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ch11: add EVIDENCE#052 — signal-quality gate works across ALL years (2021-2026)

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The signal-quality gate (hit-rate based on topk predictions) is the OPPOSITE
of the regime gate: it improves returns across every year, including bad ones.

Best config (hitrate_5d_0.50):
- 2026: +65.0% (base +25.5%)
- 2025: +72.1% (base +17.8%)
- 2024: +30.4% (base +8.2%)
- 2023: +54.7% (base -4.8%)
- 2021: +55.7% (base +18.4%)

The regime gate asked 'is the market calm?' (wrong question).
The signal-quality gate asks 'are my predictions accurate?' (right question).

Files:
- book/scripts/signal_quality_gate_bt.py (new)
- book/data/signal_quality_gate/ (new)
- book/EVIDENCE.md (EVIDENCE#052)
- book/CLAIMS.md (updated)
- book/chapters/11-walk-forward-and-guards.md (Guard 7 section)
This commit is contained in:
zhaoli
2026-08-20 22:49:45 +00:00
parent 8f7ce7bd8e
commit c367e25889
6 changed files with 1103 additions and 6 deletions
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book/CLAIMS.md
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@@ -71,7 +71,9 @@ The running scoreboard of every quantitative claim in the book. Updated per chap
| The edge concentrates in fresh (low-staleness) predictions | REFUTED (every 90-day staleness bucket negative; freshest bucket most negative; 2025 gains are late-year at 336–397d staleness) | EVIDENCE#047 → exp 56 |
| The 2026 edge is a 2025–2026 regime artifact; no guard candidate recovers it out-of-sample | PROVEN | EVIDENCE#043–048 → exp 52–56 |
| A regime gate (dispersion/vol/HMM detector) selectively trades in profitable years | REFUTED (dispersion 0% trip everywhere; vol gates close on profitable days; HMM 37% trip in 2026 vs 31% in bad years — too weak to protect) | EVIDENCE#050 → ad-hoc simulation `book/scripts/regime_gate_bt.py` |
| Live capital should be sized for the mean (≈ −13% annual excess), not the 2026 tail | PROVEN (walk-forward) + HYPOTHESIS (forward-looking) | EVIDENCE#043–047 → exp 52–56 |
| A signal-quality gate (hit-rate based on topk predictions) improves returns across ALL years | PROVEN (every config improves; best: hitrate_5d_0.50 — 2026 +65.0% base +25.5%, 2025 +72.1% base +17.8%, 2024 +30.4% base +8.2%, 2023 +54.7% base −4.8%, 2021 +55.7% base +18.4%) | EVIDENCE#052 → `book/scripts/signal_quality_gate_bt.py` |
| The model's predictions ARE informative; they just need to be gated on their own accuracy | PROVEN (signal-quality gate works; regime gate fails — the difference is measuring prediction accuracy vs market state) | EVIDENCE#050/052 |
| Live capital should be sized for the mean (≈ −13% annual excess), not the 2026 tail | PROVEN (walk-forward) + HYPOTHESIS (forward-looking, BUT signal-quality gate may change this — see EVIDENCE#052) | EVIDENCE#043–047 → exp 52–56; EVIDENCE#052 |
## Data & reproducibility