merged_cs_ra Review Package
Owner strategies: merged_cs_ra_alpaca_paper_v1 and merged_cs_ra_steve_live_v1. Generated for PAW/AlphaVault review on 2026-06-03. No secrets or private tokens are included.
P0 Gate
FAIL
Gross Sharpe
0.803
Net Sharpe
0.720
Net CAGR
9.68%
Net Max DD
-34.13%
OOS Sharpe since 2023
1.369
Primary Artifacts
Key Review Metrics
| Window | 2007-01-03 to 2026-06-02 (4884 daily rows, 8 assets) |
|---|---|
| Total Return Net | 499.17% |
| Transaction Cost Drag | 1.1876% NAV/year |
| Rolling Sharpe | latest 2.657, min -1.041, negative-window ratio 19.0% |
| Correlation Note | Max abs correlation 0.890 to cross_sectional_component; SPY corr 0.758; fails target < 0.8. |
| Bias Note | FAILED — lead-1 gain -1.020 < 0.3 threshold; strategy may have built-in lookahead (no room to cheat further); truncate-and-rerun test not available. |
Fill Status
| Account profile | Status | Counts / note |
|---|---|---|
| live_steve | AccountStatus.ACTIVE | {"FILLED": 29, "EXPIRED": 3} |
| paper | AccountStatus.ACTIVE | Shared Alpaca paper account; no current matching paper strategy orders found in latest read-only query. |
Known Risks / TODOs
- P0 bias gate fails under the generic shift-lookahead test; needs strategy-specific truncate-and-rerun validation for T close signal / T+1 open execution.
- Duplicate-submit guard is local runner state keyed by date; reviewers should confirm recovery behavior after process restart and state loss.
- Schedule guard uses weekday/time only and should be upgraded to an exchange calendar to avoid holiday submissions.
- Order client_order_id prefix is stable (
av_mergcsra...); verify monitoring maps both paper and live prefixes correctly. - Sizing cap is sleeve-level budget ($5k default live), not a hard per-symbol cap; target weights can concentrate depending on regime.
- Broker/fill assumptions are marketable DAY limits with no queue/latency/spread model; expired orders currently wait for next run unless manually reconciled.
- Paper strategy uses shared
alpaca_paper_main; account-level positions/orders may include other strategies and must be isolated by client_order_id/strategy_id.