Strategy Generation

A strategy that exists only as prose is a mood. This skill converts ideas into specs that machines can refuse, code that gates can check, and claims that survive the validation pipeline — or die there honestly.

The pipeline (six stages, three gates)

IDEA → SPEC ──gate 1──→ CODE → RETURNS ──gate 2──→ RISK ──gate 3──→ PAPER
        │                          │                  │
        │ validate_strategy_spec   │ backtest-        │ risk-assessment
        │ (this skill's script)    │ validation       │ profile

1. DATA — establish market, universe, frequency, history budget, and whether the data pipeline is PIT-reviewed (point-in-time-research).
2. SPEC — fill the contract in references/spec-schema.md: named archetype, testable entry/exit logic, explicit parameters, at least one hard risk control, a cost assumption in bps, and variants_tried.
3. Gate 1 — python scripts/validate_strategy_spec.py SPEC.json. FAIL means fix the spec; do not write code around a broken spec.
4. CODE — implement exactly the spec. Parameters come from signal.parameters, not from numbers invented mid-implementation. If implementation forces a change, update the spec and re-run gate 1.
5. Gate 2 — produce the returns series and run it through backtest-validation with --trials = the spec's variants_tried (updated if more variants were tried during coding — honesty compounds). A FAIL verdict is a result: report it, don't tune until it passes.
6. Gate 3 — run risk-assessment on the surviving equity curve and holdings. High-risk verdicts require explicit user confirmation.
7. PAPER — the strongest deployment this skill may recommend is paper trading. Live execution is a user decision outside this skill's authority.

Archetype discipline

Name the archetype (momentum, mean_reversion, multi_factor, pairs_trading, technical, ml_enhanced, event_driven, value) and stay inside its logic. "Momentum with 12 confirming indicators" is not momentum — it is 12 extra parameters begging the overfit preflight to fail.

Counting variants (the honesty ledger)

Every parameter combination tried, universe swapped, or date range adjusted increments variants_tried. The number follows the strategy to backtest-validation's Deflated Sharpe Ratio. Understating it does not improve the strategy; it just moves the lie downstream where the DSR will price it.

Guardrails

• No code before the spec passes gate 1.
• No performance claims before gate 2; no "expected returns" from thin air.
• Forbidden claims ("guaranteed", "risk-free", "稳赚", "保证收益") fail the spec mechanically — the validator scans every string field.
• Position sizing "all-in" or absent hard risk controls fail the spec.
• Deploy advice caps at paper trading, always.