Pre-cleanup baseline snapshot

DESIGNED_VS_IMPLEMENTED_GAP_ANALYSIS.md

@@ -1,4 +1,69 @@
-# Designed vs. Implemented Features - Gap Analysis
+# NT8-SDK — Gap Analysis & Roadmap
+**Version:** 3.0 | **Date:** 2026-03-27 | Supersedes all previous gap analysis documents.
+
+---
+
+## Open Gaps
+
+| ID | Description | Priority | Sprint |
+|---|---|---|---|
+| GAP-001 | Runner leg backtest validation (Qty=2 check). EntriesPerDirection=2 restored but not backtested. | CRITICAL | S2-05 |
+| GAP-002 | orbRangeTicks not wired in DailyBarContext (hardcoded 0.0 in SimpleORBNT8.OnBarUpdate) | LOW | Sprint 3 |
+| GAP-003 | Risk parameter consistency: RiskPerTrade can exceed MaxTradeRisk silently. No assertion. | HIGH | S2-06 |
+| GAP-004 | GetRiskStatus() returns hardcoded limit rather than registered strategy config value | LOW | Sprint 3 |
+| GAP-005 | No Gitea CI pipeline. Build and test are manual. | MEDIUM | Sprint 3 |
+| GAP-006 | No n8n webhook alerts for fills, risk events, connection loss | MEDIUM | Sprint 3 |
+| GAP-007 | No walk-forward / out-of-sample validation. All backtests are in-sample. | HIGH | S2-08 |
+| GAP-008 | Short-side profitable only in crash regimes. No regime filter. | MEDIUM | Sprint 3 |
+| GAP-009 | No tick replay backtest. OnBarClose simulation compresses trade duration. | LOW | Sprint 3 |
+
+---
+
+## Sprint Roadmap
+
+### Sprint 2 (ACTIVE) — SIM Validation
+Goal: 2+ weeks unattended SIM with dual-leg execution confirmed.
+Key pending: GAP-001 (runner validation), GAP-003 (risk consistency), GAP-007 (walk-forward).
+
+### Sprint 3 — Production Hardening
+Goal: 30-day SIM clean. CI and alerts wired.
+Key work: GAP-004 through GAP-009, VWAPMeanReversion skeleton.
+
+### Sprint 4 — Live Capital
+Gate: 30-day SIM PF > 2.0, max DD < $500.
+Key work: Go live 1 NQ contract, OvernightGap strategies, ops runbook.
+
+### Sprint 5 — ML Inference
+Prerequisite: 60 days live data.
+Key work: FastAPI /predict, MLSignalFactorCalculator as 11th factor.
+
+---
+
+## Strategy Backlog
+
+| ID | Strategy | Priority | Notes |
+|---|---|---|---|
+| STRAT_079 | Liquidity Sweep Reversal | Medium | Potential short-trade improvement |
+| STRAT_154 | Overnight Gap Continuation | High | Leverages existing SessionManager |
+| STRAT_214 | Overnight Gap Reversion | High | Counter to STRAT_154 |
+| LondonORB | London ORB (3:00 AM ET) | Medium | Separate LondonORBNT8 strategy file |
+| VWAP-MR | VWAP Mean Reversion | High | Sprint 3 build target |
+
+---
+
+## Backtest Performance Reference
+
+| Date | Period | Trades | Win% | PF | Net | Config |
+|---|---|---|---|---|---|---|
+| 2026-03-27 | Jan–Mar 2026 | 20 | 75% | **7.00** | $1,200 | trail=20 ✅ Production config |
+| 2026-03-27 | Jan–Mar 2026 | 40 | 75% | 3.69 | $1,075 | trail=12 |
+| 2026-03-27 | Mar 2025–Mar 2026 | 148 | 51% | 3.15 | $71,303 | 9 cts experimental |
+
+Note: 148-trade run used RiskPerTrade=$500 + EntriesPerDirection=1 (runner blocked). Not a production reference.
+
+---
+
+# ARCHIVED BELOW — Original Gap Analysis (2026-02-17, superseded)
 
 **Date:** February 17, 2026  
 **Status:** Post Phase A-B-C NT8 Integration