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

2026-08-20 05:42:38 +00:00
parent 63763db38c
commit 731a377f44
2 changed files with 3 additions and 1 deletions
@@ -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%.
@@ -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