book-tac/book

TradeAC Quant Trading Guide — Table of Contents & Status

A practitioner's guide to quantitative trading written the only way it is worth reading: grounded in a real research loop and a real execution trail. Every number in this book was either reproduced from a recorded TradeAC experiment (MLflow run + traced git branch) on the clean lake (exp 21+) or a reconciled post-reset live round, or it is explicitly labeled a hypothesis. See AGENTS.md (repo root) for the truth contract; EVIDENCE.md for the ledger; CLAIMS.md for the proven-vs-hypothesis matrix.

Evidence boundary and living-document status

• The clean-lake boundary (2026-08-18, exp 21) is the evidence watermark. Anything before it — exp 8–18 and their backtests, pre-reset live rounds — is historical context and idea material only, never cited as fact (they were demonstrably inflated by lake data-quality problems, EVIDENCE#010 → exp 21). Pre-reset experiments and all opencode chat transcripts (see data/chat_mining/ and references/chat-ideas.md) feed the book's hypothesis pipeline.
• Every section is living. As new experimental results land on the clean lake, chapters are updated; a chapter marked done is done for its window, not forever.

What this book is for

A quant-desk reader should be able to act on this book: replicate a signal pipeline, size a book, gate it with risk limits, execute it, and reconcile what actually happened. The book's spine is how performance improved with research-proved truth — the actual arc of TradeAC's campaign from a baseline that barely cleared costs to a live, reconciled round.

How to read evidence tags

• PROVEN — reproduced from a recorded run or reconciled round. Citation is an experiment_id/run_id or round_id.
• HYPOTHESIS — plausible but not yet reproduced; never stated as fact.
• REFERENCED — industry/academic practice; citation is an external source.
• TODO(evidence-needed: …) — an open question the desk should settle.

Table of contents

#	Chapter	Status	Core experiments cited	Core lesson
00	Why a real execution trail matters	drafting	round 3	A book claims nothing it cannot reconcile
01	Metrics: the vocabulary of a price series	drafting	exp 21–31 + dataset studies	Every claim reduces to a falsifiable statistic
02	The research loop: lake → experiment → live	drafting	exp 8–31	Traceability is the methodology
03	Baseline and the cost reality	drafting	exp 22–26, 28–31	A signal that dies after 5bp/15bp is not a signal
04	Prune, don't add: feature-family ablation	drafting	exp 9, 10, 11, 25	On a 50-name panel, generic beats model-specific
05	Ensembles and the seed-count effect	drafting	exp 12, 28	Averaging raises ICIR; seed count is load-bearing
06	The clean-lake reset: data quality as first-order risk	drafting	exp 21–24	If it doesn't reproduce on clean data, it was noise
07	Isolation runs: single-variable discipline	drafting	exp 26, 29–31	Most additions fail; the discipline is the value
08	Portfolio construction: dropout vs optimal stop	drafting	exp 13, 14, 15	Turnover-sensitive construction bleeds the edge
09	The cost/turnover frontier	drafting	exp 26	n_drop 2→1: hold the dropped name, keep the edge
10	Risk limits that work	drafting	exp 18, 20	Liquidity floor > concentration caps; gates are no-ops when signal is the bottleneck
11	Live execution and reconciliation	drafting	exp 27, round 3	4.54 bps slippage realized; funnel 10→10→10→9
12	Synthesis: how proved truth compounds	drafting	all	The scoreboard of what moved performance and why

Status legend: drafting → in-review → done.

Per-chapter claim inventory (expected truth status)

Each chapter opens with its claims. The inventory below is the working contract: what the chapter asserts, and what evidence tier it must land in. It is updated as chapters pass their HITL review gate.

00 — Why a real execution trail matters

Claim	Expected status
A book's claims must be reconcilable to a real trail (targets→decisions→fills)	PROVEN — round 3 funnel
Backtest claims without live reconciliation are hypotheses about execution	HYPOTHESIS → settled by round 3
The funnel (targets→decided→placed→filled) is the minimal honesty structure	REFERENCED (industry ops practice) + PROVEN via tac-rd-book schema

01 — Metrics: the vocabulary of a price series

Claim	Expected status
Every chapter claim reduces to a statistic computable on the lake (drift, jump, vol, regime, reversion, memory, risk, error, probability, timeline, decay)	PROVEN (chapters 03–12) + HYPOTHESIS (dataset-study magnitudes, chat-derived)
Generic scale-free statistics beat model-specific machinery on a small daily panel	PROVEN (exp 23/24/25/29/31) + HYPOTHESIS (generality)
A statistic is only as good as the falsification it survives (null z-scores, reproduction)	PROVEN (exp 21 detection playbook) + REFERENCED
The strongest single-feature signal (OU z-score) can be worthless inside a rank model — the "OU paradox"	PROVEN (exp 25) + open mechanism TODO(evidence-needed)

02 — The research loop

Claim	Expected status
Experiments must be traced: branch + MLflow run + notes (hypothesis before run)	PROVEN — traceability loop used on exp 8–31
Pre-registration protects against post-hoc cherry-picking	REFERENCED (research practice; see CLAIMS for multiple-testing note)
The lake is the single source of bar/feature truth	PROVEN — exp 21 showed dirty-lake risk
One variable changes per run (isolation); verdicts attributable	PROVEN — exp 26→28/29/30/31 design

03 — Baseline and the cost reality

Claim	Expected status
Baseline 1-day LGB signal is weak on 2026 OOS (RankIC ≈ 0.04, below the 0.2 ICIR noise threshold)	PROVEN — exp 8
Costs erase most of the raw edge: +6.2% ann gross → +1.6% net	PROVEN — exp 8
A viable signal must clear realistic execution costs	PROVEN (exp 8, exp 26) + REFERENCED

04 — Prune, don't add

Claim	Expected status
Dropping model-specific feature families (ou, hmm) improves the rank signal (RankIC 0.030→0.064)	PROVEN — exp 9
Adding moment/volatility families regresses the signal (exp 11), same failure mode as ou/hmm	PROVEN — exp 11
Adding OU mean-reversion (sp_ou_zscore) hurts on clean data	PROVEN — exp 25
More features ≠ better signal on a small cross-section	HYPOTHESIS (supported by 3 runs, still panel-specific)

05 — Ensembles

Claim	Expected status
5-seed RankIC ensemble raises net-of-cost performance vs single model on the ablated set	PROVEN — exp 12 (pre-clean-lake), re-validated exp 22–24
Seed count is load-bearing: 2 seeds lose to 5 seeds on clean data	PROVEN — exp 28
Ensemble averaging's benefit is separable from feature expansion	PROVEN — exp 12 isolation design

06 — Clean-lake reset

Claim	Expected status
The reference signal did not reproduce on a rebuilt lake (IC 0.035→0.002)	PROVEN — exp 21
Data-quality problems had inflated earlier results; post-reset signal is the only valid one	PROVEN — exp 21 + exp 22–24 reproduction
Signal work must be re-validated after any data rebuild	PROVEN (exp 21) + HYPOTHESIS for generality

07 — Isolation runs

Claim	Expected status
Single-variable changes isolate what moved performance	PROVEN — exp 26→29/30/31 design
Multi-horizon momentum degrades the reference (net IR 0.21→-1.12)	PROVEN — exp 29
Risk-adjusted 22d Sharpe drift is promising on portfolio metrics, mixed on rank	HYPOTHESIS — exp 30 single run, unreproduced
GARCH(1,1) vol-regime features add no signal	PROVEN — exp 31

08 — Portfolio construction

Claim	Expected status
TopkDropout beats stochastic-control OptimalStopControl on the ensemble signal	HYPOTHESIS (idea: pre-clean-lake exp 13/14, not re-tested post-reset)
Stop-control constructions churn and bleed costs (cost drag ≈ −11.3pp)	HYPOTHESIS (idea: pre-clean-lake exp 13; mechanism consistent with clean exp 26)
The reference and live book are TopkDropout n_drop=1, equal weight × risk_degree	PROVEN — exp 26, round 3
Fractional-Kelly sizing (exp 15) is unverified	HYPOTHESIS — run never finished

09 — Cost/turnover frontier

Claim	Expected status
n_drop 2→1 flips net excess from −3.21% to +2.13% with identical signal metrics	PROVEN — exp 26
Cost drag is the binding constraint, not signal quality	PROVEN — exp 26 (IC/RankIC identical between n_drop variants)

10 — Risk limits

Claim	Expected status
$5M liquidity floor improves net IR 0.81→0.98 and cuts drawdown 7.9%→5.4%	HYPOTHESIS (idea: pre-clean-lake exp 18, not comparable post-reset)
Size/concentration caps hurt by cutting deployed capital	HYPOTHESIS (idea: pre-clean-lake exp 18)
Entry/risk gates are no-ops when the signal is the bottleneck	HYPOTHESIS (idea: pre-clean-lake exp 20)
The risk-limit spec executes and does not break the funnel (liq floor dropped 8, 10→10→10→9)	PROVEN — round 3
Exp-18 numbers are not comparable to post-reset runs due to env non-determinism	PROVEN — exp 20 R0 note

11 — Live execution and reconciliation

Claim	Expected status
Live funnel held: 10 targets → 10 decided → 10 placed → 9 filled, 1 cancelled, 1 skipped	PROVEN — round 3
Realized slippage ≈ 4.54 bps, estimated cost ≈ $45, turnover 0.74	PROVEN — round 3 metrics
Live beats backtest: execution claims trace to round_id, not to backtest	PROVEN — methodology

12 — Synthesis

Claim	Expected status
The largest performance deltas came from data quality, cost/turnover relief, feature pruning, and risk limits — not from adding features	PROVEN — composite of exp 9, 18, 21, 26
The campaign's refuted runs (exp 11, 13, 14, 20, 25, 29, 31) were as valuable as wins	REFERENCED + PROVEN (they stopped wrong directions)
Generalizability of the 50-ETF panel results is an open question	HYPOTHESIS — TODO(evidence-needed: out-of-panel universe)

Repository layout

book/
  README.md          # this file
  EVIDENCE.md        # ledger: id → claim → source → verified?
  CLAIMS.md          # proven-vs-hypothesis matrix, updated every chapter
  chapters/00-intro.md ...   # one file per chapter
  data/              # ad-hoc validation scripts + outputs
  data/chat_mining/  # raw opencode chat transcripts (idea sources)
  references/chat-ideas.md   # distilled ideas/hypotheses from chats + pre-reset experiments
  references/        # external citations

Open questions for the desk

• TODO(evidence-needed: reproduction of exp 30 M2 Sharpe-drift run on a second window)
• TODO(evidence-needed: exp 15 Kelly sizing — run never finished; re-run on the clean lake)
• TODO(evidence-needed: out-of-universe (non-ETF) validation of the compact stochastic feature set)
• TODO(evidence-needed: reconciliation of exp 18 risk-limit spec on the post-reset reference signal)