Skip to content

Cross-Section Strategy Playbook Checklist

Use this checklist to move a cross-section strategy from "it runs" to "it is reproducible, explainable, and production-ready."

1. Design

  • Select trigger model explicitly: prefer on_timer; use timestamp-completion only when no stable rebalance time exists.
  • Define signal-to-fill timing clearly, especially for execution_mode="next_open".
  • Version your universe source and track constituent effective dates.
  • Define position constraints: max symbol weight, sector cap, cash buffer, lot-size rules.

2. Data

  • Align timezone, trading calendar, and missing-data policy before scoring.
  • Enforce history window checks and track valid sample coverage each rebalance.
  • Define explicit fallback behavior for suspensions, limit-up/limit-down, and volume anomalies.
  • Freeze data pull parameters and snapshots to keep runs reproducible.

3. Execution

  • Use target-position APIs to reduce sell-then-buy drift during rebalance.
  • Add rebalance tolerance bands to avoid turnover spikes from tiny rank changes.
  • Monitor order rejections centrally via orders_df.reject_reason.
  • Add next-cycle convergence logic when one cycle cannot fully reach target weights.

4. Risk

  • Enable account-level guardrails: max_account_drawdown, max_daily_loss, stop_loss_threshold.
  • Configure strategy-specific limits like max_position_pct and max_order_value.
  • Define post-trigger behavior: de-risk, pause, or close-only mode.
  • Persist risk-trigger logs for post-mortem analysis and parameter iteration.

5. Validation

  • Validate with time-sliced evaluation (rolling windows / regime segments), not only full-sample metrics.
  • Track stability metrics: turnover, concentration, slippage sensitivity, and capacity constraints.
  • Compare execution modes and rebalance frequencies to confirm return source robustness.
  • Save parameter sets and result snapshots for auditability.

6. Pre-Live Readiness

  • Require all five domains to pass: trigger, data, execution, risk, validation.
  • Dry-run failure scenarios: missing feed, rejection bursts, delayed triggers, trading-day transitions.
  • Pin runtime config and dependency versions to avoid environment drift.
  • Prepare rollback paths: parameter rollback, strategy disable switch, version rollback.

Related references: