Stratcheck Report

Generated at 2026-02-16 23:03:32 UTC

Report name: buy_and_hold

Summary

CAGR

-0.09%

Sharpe

-1.722727

Max Drawdown

-0.09%

Turnover

0.003805

Config

Report Name	buy_and_hold
Experiment	buy_and_hold
Config Path	/home/runner/work/strachech/strachech/configs/examples/buy_and_hold.toml
Symbol	QQQ
Data Path	/home/runner/work/strachech/strachech/data
Strategy	stratcheck.strategies:BuyAndHoldStrategy
Initial Cash	100000
Timeframe	1d
Bars Freq	1d
Window Size	6M
Step Size	3M
Start
End
Use Parquet Cache	False
Parquet Cache Dir
Cost Model Type	fixed_bps
Commission Bps	2
Slippage Bps	1

Corporate Actions

No corporate actions recorded.

Universe Dynamics

No universe history available.

Overall Metrics

Total Return	-0.08%
CAGR	-0.09%
Annual Return	-0.09%
Annual Volatility	0.05%
Sharpe	-1.722727
Sharpe Ratio	-1.722727
Max Drawdown	-0.09%
Turnover	0.003805
Win Rate	0.00%
Avg Trade PnL	0
Trade Entries	1

Window Metrics

Worst window highlighted (Window Index: 0).

Window Index	Window Start	Window End	Bars Count	Total Return	CAGR	Annual Return	Annual Volatility	Sharpe	Sharpe Ratio	Max Drawdown	Turnover
0	2024-01-02 00:00:00+00:00	2024-06-28 00:00:00+00:00	104	-0.000650	-0.001589	-0.001589	0.000593	-2.681454	-2.681454	-0.000663	0.003804
1	2024-04-02 00:00:00+00:00	2024-09-27 00:00:00+00:00	104	-0.000314	-0.000769	-0.000769	0.000566	-1.358954	-1.358954	-0.000564	0.003366
2	2024-07-02 00:00:00+00:00	2024-11-29 00:00:00+00:00	88	-0.000145	-0.000421	-0.000421	0.000568	-0.740412	-0.740412	-0.000445	0.003155
3	2024-10-01 00:00:00+00:00	2024-11-29 00:00:00+00:00	36	-0.000091	-0.000653	-0.000653	0.000597	-1.093016	-1.093016	-0.000445	0.003100

Robustness

Bootstrap Sharpe CI

No metrics available.

Parameter Sweep

No parameter sweep results available.

Risk Flags

No risk flags available.

Cost/Slippage Sensitivity

Metrics by Cost Assumption

Cost Assumption	Commission Bps	Slippage Bps	Spread Bps	Total Cost Bps	Total Return	CAGR	Sharpe	Max Drawdown	Turnover
comm=0.0bps; slip=0.0bps; spread=0.0bps	0.000000	0.000000	0.000000	0.000000	-0.000838	-0.000884	-1.720248	-0.000889	0.003804
comm=0.0bps; slip=0.0bps; spread=5.0bps	0.000000	0.000000	5.000000	5.000000	-0.000839	-0.000885	-1.722314	-0.000889	0.003805
comm=0.0bps; slip=5.0bps; spread=0.0bps	0.000000	5.000000	0.000000	5.000000	-0.000840	-0.000886	-1.724374	-0.000889	0.003806
comm=5.0bps; slip=0.0bps; spread=0.0bps	5.000000	0.000000	0.000000	5.000000	-0.000840	-0.000886	-1.724374	-0.000889	0.003804
comm=0.0bps; slip=5.0bps; spread=5.0bps	0.000000	5.000000	5.000000	10.000000	-0.000841	-0.000887	-1.726427	-0.000889	0.003807
comm=5.0bps; slip=0.0bps; spread=5.0bps	5.000000	0.000000	5.000000	10.000000	-0.000841	-0.000887	-1.726429	-0.000889	0.003805
comm=5.0bps; slip=5.0bps; spread=0.0bps	5.000000	5.000000	0.000000	10.000000	-0.000842	-0.000888	-1.728477	-0.000889	0.003806
comm=5.0bps; slip=5.0bps; spread=5.0bps	5.000000	5.000000	5.000000	15.000000	-0.000843	-0.000889	-1.730520	-0.000889	0.003807

Sensitivity Trend

assets/buy_and_hold_cost_sensitivity.png

Regime Scorecard

Regime	Bars Count	Mean Return	Total Return	Max Drawdown	Win Rate	Trade Count
sideways	82	-0.000000	-0.000007	-0.000257	0.463415	1
bear_volatile	59	-0.000009	-0.000557	-0.000503	0.372881	0
bear_calm	55	-0.000010	-0.000543	-0.000568	0.418182	0
bull_calm	22	0.000019	0.000421	-0.000047	0.772727	0
bull_volatile	22	-0.000007	-0.000154	-0.000274	0.500000	0

Execution Quality

Orders Total	Filled Orders	Canceled Orders	Cancel Rate	Partially Filled Orders	Partial Fill Ratio	Avg Slippage (bps)	Median Slippage (bps)	Avg Latency Seconds	Median Latency Seconds	Avg Latency Bars	Median Latency Bars
1	1	0	0.000000	0	0.000000	1.000000	1.000000	86400.000000	86400.000000	1.000000	1.000000

Parameter Tuning

Best Parameters

No metrics available.

Trial Results

No tuning trials available.

Robustness Plot

No charts generated.

Backtest Validation

Strategy	Baseline	Status	Compared Points	Tolerance Abs	Max Abs Error	Mean Abs Error	RMSE	Message
BuyAndHoldStrategy	vectorized_buy_and_hold	pass	240	0.000001	0.000000	0.000000	0.000000	max_abs_error=0.0000000000, tolerance=0.0000010000, points=240

Charts

Reproducibility

Reproduce Command

python -m stratcheck run --config config.toml  # report=buy_and_hold

Full Config

Show Full Config

{
  "report_name": "buy_and_hold",
  "experiment": "buy_and_hold",
  "config_path": "/home/runner/work/strachech/strachech/configs/examples/buy_and_hold.toml",
  "symbol": "QQQ",
  "data_path": "/home/runner/work/strachech/strachech/data",
  "strategy": "stratcheck.strategies:BuyAndHoldStrategy",
  "initial_cash": 100000.0,
  "timeframe": "1d",
  "bars_freq": "1d",
  "window_size": "6M",
  "step_size": "3M",
  "start": "",
  "end": "",
  "use_parquet_cache": false,
  "parquet_cache_dir": "",
  "cost_model_type": "fixed_bps",
  "commission_bps": 2.0,
  "slippage_bps": 1.0
}