docs: define strategy template and backtesting MVP

docs/ROADMAP.md

@@ -292,10 +292,73 @@ DATA-001 (Price Feed)
 
 **Dependencies:** PORT-001
 
+### EXEC-001A: Named Strategy Templates [P1, M] **[depends: DATA-003]**
+**As a** risk manager, **I want** protection strategies to be first-class named templates **so that** I can compare, reuse, and later edit hedge definitions.
+
+**Acceptance Criteria:**
+- Persist strategy templates with a stable id and display name
+- Support at least initial system-defined templates (future user-editable names)
+- Store template parameters separately from backtest scenarios
+- Strategy templates are reusable by both live recommendation flows and backtests
+
+**Technical Notes:**
+- Add strategy template model/repository
+- Separate template definition from strategy execution state
+- Keep room for future user-editable naming and rule parameters
+
+**Dependencies:** DATA-003
+
+### BT-001: Synthetic Historical Backtesting [P1, L] **[depends: EXEC-001A, PORT-001]**
+**As a** portfolio manager, **I want** to backtest hedge strategies against historical selloffs **so that** I can see which approach would have survived without a margin call.
+
+**Acceptance Criteria:**
+- Define a backtest scenario with start date, end date, collateral basis, and initial LTV
+- Simulate at least one named hedge strategy over historical GLD prices
+- Report max LTV, final equity, hedge cost, and whether a margin call would have occurred
+- Compare protected vs unprotected outcomes for the same scenario
+- Support known event replay such as the 2026 gold selloff window
+
+**Technical Notes:**
+- Start with synthetic/model-priced historical options rather than requiring point-in-time full historical chains
+- Use historical underlying prices plus Black-Scholes/volatility assumptions
+- Output both time series and summary metrics
+
+**Dependencies:** EXEC-001A, PORT-001
+
+### BT-002: Historical Daily Options Snapshot Provider [P2, L] **[depends: BT-001]**
+**As a** quant user, **I want** real historical daily options snapshots **so that** backtests use observed premiums instead of only modeled prices.
+
+**Acceptance Criteria:**
+- Historical data provider abstraction supports point-in-time daily option chain snapshots
+- Backtest engine can swap synthetic pricing for provider-backed historical daily premiums
+- Contract selection avoids lookahead bias
+- Provider choice and data quality limits are documented clearly
+
+**Technical Notes:**
+- Add provider interface for underlying history and option snapshot history
+- Prefer daily snapshots first; intraday/tick fidelity is a later upgrade
+- Candidate providers: Databento, Massive/Polygon, ThetaData, EODHD
+
+**Dependencies:** BT-001
+
+### BT-003: Selloff Event Comparison Report [P2, M] **[depends: BT-001]**
+**As a** portfolio manager, **I want** event-based backtest reports **so that** I can answer questions like “which strategy got me through the Jan 2026 selloff?”
+
+**Acceptance Criteria:**
+- Event presets can define named historical windows
+- Report ranks strategies by survival, max LTV, cost, and final equity
+- Report highlights breach date if a strategy fails
+- UI can show the unhedged path beside hedged paths
+
+**Dependencies:** BT-001
+
 ## Implementation Priority Queue
 
-1. **PORT-001A** - Add collateral entry basis and derived weight/value handling in settings
-2. **PORT-002** - Risk management safety
-3. **EXEC-001** - Core user workflow
-4. **EXEC-002** - Execution capability
-5. Remaining features
+1. **EXEC-001A** - Define named strategy templates as the foundation for backtesting
+2. **BT-001** - Ship synthetic historical backtesting over GLD history
+3. **PORT-003** - Historical LTV visibility and export groundwork
+4. **BT-002** - Upgrade backtests to real daily options snapshots
+5. **BT-003** - Event comparison reporting
+6. **EXEC-001** - Core user workflow
+7. **EXEC-002** - Execution capability
+8. Remaining features