book: add EVIDENCE#036-041, update claims for Q12-Q18 findings

- EVIDENCE#036: Q12 22d label + weekly rebalance still fails (−4.88%)
- EVIDENCE#037: Q13 weekly rebalance edge is window-dependent (−4.21%)
- EVIDENCE#038: Q15 single-seed worse (clean-lake conf of #016)
- EVIDENCE#039: Q16 HMM features degrade on clean data (−6.06%)
- EVIDENCE#040: Q17 realized-moments improve portfolio (+9.90% IR 0.99)
- EVIDENCE#041: Q18 OptimalStopControl loses to TopkDropout (−6.21%)

Claims updated: H2 OptStop PROVEN, moments claim REFUTED on clean data,
weekly edge window-dependent PROVEN, HMM refuted, seed count updated.
Open questions marked done.

book/CLAIMS.md

@@ -11,6 +11,7 @@ The running scoreboard of every quantitative claim in the book. Updated per chap
 | General stochastic features (no TA/HMM/OU) have highest ICIR 0.340 on clean data | PROVEN | EVIDENCE#012 → exp 23 |
 | Compact stochastic set is the clean-lake reference (RankIC 0.0663, RankICIR 0.2545) | PROVEN | EVIDENCE#013 → exp 24 |
 | Adding OU mean-reversion (sp_ou_zscore) hurts on clean data | PROVEN (refuted direction) | EVIDENCE#014 → exp 25 |
+| HMM regime features (sp_hmm_p_regime1, sp_hmm_state) degrade both signal and portfolio on clean data | PROVEN (refuted direction) | EVIDENCE#039 → exp 47 (Q16) |
 | Multi-horizon momentum (M1) degrades the reference | PROVEN (refuted direction) | EVIDENCE#017 → exp 29 |
 | GARCH(1,1) vol-regime features add no signal | PROVEN (refuted direction) | EVIDENCE#019 → exp 31 |
 | Risk-adjusted 22d Sharpe drift (M2) improves portfolio metrics | PROVEN (reproduced on the compact set) | EVIDENCE#018 → exp 30; EVIDENCE#022 → exp 33 (Q01 repro) |
@@ -19,7 +20,7 @@ The running scoreboard of every quantitative claim in the book. Updated per chap
 | Long-horizon signal gains never monetize under daily-rebalance turnover (net worsens with label length) | PROVEN | EVIDENCE#025/026 → exp 36/37 (Q04/Q05) |
 | Standalone 5d reversal (single feature sp_trend_slope_5) does not reproduce — model learns positive IC, no reversal | PROVEN (refuted direction) | EVIDENCE#032 → exp 43 (Q11) |
 | Dropping model-specific feature families (ou, hmm) improves the rank signal | HYPOTHESIS (idea: pre-clean-lake, exp 9) | EVIDENCE#003 → exp 9 |
-| Adding moment/volatility families regresses the signal | HYPOTHESIS (idea: pre-clean-lake, exp 11) | EVIDENCE#004 → exp 11 |
+| Adding moment/volatility families regresses the signal | REFUTED on clean data (pre-reset EVIDENCE#004 was wrong — dirty-lake artifact). Clean-lake Q17: realized-moments (sp_rskew_5/22, sp_rkurt_5/22, sp_dsv_5/22) improve portfolio: net +9.90% IR 0.99 vs baseline +2.13% IR 0.21. Needs reproduction. | EVIDENCE#004 (pre-reset, superseded); EVIDENCE#040 → exp 48 (Q17, HYPOTHESIS) |
 | Baseline 1-day LGB signal is weak / costs erase most of the edge | HYPOTHESIS (idea: pre-clean-lake, exp 8) | EVIDENCE#001/002 → exp 8 |
 | 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) |
@@ -30,7 +31,7 @@ The running scoreboard of every quantitative claim in the book. Updated per chap
 
 | Claim | Status | Evidence |
 |-------|--------|----------|
-| Seed count is load-bearing: 2 seeds < 5 seeds on clean data | PROVEN | EVIDENCE#016 → exp 28 |
+| Seed count is load-bearing: 1-seed < 2-seed < 5-seed on clean data | PROVEN | EVIDENCE#016 → exp 28 (2-seed); EVIDENCE#038 → exp 46 (Q15, 1-seed confirmation) |
 | n_drop 2→1 flips net excess (−3.21% → +2.13%) with identical signal metrics | PROVEN | EVIDENCE#015 → exp 26 |
 | Cost drag is the binding constraint, not signal quality | PROVEN (clean data) | EVIDENCE#015 → exp 26 (IC/RankIC identical across n_drop) |
 | 10-seed ensemble raises rank metrics (RankIC 0.0671, L/S Sharpe 4.58) but book stays negative net (−0.93%) | PROVEN | EVIDENCE#023 → exp 34 (Q02) |
@@ -42,11 +43,12 @@ The running scoreboard of every quantitative claim in the book. Updated per chap
 
 | Claim | Status | Evidence |
 |-------|--------|----------|
-| TopkDropout beats stochastic-control OptimalStopControl on the ensemble signal | HYPOTHESIS (idea: pre-clean-lake exp 13/14; not re-tested post-reset) | EVIDENCE#006/007 |
+| TopkDropout beats stochastic-control OptimalStopControl on the ensemble signal | PROVEN | EVIDENCE#006/#007 (pre-reset); EVIDENCE#041 → exp 49 (Q18, clean-lake confirmation: net −6.21% IR −0.64 vs +2.13% IR 0.21) |
 | $5M liquidity floor improves IR and cuts drawdown | REFUTED (post-reset A/B: floor binds but no IR edge — candidate 1.512 < baseline 1.580; DD cut is defunding) | EVIDENCE#029 → exp 40 (Q08) |
 | Size/concentration caps hurt by cutting deployed capital | PROVEN (post-reset A/B: caps fold risk_degree ~0.0095, deploy ~$9.5k of $1M) | EVIDENCE#029 → exp 40 (Q08) |
 | Risk-limit gates are a safety net, not an alpha lever | PROVEN | EVIDENCE#029 → exp 40 (Q08) |
-| Weekly rebalance of the same signal is the campaign's best construction (net +12.51%, IR 1.24, maxDD −4.13%, ~1.1pp cost drag) | PROVEN | EVIDENCE#028 → exp 39 (Q07) |
+| Weekly rebalance of the same signal is the campaign's best construction (net +12.51%, IR 1.24, maxDD −4.13%, ~1.1pp cost drag) | PROVEN (single window: 2026-01-04..2026-08-10) | EVIDENCE#028 → exp 39 (Q07) |
+| Weekly rebalance edge is window-dependent — Q07's +12.51% does not generalize to the 2025 OOS window (Q13: net −4.21% IR −0.52, IC 0.031 vs 0.050) | PROVEN | EVIDENCE#037 → exp 45 (Q13) |
 | Turnover reduction (weekly) ≫ sizing (Kelly) ≫ gates (regime/risk-limit) as a performance lever | PROVEN | EVIDENCE#028 → exp 39 (Q07); EVIDENCE#027 → exp 38 (Q06); EVIDENCE#029/031 → exp 40/42 (Q08/Q10) |
 | Widening the book (topk 10→20) adds no net edge (−1.88%) | PROVEN (refuted direction) | EVIDENCE#024 → exp 35 (Q03) |
 | Fractional-Kelly sizing mildly improves but fails acceptance (net +1.04%, IR 0.11) | PROVEN (refuted direction) | EVIDENCE#027 → exp 38 (Q06) |
@@ -80,8 +82,11 @@ The running scoreboard of every quantitative claim in the book. Updated per chap
 - exp 30 M2 Sharpe-drift: DONE — reproduced on the compact set by Q01 (exp 33), promoted to PROVEN.
 - exp 15 Kelly sizing: re-run — DONE — refuted on the clean lake by Q06 (exp 38); mark the old hypothesis REFUTED.
 - 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.
+- Weekly rebalance: reproduce on a second window / take to a live round. — DONE — refuted by Q13 (exp 45); edge is window-dependent (net −4.21% on 2025 OOS). Q07's +12.51% was window-specific.
 - 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. — NEXT (Q21)
+- HMM features on clean data: — DONE — refuted by Q16 (exp 47); IC 0.030, net −6.06%. HMM adds noise, not signal.
+- Realized-moments on clean data: — DONE — confirmed by Q17 (exp 48); net +9.90% IR 0.99. Needs reproduction.
+- OptimalStopControl on clean data: — DONE — refuted by Q18 (exp 49); net −6.21% vs TopkDropout +2.13%.
 - 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.