hurst_mr_sre_paper_v1 Review Package
Generated 2026-06-03T08:40:34Z UTC. Review/export only; no orders submitted by this task.
Ready For Review
NO
Eval Decision
FAIL
Net Sharpe
0.206
Fresh Backtest Sharpe
1.483
Code Management
| status | BLOCKED |
|---|---|
| reason | Strategy folder is not a git worktree and manifest declares local:/workspace/claude_hurst_stock_research with git_ref=no-git-repo. No canonical when2buy repo is explicit. |
| best_candidate_repo | https://github.com/when2buy/high-sharpe-strategies |
| candidate_reason | Private when2buy repo described as high-Sharpe strategy launch tracker with strategies/ directory; not enough evidence to push this strategy there. |
| branch | None |
| pr | None |
| commit | None |
Fresh Backtest
| data_source | yfinance |
|---|---|
| interval | 15m |
| window | {'start': '2026-03-10 13:30:00+00:00', 'end': '2026-06-02 19:45:00+00:00', 'bars': 1534} |
| gross_total_return_pct_backtest_script | 4.0 |
| backtest_script_sharpe | 1.483 |
| backtest_script_max_drawdown_pct | -5.97 |
| trades | 20 |
Strategy Eval
| decision | FAIL / not ready for promotion |
|---|---|
| bias_overall_pass | False |
| bias_summary | BiasTest[hurst_mr_sre_paper_v1]: FAIL | shift=✗ autocorr=✓ truncate=— |
| gross_total_return_pct | 3.9986976469972513 |
| net_total_return_pct | 2.759962112394554 |
| gross_sharpe | 0.29088676798429736 |
| net_sharpe | 0.20648825645237076 |
| cagr_net_pct | 0.4482543156354879 |
| gross_max_drawdown_pct | -5.966353101858041 |
| net_max_drawdown_pct | -6.247962457101644 |
| tc_drag_pct_nav_per_year | 0.19713168187744462 |
| alpha_t_stat | 0.5094572730067334 |
| oos_status | needs_input |
| factor_status | needs_input |
| portfolio_interaction_status | needs_input |
| fill_assumptions_status | needs_input |
Current Paper Fill Status
| account_key | paper shared Alpaca account |
|---|---|
| filled_order_count | 4 |
| open_order_count | 0 |
| net_qty | 0.0 |
| estimated_pnl | -28.65003633 |
| estimated_return | -0.014313694720983547 |
| pnl_complete | True |
| source | local AlphaVault status API /api/portfolio?ttl=0, read-only query |
Strategy Matrix Note
| source | /workspace/demo_hub/public/strategy-matrix/correlation_matrix.csv |
|---|---|
| max_abs_corr_observed | 0.208462 |
| max_abs_corr_strategy | huang_infra_bottleneck_barbell_paper_v1 |
| live_strategy_corr_examples | {'baseline_momentum_live_v1': -0.196391, 'merged_cs_ra_steve_live_v1': -0.015647, 'qsd_ai_power_barbell_steve_live_v1': 0.151673} |
| note | Matrix is from existing dashboard artifact, not recomputed inside strategy-eval because exact intraday return stream did not align cleanly with daily existing_returns input. |
Review Entrypoints
- paper_hurst_mr_sre.py
- intraday_hurst_backtest.py
- extended_strategy_research.py
- strategy_manifest.json
- review_exports/hurst_mr_sre_paper_v1_20260603/eval_report/summary.md
- review_exports/hurst_mr_sre_paper_v1_20260603/eval_report/eval_dashboard.html
Known Risks / TODOs
- P0 eval currently fails bias shift gate; reviewers should inspect timestamp alignment and signal/return lag assumptions before any promotion discussion.
- Fresh 2026-06-03 yfinance-window backtest is materially weaker than selected May metrics: MR_SRE 4.00% return / 1.483 Sharpe / -5.97% max DD versus prior selected metrics 15.01% / 5.321 / -2.68%.
- Production script keeps target active from prior state or broker qty; duplicate-submit guard prevents repeat buys but should be reviewed for restart/race behavior.
- Schedule guard is local regular-session time check only; no exchange holiday calendar in strategy code.
- Order IDs are expected through ExecutionGateway with prefix av_hursmrsrepapev1_; no direct TradingClient.submit_order found in strategy code.
- Sizing is fixed $1000 notional buy and full broker-qty sell; max_notional/max_order_notional are runtime metadata, not enforced inside strategy code beyond args.notional default.
- Fill model in backtest assumes close-to-close fills and excludes bid/ask spread, partial fills, latency, borrow, and market impact.
- Paper account is shared (alpaca_paper_main/paper account_key); Dashboard attribution depends on client_order_id prefix isolation.
- Current paper status is flat with 4 filled historical orders and realized paper P&L about -$28.65; this task did not submit orders.
- Canonical GitHub repo is unresolved; code review branch/PR blocked until owner chooses repo.
Artifact Paths
| single_file_html | /workspace/claude_hurst_stock_research/review_exports/hurst_mr_sre_paper_v1_20260603/hurst_mr_sre_review_package.html |
|---|---|
| eval_dashboard | /workspace/claude_hurst_stock_research/review_exports/hurst_mr_sre_paper_v1_20260603/eval_report/eval_dashboard.html |
| summary_md | /workspace/claude_hurst_stock_research/review_exports/hurst_mr_sre_paper_v1_20260603/eval_report/summary.md |
| summary_json | /workspace/claude_hurst_stock_research/review_exports/hurst_mr_sre_paper_v1_20260603/eval_report/summary.json |
| intraday_dashboard | /workspace/claude_hurst_stock_research/review_exports/hurst_mr_sre_paper_v1_20260603/intraday_results/dashboard.html |