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

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zhaoli
2026-08-21 02:35:50 +00:00
parent 1603a063ba
commit 6e3c82408c
26 changed files with 4934 additions and 27 deletions
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book/data/signal_quality_gate/signal_quality_gate_retrained.csv
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source,window,gate,start,end,trade_dates,gate_open,gate_closed,trip_rate,base_ann,base_sharpe,base_maxDD,gated_ann,gated_sharpe,gated_maxDD
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retrained,2026,hitrate_5d_0.60,2026-01-04,2026-08-19,150,38,112,0.7467,0.253239,1.517,-0.067104,0.458143,5.9258,-0.013092
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retrained,2025,hitrate_20d_0.60,2025-01-02,2025-12-31,250,54,196,0.784,0.155804,0.8373,-0.196751,0.212675,3.3231,-0.023704
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retrained,2023,hitrate_5d_0.50,2023-01-03,2023-12-29,250,131,119,0.476,0.059638,0.3986,-0.126894,0.580855,5.6532,-0.024506
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retrained,2023,hitrate_5d_0.70,2023-01-03,2023-12-29,250,32,218,0.872,0.059638,0.3986,-0.126894,0.202111,3.4801,-0.021868
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retrained,2023,hitrate_10d_0.70,2023-01-03,2023-12-29,250,13,237,0.948,0.059638,0.3986,-0.126894,0.056813,1.5786,-0.009656
retrained,2023,hitrate_20d_0.40,2023-01-03,2023-12-29,250,235,15,0.06,0.059638,0.3986,-0.126894,0.079439,0.5449,-0.11414
retrained,2023,hitrate_20d_0.50,2023-01-03,2023-12-29,250,131,119,0.476,0.059638,0.3986,-0.126894,0.279296,2.5428,-0.045109
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1 source window gate start end trade_dates gate_open gate_closed trip_rate base_ann base_sharpe base_maxDD gated_ann gated_sharpe gated_maxDD
2 retrained 2026 hitrate_5d_0.50 2026-01-04 2026-08-19 150 84 66 0.44 0.253239 1.517 -0.067104 0.648996 6.2501 -0.023442
3 retrained 2026 hitrate_5d_0.60 2026-01-04 2026-08-19 150 38 112 0.7467 0.253239 1.517 -0.067104 0.458143 5.9258 -0.013092
4 retrained 2026 hitrate_5d_0.70 2026-01-04 2026-08-19 150 12 138 0.92 0.253239 1.517 -0.067104 0.176528 3.9923 -0.005153
5 retrained 2026 hitrate_10d_0.50 2026-01-04 2026-08-19 150 86 64 0.4267 0.253239 1.517 -0.067104 0.288162 2.5775 -0.039705
6 retrained 2026 hitrate_10d_0.60 2026-01-04 2026-08-19 150 26 124 0.8267 0.253239 1.517 -0.067104 0.145763 2.968 -0.013348
7 retrained 2026 hitrate_10d_0.70 2026-01-04 2026-08-19 150 5 145 0.9667 0.253239 1.517 -0.067104 -0.003575 -0.314 -0.008187
8 retrained 2026 hitrate_20d_0.40 2026-01-04 2026-08-19 150 148 2 0.0133 0.253239 1.517 -0.067104 0.286286 1.7156 -0.067104
9 retrained 2026 hitrate_20d_0.50 2026-01-04 2026-08-19 150 99 51 0.34 0.253239 1.517 -0.067104 0.268662 2.2268 -0.040318
10 retrained 2026 hitrate_20d_0.60 2026-01-04 2026-08-19 150 12 138 0.92 0.253239 1.517 -0.067104 0.031825 1.688 -0.008187
11 retrained 2025 hitrate_5d_0.50 2025-01-02 2025-12-31 250 155 95 0.38 0.155804 0.8373 -0.196751 0.628161 6.0366 -0.055513
12 retrained 2025 hitrate_5d_0.60 2025-01-02 2025-12-31 250 96 154 0.616 0.155804 0.8373 -0.196751 0.376382 4.6887 -0.047153
13 retrained 2025 hitrate_5d_0.70 2025-01-02 2025-12-31 250 37 213 0.852 0.155804 0.8373 -0.196751 0.224845 4.7438 -0.008613
14 retrained 2025 hitrate_10d_0.50 2025-01-02 2025-12-31 250 166 84 0.336 0.155804 0.8373 -0.196751 0.374546 3.2685 -0.055513
15 retrained 2025 hitrate_10d_0.60 2025-01-02 2025-12-31 250 71 179 0.716 0.155804 0.8373 -0.196751 0.238719 4.022 -0.013238
16 retrained 2025 hitrate_10d_0.70 2025-01-02 2025-12-31 250 13 237 0.948 0.155804 0.8373 -0.196751 0.034654 1.1514 -0.008803
17 retrained 2025 hitrate_20d_0.40 2025-01-02 2025-12-31 250 250 0 0.0 0.155804 0.8373 -0.196751 0.155804 0.8373 -0.196751
18 retrained 2025 hitrate_20d_0.50 2025-01-02 2025-12-31 250 185 65 0.26 0.155804 0.8373 -0.196751 0.352176 3.3794 -0.033798
19 retrained 2025 hitrate_20d_0.60 2025-01-02 2025-12-31 250 54 196 0.784 0.155804 0.8373 -0.196751 0.212675 3.3231 -0.023704
20 retrained 2024 hitrate_5d_0.50 2024-01-02 2024-12-31 253 145 108 0.4269 -0.031528 -0.2293 -0.08828 0.431873 4.428 -0.028721
21 retrained 2024 hitrate_5d_0.60 2024-01-02 2024-12-31 253 70 183 0.7233 -0.031528 -0.2293 -0.08828 0.381231 5.4692 -0.015471
22 retrained 2024 hitrate_5d_0.70 2024-01-02 2024-12-31 253 25 228 0.9012 -0.031528 -0.2293 -0.08828 0.152242 3.8328 -0.004761
23 retrained 2024 hitrate_10d_0.50 2024-01-02 2024-12-31 253 156 97 0.3834 -0.031528 -0.2293 -0.08828 0.25073 2.3932 -0.037139
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65 reference 2024 hitrate_5d_0.50 2024-01-02 2024-12-31 253 139 114 0.4506 0.08229 0.5594 -0.10685 0.30351 2.4275 -0.088219
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71 reference 2024 hitrate_20d_0.40 2024-01-02 2024-12-31 253 247 6 0.0237 0.08229 0.5594 -0.10685 0.078007 0.5342 -0.10685
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83 reference 2021 hitrate_5d_0.50 2021-01-04 2021-12-31 252 145 107 0.4246 0.18367 1.0979 -0.102651 0.556615 5.9167 -0.028062
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86 reference 2021 hitrate_10d_0.50 2021-01-04 2021-12-31 252 163 89 0.3532 0.18367 1.0979 -0.102651 0.465023 4.2342 -0.040569
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88 reference 2021 hitrate_10d_0.70 2021-01-04 2021-12-31 252 13 239 0.9484 0.18367 1.0979 -0.102651 0.06108 2.7055 -0.000262
89 reference 2021 hitrate_20d_0.40 2021-01-04 2021-12-31 252 252 0 0.0 0.18367 1.0979 -0.102651 0.18367 1.0979 -0.102651
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91 reference 2021 hitrate_20d_0.60 2021-01-04 2021-12-31 252 38 214 0.8492 0.18367 1.0979 -0.102651 0.104685 2.394 -0.015084
book/data/signal_quality_gate/signal_quality_gate_retrained.json
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