finish experiment 46 (exp/46-q15-the-5-seed-rankicensemblelgbmodel-sh)

queue/designs/q19_martingale_vr.md

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+# QUEUE-19 — Martingale / variance-ratio study close-out (no qrun)
+
+**Status:** QUEUED · **Priority:** P2 · **Effort:** ad-hoc script under `book/data/`
+
+## Hypothesis (settle)
+Assets are submartingales long-horizon / mean-reverting short-horizon
+(`VR < 1` at 5–20d). CLAIMS.md marks this HYPOTHESIS (chat-derived martingale
+study; exp 19 was opened but never closed). It is a market-structure claim, not a
+trading claim — settle it with a clean-lake script, then close exp 19 or open a
+scripted EVIDENCE entry.
+
+## Method (persist everything under `book/data/evidence/q19-vr/`)
+1. Load the 50-ETF panel 1d bars from the lake for 2015-01-01..2026-08-19.
+2. Compute the Lo–MacKinlay variance ratio at horizons 5 / 10 / 20d per symbol,
+   with heteroskedasticity-robust z-stats.
+3. Report: per-horizon VR distribution, fraction of symbols with VR < 1 and the
+   z-significance, pooled drift vs daily variance (submartingale check).
+4. Cross-check the pooled `sp_trend_slope_5` regression beta claim (β ≈ −0.53,
+   t ≈ −24) on the clean lake.
+5. Write `VR_stats.csv` + a one-page summary into the evidence dir.
+
+## Acceptance
+- VR < 1 at 5–20d for a material fraction of the panel with |z| > 2 → supports
+  the mean-reversion HYPOTHESIS; else mark REFUTED or REFERENCED.
+- The result updates CLAIMS.md's "Assets are submartingales…" row and closes the
+  exp-19 open thread.