46 lines
4.5 KiB
Markdown
46 lines
4.5 KiB
Markdown
# Chapter 12 — Synthesis: How Proved Truth Compounds
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Status: drafting. Claim inventory: see `README.md` ch. 12.
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This chapter is the scoreboard: what actually moved performance, what was refuted, and why the book's methodology — not any single experiment — is the durable product of the campaign.
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## The scoreboard
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Everything PROVEN below is on the clean lake (exp 21+) or a reconciled post-reset round; everything else is labeled what it is.
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| Lever | What moved | Status |
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|-------|-----------|--------|
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| **Data quality** (clean-lake reset) | The single largest event: invalidated all pre-reset results; the reference collapsed and was rebuilt (IC 0.0354→0.0019, then rebuilt to 0.0511) | `PROVEN` — exp 21→22–24 (EVIDENCE#010–013) |
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| **Cost/turnover relief** (n_drop 2→1) | The largest *positive* lever: net −3.21%→+2.13% on an identical signal (IR 0.21, MDD −7.69%) | `PROVEN` — exp 26 (EVIDENCE#015) |
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| **Feature pruning** (compact generic set) | The biggest series of wins were refutations: OU (exp 25), momentum (exp 29), GARCH (exp 31) all rejected; the compact set stands (RankIC 0.0663) | `PROVEN` — exp 24/25/29/31 (EVIDENCE#013/#014/#017/#019) |
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| **Ensemble & seed count** | Variance reduction, not new information; 2 seeds < 5 seeds (net −1.49% vs +2.13%) | `PROVEN` — exp 28 (EVIDENCE#016) |
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| **Risk limits** | Executed and non-interfering in round 3 (liquidity floor dropped 8, funnel 10→10→10→9); the floor-beats-caps A/B is pre-reset idea material | `PROVEN` (execution) / `HYPOTHESIS` (A/B) — round 3 + exp 18 |
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| **Portfolio construction** | TopkDropout beat stochastic-control on the pre-reset lake; never re-tested post-reset | `HYPOTHESIS` (idea) — exp 13/14 |
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| **Live execution** | Funnel held, slippage 4.54 bps, cost ~$45, turnover 0.74 — the first reconciled live number | `PROVEN` — round 3 (EVIDENCE#020) |
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## The pattern beneath the scoreboard
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Two positive levers (data quality, cost relief), one protective discipline (pruning, whose wins were negatives), one reinforcement (seed count). The pattern: **performance improved by removing lies, removing cost, and removing features — not by adding anything to the signal.** The only surviving clean-lake addition candidate is exp 30's M2 (Sharpe-drift feature), which the book keeps at HYPOTHESIS precisely because it improved one layer and degraded another in a single unreproduced run (ch. 07).
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The refuted runs were as valuable as the wins: exp 11, 13, 14, 20, 25, 29, 31 each stopped a wrong direction at the cost of a few runs `(PROVEN — refuted runs recorded in the ledger; REFERENCED — falsification as method)`. A campaign that counts its refutations as output is a campaign that spends its budget learning, not re-learning.
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## The methodology that made it compound
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None of the scoreboard above is usable without the machinery of ch. 00–02:
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1. **The execution trail** (targets→decisions→fills, reconcile) is the spine — it is what let the desk catch the clean-lake collapse and what turns the live round into evidence.
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2. **The clean-lake boundary** is the watermark — it is why exp 18's pretty risk numbers are hypotheses and exp 26's thin-but-real numbers are facts.
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3. **Isolation and pre-registration** make each verdict attributable (ch. 07).
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4. **The two-layer metrics ladder** (rank + portfolio, ch. 01) is why exp 30 is a hypothesis and not a claim.
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5. **Live beats backtest** (ch. 11) is the final gate — no metric in this book outranks a reconciled round.
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## What the book still does not know
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- Whether the 50-ETF panel generalizes — the widest open question `TODO(evidence-needed: out-of-panel universe)`.
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- Why the strongest single-feature signal (OU) degrades the model (the OU paradox, ch. 01).
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- Whether 5-day reversal trades standalone net of costs (ch. 01, ch. 07).
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- Whether M2 reproduces (ch. 07), whether the risk-limit A/B holds on clean data (ch. 10), and whether a second live round confirms the funnel and slippage under a different regime (ch. 11).
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## Closing
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This book's claims are deliberately thin: a RankIC near 0.066 on 50 names, an IR near 0.2 net, one reconciled live round. That thinness is the point. Every number in it can be re-derived from a recorded run or a re-opened round; every hypothesis is marked as one; every backtest is labeled a backtest. A quant-desk reader can act on the book's method even where its edge is small — and the book expects its own claims to be superseded as the next rounds and experiments land (living document, `AGENTS.md` rule 6). |