# Professional Eval Report: baseline_momentum_live_v1

## Executive Decision

- 结论: PASS / 可进入人工 review
- Bias: `BiasTest[baseline_momentum_live_v1]: PASS | shift=✓ autocorr=✓ truncate=—`
- Gross Sharpe: 0.877
- Net Sharpe: 0.833
- Gross MaxDD: -57.67%
- Net MaxDD: -57.92%
- TC Drag: 2.4309% NAV/yr
- Alpha t-stat: 1.547

## P0 Mandatory Gate

| Dimension | Status | Result |
|---|---:|---|
| Core return/risk | computed | CAGR net +35.49%, vol 54.99%, Calmar 0.613, Sortino 1.128 |
| Drawdown/recovery | computed | avg DD -21.85%, max recovery 262 days |
| Turnover | computed | annual turnover 24.069, holding 10.5 days, turnover-adj Sharpe 0.166 |
| Capacity/scalability | computed | max participation 13943.61% |
| Statistical significance | partial | t-stat 1.547; DSR=needs_input; PBO=needs_input |
| Operational reliability | computed | lookahead pass=True |

## P1 Promotion Review

| Dimension | Status | Result |
|---|---:|---|
| Factor exposure | computed | alpha annualized +33.43%, R2 0.171 |
| Out-of-sample | computed | OOS Sharpe 3.158, IS Sharpe 0.526, decay +2.632 |
| Rolling Sharpe | computed | 252d latest 2.704, min -0.600, negative-window ratio 13.9% |
| Fee sensitivity | computed | see `summary.json` rows for 0x/0.5x/1x/2x/3x TC |
| Paper trading | needs_input | Requires paper/live return stream |
| Portfolio interaction | computed | max abs corr 0.458, pass<0.8=True |

## P2 Live Readiness

| Dimension | Status | Result |
|---|---:|---|
| Short rolling Sharpe | computed | 126d latest 2.880, min -1.551 |
| Panda P&L correlation | computed | target < 0.8 when existing strategy P&L is supplied |
| Fill assumptions | needs_input | queue position, partial fills, latency, bid/ask crossing still required |

## 下一步 review 重点

- P0 fail 时不进入 promotion review；优先查 lookahead、时间戳对齐、label 泄露、全样本标准化。
- P1 缺输入时不能假定通过；补 factor、OOS、paper trading、existing strategy P&L 后再评估。
- P2 是 live readiness；没有 fill/latency/queue 假设时不要讨论上线。