Roadmap: 30-60-90 Days¶
Day 1-30: Foundation¶
Week 1: Infrastructure¶
| Task | Output | Pass Criteria |
|---|---|---|
| Finalize repo structure | Clean folder hierarchy | All modules have designated locations |
| Complete docs (Modules 1-2) | Business + architecture docs | Reviewed and committed |
| Set up data pipeline skeleton | src/data/ with connectors | Can fetch 1 week of BTC data |
| Configure dev environment | requirements.txt, venv | Fresh clone works |
Week 2: Backtesting Core¶
| Task | Output | Pass Criteria |
|---|---|---|
| Implement backtest engine | src/evaluation/backtester.py | Runs on sample data |
| Add cost/slippage model | Configurable per market | Matches expected values |
| Create anti-bias test suite | tests/test_bias.py | Lookahead test passes |
| Document backtest spec | docs/backtest_spec.md | Complete with examples |
Week 3: First Strategy Validation¶
| Task | Output | Pass Criteria |
|---|---|---|
| Migrate ICT QM indicator | Clean Pine v6 code | Compiles without errors |
| Backtest ICT QM (1H BTC) | Results in research/reports/ | Sharpe documented |
| Run OOS validation | Walk-forward results | < 30% degradation |
| First audit | docs/audits/ict_qm_audit.md | All bias tests pass |
Week 4: Paper Trading Setup¶
| Task | Output | Pass Criteria |
|---|---|---|
| Configure TradingView alerts | Webhook JSON format | Alerts fire correctly |
| Set up paper trading account | Demo/paper on broker | Can receive signals |
| Build monitoring skeleton | Basic P&L tracking | Updates daily |
| Week 4 review | Status report | Go/no-go for Day 30 |
Day 30 Milestone¶
| Checkpoint | Status | Notes |
|---|---|---|
| Repo structure complete | [ ] | |
| Backtest engine functional | [ ] | |
| 1 strategy validated | [ ] | |
| Paper trading active | [ ] | |
| All Module 1-4 docs complete | [ ] |
Day 31-60: Validation & Expansion¶
Week 5-6: Strategy Pipeline¶
| Task | Output | Pass Criteria |
|---|---|---|
| Add 2 more strategy candidates | Documented hypotheses | Clear edge rationale |
| Backtest new strategies | Results per strategy | At least 1 passes gates |
| Cross-asset testing | FX + Futures results | Consistent methodology |
| Refine cost models | Per-market configs | Validated against real fills |
Week 7: Monitoring & Alerts¶
| Task | Output | Pass Criteria |
|---|---|---|
| Implement drift detection | Automated alerts | Fires on synthetic drift |
| Build KPI dashboard (MVP) | Viewable metrics | Real-time P&L visible |
| Set up incident logging | docs/runbooks/incident_log.md | Template ready |
| Test alert delivery | Discord/Telegram integration | Messages received |
Week 8: Audit Hardening¶
| Task | Output | Pass Criteria |
|---|---|---|
| Adversarial testing suite | tests/adversarial/ | 10+ tests implemented |
| Monte Carlo validation | Confidence intervals | 95% CI documented |
| Regime robustness test | Multi-regime results | Profitable in 2+ regimes |
| Full audit for 2nd strategy | Audit report | Approved for paper |
Day 60 Milestone¶
| Checkpoint | Status | Notes |
|---|---|---|
| 2+ strategies validated | [ ] | |
| Monitoring dashboard live | [ ] | |
| Adversarial tests passing | [ ] | |
| Paper trading 30+ days | [ ] | |
| Correlation < 0.5 between strategies | [ ] |
Day 61-90: Live Preparation¶
Week 9-10: Execution Layer¶
| Task | Output | Pass Criteria |
|---|---|---|
| MT5 integration (FX) | Working connector | Can place paper orders |
| TradingView → Execution bridge | Webhook → Order flow | End-to-end test passes |
| Latency measurement | Benchmark results | < 2s signal-to-order |
| Fill quality analysis | Slippage report | Within model assumptions |
Week 11: Go-Live Prep¶
| Task | Output | Pass Criteria |
|---|---|---|
| Pre-live checklist | docs/runbooks/go_live.md | All items documented |
| Risk limit configuration | Live configs | Matches risk policy |
| Incident response drill | Drill report | Team knows procedures |
| Final strategy audit | Updated audit docs | No blockers |
Week 12: Controlled Go-Live¶
| Task | Output | Pass Criteria |
|---|---|---|
| Live trading (minimal size) | First real trades | Execution matches paper |
| Daily monitoring active | Dashboard in use | Alerts working |
| Week 1 live review | Performance report | No critical issues |
| Size increase decision | Go/no-go | Based on metrics |
Day 90 Milestone¶
| Checkpoint | Status | Notes |
|---|---|---|
| Live trading active | [ ] | |
| 1+ strategy at target size | [ ] | |
| Monitoring fully operational | [ ] | |
| Incident response tested | [ ] | |
| Prop firm challenge started | [ ] | Optional |
Risk Factors¶
| Risk | Probability | Impact | Mitigation |
|---|---|---|---|
| Strategy doesn't validate OOS | Medium | High | Have 3+ candidates ready |
| Data quality issues | Medium | Medium | Multiple data sources |
| Execution slippage higher than modeled | Medium | Medium | Conservative assumptions |
| Time availability | High | High | Prioritize ruthlessly |
| Prop firm rule changes | Low | Medium | Monitor announcements |
Dependencies¶
Week 1 (Infra) ──▶ Week 2 (Backtest) ──▶ Week 3 (Strategy)
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Week 4 (Paper) ◀── Week 3 validated ──────────┘
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Week 5-8 (Expand + Monitor) ──▶ Week 9-10 (Execution)
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Week 11-12 (Live)
Next 7 Days: Action Plan¶
- Create
docs/architecture.md(Module 2) - Create
docs/data_spec.md(Module 2) - Create
docs/backtest_spec.md(Module 2) - Create
docs/monitoring_spec.md(Module 2) - Set up Python virtual environment with requirements
- Fetch sample data (1 week BTC, 1 week EUR/USD)
- Review existing ICT QM indicator code for migration