STRAT_03 Reproducibility Manifest
| Field | Value |
| Strategy ID | STRAT_03 |
| Strategy Name | FVG Mean Reversion |
| Audit Threshold Profile | Profile B (Intraday Mean Reversion) |
Data Provenance
| Field | Value |
| Data source | TBD |
| Instruments | EURUSD, GBPUSD, BTCUSD, ETHUSD, ES, NQ |
| Timeframe | 15m (primary) |
| Date range (IS) | 2022-01-01 to 2024-06-30 |
| Date range (OOS) | 2024-07-01 to 2024-12-31 |
| Data hash (SHA256) | Generate before backtest |
| Row count | TBD |
Configuration Snapshot
| Parameter | Value |
| min_fvg_size_pips | 5 |
| max_fvg_size_pips | 50 |
| max_fvg_age_bars | 50 |
| displacement_threshold | 0.6 |
| entry_level | CE (50%) |
| htf_trend_filter | TBD - define per C1 fix |
| stacked_fvg_overlap | 50% |
| limit_order_timeout | 10 bars |
Full config file: configs/strat_03.yaml (to be created)
Execution Record
| Field | Value |
| Run timestamp | TBD |
| Runner command | python scripts/backtest_strategy.py --strategy STRAT_03 --config configs/strat_03.yaml |
| Python version | TBD |
| Dependencies hash | TBD |
| Random seed | N/A |
| Execution time | TBD |
Output Artifacts
| Artifact | Path | Status |
| Backtest results CSV | outputs/backtests/STRAT_03/results.csv | Pending |
| Trade log | outputs/backtests/STRAT_03/trades.csv | Pending |
| Equity curve | outputs/backtests/STRAT_03/equity_curve.png | Pending |
| Performance metrics | outputs/backtests/STRAT_03/metrics.json | Pending |
| Walk-forward results | outputs/backtests/STRAT_03/walkforward/ | Pending |
| FVG analysis | outputs/backtests/STRAT_03/fvg_stats.json | Pending |
Verification Checklist
Cost Model Verification (Critical for STRAT_03)
| Component | Assumption | Verified? |
| FX spread | 0.8 pip (EURUSD) | Pending |
| FX slippage | 0.2 pip (standard) | Pending |
| Crypto spread | $8 (BTC) | Pending |
| Crypto slippage | 0.02% (standard) | Pending |
| Crypto funding | 0.01-0.03% per 8h | Pending |
| FVG run-through | +50% slippage | Pending |
Note: "Better slippage at FVG" assumption REMOVED per C2 fix.
Audit Sign-Off
| Role | Name | Date | Verified |
| Developer | | | |
| Auditor | | | |
| Risk Manager | | | |
Last updated: 2026-01-22 Status: PLACEHOLDER - awaiting backtest execution