---

name: Alpha Research & Validation Lab description: Institutional-grade strategy validation, walk-forward analysis, and regime-aware testing.

Alpha Research Skill

This skill provides the "Truth Layer" for all trading strategies. Follow these protocols to move any strategy from "Idea" to "Production":

1. The WFA Protocol (Walk-Forward Analysis)

No strategy is considered institutional if it only works on historical "backtest" data.

• 5-Fold split: Every strategy must be tested across at least 5 walk-forward windows.
• IS/OOS Ratio: Use 80% In-Sample (IS) for optimization and 20% Out-Of-Sample (OOS) for validation.
• Robustness Score: A strategy passes if its OOS performance (Profit Factor/Sharpe) is within 20% of its IS performance.

2. Sensitivity Protocol

• Call scripts/sensitivity_analyzer.py to stress-test parameters.
• The "Dead Zone" Check: If shifting a parameter (e.g., Moving Average period) by +/- 1 period causes the strategy to fail, it is curve-fitted and must be REJECTED.

3. Regime Awareness

• Every alpha must specify its "Natural Regime" (Trending, Mean-Reverting, or Volatility-Expansion).
• Call Regime Scout (Sub-skill) to verify the strategy only runs during its alpha-positive window.

Core Tools:

• scripts/wfa_engine.py: Multi-fold Walk-Forward validator.
• scripts/sensitivity_analyzer.py: Parameter stress-tester.
• scripts/regime_scout.py: HMM-based market state classifier.