Metric Glossary
Transaction Costs (TC) are estimated fees, spread, slippage, and market-impact assumptions deducted from gross returns. Gross Sharpe Ratio is the annualized return/risk ratio before estimated Transaction Costs. Net Sharpe Ratio is the annualized return/risk ratio after estimated Transaction Costs. Compound Annual Growth Rate (CAGR) is annualized compounded return. Maximum Drawdown (MaxDD) is the worst peak-to-trough loss. Out-of-Sample (OOS) is the 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.
Blocking Ops Findings
Schedule mismatch: docs intend Friday 15:30 America/New_York during daylight saving time, but observed crontab on 2026-06-05 was 30 15 * * 5 /workspace/steve/alpha_vault/scripts/run_ops_baseline_live.sh, which is 15:30 UTC.
Budget mismatch: registered scheduled entrypoint is still --budget 20000 --submit-live, while current Real Trading (RT) exposure was manually reduced to about $5k on 2026-06-03. Do not expand live size until this is reconciled.
Strategy Eval Metrics
| Metric | Value |
|---|---|
| Window | 2022-12-13 to 2026-06-02 · 869 trading days |
| Gross Sharpe Ratio / Net Sharpe Ratio | 0.877 / 0.833 |
| Total Return Gross / Net | 209.99% / 185.03% |
| Net Compound Annual Growth Rate (CAGR) / Volatility / Maximum Drawdown (MaxDD) | 35.49% / 54.99% / -57.92% |
| Out-of-Sample (OOS) Sharpe Ratio | 3.158 since 2026-01-01 |
| Rolling Sharpe Ratio | 126 trading-day slow/full-context latest 2.846; 30 trading-day fast/recent latest 7.110 |
| Correlation Matrix | max absolute correlation 0.458; pass<0.8=True |
| Cost Assumption | annual Transaction Costs (TC) drag 2.43% Net Asset Value per year |
| Bias | lookahead shift test pass=True |
| Needs Input | Paper Trading (PT) / Real Trading (RT) return stream; fill latency, queue position, partial fill assumptions |
Eval dashboard · Bias report · Internal report · Summary markdown with glossary
Rolling Sharpe Ratio Chart
Visible chart generated from gross_returns.csv. It shows Algorithm Trading (AT) gross return rolling annualized Sharpe Ratio, not a live broker profit-and-loss stream. Default standard windows are 126 trading days as the slow/full-context line and 30 trading days as the fast/recent line.
Current Live Status
| Account | Aitist Alpaca Real Trading (RT) live 865201662 |
|---|---|
| Cash | $38,917.20 |
| Portfolio value | $43,508.43 |
| Open orders | 0 |
| Configured scheduled budget | $20,000.00 |
| Last scheduled rebalance | 2026-05-29T15:30:24.215181Z |
| Last manual cap reduce | 2026-06-03T19:52:54.557080Z |
Positions
| Symbol | Qty | Market Value | Price | Unrealized Profit/Loss |
|---|---|---|---|---|
| AMD | 2.124510908 | $1,074.09 | $505.57 | $50.54 |
| LRCX | 1.744626956 | $570.49 | $327.00 | $13.72 |
| MU | 1.630618998 | $1,552.33 | $951.99 | $273.10 |
| QCOM | 3.464310587 | $824.51 | $238.00 | $21.66 |
| SOXX | 0.976535738 | $569.81 | $583.50 | $17.05 |
| UNH | 0.000000861 | $0.00 | $396.86 | $0.00 |
Latest Signal Snapshot
Signal date 2026-06-04 from latest closed daily bar. Public legacy dashboard signal is stale; this page is current for the review package.
| Symbol | 20d Momentum | Full Strategy Target Weight | Current Live State |
|---|---|---|---|
| MU | 54.35% | 33.0% | held |
| AMD | 28.14% | 17.1% | held |
| SOXX | 22.39% | 13.6% | held |
| AMAT | 22.22% | 13.5% | not held |
| QCOM | 19.70% | 11.9% | held |
| GS | 18.10% | 11.0% | not held |
Real Trading vs Paper Trading Cash Results
Apples-to-apples: NO. No true Paper Trading (PT) mirror return/cash ledger exists for this strategy in the available review artifacts. The closest comparable source is the Algorithm Trading (AT) Strategy Eval simulation, so this section is a diagnostic bridge, not an execution-quality verdict.
| Field | Real Trading (RT) | Paper Trading (PT) / Comparable Evidence |
|---|---|---|
| Account / environment | Aitist Alpaca live alpaca_live_main, account 865201662 | No true PT mirror. Comparable source: AT Strategy Eval using paper/data historical bars. |
| Comparison window | 2026-06-03T19:36:34Z light risk-off through 2026-06-05 review snapshot | 2022-12-13 through 2026-06-02 Strategy Eval window |
| Starting cash / capital base | $22,305.16 before approved 2026-06-03 risk-off/cap-reduce overlays | $20,000 assumed sleeve start for cash bridge |
| Ending cash / ending value | $38,917.20 cash in review snapshot; remaining long value about $4,591.23 | $57,006.80 simulated ending value from net total return |
| Cashflow / P&L | Sell-order proceeds about $16,612.41; observed cash change about $16,612.04. Current RT unrealized Profit and Loss (P&L) in remaining baseline symbols about $376.07. Strategy-level realized P&L unavailable without a complete attributed tax-lot/cash ledger. | Net simulated P&L about $37,006.80 over the full AT window; realized/unrealized split not applicable to this daily return stream. |
| Absolute / percentage difference | RT observed unrealized P&L versus AT full-window net simulated P&L: -$36,630.73, or -99.0% relative to AT. This is not a valid PT-vs-RT performance gap because the windows, scale, and overlays differ. | |
| Known causes | No PT mirror; live/paper fill assumptions; slippage; partial fills; timing; account constraints; shared-account attribution; manual light risk-off and cap-reduction overlays on 2026-06-03. | |
Sources: RT state from /workspace/steve/alpha_vault_ops/data/runtime/memory/strategies/baseline_momentum_live_v1/state.json; public RT snapshot embedded in this page; AT inputs reports/review_packages/baseline_momentum_live_v1_20260603/inputs/; eval summary summary.json; review docs docs/baseline_momentum_live_review_2026-06-05.md.
Strategy Algorithm
Visible end-to-end path from data input to live monitoring. The diagram reflects the canonical scheduled path plus the manual sell-only risk-off override used on 2026-06-03.
tools/ops_baseline_deploy.pyscripts/run_ops_baseline_live.shtools/ops_baseline_light_risk_off.pytools/ops_baseline_cap_reduce.pyCode Walkthrough
tools/ops_baseline_deploy.py: canonical signal, sizing, registry, ExecutionGateway path.scripts/run_ops_baseline_live.sh: cron launcher and duplicate-submit guard.tools/ops_baseline_light_risk_off.py: sell-only approved risk-off helper.tools/ops_baseline_cap_reduce.py: sell-only pro-rata cap reducer.docs/baseline_momentum_live_review_2026-06-05.md: full review notes.
Algorithm Trading / Paper Trading / Real Trading Separation
| Layer | Status |
|---|---|
| Algorithm Trading (AT) | Historical Strategy Eval complete through 2026-06-02; P0 pass, P1/P2 contain needs_input items. |
| Paper Trading (PT) | Paper/data account used for historical data; paper return stream is still needs_input. |
| Real Trading (RT) | Live Aitist account active, current exposure near $5k after approved sell-only cap reduction; no open orders in read-only check. |
Export Provenance
| Item | Value |
|---|---|
| Metrics producer | PAW strategy-eval skill using tools/eval_strategy.py. |
| Strategy Eval command pattern | python tools/eval_strategy.py --positions positions.csv --asset-returns asset_returns.csv --gross-returns gross_returns.csv --metadata-json metadata.json --factor-returns factor_returns.csv --existing-returns existing_returns.csv --strategy-label baseline_momentum_live_v1 --out-dir eval-report |
| Evaluation inputs | reports/review_packages/baseline_momentum_live_v1_20260603/inputs/ |
| Evaluation outputs | reports/review_packages/baseline_momentum_live_v1_20260603/eval-report/ |
| Data source | Alpaca daily bars through tools.ops_baseline_deploy.latest_targets(...); live account read via AlphaVault Ops create_trading_client("live"). |
| Timestamp cutoff | Current in-progress daily bar is dropped by closed_daily_prices(...); latest signal date shown here is 2026-06-04. |
| Report producer | Custom static HTML generated from Strategy Eval artifacts, gross_returns.csv, and a read-only Real Trading (RT) status snapshot. |
| Publisher/deploy path | Cloudflare Pages project paw-baseline-live-review, deployed from reports/review_packages/baseline_momentum_live_v1_20260605/public/. |