merged_cs_ra_steve_live_v1 review package

Generated 2026-06-04T21:28:34.230049-04:00 Eastern Time / 2026-06-05T01:28:34.230049+00:00 Coordinated Universal Time (UTC). Advisory/review artifact only; no orders submitted for this task.
Financial glossary. Gross Sharpe Ratio is the annualized return/risk ratio before estimated Transaction Costs (TC). Net Sharpe Ratio is the same ratio after estimated Transaction Costs (TC). Compound Annual Growth Rate (CAGR) is annualized compounded return. Maximum Drawdown (MaxDD) is the worst peak-to-trough loss. Out-of-Sample (OOS) means the evaluation period not used for fitting or tuning. Algorithm Trading (AT) is the offline algorithm/backtest path, Paper Trading (PT) is broker paper-account execution, and Real Trading (RT) is live-money execution.
Review verdictneeds fix before live expand
Net Sharpe Ratio0.720
Out-of-Sample (OOS) Sharpe Ratio1.369
Live open orders0
Team-review summary. Code is ready for review. The sleeve is already live at small cap, but Strategy Eval still flags the P0 bias/lookahead gate failure and high component correlation, so the status is needs_fix_before_live_expand, not approved for larger live allocation.

Algorithm Trading (AT) / Strategy Eval

Window2007-01-03 to 2026-06-02 (4884 days)
Gross Sharpe Ratio / Compound Annual Growth Rate (CAGR) / Maximum Drawdown (MaxDD)0.803 / 10.99% / -33.55%
Net Sharpe Ratio / Compound Annual Growth Rate (CAGR) / Maximum Drawdown (MaxDD)0.720 / 9.68% / -34.13%
Net total return499.17%
Out-of-Sample (OOS) split2023-01-01; in-sample Sharpe Ratio 0.603, Out-of-Sample (OOS) Sharpe Ratio 1.369
Transaction Costs (TC)Annual Transaction Costs (TC) drag estimate 1.1876% of Net Asset Value (NAV) per year in the eval summary
Factor / correlationFactor R-squared 0.761; SPY correlation 0.758; maximum strategy correlation 0.890 vs cross_sectional_component
Bias gateFAIL; shift test passed=False

Rolling Sharpe Ratio Chart

-2-10123420082012201720212026252 trading day rolling Sharpe Ratio
Gross Rolling Sharpe RatioNet Rolling Sharpe Ratio
Window: 252 trading days. Latest gross rolling value 2.739; latest net rolling value 2.644. Net line subtracts the Strategy Eval annual Transaction Costs (TC) drag estimate of 1.1876% / 252 from daily gross returns for visualization.

Real Trading (RT) / Current Live Status

Account profilelive_steve
Portfolio value$90,945.20
Cash$76,767.35
Rebalance neededFalse
Signal date2026-06-03 completed close; latest yfinance daily bar 2026-06-04; excludes Eastern Time current-date partial bar=True
Regimelow_vol_momentum; SPY 20-day volatility 9.90%; low cut 10.18%; high cut 12.92%
Order status counts{'EXPIRED': 3, 'FILLED': 29}; current strategy open orders 0; other open orders 0
Review-task orders submitted0

Latest Signal Lines

SymbolCS rankCS scoreRA 126-day momentumRA 5-day returnTarget weightCurrentTargetDrift
EEM135.08%30.66%2.24%31.67%$1,580.17$1,583.33$-3.16
DBC232.72%35.42%2.71%31.67%$1,613.43$1,583.33$30.10
QQQ328.61%20.89%2.02%31.67%$1,565.75$1,583.33$-17.59
IWM423.06%17.72%-0.93%0.00%$0.00$0.00$0.00
SPY516.87%11.50%0.50%0.00%$0.00$0.00$0.00
EFA611.59%11.92%-0.62%0.00%$0.00$0.00$0.00
GLD77.32%4.65%-0.15%0.00%$0.00$0.00$0.00
TLT8-0.05%-1.70%0.41%0.00%$0.00$0.00$0.00

Paper Trading (PT) Status

Paper Trading (PT) runner exists for the same strategy family and should use the shared alpaca_paper_main profile. Latest review snapshot did not find matching recent paper orders. Shared-account isolation must be by strategy_id and client_order_id; Paper Trading (PT) profit and loss is not treated as Real Trading (RT) live-account profit and loss.

Code Walkthrough

Review entrypoints

live runner · paper runner · T+1 open backtest · manifest · review note

signal generationtarget sizingExecutionGatewayAlpacaBrokerdaemon guard

Signal components

cross_sectional_momentum: average 63/126/252-day returns, top 3 monthly carry-forward.

regime_adaptive: SPY volatility regime chooses momentum, short-term mean reversion, or defensive inverse-volatility allocation.

Execution path: completed daily closes -> merged_weights(cs, ra, 0.5) -> $5k target values -> threshold drift check -> ExecutionGateway.create_order_intent -> AlpacaBroker. This review report performed read-only status checks only.

Export Provenance

Metrics producer/workspace/steve/paw_auto_research/tools/eval_strategy.py using generated CSV inputs under reports/review_20260603/inputs/
Strategy Eval commandpython /workspace/steve/paw_auto_research/tools/eval_strategy.py --positions reports/review_20260603/inputs/positions.csv --asset-returns reports/review_20260603/inputs/asset_returns.csv --gross-returns reports/review_20260603/inputs/gross_returns.csv --metadata-json reports/review_20260603/inputs/metadata.json --factor-returns reports/review_20260603/inputs/factor_returns.csv --existing-returns reports/review_20260603/inputs/existing_returns.csv --strategy-label merged_cs_ra_dual_review_20260603 --start-date 2007-01-03 --oos-start-date 2023-01-01 --aum-for-tc 5000000 --out-dir reports/review_20260603/eval-report
Data source and cutoffAlgorithm Trading (AT) and signal inputs use yfinance adjusted daily OHLC. Live runner excludes the current America/New_York date to avoid partial daily bars. Current report snapshot checked at 2026-06-05T01:28:34.230049+00:00 and used signal date 2026-06-03.
Live status sourceRead-only Alpaca live_steve account query for Real Trading (RT) positions and open orders. No paper/live orders were submitted.
Rolling Sharpe Ratio chart producerLocal report-generation script in this review session computed 252-trading-day rolling values from gross_returns.csv; net visualization subtracts annual Transaction Costs (TC) drag / 252.
Publisher / deploy pathCloudflare Pages project merged-cs-ra-live-review-20260605; deployed from reports/live_review_20260605 using npx -p wrangler@4.95.0 -p esbuild wrangler pages deploy ... --branch main.

Known Risks