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Strategy spec

spec_01KQNNPP1QEX4AZ9VM4NEX4AZ9 · v1
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Real Frozen Six
STOCKS
The thesis is to expand upon the currently deployed live autonomous strategy for stocks: Regime-Aware Momentum Frozen Reference Paper v1. Talon needs to mimic that entire strategy, with flexibility in mind for continuous improvements, but with the addition of many different groups of 6 stocks. Current we only trade AVGO, NVDA, AAPL, LLY, META and COS, but we should seek different sleeves. We need to keep in mind what this original group has in common to maintain fidelity between the 6 chosen stocks but this can increase our era robustness as certain groups may perform better under different market regimes. We will need to expand further on how to select stocks for the new groups but I’m curious to see what talon can produce from the beginning.
Authoring modeOperator-draftedTalon-draftedDRAFTING
Core
The strategy in plain language.
Edge / signal logic
Entry rules
Exit rules
Risk model
Universe & data
What it trades and what it needs to know.
Universe
Required data
Benchmark
Acceptance criteria
What does ‘this passes’ look like?
Min Sharpe
Max DD %
Min hit rate %
Other criteria
Experiment plan
Caveats · 1
How this strategy will be judged. Submit-for-approval is blocked until the plan is valid.
Benchmark · comparison modehow the strategy is compared to the benchmark
symbolSPY
Windowsconfig window the campaign evaluates across; fresh-data cut-off if relevant
requested start
requested end
fresh data from (optional)
Erassingle window or multi-era evaluation
Evidence thresholdsminimum signal needed before a verdict is considered decisive
min trade count
min evaluated trading days
Decisive verdict ruleswhat each verdict actually means for this strategy
pass — what proves the edge
inconclusive — what defers judgement
fail — what kills the strategy
Data requirementsderived from Strategy → Required data + the capability catalog
alpaca_equity_ohlcvalpaca_equity_ohlcv
AVAILABLE
Known limitationswhat an honest reader should know up front; one per line