Alpaca 15m regular session · recent one-year focus · generated 2026-06-05
Google Recent-Regime Strategy Review
这版按你的新标准来：重点看最近一年，最多用 2024-2026 作为上下文。最佳候选是 lead_QQQ_lb6_q0.05_reversal_none_h1：当 QQQ 过去 6 根 15m bar 出现最极端 5% 过冲时，反向交易 GOOGL，赌 mega-cap tech 的短线过冲回归。
Recent 1Y Sharpe
2.211
CAGR 16.50%
Prior Context
0.926
MaxDD -7.87%
2026 / Mar+
3.660
Mar+ 3.545
PAW Net Sharpe
1.386
P0 FAIL / adapter warning
P&L Curve
Rolling Sharpe
Strategy Eval
- PAW daily adapter: Net Sharpe 1.386, CAGR 11.64%, MaxDD -7.73%。
- OOS 2026-03 daily adapter Sharpe: 4.340。
- Bias shift verdict: CAUSAL — lead-cheat boosts Sharpe more than lag-stale drops it
- Autocorr warning: WARN — mean AC 0.000 < 0.5; positions jumpy, shift test less informative
- 完整 PAW dashboard: eval_dashboard.html
Stress
| TC bps | Delay | Full | Recent 1Y | Prior | Mar+ OOS | MaxDD |
|---|---|---|---|---|---|---|
| 1.5 | 1 | 1.368 | 2.211 | 0.926 | 3.545 | -7.87% |
| 1.5 | 2 | 0.672 | 2.515 | -0.246 | -0.195 | -10.71% |
| 1.5 | 3 | 0.379 | 1.314 | -0.115 | -1.427 | -6.93% |
| 3.0 | 1 | 0.928 | 1.709 | 0.516 | 2.960 | -9.03% |
| 3.0 | 2 | 0.207 | 1.955 | -0.671 | -0.917 | -14.39% |
| 3.0 | 3 | -0.147 | 0.702 | -0.601 | -2.152 | -9.42% |
| 5.0 | 1 | 0.336 | 1.030 | -0.036 | 2.161 | -12.72% |
| 5.0 | 2 | -0.414 | 1.201 | -1.236 | -1.879 | -19.38% |
| 5.0 | 3 | -0.847 | -0.117 | -1.247 | -3.112 | -16.50% |
| 10.0 | 1 | -1.159 | -0.692 | -1.426 | 0.112 | -23.76% |
| 10.0 | 2 | -1.954 | -0.681 | -2.632 | -4.222 | -32.48% |
| 10.0 | 3 | -2.566 | -2.139 | -2.829 | -5.422 | -36.64% |
Top Candidates
| Candidate | Full | Recent 1Y | Prior | 2026 | Mar+ OOS | MaxDD |
|---|---|---|---|---|---|---|
| lead_QQQ_lb6_q0.05_reversal_none_h1 | 1.368 | 2.211 | 0.926 | 3.660 | 3.545 | -7.87% |
| lead_QQQ_lb6_q0.1_reversal_low_vol_trend_h1 | 0.608 | 1.923 | -0.108 | 3.395 | 4.067 | -6.37% |
| lead_QQQ_lb6_q0.03_reversal_none_h1 | 0.739 | 1.611 | 0.242 | 3.951 | 4.138 | -9.99% |
| lead_QQQ_lb6_q0.05_reversal_low_vol_trend_h1 | 0.609 | 2.078 | -0.443 | 3.054 | 3.125 | -4.90% |
| lead_QQQ_lb6_q0.05_reversal_googl_rel_strong_h1 | 1.368 | 1.728 | 1.199 | 3.080 | 2.990 | -6.69% |
| lead_META_lb6_q0.03_reversal_rebound_state_h1 | 0.731 | 2.016 | -0.580 | 2.765 | 3.161 | -3.94% |
| lead_META_lb6_q0.03_reversal_none_h1 | 1.083 | 1.928 | 0.469 | 2.851 | 2.755 | -4.34% |
| lead_QQQ_lb6_q0.03_reversal_low_vol_trend_h1 | 0.308 | 1.610 | -0.603 | 3.439 | 3.809 | -3.23% |
| lead_QQQ_lb6_q0.03_reversal_rebound_state_h1 | 0.752 | 1.138 | 0.466 | 3.654 | 3.892 | -5.80% |
| lead_XLK_lb6_q0.05_reversal_none_h1 | 0.378 | 1.431 | -0.203 | 4.283 | 3.480 | -12.27% |
| pair_META_bw520_zw260_e2.4_google_only_none | 0.618 | 1.470 | 0.074 | 2.232 | 3.128 | -7.06% |
| lead_CRM_lb3_q0.05_momentum_mega_trend_h1 | 1.039 | 1.351 | 0.758 | 3.885 | 2.795 | -6.18% |
| lead_CRM_lb3_q0.1_momentum_googl_rel_strong_h1 | 0.034 | 1.670 | -1.018 | 3.206 | 3.567 | -16.45% |
| pair_META_bw520_zw260_e2.4_google_only_rebound_state | 0.138 | 1.219 | -0.759 | 2.998 | 4.134 | -8.90% |
| lead_CRM_lb3_q0.1_momentum_trend_first_90m_h1 | 0.645 | 1.081 | 0.220 | 3.640 | 3.853 | -6.93% |
Decision
这套比 walk-forward 更符合当前目标：最近一年强，prior context 不离谱。它仍不应直接 live；是否进入 paper，要先接受 daily PAW adapter 的局限，并补一个 intraday-native paper fill simulator。我的建议是：可以作为 paper candidate watchlist，但正式 paper 前再做一版成交价/延迟模拟。