Last Updated: 2026-05-03 Owner: Strategy-Dev Summary: Standard template for documenting strategy logic, assumptions, validation history, and governance status.

QuantMatrix Strategy Catalog Template¶

This template is used to document each trading strategy in a consistent, implementation-ready way.

Its purpose is to: - define exactly what a strategy is supposed to do - separate strategy logic from OMS, risk, and broker concerns - make strategies easier to review, compare, tune, and retire - create a clean handoff between idea, implementation, and operational use

Use one copy of this template per strategy.

1. Strategy Metadata¶

Strategy Name:
Strategy ID:
Strategy Version:
Status: Draft / Experimental / Paper Approved / Live Approved / Retired
Owner:
First Created:
Last Updated:

2. Strategy Summary¶

Short Description:
Core Trading Idea:
Intended Holding Period:
Long / Short / Both:
Primary Market Regime:
Primary Use Case:

3. Strategy Objective¶

Describe what this strategy is trying to capture.

Examples: - opening momentum continuation - pullback into VWAP recovery - high-of-day breakout continuation - volume-backed reclaim after washout

4. Instruments and Scope¶

Supported Symbols:
Supported Asset Type:
Price Range:
Float Range:
Volume / Relative Volume Requirements:
Time-of-Day Window:
Sector Preferences:
Explicit Exclusions:

5. Entry Setup Definition¶

Setup Description¶

What exact market structure should be present?

Required Conditions¶

[ ]
[ ]
[ ]

Optional / Confirming Conditions¶

[ ]
[ ]
[ ]

Disqualifying Conditions¶

[ ]
[ ]
[ ]

6. Entry Signal Logic¶

Describe the exact trigger for taking a trade.

Include: - trigger event - confirming indicators - price behavior needed - timing constraints - any debounce or anti-chase logic

Entry Trigger Checklist¶

[ ] price condition
[ ] volume condition
[ ] trend/indicator condition
[ ] market regime condition
[ ] risk pre-check condition

7. Position Sizing Logic¶

Sizing method:
Max capital allocation:
Max share allocation:
Risk-per-trade rule:
Whether sizing changes by setup quality:
Whether sizing changes by account equity:

Sizing Constraints¶

[ ] respects global max position size
[ ] respects available buying power
[ ] respects strategy-specific cap

8. Exit Logic¶

Planned Profit-Taking Logic¶

target condition:
partial exit rule:
full exit rule:

Stop-Loss Logic¶

hard stop condition:
trailing stop behavior:
fail-fast condition:

Technical Exit Signals¶

VWAP rejection:
EMA crossover:
MACD deterioration:
volume fade:
loss of high-of-day momentum:

Time-Based Exit Rules¶

no-progress timeout:
end-of-day flattening rule:

9. Risk Assumptions¶

Max trades per session for this strategy:
Max concurrent positions:
Max daily loss contribution:
Max slippage tolerance:
Whether strategy should auto-disable after repeated failures:

Strategy-Specific Risk Guards¶

[ ]
[ ]
[ ]

10. Required Data Inputs¶

Market tick data:
Level 1 data:
Level 2 data if needed:
Historical intraday candles:
VWAP:
EMA values:
MACD values:
Volume / average volume:
Float:
Sector:
News / catalyst dependency if any:

11. Feature Capture Requirements¶

List what must be stored for analytics when this strategy trades.

Entry Features¶

[ ] signal price
[ ] entry price
[ ] daily percent gain
[ ] 1-minute momentum
[ ] 5-minute momentum
[ ] relative volume
[ ] float
[ ] spread
[ ] VWAP relationship
[ ] EMA state
[ ] MACD state
[ ] time-of-day bucket

Exit Features¶

[ ] exit price
[ ] exit reason
[ ] slippage
[ ] MFE
[ ] MAE
[ ] hold duration

12. Operational Behavior¶

Can multiple instances run concurrently?
Can multiple strategies evaluate the same symbol?
Who owns the position after entry?
When should this strategy be stopped automatically?
When is manual restart allowed?

13. Failure Modes¶

List the most likely failure or weakness patterns.

Examples: - chases extended candles - underperforms after 10:30 AM - weak on low-relative-volume names - fails badly in choppy market regime - poor fills on thin spreads

Known Failure Patterns¶

[ ]
[ ]
[ ]

Operator Warning Signs¶

[ ]
[ ]
[ ]

14. Validation History¶

Backtesting Summary¶

Backtest period:
Sample size:
Net return:
Sharpe ratio:
Max drawdown:
Win rate:
Key caveats:

Paper Trading Summary¶

Sessions tested:
Trades taken:
Net P&L:
Best condition:
Worst condition:
Operational issues observed:

Live Trading Summary¶

Live approved: Yes / No
Live sessions:
Live trade count:
Net P&L:
Important notes:

15. Performance Review Template¶

Use this during ongoing review.

What conditions does this strategy perform best in?
What conditions does it perform worst in?
Which symbols suit it best?
Which times of day suit it best?
Are exits too early or too late?
Is sizing appropriate?
Are recommendations suggesting a tighter filter?

16. Tuning and Change Log¶

Parameter Changes¶

Date:
Version:
What changed:
Why changed:
Expected effect:
Result observed:

Repeat for each major change.

17. Release Readiness¶

Before promotion from draft to paper approved: - [ ] strategy rules documented - [ ] data requirements satisfied - [ ] entry and exit logic implemented - [ ] analytics capture defined - [ ] failure modes understood - [ ] backtesting completed

Before promotion from paper approved to live approved: - [ ] paper trading stable - [ ] risk assumptions validated - [ ] strategy-specific weaknesses documented - [ ] operator understands behavior - [ ] live rollout limits defined

Link relevant items: - code module path: - implementation spec section: - analytics review queries: - backtest report: - paper trading review: - live trading review: