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book: resolve 4 open questions with Q12/Q13/Q14/Q21 evidence; update README + chapters 07/09/12

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zhaoli
2026-08-20 05:50:03 +00:00
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## Open questions for the desk
- `TODO(evidence-needed: weekly-rebalance result (exp 39) reproduced on a second window before promotion to a live round)`
- `TODO(evidence-needed: long-horizon label (10d/22d) paired with a low-turnover construction — the signal edge is proven, the cost kills daily churn)`
- `TODO(evidence-needed: out-of-universe (non-ETF) validation of the compact stochastic feature set)`
- `TODO(evidence-needed: exp 18 risk-limit spec reconciliation — post-reset A/B (exp 40) shows it is a safety net, not alpha)`
- `TODO(evidence-needed: a second live round beyond round 3, to confirm slippage and funnel hold under a different market regime)`
- `TODO(evidence-needed: reconcile realized cost against the 5bp/15bp/$5 backtest model over a full position window)`
- `TODO(evidence-needed: whether sp_sharpe_22 still helps when combined with the weekly-rebalance construction of ch. 08)`
- `TODO(evidence-needed: purged walk-forward CV instead of single train/valid split on the exp-26 reference)`
- `TODO(evidence-needed: automated lake-integrity check wired into every experiment run, not only on demand)`
- `TODO(evidence-needed: live round under weekly-rebalance construction with risk-limit spec, to confirm safety-net behavior at higher deployed capital)`
### Settled open questions (no longer active)
- ~~`weekly-rebalance result (exp 39) reproduced on a second window before promotion to a live round`~~ — **ANSWERED (negatively):** Q13 (exp 45) tested weekly on 2025 OOS: net −4.21% IR −0.52. The edge is window-dependent, not robust. `EVIDENCE#037`.
- ~~`long-horizon label (10d/22d) paired with a low-turnover construction`~~ — **ANSWERED:** Q12 (exp 44): 22d+weekly net −4.88% IR −0.566. Q21 (exp 51): 10d+weekly net +1.19% IR 0.148. Both below IR 0.5 acceptance. Weekly is a universal cost lever (~10pp improvement) but the5d label remains the sweet spot. `EVIDENCE#036/042`.
- ~~`out-of-universe (non-ETF) validation of the compact stochastic feature set`~~ — **ANSWERED (negatively):** Q14 (exp 50): RankIC −0.02, ICIR −0.07 on 30 liquid single-stock names. Signal is noise outside the 50-ETF panel. `EVIDENCE#033`.
- ~~`exp 18 risk-limit spec reconciliation — post-reset A/B (exp 40) shows it is a safety net, not alpha`~~ — **ANSWERED:** Q08 (exp 40): $5M floor binds but adds no IR edge (candidate 1.512 < baseline 1.580). DD relief is pure defunding. `EVIDENCE#029`.