cagr": 0.10894639989559907, "annual_vol": 0.14257148965079283, "max_drawdown": -0.3355374292102138, 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"estimated_holding_period_days": 12.758602421113627, "turnover_adjusted_sharpe": 0.15668707594622552 }, "capacity_scalability": { "status": "computed", "aum_scaling": { "5000000.0": { "signal_mi_pct": 0.002383966782247999, "roll_mi_pct": 0.0, "total_mi_pct": 0.002383966782247999 }, "25000000.0": { "signal_mi_pct": 0.005330711781207964, "roll_mi_pct": 0.0, "total_mi_pct": 0.005330711781207964 }, "100000000.0": { "signal_mi_pct": 0.010661423562415928, "roll_mi_pct": 0.0, "total_mi_pct": 0.010661423562415928 }, "500000000.0": { "signal_mi_pct": 0.02383966782247999, "roll_mi_pct": 0.0, "total_mi_pct": 0.02383966782247999 }, "1000000000.0": { "signal_mi_pct": 0.033714381557020674, "roll_mi_pct": 0.0, "total_mi_pct": 0.033714381557020674 }, "2500000000.0": { "signal_mi_pct": 0.05330711781207964, "roll_mi_pct": 0.0, "total_mi_pct": 0.05330711781207964 }, "5000000000.0": { "signal_mi_pct": 0.07538764898086342, "roll_mi_pct": 0.0, "total_mi_pct": 0.07538764898086342 }, "10000000000.0": { "signal_mi_pct": 0.10661423562415928, "roll_mi_pct": 0.0, "total_mi_pct": 0.10661423562415928 } }, "participation_top": { "DBC": { "100000000.0": 4.4514176410865296e-07, "500000000.0": 2.2257088205432644e-06, "1000000000.0": 4.451417641086529e-06, "2500000000.0": 1.1128544102716322e-05, "5000000000.0": 2.2257088205432643e-05, "10000000000.0": 4.451417641086529e-05 }, "EFA": { "100000000.0": 5.218181818181816e-08, "500000000.0": 2.6090909090909077e-07, "1000000000.0": 5.218181818181815e-07, "2500000000.0": 1.304545454545454e-06, "5000000000.0": 2.609090909090908e-06, "10000000000.0": 5.218181818181816e-06 }, "EEM": { "100000000.0": 3.497491039426522e-08, "500000000.0": 1.748745519713261e-07, "1000000000.0": 3.497491039426522e-07, "2500000000.0": 8.743727598566306e-07, "5000000000.0": 1.7487455197132612e-06, "10000000000.0": 3.4974910394265224e-06 }, "GLD": { "100000000.0": 1.6228344955064153e-08, "500000000.0": 8.114172477532076e-08, "1000000000.0": 1.6228344955064152e-07, "2500000000.0": 4.057086238766038e-07, "5000000000.0": 8.114172477532076e-07, "10000000000.0": 1.6228344955064152e-06 }, "TLT": { "100000000.0": 1.2166677434297911e-08, "500000000.0": 6.083338717148955e-08, "1000000000.0": 1.216667743429791e-07, "2500000000.0": 3.041669358574478e-07, "5000000000.0": 6.083338717148956e-07, "10000000000.0": 1.2166677434297912e-06 }, "IWM": { "100000000.0": 1.1127836697456947e-08, "500000000.0": 5.5639183487284735e-08, "1000000000.0": 1.1127836697456947e-07, "2500000000.0": 2.7819591743642367e-07, "5000000000.0": 5.563918348728473e-07, "10000000000.0": 1.1127836697456947e-06 }, "QQQ": { "100000000.0": 1.5342767295597483e-09, "500000000.0": 7.67138364779874e-09, "1000000000.0": 1.534276729559748e-08, "2500000000.0": 3.8356918238993705e-08, "5000000000.0": 7.671383647798741e-08, "10000000000.0": 1.5342767295597482e-07 }, "SPY": { "100000000.0": 1.190471833348583e-09, "500000000.0": 5.9523591667429144e-09, "1000000000.0": 1.1904718333485829e-08, "2500000000.0": 2.9761795833714578e-08, "5000000000.0": 5.9523591667429156e-08, "10000000000.0": 1.1904718333485831e-07 } } }, "statistical_significance": { "status": "partial", "t_stat_alpha": 3.1406663573096227, "deflated_sharpe_ratio": { "status": "needs_input", "reason": "requires trial count / candidate family distribution; do not infer from one backtest" }, "pbo": { "status": "needs_input", "reason": "requires combinatorial or walk-forward trial panel; do not infer from one equity curve" } }, "operational_reliability": { "status": "computed", "lookahead_bias": { "strategy_label": "merged_cs_ra_steve_live_v1", "overall_pass": false, "shift": { "test": "shift_lookahead", "sh_same": 0.8145538229092968, "sh_lag1": 0.7311939890104157, "sh_lead1": -0.20719556782980952, "sh_lead5": -0.20548112137836425, "lead1_gain": -1.0217493907391062, "lag1_drop": 0.08335983389888113, "threshold": 0.3, "asymmetry_min": 0.8, "passed": false, "verdict": "FAILED \u2014 lead-1 gain -1.022 < 0.3 threshold; strategy may have built-in lookahead (no room to cheat further)" }, "autocorr": { "test": "autocorrelation", "n_assets_checked": 8, "mean_autocorr": 0.8838708184265529, "median_autocorr": 0.8860168252958341, "min_autocorr": 0.8633037267942735, "max_autocorr": 0.8990440542077553, "threshold": 0.5, "passed": true, "verdict": "OK \u2014 mean AC 0.884 \u2265 0.5 (shift test reliable)" }, "truncate": null } } }, "p1": { "factor_exposure": { "status": "computed", "n_overlap": 4879, "alpha_daily": 8.492756361210962e-06, "alpha_annualized": 0.0021401746030251623, "betas": { "SPY_market": 0.12336936106090562, "QQQ_growth_beta": 0.20574986767296938, "IWM_size_proxy": 0.06322233522527357, "TLT_duration": 0.11831827873556403, "GLD_gold": 0.19209644482409488, "EEM_em_beta": 0.08418053743899602, "DBC_commodity": 0.15260935018826294 }, "r_squared": 0.7616452109564205 }, "out_of_sample": { "status": "computed", "split_date": "2023-01-01", "in_sample": { "sharpe": 0.6027365061437592, "cagr": 0.08038230082032638, "annual_vol": 0.1459725576674476, "max_drawdown": -0.3412840125102322, "calmar": 0.23552905461083207, "sortino": 0.7737544284431235, "win_rate": 0.5337636544190665, "var_95": -0.014133745850839534, "cvar_95": -0.022069378803810078, "n_days": 4028 }, "out_of_sample": { "sharpe": 1.3344513686768342, "cagr": 0.1723678460998821, "annual_vol": 0.1250572512731447, "max_drawdown": -0.14072369317951233, "calmar": 1.2248672714977946, "sortino": 1.7739924005240346, "win_rate": 0.5699177438307873, "var_95": -0.0114174376279011, "cvar_95": -0.018028600746991814, "n_days": 851 }, "sharpe_decay": 0.731714862533075 }, "rolling_sharpe": { "status": "computed", "window": 252, "mean": 0.7341589210808835, "median": 0.7780389146427444, "min": -1.0410308121347274, "max": 3.0942714907515176, "latest": 2.4776576803071446, "negative_window_ratio": 0.19014693171996544 }, "fee_sensitivity": { "status": "computed", "rows": [ { "tc_multiplier": 0.0, "sharpe": 0.7967624093676965, "cagr": 0.10894639989559907, "max_drawdown": -0.3355374292102138 }, { "tc_multiplier": 0.5, "sharpe": 0.7552753334794503, "cagr": 0.10239924502534725, "max_drawdown": -0.3384168457955528 }, { "tc_multiplier": 1.0, "sharpe": 0.7137673264694271, "cagr": 0.09589019271511878, "max_drawdown": -0.3412840125102322 }, { "tc_multiplier": 2.0, "sharpe": 0.630697429812307, "cagr": 0.08298552278670446, "max_drawdown": -0.3469818007161407 }, { "tc_multiplier": 3.0, "sharpe": 0.5475705769646512, "cagr": 0.07023065644749793, "max_drawdown": -0.35263120051436897 } ] }, "capacity": { "status": "computed", "annual_tc_drag_pct_nav": { "fee_signal": 0.3950275926507072, "fee_roll": 0.0, "slip_signal": 0.7900551853014144, "slip_roll": 0.0, "total": 1.1850827779521216 }, "max_participation": 4.451417641086529e-05 }, "paper_trading": { "status": "needs_input", "reason": "requires live or paper trading return stream" }, "portfolio_interaction": { "status": "computed", "n_overlap": 4879, "max_abs_correlation": 0.8901858270644264, "max_abs_correlation_strategy": "cross_sectional_component", "correlations": { "SPY_buy_hold": 0.7585708983705519, "cross_sectional_component": 0.8901858270644264, "regime_adaptive_component": 0.8701012743441645 }, "passes_panda_threshold_0_8": false } }, "p2": { "rolling_sharpe": { "status": "computed", "window": 126, "mean": 0.8568218335768666, "median": 0.8236483402877924, "min": -2.4690559495351856, "max": 4.724745959751401, "latest": 2.5045923539874364, "negative_window_ratio": 0.22128733697938577 }, "panda_pnl_correlation": { "status": "computed", "n_overlap": 4879, "max_abs_correlation": 0.8901858270644264, "max_abs_correlation_strategy": "cross_sectional_component", "correlations": { "SPY_buy_hold": 0.7585708983705519, "cross_sectional_component": 0.8901858270644264, "regime_adaptive_component": 0.8701012743441645 }, "passes_panda_threshold_0_8": false }, "fill_assumptions": { "status": "needs_input", "required_inputs": [ "queue position", "partial fills", "latency", "bid/ask spread crossing" ] } } }, "reports": { "bias_html": "/workspace/steve/openclaw_proj/openclaw-state/workspace/ibkr-trading-system/data/logs/at/strategy_eval/merged_cs_ra_steve_live_v1/eval-report/bias_report.html", "internal_html": "/workspace/steve/openclaw_proj/openclaw-state/workspace/ibkr-trading-system/data/logs/at/strategy_eval/merged_cs_ra_steve_live_v1/eval-report/internal_report.html" } }