walk-forward-oos

Walk-Forward OOS Certification

The deterministic out-of-sample engine. Walk-forward, validation mode, anchored, 5 folds, 2022→today — the OOS folds are the verdict, not a single backtest.

The study call

mcp__nexustrade__run_walk_forward_study (tools are deferred — load via ToolSearch). Always run preview_only: true FIRST to see the fold calendar + cost, confirm it spans 2022→today (must include both the 2022 bear and the April-2025 selloff — this book's deepest drawdown is an April-2025 event, so the folds have to span it), then flip to false and record the study_id.

{
  "portfolio_id": "<SUBJECT or a clean clone>",
  "global_start_date": "2022-01-01",
  "global_end_date":   "<TODAY>",
  "fold_count": 5,
  "walk_forward_mode": "anchored",
  "mode": "validation",              // per-fold independent OOS
  "oos_width_days": 252,
  "embargo_days": 14,
  "interval": "Day",
  "inner_mode": "backtest_only",     // certify the FIXED book — no per-fold optimizer
  "preview_only": true               // flip to false to actually run
}

• Certify a fixed book: inner_mode: "backtest_only" (engine_kind ga/default — a sweep is rejected for a fixed-config cert).
• Re-optimize (only on FAIL or a structural change): engine_kind: "sweep", inner_mode: "optimize", certification: true, plus gene_intents. GA overfits and is rejected for deploy certification — sweep is the certified path. See sweep-reoptimization.
• certification: true applies the activity-floor + percentChange ≥ 0 + sortino ≥ 0.5 policy and defaults validation_percent to 50.

Pre-flight before certifying a live book

1. get_portfolio — capture the strategy set, conditionFieldAudit, and the exit ladder.
2. Strip the LaunchAgent. A LaunchAgent strategy can't run historically — it fires once and logs thousands of cooldownSkip events, contaminating folds. Certify a LaunchAgent-free clone (rebalance + close rules only) and say you did so.
3. Spread-shape check the live structures (see options-structure-rules). A long-dated vertical spread is a hard violation → the book cannot certify as-is; go straight to re-opt.
4. Convexity-cap footgun: if multiple "always" take-profit closes exist (e.g. P/L ≥ 20% / 50% / 200%), the lowest binds first and caps every winner at ~+20%, defeating the outright-call rationale. Flag it — it's the most likely reason returns trail a let-winners-run book.