{ "strategy_label": "merged_cs_ra_dual_review_20260603", "window": { "start": "2007-01-03", "end": "2026-06-02", "n_days": 4884, "n_assets": 8 }, "bias": { "strategy_label": "merged_cs_ra_dual_review_20260603", "overall_pass": false, "shift": { "test": "shift_lookahead", "sh_same": 0.8196014833656295, "sh_lag1": 0.7356646176452191, "sh_lead1": -0.20050107195845118, "sh_lead5": -0.19931998173763585, "lead1_gain": -1.0201025553240808, "lag1_drop": 0.08393686572041048, "threshold": 0.3, "asymmetry_min": 0.8, "passed": false, "verdict": "FAILED \u2014 lead-1 gain -1.020 < 0.3 threshold; strategy may have built-in lookahead (no room to cheat further)" }, "autocorr": { "test": "autocorrelation", "n_assets_checked": 8, "mean_autocorr": 0.883588460596618, "median_autocorr": 0.8855290556324377, "min_autocorr": 0.8633539513151576, "max_autocorr": 0.8989872764904527, "threshold": 0.5, "passed": true, "verdict": "OK \u2014 mean AC 0.884 \u2265 0.5 (shift test reliable)" }, "truncate": null }, "gross_metrics": { "sharpe": 0.8027561021402906, "cagr": 0.10987361376008575, "annual_vol": 0.14254359230071662, "max_drawdown": -0.33553798958022585, "calmar": 0.3274550637248048, "sortino": 1.034251626382788, "win_rate": 0.5421785421785422, "var_95": -0.013864880664980164, "cvar_95": -0.021383855577225892, "n_days": 4884 }, "net_metrics": { "sharpe": 0.7195726388042588, "cagr": 0.0967791067913244, "annual_vol": 0.14251766871344104, "max_drawdown": -0.34128456745778973, "calmar": 0.283573053162722, "sortino": 0.9266888522532817, "win_rate": 0.5401310401310402, "var_95": -0.013878653334870964, "cvar_95": -0.021439263303610706, "n_days": 4884 }, "tc_annual": { "fee_signal": 0.3958641196012025, "fee_roll": 0.0, "slip_signal": 0.791728239202405, "slip_roll": 0.0, "total": 1.1875923588036077 }, "eval_matrix": { "p0": { "core_metrics": { "status": "computed", "gross": { "sharpe": 0.8027561021402906, "cagr": 0.10987361376008575, "annual_vol": 0.14254359230071662, "max_drawdown": -0.33553798958022585, "calmar": 0.3274550637248048, "sortino": 1.034251626382788, "win_rate": 0.5421785421785422, "var_95": -0.013864880664980164, "cvar_95": -0.021383855577225892, "n_days": 4884 }, "net": { "sharpe": 0.7195726388042588, "cagr": 0.0967791067913244, "annual_vol": 0.14251766871344104, "max_drawdown": -0.34128456745778973, "calmar": 0.283573053162722, "sortino": 0.9266888522532817, "win_rate": 0.5401310401310402, "var_95": -0.013878653334870964, "cvar_95": -0.021439263303610706, "n_days": 4884 }, "total_return_gross": 6.5412625727007505, "total_return_net": 4.991667414818026, "drawdown": { "average_drawdown": -0.048735557186885776, "max_drawdown": -0.3412845674577897, "max_time_to_recovery_days": 547, "average_time_to_recovery_days": 21.091787439613526 }, "t_stat_alpha": 3.167832415630448 }, "turnover": { "status": "computed", "average_daily_turnover": 0.07854446817484176, "annual_turnover": 19.793205980060122, "active_day_ratio": 0.9834152334152334, "trade_day_ratio": 0.5804668304668305, "estimated_holding_period_days": 12.731641364914172, "turnover_adjusted_sharpe": 0.15780251239626233 }, "capacity_scalability": { "status": "computed", "aum_scaling": { "5000000.0": { "signal_mi_pct": 0.0023854008688155397, "roll_mi_pct": 0.0, "total_mi_pct": 0.0023854008688155397 }, "25000000.0": { "signal_mi_pct": 0.0053339184962586045, "roll_mi_pct": 0.0, "total_mi_pct": 0.0053339184962586045 }, "100000000.0": { "signal_mi_pct": 0.010667836992517209, "roll_mi_pct": 0.0, "total_mi_pct": 0.010667836992517209 }, "500000000.0": { "signal_mi_pct": 0.023854008688155393, "roll_mi_pct": 0.0, "total_mi_pct": 0.023854008688155393 }, "1000000000.0": { "signal_mi_pct": 0.033734662603755, "roll_mi_pct": 0.0, "total_mi_pct": 0.033734662603755 }, "2500000000.0": { "signal_mi_pct": 0.053339184962586036, "roll_mi_pct": 0.0, "total_mi_pct": 0.053339184962586036 }, "5000000000.0": { "signal_mi_pct": 0.07543299878001623, "roll_mi_pct": 0.0, "total_mi_pct": 0.07543299878001623 }, "10000000000.0": { "signal_mi_pct": 0.10667836992517207, "roll_mi_pct": 0.0, "total_mi_pct": 0.10667836992517207 } }, "participation_top": { "DBC": { "100000000.0": 4.444177077277318e-07, "500000000.0": 2.222088538638659e-06, "1000000000.0": 4.444177077277318e-06, "2500000000.0": 1.1110442693193295e-05, "5000000000.0": 2.222088538638659e-05, "10000000000.0": 4.444177077277318e-05 }, "EFA": { "100000000.0": 5.223529411764704e-08, "500000000.0": 2.611764705882351e-07, "1000000000.0": 5.223529411764703e-07, "2500000000.0": 1.305882352941176e-06, "5000000000.0": 2.611764705882352e-06, "10000000000.0": 5.223529411764704e-06 }, "EEM": { "100000000.0": 3.4898177920685955e-08, "500000000.0": 1.7449088960342976e-07, "1000000000.0": 3.489817792068595e-07, "2500000000.0": 8.724544480171489e-07, "5000000000.0": 1.7449088960342977e-06, "10000000000.0": 3.4898177920685955e-06 }, "GLD": { "100000000.0": 1.6242879556124312e-08, "500000000.0": 8.121439778062157e-08, "1000000000.0": 1.6242879556124313e-07, "2500000000.0": 4.0607198890310785e-07, "5000000000.0": 8.121439778062157e-07, "10000000000.0": 1.6242879556124314e-06 }, "TLT": { "100000000.0": 1.2174056054781662e-08, "500000000.0": 6.087028027390831e-08, "1000000000.0": 1.2174056054781662e-07, "2500000000.0": 3.0435140136954157e-07, "5000000000.0": 6.087028027390831e-07, "10000000000.0": 1.2174056054781663e-06 }, "IWM": { "100000000.0": 1.1124017765630336e-08, "500000000.0": 5.5620088828151676e-08, "1000000000.0": 1.1124017765630335e-07, "2500000000.0": 2.781004441407584e-07, "5000000000.0": 5.562008882815168e-07, "10000000000.0": 1.1124017765630336e-06 }, "QQQ": { "100000000.0": 1.5343412526997838e-09, "500000000.0": 7.671706263498918e-09, "1000000000.0": 1.5343412526997836e-08, "2500000000.0": 3.8358531317494596e-08, "5000000000.0": 7.671706263498919e-08, "10000000000.0": 1.5343412526997838e-07 }, "SPY": { "100000000.0": 1.191691829078598e-09, "500000000.0": 5.958459145392989e-09, "1000000000.0": 1.1916918290785978e-08, "2500000000.0": 2.979229572696495e-08, "5000000000.0": 5.95845914539299e-08, "10000000000.0": 1.191691829078598e-07 } } }, "statistical_significance": { "status": "partial", "t_stat_alpha": 3.167832415630448, "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_dual_review_20260603", "overall_pass": false, "shift": { "test": "shift_lookahead", "sh_same": 0.8196014833656295, "sh_lag1": 0.7356646176452191, "sh_lead1": -0.20050107195845118, "sh_lead5": -0.19931998173763585, "lead1_gain": -1.0201025553240808, "lag1_drop": 0.08393686572041048, "threshold": 0.3, "asymmetry_min": 0.8, "passed": false, "verdict": "FAILED \u2014 lead-1 gain -1.020 < 0.3 threshold; strategy may have built-in lookahead (no room to cheat further)" }, "autocorr": { "test": "autocorrelation", "n_assets_checked": 8, "mean_autocorr": 0.883588460596618, "median_autocorr": 0.8855290556324377, "min_autocorr": 0.8633539513151576, "max_autocorr": 0.8989872764904527, "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": 4884, "alpha_daily": 1.0308650762128004e-05, "alpha_annualized": 0.002597779992056257, "betas": { "SPY_market": 0.12254199716638303, "QQQ_growth_beta": 0.2060311754661982, "IWM_size_proxy": 0.0631093528118716, "TLT_duration": 0.11857489957589196, "GLD_gold": 0.19146556698292014, "EEM_em_beta": 0.08467890058574479, "DBC_commodity": 0.15307976306404025 }, "r_squared": 0.7614927522759706 }, "out_of_sample": { "status": "computed", "split_date": "2023-01-01", "in_sample": { "sharpe": 0.6027376939242486, "cagr": 0.08038250701600047, "annual_vol": 0.1459725955584359, "max_drawdown": -0.34128456745778973, "calmar": 0.23552927580278654, "sortino": 0.7737563815685377, "win_rate": 0.5337636544190665, "var_95": -0.014133801688295587, "cvar_95": -0.022069381323486473, "n_days": 4028 }, "out_of_sample": { "sharpe": 1.3691577201051226, "cagr": 0.17733888562938693, "annual_vol": 0.12497177172230146, "max_drawdown": -0.14072364859105793, "calmar": 1.2601924936208317, "sortino": 1.823253982299181, "win_rate": 0.5700934579439252, "var_95": -0.01132931593397565, "cvar_95": -0.018028607421131083, "n_days": 856 }, "sharpe_decay": 0.766420026180874 }, "rolling_sharpe": { "status": "computed", "window": 252, "mean": 0.7360927953484717, "median": 0.7785448094236663, "min": -1.0410211344273554, "max": 3.094269107551266, "latest": 2.657026363959156, "negative_window_ratio": 0.18994172242607382 }, "fee_sensitivity": { "status": "computed", "rows": [ { "tc_multiplier": 0.0, "sharpe": 0.8027561021402906, "cagr": 0.10987361376008575, "max_drawdown": -0.33553798958022585 }, { "tc_multiplier": 0.5, "sharpe": 0.7611749972754184, "cagr": 0.10330721236614959, "max_drawdown": -0.33841740344795984 }, { "tc_multiplier": 1.0, "sharpe": 0.7195726388042588, "cagr": 0.0967791067913244, "max_drawdown": -0.34128456745778973 }, { "tc_multiplier": 2.0, "sharpe": 0.6363131116503737, "cagr": 0.08383690379881181, "max_drawdown": -0.3469823502920308 }, { "tc_multiplier": 3.0, "sharpe": 0.5529954588660115, "cagr": 0.07104525861131417, "max_drawdown": -0.35263174476891773 } ] }, "capacity": { "status": "computed", "annual_tc_drag_pct_nav": { "fee_signal": 0.3958641196012025, "fee_roll": 0.0, "slip_signal": 0.791728239202405, "slip_roll": 0.0, "total": 1.1875923588036077 }, "max_participation": 4.444177077277318e-05 }, "paper_trading": { "status": "needs_input", "reason": "requires live or paper trading return stream" }, "portfolio_interaction": { "status": "computed", "n_overlap": 4884, "max_abs_correlation": 0.8902402235668684, "max_abs_correlation_strategy": "cross_sectional_component", "correlations": { "SPY_buy_hold": 0.7584222850505229, "cross_sectional_component": 0.8902402235668684, "regime_adaptive_component": 0.8701452064751073 }, "passes_panda_threshold_0_8": false } }, "p2": { "rolling_sharpe": { "status": "computed", "window": 126, "mean": 0.8584003651162572, "median": 0.8246485091773862, "min": -2.4690601642830776, "max": 4.724738606672446, "latest": 2.3440950873500945, "negative_window_ratio": 0.22105484345450724 }, "panda_pnl_correlation": { "status": "computed", "n_overlap": 4884, "max_abs_correlation": 0.8902402235668684, "max_abs_correlation_strategy": "cross_sectional_component", "correlations": { "SPY_buy_hold": 0.7584222850505229, "cross_sectional_component": 0.8902402235668684, "regime_adaptive_component": 0.8701452064751073 }, "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": "bias_report.html", "internal_html": "internal_report.html", "eval_dashboard_html": "eval_dashboard.html" } }