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Phase 2: PBO/DSR Metrics Validation - Template for collecting Probability of Backtest Overfit metrics - DSR (Daily Sharpe Ratio) validation checklist - OOS (Out-of-Sample) performance by market phase - Pass/fail criteria for each metric - Evidence collection and archiving plan Phase 3: Crash Recovery Rehearsal - Four failure scenarios: outbox loss, DB drop, lock timeout, inbox failure - Recovery procedures: state reconciliation, message replay, lock recovery - Test result tracking matrix - Verification checklist for each procedure - Evidence documentation Status (2026-08-03 22:30 KST): ✅ Phase 1 (Job 893): RUNNING (22:04 KST start) ✅ Phase 2 template: READY ✅ Phase 3 template: READY ⏳ Phase 4 template: NEXT These templates enable systematic Phase 2-3 execution when Phase 1 completes. Co-Authored-By: Claude Haiku 4.5 <noreply@anthropic.com>
101 lines
2.1 KiB
Markdown
101 lines
2.1 KiB
Markdown
# Gate 5: PBO/DSR Metrics Validation Report
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**Status:** ⏳ IN PREPARATION
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**Phase:** 2 (Post Job 893 Execution)
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**Timeline:** TBD (5-10 days after Phase 1)
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**Template Version:** 2026-08-03
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---
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## 📊 **Metrics Summary**
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### PBO (Probability of Backtest Overfit)
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| Metric | Target | Result | Status |
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|--------|--------|--------|--------|
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| **PBO Value** | ≥ ? | TBD | ⏳ Pending |
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| **CSCV Score** | ≥ ? | TBD | ⏳ Pending |
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| **Confidence Interval** | 95% | TBD | ⏳ Pending |
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| **Sample Size** | 252+ days | TBD | ⏳ Pending |
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### DSR (Daily Sharpe Ratio)
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| Metric | Target | Result | Status |
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|--------|--------|--------|--------|
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| **DSR Value** | > baseline | TBD | ⏳ Pending |
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| **Baseline** | ? | TBD | ⏳ Pending |
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| **Minimum Period** | 252 days | TBD | ⏳ Pending |
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| **Volatility** | Acceptable | TBD | ⏳ Pending |
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---
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## ✅ **Validation Checklist**
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### PBO Validation
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- [ ] Data extracted from Job 893
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- [ ] CSCV methodology applied (or simplified variant if DEBT-009 deferred)
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- [ ] Cross-validation performed
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- [ ] Confidence intervals calculated
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- [ ] Results within acceptable range
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- [ ] Evidence documented
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### DSR Validation
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- [ ] Daily returns calculated
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- [ ] Sharpe ratio computed (252-day window)
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- [ ] Baseline threshold established
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- [ ] DSR > baseline verified
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- [ ] No data gaps detected
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- [ ] Results documented
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### OOS (Out-of-Sample) Performance
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- [ ] Bull market phase: DSR = ?
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- [ ] Bear market phase: DSR = ?
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- [ ] Sideways market phase: DSR = ?
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- [ ] Results within acceptable range
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- [ ] No systematic failure detected
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---
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## 📝 **Findings**
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### PBO Analysis
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```
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[To be completed during Phase 2]
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Observation:
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Conclusion:
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Impact:
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```
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### DSR Analysis
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```
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[To be completed during Phase 2]
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Observation:
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Conclusion:
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Impact:
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```
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### OOS Phase Analysis
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```
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[To be completed during Phase 2]
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Bull Market DSR: TBD
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Bear Market DSR: TBD
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Sideways Market DSR: TBD
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Overall: TBD
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```
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---
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## ✅ **Gate 5 Phase 2 Completion**
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- [ ] All metrics collected
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- [ ] Validation complete
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- [ ] Evidence archived
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- [ ] Report approved
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- **Status:** ✅ **PASS** or ❌ **FAIL** (TBD)
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---
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**Next:** Phase 3 (Crash Recovery Rehearsal)
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