Q19 VR study PROVEN + Q20 eigenanalysis PROVEN (EVIDENCE#034/#035)

2026-08-20 05:19:09 +00:00
parent befcc33702
commit 6145cfeb62
10 changed files with 792 additions and 4 deletions
@@ -24,7 +24,7 @@ The running scoreboard of every quantitative claim in the book. Updated per chap
 | More features ≠ better signal on a small (50-name) cross-section | HYPOTHESIS (3+ supporting runs, panel-specific) | EVIDENCE#003/004/014/017/019 |
 | Mean reversion (OU z-score, trend-slope reversal) is the stable single-feature edge | REFUTED (single-feature trend-slope reversal tested, no reversal learned) | EVIDENCE#032 → exp 43 (Q11) |
 | Compact stochastic set generalizes to liquid single-stock names | REFUTED (out-of-universe RankIC −0.02, ICIR −0.07 — signal is noise on 30-name stock panel) | EVIDENCE#033 → exp 50 (Q14) |
-| Assets are submartingales long-horizon / mean-reverting short-horizon (VR<1 at 5–20d) | HYPOTHESIS (chat-derived martingale study, exp 19 never closed) | book/data/chat_mining/martingale-study.txt |
+| Assets are submartingales long-horizon / mean-reverting short-horizon (VR<1 at 5–20d) | PROVEN (clean-lake VR study: median VR 0.88–0.92 across 5–20d, 37–47% of ETFs significantly mean-reverting) | EVIDENCE#034 → Q19 VR study |

 ## Model

@@ -72,8 +72,8 @@ The running scoreboard of every quantitative claim in the book. Updated per chap
 | Live funnel held: 10 targets → 10 decided → 10 placed → 9 filled | PROVEN | EVIDENCE#020 → round 3 |
 | Realized slippage ≈ 4.54 bps, est. cost ≈ $45, turnover 0.74 | PROVEN | EVIDENCE#020 → round 3 metrics |
 | Execution claims trace to round_id + reconcile, not backtest | PROVEN (methodology, round 3 settled) | EVIDENCE#020 |
-| 50-ETF panel results generalize to other universes | HYPOTHESIS — TODO(evidence-needed) | — |
-| Effective independent names in the 50-ETF book is small (≈4) | HYPOTHESIS (chat-derived eigenvalue analysis, pre-reset) | book/data/chat_mining/exp-polluted-lake.txt |
+| 50-ETF panel results generalize to other universes | REFUTED (Q14: single-stock universe RankIC −0.02, ICIR −0.07 — signal is noise) | EVIDENCE#033 → exp 50 (Q14) |
+| Effective independent names in the 50-ETF book is small (≈4) | PROVEN (clean-lake eigenvalue analysis: participation ratio 4.46, top-4 explain 66.8% var, 4 signal eigenvalues above Marchenko-Pastur bound) | EVIDENCE#035 → Q20 eigenanalysis |

 ## Open questions (settled by further experiments)

@@ -82,4 +82,6 @@ The running scoreboard of every quantitative claim in the book. Updated per chap
 - exp 18 risk-limit spec: re-validate $5M liquidity floor on the post-reset reference signal — DONE — refuted as an IR lever by Q08 (exp 40); keep as safety net only.
 - Weekly rebalance: reproduce on a second window / take to a live round.
 - Out-of-universe validation: non-ETF universe for the compact stochastic feature set. — DONE — refuted by Q14 (exp 50); RankIC −0.02, ICIR −0.07 on 30 liquid single-stock names.
- Long-horizon label (10d/22d) with a matching low-turnover construction (e.g. weekly recompute) — signal says the edge is there, cost says daily churn kills it; untested combination.
+- Long-horizon label (10d/22d) with a matching low-turnover construction (e.g. weekly recompute) — signal says the edge is there, cost says daily churn kills it; untested combination.
+- Martingale / variance-ratio study: DONE — PROVEN by Q19 scripted study; VR < 1 at 5–20d with significant z-stats for 37–47% of the panel.
+- Effective independent names: DONE — PROVEN by Q20 eigenvalue analysis; participation ratio ≈ 4.5, matching the chat-derived claim.