ch11: signal-quality gate REFUTED — walk-forward workflow shows gate harmful (exp 61-67, EVIDENCE#053)

2026-08-21 02:35:50 +00:00
parent 1603a063ba
commit 6e3c82408c
26 changed files with 4934 additions and 27 deletions
@@ -0,0 +1,142 @@
+[
+  {
+    "year": "2026",
+    "ideal_100_zc": {
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+      "sharpe": 0.5512,
+      "maxDD": -0.0947
+    },
+    "ideal_95_zc": {
+      "ann_ret": 0.088,
+      "sharpe": 0.5545,
+      "maxDD": -0.0901
+    },
+    "ideal_95_10bp": {
+      "ann_ret": 0.0647,
+      "sharpe": 0.4077,
+      "maxDD": -0.0945
+    },
+    "wf_exact_95_nogate": {
+      "ann_ret": 0.2117,
+      "sharpe": 1.2681,
+      "maxDD": -0.1039
+    },
+    "wf_exact_95_gate": {
+      "ann_ret": 0.0146,
+      "sharpe": 0.1372,
+      "maxDD": -0.0668
+    }
+  },
+  {
+    "year": "2025",
+    "ideal_100_zc": {
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+      "sharpe": 0.9416,
+      "maxDD": -0.1809
+    },
+    "ideal_95_zc": {
+      "ann_ret": 0.1688,
+      "sharpe": 0.9431,
+      "maxDD": -0.1725
+    },
+    "ideal_95_10bp": {
+      "ann_ret": 0.1436,
+      "sharpe": 0.8026,
+      "maxDD": -0.1754
+    },
+    "wf_exact_95_nogate": {
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+      "sharpe": 1.1963,
+      "maxDD": -0.1864
+    },
+    "wf_exact_95_gate": {
+      "ann_ret": 0.0777,
+      "sharpe": 0.8239,
+      "maxDD": -0.0773
+    }
+  },
+  {
+    "year": "2024",
+    "ideal_100_zc": {
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+      "sharpe": 0.232,
+      "maxDD": -0.0807
+    },
+    "ideal_95_zc": {
+      "ann_ret": 0.0304,
+      "sharpe": 0.2353,
+      "maxDD": -0.0768
+    },
+    "ideal_95_10bp": {
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+      "sharpe": 0.0393,
+      "maxDD": -0.0796
+    },
+    "wf_exact_95_nogate": {
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+      "sharpe": 0.4145,
+      "maxDD": -0.0951
+    },
+    "wf_exact_95_gate": {
+      "ann_ret": -0.0261,
+      "sharpe": -0.2782,
+      "maxDD": -0.1157
+    }
+  },
+  {
+    "year": "2023",
+    "ideal_100_zc": {
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+      "sharpe": 0.7325,
+      "maxDD": -0.1237
+    },
+    "ideal_95_zc": {
+      "ann_ret": 0.0976,
+      "sharpe": 0.7345,
+      "maxDD": -0.1178
+    },
+    "ideal_95_10bp": {
+      "ann_ret": 0.0724,
+      "sharpe": 0.5449,
+      "maxDD": -0.1238
+    },
+    "wf_exact_95_nogate": {
+      "ann_ret": 0.0327,
+      "sharpe": 0.2259,
+      "maxDD": -0.1517
+    },
+    "wf_exact_95_gate": {
+      "ann_ret": 0.0094,
+      "sharpe": 0.0968,
+      "maxDD": -0.1036
+    }
+  },
+  {
+    "year": "2021",
+    "ideal_100_zc": {
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+      "sharpe": 0.7781,
+      "maxDD": -0.1122
+    },
+    "ideal_95_zc": {
+      "ann_ret": 0.1219,
+      "sharpe": 0.7803,
+      "maxDD": -0.1068
+    },
+    "ideal_95_10bp": {
+      "ann_ret": 0.0971,
+      "sharpe": 0.6218,
+      "maxDD": -0.1079
+    },
+    "wf_exact_95_nogate": {
+      "ann_ret": 0.0476,
+      "sharpe": 0.0429,
+      "maxDD": -0.3489
+    },
+    "wf_exact_95_gate": {
+      "ann_ret": -0.0227,
+      "sharpe": -0.0318,
+      "maxDD": -0.2398
+    }
+  }
+]