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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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@@ -58,6 +58,7 @@ Experiments 8–18 record metrics under a legacy schema (`ls_sharpe`, `maxdd_wit
| EVIDENCE#039 | Q16 HMM features (sp_hmm_p_regime1, sp_hmm_state) on clean data: degrades both signal and portfolio. IC 0.030 (vs 0.050 baseline), RankIC 0.048 (vs 0.066), net −6.06% (IR −0.623), L/S Sharpe 1.23 (vs 4.54). HMM regime detection adds noise, not signal. | exp 47, run `ff092e1c…` (mlflow exp 47), branch `exp/47-q16-hmm` | yes — Q16 FAIL (HMM refuted on clean data) |
| EVIDENCE#040 | Q17 realized-moments features (sp_rskew_5/22, sp_rkurt_5/22, sp_dsv_5/22) on clean data: improves portfolio over baseline. Net +9.90% (IR 0.990), gross +14.61%, maxDD −6.49% vs baseline net +2.13% (IR 0.21). IC 0.039 (vs 0.050), RankIC 0.060 (vs 0.066) — signal metrics slightly lower but portfolio construction benefits from moment conditioning. Contradicts pre-reset EVIDENCE#004 (which was inflated by dirty data). Single run, unreproduced. | exp 48, run `e62ce326…` (mlflow exp 48), branch `exp/48-q17-moments` | yes — Q17 HYPOTHESIS (needs reproduction) |
| EVIDENCE#041 | Q18 OptimalStopControl (entry 0.85/exit 0.7/hold 10/sl −0.08) vs TopkDropout on clean data: same signal (IC 0.050, RankIC 0.066 — identical model), worse portfolio. Net −6.21% (IR −0.640) vs baseline +2.13% (IR 0.21). Cost drag ~8.3pp. Clean-lake confirmation of pre-reset EVIDENCE#006/#007. | exp 49, run `f140dcb8…` (mlflow exp 49), branch `exp/49-q18-optstop` | yes — Q18 FAIL (confirms EVIDENCE#006/#007 on clean data) |
| EVIDENCE#042 | Q21 10d label + weekly rebalance: cost drag cut from 4.61pp (Q04 daily) to 1.05pp (weekly). Net flipped from −9.92% to +1.19% (IR 0.148, maxDD −4.78%). Signal identical to Q04 (IC 0.093, RankIC 0.096). Weekly rebalance delivers ~10pp improvement regardless of label horizon (5d: +10.38pp via Q07, 10d: +11.11pp via Q21). But IR 0.148 < 0.5 acceptance — 5d+weekly (Q07, IR 1.24) remains the best construction. | exp 51, run `046c93a6…` (mlflow exp 51), branch `exp/51-q21-test-10d-label--weekly-rebalance-q04` | yes — Q21 FAIL (below IR bar, but confirms weekly-rebalance universality) |
## Live execution trail