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book: add Q21 (EVIDENCE#042) — 10d+weekly net +1.19% IR 0.148, below acceptance but confirms weekly-rebalance universality

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zhaoli
2026-08-20 05:42:38 +00:00
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book/CLAIMS.md
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@@ -49,6 +49,7 @@ The running scoreboard of every quantitative claim in the book. Updated per chap
| 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 (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) |
| Weekly rebalance is a universal cost lever — delivers ~10pp improvement across label horizons (5d: +10.38pp via Q07, 10d: +11.11pp via Q21) but the 5d label remains the sweet spot (IR 1.24 vs 0.148) | PROVEN | EVIDENCE#028 → exp 39 (Q07); EVIDENCE#042 → exp 51 (Q21) |
| 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) |
@@ -84,7 +85,7 @@ 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. — 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. — NEXT (Q21)
- 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. — DONE — partially refuted by Q21 (exp 51): 10d+weekly net +1.19% IR 0.148 (below 0.5 acceptance). Weekly rebalance is a universal cost lever (~10pp improvement for both 5d and 10d labels) but the 5d label remains the sweet spot. The 10d label's signal quality (IC 0.093) is strong but not enough to overcome the higher turnover.
- 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%.