okx-codex-trader/reports/strategy-expansion/rotation-risk-audit.json

{
  "audit_date": "2026-05-08",
  "verdict": "passed",
  "candidate": "trend_basket-1h-lb720-tr1440-bt2880-rb168-top2-mm0.000-bm0.000-vw336-vc0.0300-lev0.75-exp0.50-vt0.2000",
  "source": {
    "top_csv": "reports/strategy-expansion/rotation-risk-top.csv",
    "row": 1,
    "scripts_read": [
      "scripts/search_expansion_rotation.py",
      "scripts/refine_expansion_rotation_risk.py"
    ],
    "reports_read": [
      "reports/strategy-expansion/rotation-risk-total.csv",
      "reports/strategy-expansion/rotation-risk-top.csv",
      "reports/strategy-expansion/rotation-risk-horizons.csv",
      "reports/strategy-expansion/rotation-risk-monthly.csv",
      "reports/strategy-expansion/rotation-risk-report.md"
    ]
  },
  "decision_summary": "The prior trade_stats fee basis issue is fixed, regenerated reports match the repaired implementation, and the core equity curve remains free of same-row lookahead.",
  "checks": {
    "trade_stats_executed_weights": {
      "status": "passed",
      "evidence": "trade_stats computes executed = weights.shift(1).fillna(0.0), matching equity_curve."
    },
    "trade_stats_internal_vol_target_turnover": {
      "status": "passed",
      "internal_symbol_weight_turnover_accounted": 16.27442631232471,
      "evidence": "trade_stats subtracts turnover.loc[segment_index, symbol] * taker_fee * leverage for every active row, including volatility-target scale changes inside an active segment."
    },
    "trade_stats_close_turnover": {
      "status": "passed",
      "entry_turnover": 12.914991340355758,
      "internal_turnover": 16.27442631232471,
      "close_turnover": 9.128908313425487,
      "total_symbol_turnover_accounted": 38.318325966105995,
      "evidence": "When the row after an active segment is flat, trade_stats multiplies by the close-row turnover fee. No synthetic final liquidation is added because equity_curve also does not force final liquidation."
    },
    "generated_report_consistency": {
      "status": "passed",
      "top_rows_checked": 30,
      "unique_bases_checked": 10,
      "max_diffs": {
        "trades": 0,
        "win_rate": 0.0,
        "profit_factor": 8.881784197001252e-16,
        "total_return": 4.440892098500626e-16,
        "annualized_return": 8.326672684688674e-17,
        "max_drawdown": 9.71445146547012e-17,
        "calmar": 4.440892098500626e-16,
        "turnover_per_year": 8.881784197001252e-16
      },
      "report_file_mtimes": {
        "scripts/refine_expansion_rotation_risk.py": "2026-05-08 01:26:30 +0800",
        "reports/strategy-expansion/rotation-risk-total.csv": "2026-05-08 01:33:19 +0800",
        "reports/strategy-expansion/rotation-risk-top.csv": "2026-05-08 01:33:19 +0800",
        "reports/strategy-expansion/rotation-risk-horizons.csv": "2026-05-08 01:33:19 +0800",
        "reports/strategy-expansion/rotation-risk-monthly.csv": "2026-05-08 01:33:19 +0800",
        "reports/strategy-expansion/rotation-risk-report.md": "2026-05-08 01:33:19 +0800"
      }
    },
    "lookahead": {
      "status": "passed",
      "first_signal_index_utc": "2020-04-30 00:00:00+00:00",
      "first_executed_index_utc": "2020-04-30 01:00:00+00:00",
      "evidence": "Signals and volatility-target sizing are converted to returns only after equity_curve shifts weights by one row."
    },
    "return_slicing": {
      "status": "passed",
      "evidence": "Horizon returns are computed from slices of the already compounded equity series; monthly rows chain from previous month-end equity."
    }
  },
  "candidate_parameters": {
    "family": "trend_basket",
    "bar": "1h",
    "universe": "BTC-USDT-SWAP,ETH-USDT-SWAP",
    "lookback": 720,
    "trend": 1440,
    "btc_trend": 2880,
    "rebalance": 168,
    "top_n": 2,
    "min_momentum": 0.0,
    "btc_min_momentum": 0.0,
    "vol_lookback": 336,
    "max_vol": 0.03,
    "leverage": 0.75,
    "exposure": 0.5,
    "vol_target": 0.2
  },
  "recomputed_candidate_metrics": {
    "first_candle_utc": "2019-12-25 00:00:00+00:00",
    "last_candle_utc": "2026-05-03 15:00:00+00:00",
    "rows": 55720,
    "total_return": 1.520238100611786,
    "annualized_return": 0.1564147619507854,
    "max_drawdown": 0.07718283753429936,
    "calmar": 2.0265484782323027,
    "turnover_total": 38.31832596610607,
    "turnover_per_year": 6.024310117968542,
    "trades": 45,
    "win_rate": 0.5777777777777777,
    "profit_factor": 7.384619055503101,
    "old_entry_exit_only_profit_factor": 7.4386055102893875
  },
  "reported_metric_diffs": {
    "total_return": 0.0,
    "annualized_return": 0.0,
    "max_drawdown": 5.551115123125783e-17,
    "calmar": 0.0,
    "turnover_per_year": 0.0,
    "trades": 0,
    "win_rate": 0.0,
    "profit_factor": 0.0
  }
}