Stratcheck Report

Generated at 2026-02-16 23:03:35 UTC

Report name: volatility_target

Summary

CAGR

-0.05%

Sharpe

-0.969966

Max Drawdown

-0.06%

Turnover

0.023893

Config

Report Name	volatility_target
Experiment	volatility_target
Config Path	/home/runner/work/strachech/strachech/configs/examples/volatility_target.toml
Symbol	QQQ
Data Path	/home/runner/work/strachech/strachech/data
Strategy	stratcheck.strategies:VolatilityTargetStrategy
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	-0.05%
CAGR	-0.05%
Annual Return	-0.05%
Annual Volatility	0.05%
Sharpe	-0.969966
Sharpe Ratio	-0.969966
Max Drawdown	-0.06%
Turnover	0.023893
Win Rate	17.24%
Avg Trade PnL	-1.148810
Trade Entries	35

Window Metrics

Worst window highlighted (Window Index: 1).

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
0	2024-01-02 00:00:00+00:00	2024-06-28 00:00:00+00:00	104	-0.000273	-0.000668	-0.000668	0.000488	-1.368473	-1.368473	-0.000332	0.009125	0.000000	-0.779289
1	2024-04-02 00:00:00+00:00	2024-09-27 00:00:00+00:00	104	-0.000324	-0.000793	-0.000793	0.000467	-1.699595	-1.699595	-0.000509	0.009071	0.000000	-1.768711
2	2024-07-02 00:00:00+00:00	2024-11-29 00:00:00+00:00	88	0.000021	0.000060	0.000060	0.000467	0.127671	0.127671	-0.000333	0.008793	0.666667	0.908759
3	2024-10-01 00:00:00+00:00	2024-11-29 00:00:00+00:00	36	-0.000046	-0.000335	-0.000335	0.000197	-1.697764	-1.697764	-0.000126	0.003185	0.000000	0.000000

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	-0.000463	-0.000489	-0.955243	-0.000637	0.023892
comm=0.0bps; slip=0.0bps; spread=5.0bps	0.000000	0.000000	5.000000	5.000000	-0.000469	-0.000495	-0.967512	-0.000638	0.023893
comm=0.0bps; slip=5.0bps; spread=0.0bps	0.000000	5.000000	0.000000	5.000000	-0.000475	-0.000501	-0.979776	-0.000640	0.023894
comm=5.0bps; slip=0.0bps; spread=0.0bps	5.000000	0.000000	0.000000	5.000000	-0.000475	-0.000501	-0.979776	-0.000640	0.023892
comm=0.0bps; slip=5.0bps; spread=5.0bps	0.000000	5.000000	5.000000	10.000000	-0.000481	-0.000508	-0.992034	-0.000642	0.023895
comm=5.0bps; slip=0.0bps; spread=5.0bps	5.000000	0.000000	5.000000	10.000000	-0.000481	-0.000508	-0.992034	-0.000642	0.023893
comm=5.0bps; slip=5.0bps; spread=0.0bps	5.000000	5.000000	0.000000	10.000000	-0.000487	-0.000514	-1.004287	-0.000644	0.023894
comm=5.0bps; slip=5.0bps; spread=5.0bps	5.000000	5.000000	5.000000	15.000000	-0.000493	-0.000520	-1.016533	-0.000646	0.023895

Sensitivity Trend

assets/volatility_target_cost_sensitivity.png

Regime Scorecard

Regime	Bars Count	Mean Return	Total Return	Max Drawdown	Win Rate	Trade Count
sideways	82	0.000003	0.000221	-0.000132	0.365854	15
bear_volatile	59	-0.000009	-0.000515	-0.000465	0.372881	15
bear_calm	55	-0.000009	-0.000509	-0.000631	0.418182	20
bull_calm	22	0.000022	0.000477	-0.000064	0.772727	9
bull_volatile	22	-0.000007	-0.000144	-0.000257	0.500000	5

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
64	64	0	0.000000	0	0.000000	1.000000	1.000000	132300.000000	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
VolatilityTargetStrategy	vectorized_reference	skipped	0	0.000001	nan	nan	nan	No vectorized baseline available for this strategy class.

Charts

assets/volatility_target_returns_hist.png

Reproducibility

Reproduce Command

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

Full Config

Show Full Config

{
  "report_name": "volatility_target",
  "experiment": "volatility_target",
  "config_path": "/home/runner/work/strachech/strachech/configs/examples/volatility_target.toml",
  "symbol": "QQQ",
  "data_path": "/home/runner/work/strachech/strachech/data",
  "strategy": "stratcheck.strategies:VolatilityTargetStrategy",
  "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
}