okx-codex-trader/openspec/changes/add-robust-ultrashort-validation/specs/robust-strategy-validation/spec.md

ADDED Requirements

Requirement: Long-sample all-window validation

The system SHALL validate ultra-short candidate strategies over a long historical candle range using every non-overlapping evaluation window available for the configured window size.

Scenario: Build deterministic validation windows

• WHEN robust validation is run for a symbol, bar, history limit, window size, and candidate warmup size
• THEN the system MUST evaluate each complete non-overlapping window exactly once
• THEN the system MUST report the resulting sample count

Requirement: Statistical validation metrics

The system SHALL report the statistics needed to evaluate whether a candidate has credible positive gross return.

Scenario: Report candidate distribution

• WHEN robust validation completes for a candidate
• THEN the output MUST include average return, 95% confidence interval lower bound, 95% confidence interval upper bound, median return, positive-window rate, worst return, p10 return, p90 return, best return, trade count, average trades per window, win rate, and max drawdown

Requirement: Candidate acceptance criterion

The system SHALL treat a candidate as statistically supported only when its 95% confidence interval lower bound is greater than zero on the robust validation run.

Scenario: Accept supported candidate

• WHEN a candidate's robust validation output has ci95_low greater than zero
• THEN the candidate MAY be listed as a supported gross-return candidate

Scenario: Reject unsupported candidate

• WHEN a candidate's robust validation output has ci95_low less than or equal to zero
• THEN the candidate MUST NOT be listed as a supported gross-return candidate

Requirement: Gross-return labeling

The system SHALL identify robust validation outputs as gross-return backtest results that exclude fees, slippage, and funding rates.

Scenario: Prevent live-profitability claim

• WHEN robust validation results are summarized
• THEN the summary MUST state that the results do not include fees, slippage, or funding rates
• THEN the summary MUST NOT present the candidate as live-trading ready

Requirement: Current strategy conclusion

The system SHALL preserve the validated conclusion that RSI2 has the strongest current gross-return support and the earlier VWAP candidate is not statistically supported.

Scenario: Summarize current robust run

• WHEN the robust validation result set includes the latest 50,000-candle BTC/ETH 1m/3m/5m run
• THEN the summary MUST identify the top supported RSI2 candidates by confidence interval lower bound
• THEN the summary MUST identify VWAP as rejected when its confidence interval lower bound is not positive