Strategy Audit Report¶

Audit Information¶

Scope & Context (Mandatory)¶

VERDICT¶

[ ] PASS¶

Approved for paper trading. Eligible for promotion pipeline.

[ ] PASS-WITH-FIXES¶

Approved contingent on fixes. Must address items below before promotion.

[ ] FAIL¶

Not approved. Return to spec/design with findings.

Executive Summary¶

One-paragraph assessment:

[3–5 sentences: what it does, where the edge comes from, primary risks, and verdict rationale]

Key Metrics (Use thresholds from docs/playbooks/audit_thresholds.md if present, otherwise state assumptions clearly): | Metric | Value | Threshold | Status | |--------|-------|-----------|--------| | In-Sample Sharpe | | ≥ {{IS_SHARPE_MIN}} | | | Out-of-Sample Sharpe | | ≥ {{OOS_SHARPE_MIN}} | | | OOS Degradation | | < {{OOS_DEGRADATION_MAX}} | | | Walk-Forward Consistency | | ≥ {{WF_CONSISTENCY_MIN}} | | | Max Drawdown | | < {{MAX_DD_MAX}} | | | Profit Factor | | ≥ {{PF_MIN}} | | | Trade Count (OOS) | | ≥ {{MIN_OOS_TRADES}} | | | Anti-Bias Tests | | All pass | |

Section 0: Reproducibility Checklist (Mandatory)¶

Finding: [If any FAIL, explain and list required fix]

Section 1: Anti-Bias Test Results¶

1.1 Lookahead Test¶

Finding: [Detail any issues found]

1.2 Leakage Test¶

Finding: [Detail any issues found]

1.3 Repaint Test¶

Finding: [Detail any issues found]

1.4 TradingView-Specific Signal Integrity (If Pine/TV involved)¶

Finding: [Detail any issues found]

Section 2: Validation Checklist Review¶

2.0 Declared Cost / Slippage Model (Mandatory)¶

Finding: [If missing, mark as Major or Critical issue]

Discrepancies: [If mismatch, auditor governs. Explain why.]

Section 3: Worst-Week Analysis (Prop-Firm Reality Check)¶

Identify the worst performing week in backtest:¶

Worst Day Inside Worst Week (Mandatory)¶

Root Cause Analysis¶

What happened?:

[Market regime, volatility, liquidity, news, structure behavior, execution behavior]

Was it recoverable?:

[Did it recover? how long? what conditions?]

Would this breach typical prop limits?:

[Estimate using a representative daily loss cap and max DD; state assumptions]

Stress Scenario Projection¶

If worst week repeats: - Expected daily loss: __% - Expected total drawdown: __% - Recovery trades needed (estimate): __

Acceptable?: [ ] Yes / [ ] No (requires mitigation)

Section 4: Issues Found¶

Critical Issues (Blocking)¶

Major Issues (Must Fix)¶

Minor Issues (Should Fix)¶

Section 5: Minimal Fix List¶

For PASS-WITH-FIXES verdict, complete these before promotion: - [ ] Fix C1: [Exact change] - [ ] Fix C2: [Exact change] - [ ] Fix M1: [Exact change] - [ ] Fix M2: [Exact change] - [ ] Re-run anti-bias tests - [ ] Verify OOS performance unchanged (or explain changes) - [ ] Update documentation + reproducibility evidence

Deadline: {{YYYY}}-{{MM}}-{{DD}}

Section 6: Innovation Assessment¶

What's Novel?¶

Prior Art Scan¶

Similar strategies found: | Source | Strategy | Similarity | Key Difference | |--------|----------|------------|----------------| | | | | | | | | | |

Prior art risk: Low / Medium / High

Improvement Ideas¶

1. Potential enhancement:
2. Expected impact:
3. Risk:
4. Priority: Low / Medium / High
5. Potential enhancement:
6. Expected impact:
7. Risk:
8. Priority:
9. Research direction:
10. Hypothesis:
11. Required data:
12. Effort estimate:

Section 7: Risk Assessment¶

Deployment Risk Matrix¶

Kill-Switch Rules (Mandatory)¶

Prop Firm Compatibility (Representative)¶

Recommended Position Sizing¶

Section 8: Approval Decision¶

Verdict Justification¶

Reasons for [VERDICT]: 1. 2. 3.

Conditions (if PASS-WITH-FIXES): 1. 2.

Reasons for rejection (if FAIL): 1. 2.

Next Steps¶

• [Step 1]
• [Step 2]
• [Step 3]

Signatures¶

Revision History¶