Stratcheck Report

Generated at 2026-02-16 23:03:31 UTC

Report name: release_demo

Summary

CAGR

-0.02%

Sharpe

-1.836505

Max Drawdown

-0.02%

Turnover

0.004358

Config

Report Name	release_demo
Symbol	DEMO
Periods	240
Seed	7
Strategy	stratcheck.core.strategy:MovingAverageCrossStrategy
Initial Cash	100000
Cost Model Type	fixed_bps
Commission Bps	5
Slippage Bps	5

Corporate Actions

No corporate actions recorded.

Universe Dynamics

No universe history available.

Overall Metrics

Total Return	-0.02%
CAGR	-0.02%
Annual Return	-0.02%
Annual Volatility	0.01%
Sharpe	-1.836505
Sharpe Ratio	-1.836505
Max Drawdown	-0.02%
Turnover	0.004358
Win Rate	0.00%
Avg Trade PnL	-6.395605
Trade Entries	3

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	Win Rate	Avg Trade PnL	Trade Entries
0	2025-06-22 00:00:00+00:00	2026-02-16 00:00:00+00:00	240	-0.000192	-0.000202	-0.000202	0.000110	-1.836505	-1.836505	-0.000195	0.004358	0.000000	-6.395605	3

Robustness

Bootstrap Sharpe CI

Bootstrap Samples	500
Sharpe CI Low	-3.738676
Sharpe CI High	0.267655
Autocorr Lag1	0.140976
Hit Rate	0.100418
Hit-Rate Z-Score	-12.354763
Sharpe Variance	0
Worst Window Sharpe	-1.836505
Stability Score	50
Risk Red Count	2
Risk Yellow Count	0
Risk Green Count	1

Parameter Sweep

Short Window	Long Window	Sharpe	Status
10	40	-1.482488	ok
10	50	-1.087475	ok
10	60	-0.748245	ok
20	40	-1.127310	ok
20	50	-1.836505	ok
20	60	-1.727841	ok
30	40	-1.466370	ok
30	50	-0.988976	ok
30	60	-1.431562	ok

Risk Flags

Check	Level	Message
Autocorrelation	green	Lag-1 autocorr=0.141 is near white noise.
Hit-Rate vs Random	red	Hit-rate=0.100 is significantly below random baseline (z=-12.35).
Walk-Forward Stability	red	Window stability is poor (var=0.000, worst sharpe=-1.837).
Backtest Baseline Validation	green	MovingAverageCrossStrategy vs vectorized_moving_average_cross passed: max_abs_error=0.0000000000, tolerance=0.0000010000, points=240

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	-0.000188	-0.000198	-1.796178	-0.000193	0.004358
comm=0.0bps; slip=0.0bps; spread=5.0bps	0.000000	0.000000	5.000000	5.000000	-0.000189	-0.000199	-1.806311	-0.000193	0.004358
comm=0.0bps; slip=5.0bps; spread=0.0bps	0.000000	5.000000	0.000000	5.000000	-0.000190	-0.000200	-1.816411	-0.000194	0.004358
comm=5.0bps; slip=0.0bps; spread=0.0bps	5.000000	0.000000	0.000000	5.000000	-0.000190	-0.000200	-1.816411	-0.000194	0.004358
comm=0.0bps; slip=5.0bps; spread=5.0bps	0.000000	5.000000	5.000000	10.000000	-0.000191	-0.000201	-1.826475	-0.000194	0.004358
comm=5.0bps; slip=0.0bps; spread=5.0bps	5.000000	0.000000	5.000000	10.000000	-0.000191	-0.000201	-1.826476	-0.000194	0.004358
comm=5.0bps; slip=5.0bps; spread=0.0bps	5.000000	5.000000	0.000000	10.000000	-0.000192	-0.000202	-1.836505	-0.000195	0.004358
comm=5.0bps; slip=5.0bps; spread=5.0bps	5.000000	5.000000	5.000000	15.000000	-0.000193	-0.000203	-1.846499	-0.000195	0.004358

Sensitivity Trend

assets/release_demo_cost_sensitivity.png

Regime Scorecard

Regime	Bars Count	Mean Return	Total Return	Max Drawdown	Win Rate	Trade Count
bear_volatile	74	-0.000001	-0.000061	-0.000061	0.040541	0
bear_calm	60	-0.000001	-0.000085	-0.000085	0.033333	1
sideways	58	-0.000000	-0.000018	-0.000039	0.120690	2
bull_volatile	26	-0.000003	-0.000076	-0.000079	0.230769	1
bull_calm	22	0.000002	0.000049	-0.000020	0.272727	2

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
6	6	0	0.000000	0	0.000000	1.756693	2.754127	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
MovingAverageCrossStrategy	vectorized_moving_average_cross	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 demo --output /home/runner/work/strachech/strachech/reports/release_demo.html --periods 240 --seed 7

Full Config

Show Full Config

{
  "report_name": "release_demo",
  "symbol": "DEMO",
  "periods": 240,
  "seed": 7,
  "strategy": "stratcheck.core.strategy:MovingAverageCrossStrategy",
  "initial_cash": 100000.0,
  "cost_model_type": "fixed_bps",
  "commission_bps": 5.0,
  "slippage_bps": 5.0
}