| name | Alpha Research & Validation Lab |
| description | Institutional-grade strategy validation, walk-forward analysis, and regime-aware testing. |
Alpha Research Skill
This skill provides the "Truth Layer" for all trading strategies. Follow these protocols to move any strategy from "Idea" to "Production":
1. The WFA Protocol (Walk-Forward Analysis)
No strategy is considered institutional if it only works on historical "backtest" data.
- 5-Fold split: Every strategy must be tested across at least 5 walk-forward windows.
- IS/OOS Ratio: Use 80% In-Sample (IS) for optimization and 20% Out-Of-Sample (OOS) for validation.
- Robustness Score: A strategy passes if its OOS performance (Profit Factor/Sharpe) is within 20% of its IS performance.
2. Sensitivity Protocol
- Call
scripts/sensitivity_analyzer.py to stress-test parameters.
- The "Dead Zone" Check: If shifting a parameter (e.g., Moving Average period) by +/- 1 period causes the strategy to fail, it is curve-fitted and must be REJECTED.
3. Regime Awareness
- Every alpha must specify its "Natural Regime" (Trending, Mean-Reverting, or Volatility-Expansion).
- Call
Regime Scout (Sub-skill) to verify the strategy only runs during its alpha-positive window.
Core Tools:
scripts/wfa_engine.py: Multi-fold Walk-Forward validator.scripts/sensitivity_analyzer.py: Parameter stress-tester.scripts/regime_scout.py: HMM-based market state classifier.
