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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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book/chapters/07-isolation-runs.md
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1. Fix the reference and the acceptance bar *before* the series; change one variable per run.
2. Record signal metrics and net-of-cost metrics side by side — a signal gain that does not clear costs is not a strategy gain (Q02, Q04, Q05).
3. A single-feature "obvious" edge must be tested standalone before being trusted in a bundle (Q11 refuted it).
4. `TODO(evidence-needed: reproduce Q07 weekly rebalance on a second window, and Q01's sp_sharpe_22 in a live round)`
4. ~~`TODO(evidence-needed: reproduce Q07 weekly rebalance on a second window, and Q01's sp_sharpe_22 in a live round)`~~ — Weekly rebalance second window: **answered (negatively)** by Q13 (exp 45, net −4.21% IR −0.52, edge is window-dependent). sp_sharpe_22 in a live round: still open.
## Evidence cited in this chapter
book/chapters/09-cost-turnover-frontier.md
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- **Cadence (proven).** Weekly recompute of a 5-day signal is the single biggest lever found: ~1.1pp drag, +12.51% net. `PROVEN — EVIDENCE#028 → exp 39`.
- **Dropped-name policy (proven).** n_drop 2→1 (hold, don't re-trade) bought ~5pp. `PROVEN — EVIDENCE#015 → exp 26`.
- **Sizing (weak).** Kelly-style sizing scaled exposure but did not change the turnover bill (Q06, +1.04% net). `PROVEN — EVIDENCE#027 → exp 38`.
- **Label horizon (counterintuitive).** Longer labels improve the *signal* monotonically (22d IC 0.097, RankIC 0.117) but *worsen net* under daily churn (Q05: −4.60%). The horizon gain is real but unmonetized. `PROVEN — EVIDENCE#026 → exp 37`. `TODO(evidence-needed: long-horizon label at weekly cadence — the combination is untested and is the book's most promising open cell)`.
- **Label horizon (counterintuitive).** Longer labels improve the *signal* monotonically (22d IC 0.097, RankIC 0.117) but *worsen net* under daily churn (Q05: −4.60%). The horizon gain is real but unmonetized. `PROVEN — EVIDENCE#026 → exp 37`. ~~`TODO(evidence-needed: long-horizon label at weekly cadence — the combination is untested and is the book's most promising open cell)`~~ — **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`.
## Desk rules distilled from this chapter
book/chapters/12-synthesis.md
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## Open questions
- `TODO(evidence-needed: reproduce exp 39 weekly rebalance on a second window, then a live round)`
- `TODO(evidence-needed: long-horizon label at weekly cadence — the proven signal edge with the proven low-turnover construction)`
- `TODO(evidence-needed: out-of-universe (non-ETF) validation of the compact stochastic set)`
- `TODO(evidence-needed: realized-cost reconciliation of the weekly construction against the 5bp/15bp/$5 model once live)`
- `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)`
### Settled open questions
- ~~`reproduce exp 39 weekly rebalance on a second window, then 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 at weekly cadence — the proven signal edge with the proven 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 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`.
## Evidence cited in this chapter