# Metric Glossary

- Transaction Costs (TC): estimated fees, spread, slippage, and market-impact assumptions deducted from gross returns.
- Gross Sharpe Ratio: annualized return/risk ratio before estimated transaction costs.
- Net Sharpe Ratio: annualized return/risk ratio after estimated transaction costs.
- Compound Annual Growth Rate (CAGR): annualized compounded return.
- Maximum Drawdown (MaxDD): worst peak-to-trough loss in the backtest.
- Out-of-Sample (OOS): evaluation period not used for fitting/tuning.
- Algorithm Trading (AT): offline algorithm/backtest path.
- Paper Trading (PT): broker paper-account execution.
- Real Trading (RT): live-money execution path.

# Professional Eval Report: baseline_momentum_live_v1

## Executive Decision

- 结论: PASS / 可进入人工 review
- Bias: `BiasTest[baseline_momentum_live_v1]: PASS | shift=✓ autocorr=✓ truncate=—`
- Gross Sharpe: 0.877
- Net Sharpe: 0.833
- Gross MaxDD: -57.67%
- Net MaxDD: -57.92%
- TC Drag: 2.4309% NAV/yr
- Alpha t-stat: 1.547

## P0 Mandatory Gate

| Dimension | Status | Result |
|---|---:|---|
| Core return/risk | computed | CAGR net +35.49%, vol 54.99%, Calmar 0.613, Sortino 1.128 |
| Drawdown/recovery | computed | avg DD -21.85%, max recovery 262 days |
| Turnover | computed | annual turnover 24.069, holding 10.5 days, turnover-adj Sharpe 0.166 |
| Capacity/scalability | computed | max participation 13943.61% |
| Statistical significance | partial | t-stat 1.547; DSR=needs_input; PBO=needs_input |
| Operational reliability | computed | lookahead pass=True |

## P1 Promotion Review

| Dimension | Status | Result |
|---|---:|---|
| Factor exposure | computed | alpha annualized +33.43%, R2 0.171 |
| Out-of-sample | computed | OOS Sharpe 3.158, IS Sharpe 0.526, decay +2.632 |
| Rolling Sharpe | computed | 126 trading-day slow/full-context latest 2.846, min -1.583, negative-window ratio 29.0%; 30 trading-day fast/recent latest 7.110, min -7.367, negative-window ratio 41.2% |
| Fee sensitivity | computed | see `summary.json` rows for 0x/0.5x/1x/2x/3x TC |
| Paper trading | needs_input | Requires paper/live return stream |
| Portfolio interaction | computed | max abs corr 0.458, pass<0.8=True |

## P2 Live Readiness

| Dimension | Status | Result |
|---|---:|---|
| Short rolling Sharpe | computed | 126d latest 2.880, min -1.551 |
| Panda P&L correlation | computed | target < 0.8 when existing strategy P&L is supplied |
| Fill assumptions | needs_input | queue position, partial fills, latency, bid/ask crossing still required |

## 下一步 review 重点

- P0 fail 时不进入 promotion review；优先查 lookahead、时间戳对齐、label 泄露、全样本标准化。
- P1 缺输入时不能假定通过；补 factor、OOS、paper trading、existing strategy P&L 后再评估。
- P2 是 live readiness；没有 fill/latency/queue 假设时不要讨论上线。

## Real Trading vs Paper Trading Cash Results

Apples-to-apples: NO. No true Paper Trading (PT) mirror exists for this strategy in available artifacts. Real Trading (RT) Aitist live cash moved from $22,305.16 before the approved 2026-06-03 overlays to $38,917.20 in the review snapshot, with about $16,612.41 sell proceeds and about $376.07 current unrealized Profit and Loss (P&L) in remaining baseline symbols. Strategy-level realized P&L is unavailable without a full attributed tax-lot/cash ledger. Closest comparable evidence is Algorithm Trading (AT) Strategy Eval: $20,000 simulated start, $57,006.80 net ending value, $37,006.80 net simulated P&L over 2022-12-13 to 2026-06-02. The raw difference is -$36,630.73, or -99.0% relative to AT, but this is a scale/window diagnostic only.