book: add perturbation stress test (EVIDENCE#049) — Config A 2026 robust to topk/n_drop/cost within window

2026-08-20 21:44:04 +00:00
parent 18b61bbb8f
commit 4831a2770c
3 changed files with 58 additions and 1 deletions
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+{
+  "description": "Perturbation stress test on Config A (exp 52, run 9f98ea5c) — 2026 window (2026-01-04 to 2026-08-19). Same pred.pkl, varying backtest parameters. Raw returns (not excess over SPY).",
+  "pred_source": "exp 52, run 9f98ea5c550a409f87b56a6cd8fee343",
+  "test_window": ["2026-01-04", "2026-08-19"],
+  "trading_days": 157,
+  "topk_sensitivity": {
+    "description": "vary topk, n_drop=1, costs=base (5bp/15bp/$5)",
+    "results": [
+      {"topk": 5,  "n_drop": 1, "ann_return": 0.3230, "sharpe": 1.745, "maxDD": -0.0695},
+      {"topk": 10, "n_drop": 1, "ann_return": 0.3284, "sharpe": 1.978, "maxDD": -0.0581},
+      {"topk": 15, "n_drop": 1, "ann_return": 0.2630, "sharpe": 1.611, "maxDD": -0.0689}
+    ]
+  },
+  "ndrop_sensitivity": {
+    "description": "vary n_drop, topk=10, costs=base",
+    "results": [
+      {"topk": 10, "n_drop": 1, "ann_return": 0.3284, "sharpe": 1.978, "maxDD": -0.0581},
+      {"topk": 10, "n_drop": 2, "ann_return": 0.2674, "sharpe": 1.586, "maxDD": -0.0652},
+      {"topk": 10, "n_drop": 3, "ann_return": 0.2861, "sharpe": 1.658, "maxDD": -0.0667}
+    ]
+  },
+  "cost_sensitivity": {
+    "description": "vary costs, topk=10, n_drop=1",
+    "results": [
+      {"open_cost": 0.0005, "close_cost": 0.0015, "min_cost": 5,  "ann_return": 0.3284, "sharpe": 1.978, "maxDD": -0.0581},
+      {"open_cost": 0.0015, "close_cost": 0.0025, "min_cost": 10, "ann_return": 0.3275, "sharpe": 1.974, "maxDD": -0.0580},
+      {"open_cost": 0.0025, "close_cost": 0.0035, "min_cost": 15, "ann_return": 0.3267, "sharpe": 1.971, "maxDD": -0.0580}
+    ]
+  },
+  "findings": {
+    "topk": "topk=10 is optimal. topk=5 loses ~0.5pp (concentration risk), topk=15 loses ~6.5pp (signal dilution). Edge is moderate-sensitivity to topk.",
+    "n_drop": "n_drop=1 is best. n_drop=2 loses ~6pp, n_drop=3 loses ~4pp. More rotation hurts in this window.",
+    "costs": "Almost irrelevant. Even at 5x base costs (25bp/35bp/$15), return drops only 0.17pp (32.84% → 32.67%). Low turnover + large gross edge makes cost assumptions immaterial.",
+    "maxDD": "Stable across all perturbations: range -5.8% to -7.0%. No blowup risk from parameter changes.",
+    "overall": "The 2026 edge is robust WITHIN the window. The problem is it doesn't exist in other windows (ch 11)."
+  }
+}