Performance Methodology & Friction Standards

Standard: E1_CANONICAL_V1 • 38.0 bps Roundtrip Friction

1. Canonical Execution Friction (38.0 bps)

Unlike retail trading bots that publish zero-friction backtests, all StrataRelay model returns incorporate canonical 38.0 basis points roundtrip friction:

Exchange Maker/Taker Fee: 10.0 bps per entry and exit (20.0 bps total).
Adverse Market Slippage: 9.0 bps per entry and exit (18.0 bps total).
Net Total Roundtrip Friction: 38.0 bps ($0.0038 per unit traded).

2. Metric Segregation Policy (§32)

StrataRelay enforces strict classification boundaries across all reported figures:

BACKTEST_CANONICAL: Retrospective simulations on historical bars with canonical friction.
OOS_VALIDATED: Strictly out-of-sample data unseen during feature derivation or training.
FORWARD_HOLDOUT: Chronologically future bars post-freeze evaluated with zero retuning.
FORWARD_PAPER: Live shadow execution on live WebSocket market data without real capital.
REAL_LIVE: Real-capital exchange transactions.

Different data categories are never blended into an aggregated return figure.