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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
Download Patch File Download Diff File Expand all files Collapse all files
book/data/signal_quality_gate/signal_quality_gate_results.csv
+46
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window,gate,start,end,trade_dates,gate_open,gate_closed,trip_rate,base_ann,base_sharpe,base_maxDD,gated_ann,gated_sharpe,gated_maxDD
2026,hitrate_5d_0.50,2026-01-04,2026-08-19,157,92,65,0.414,0.255023,1.4465,-0.080671,0.649911,5.7351,-0.031795
2026,hitrate_5d_0.60,2026-01-04,2026-08-19,157,49,108,0.6879,0.255023,1.4465,-0.080671,0.489313,6.0111,-0.014864
2026,hitrate_5d_0.70,2026-01-04,2026-08-19,157,15,142,0.9045,0.255023,1.4465,-0.080671,0.229523,4.3611,-0.002029
2026,hitrate_10d_0.50,2026-01-04,2026-08-19,157,109,48,0.3057,0.255023,1.4465,-0.080671,0.335822,2.6391,-0.060142
2026,hitrate_10d_0.60,2026-01-04,2026-08-19,157,36,121,0.7707,0.255023,1.4465,-0.080671,0.251108,3.8579,-0.026842
2026,hitrate_10d_0.70,2026-01-04,2026-08-19,157,9,148,0.9427,0.255023,1.4465,-0.080671,0.039314,1.3415,-0.012061
2026,hitrate_20d_0.40,2026-01-04,2026-08-19,157,157,0,0.0,0.255023,1.4465,-0.080671,0.255023,1.4465,-0.080671
2026,hitrate_20d_0.50,2026-01-04,2026-08-19,157,118,39,0.2484,0.255023,1.4465,-0.080671,0.343819,2.5185,-0.06259
2026,hitrate_20d_0.60,2026-01-04,2026-08-19,157,28,129,0.8217,0.255023,1.4465,-0.080671,0.020214,0.3601,-0.028489
2025,hitrate_5d_0.50,2025-01-02,2025-12-31,250,153,97,0.388,0.177515,0.8573,-0.217417,0.72055,6.9599,-0.048495
2025,hitrate_5d_0.60,2025-01-02,2025-12-31,250,90,160,0.64,0.177515,0.8573,-0.217417,0.48564,5.3623,-0.046673
2025,hitrate_5d_0.70,2025-01-02,2025-12-31,250,39,211,0.844,0.177515,0.8573,-0.217417,0.249221,4.9448,-0.009619
2025,hitrate_10d_0.50,2025-01-02,2025-12-31,250,170,80,0.32,0.177515,0.8573,-0.217417,0.435847,3.5614,-0.055776
2025,hitrate_10d_0.60,2025-01-02,2025-12-31,250,66,184,0.736,0.177515,0.8573,-0.217417,0.324574,5.2279,-0.016028
2025,hitrate_10d_0.70,2025-01-02,2025-12-31,250,14,236,0.944,0.177515,0.8573,-0.217417,0.043002,1.4635,-0.010154
2025,hitrate_20d_0.40,2025-01-02,2025-12-31,250,247,3,0.012,0.177515,0.8573,-0.217417,0.202949,0.9896,-0.217417
2025,hitrate_20d_0.50,2025-01-02,2025-12-31,250,177,73,0.292,0.177515,0.8573,-0.217417,0.340772,2.8303,-0.071731
2025,hitrate_20d_0.60,2025-01-02,2025-12-31,250,48,202,0.808,0.177515,0.8573,-0.217417,0.266028,4.1749,-0.021527
2024,hitrate_5d_0.50,2024-01-02,2024-12-31,253,139,114,0.4506,0.08229,0.5594,-0.10685,0.30351,2.4275,-0.088219
2024,hitrate_5d_0.60,2024-01-02,2024-12-31,253,71,182,0.7194,0.08229,0.5594,-0.10685,0.265365,2.4908,-0.078304
2024,hitrate_5d_0.70,2024-01-02,2024-12-31,253,19,234,0.9249,0.08229,0.5594,-0.10685,0.143125,3.377,-0.003364
2024,hitrate_10d_0.50,2024-01-02,2024-12-31,253,157,96,0.3794,0.08229,0.5594,-0.10685,0.277421,2.5767,-0.043146
2024,hitrate_10d_0.60,2024-01-02,2024-12-31,253,37,216,0.8538,0.08229,0.5594,-0.10685,0.207161,3.6083,-0.011122
2024,hitrate_10d_0.70,2024-01-02,2024-12-31,253,7,246,0.9723,0.08229,0.5594,-0.10685,0.031785,1.7408,-0.002083
2024,hitrate_20d_0.40,2024-01-02,2024-12-31,253,247,6,0.0237,0.08229,0.5594,-0.10685,0.078007,0.5342,-0.10685
2024,hitrate_20d_0.50,2024-01-02,2024-12-31,253,177,76,0.3004,0.08229,0.5594,-0.10685,0.210672,1.8469,-0.056207
2024,hitrate_20d_0.60,2024-01-02,2024-12-31,253,13,240,0.9486,0.08229,0.5594,-0.10685,0.005953,0.3039,-0.014443
2023,hitrate_5d_0.50,2023-01-03,2023-12-29,250,139,111,0.444,-0.047644,-0.2738,-0.197856,0.546654,4.2124,-0.035676
2023,hitrate_5d_0.60,2023-01-03,2023-12-29,250,79,171,0.684,-0.047644,-0.2738,-0.197856,0.556291,5.1026,-0.025449
2023,hitrate_5d_0.70,2023-01-03,2023-12-29,250,34,216,0.864,-0.047644,-0.2738,-0.197856,0.404269,4.4477,-0.013842
2023,hitrate_10d_0.50,2023-01-03,2023-12-29,250,148,102,0.408,-0.047644,-0.2738,-0.197856,0.459869,3.5211,-0.046921
2023,hitrate_10d_0.60,2023-01-03,2023-12-29,250,62,188,0.752,-0.047644,-0.2738,-0.197856,0.368232,4.0148,-0.022983
2023,hitrate_10d_0.70,2023-01-03,2023-12-29,250,13,237,0.948,-0.047644,-0.2738,-0.197856,0.091481,2.1324,-0.010866
2023,hitrate_20d_0.40,2023-01-03,2023-12-29,250,237,13,0.052,-0.047644,-0.2738,-0.197856,0.06639,0.3895,-0.146704
2023,hitrate_20d_0.50,2023-01-03,2023-12-29,250,149,101,0.404,-0.047644,-0.2738,-0.197856,0.366016,2.5969,-0.063998
2023,hitrate_20d_0.60,2023-01-03,2023-12-29,250,40,210,0.84,-0.047644,-0.2738,-0.197856,0.149844,2.2645,-0.032267
2021,hitrate_5d_0.50,2021-01-04,2021-12-31,252,145,107,0.4246,0.18367,1.0979,-0.102651,0.556615,5.9167,-0.028062
2021,hitrate_5d_0.60,2021-01-04,2021-12-31,252,68,184,0.7302,0.18367,1.0979,-0.102651,0.351867,5.8468,-0.011638
2021,hitrate_5d_0.70,2021-01-04,2021-12-31,252,26,226,0.8968,0.18367,1.0979,-0.102651,0.148417,3.9593,-0.0041
2021,hitrate_10d_0.50,2021-01-04,2021-12-31,252,163,89,0.3532,0.18367,1.0979,-0.102651,0.465023,4.2342,-0.040569
2021,hitrate_10d_0.60,2021-01-04,2021-12-31,252,51,201,0.7976,0.18367,1.0979,-0.102651,0.21802,4.7978,-0.011134
2021,hitrate_10d_0.70,2021-01-04,2021-12-31,252,13,239,0.9484,0.18367,1.0979,-0.102651,0.06108,2.7055,-0.000262
2021,hitrate_20d_0.40,2021-01-04,2021-12-31,252,252,0,0.0,0.18367,1.0979,-0.102651,0.18367,1.0979,-0.102651
2021,hitrate_20d_0.50,2021-01-04,2021-12-31,252,166,86,0.3413,0.18367,1.0979,-0.102651,0.289756,2.5787,-0.049244
2021,hitrate_20d_0.60,2021-01-04,2021-12-31,252,38,214,0.8492,0.18367,1.0979,-0.102651,0.104685,2.394,-0.015084
1 window gate start end trade_dates gate_open gate_closed trip_rate base_ann base_sharpe base_maxDD gated_ann gated_sharpe gated_maxDD
2 2026 hitrate_5d_0.50 2026-01-04 2026-08-19 157 92 65 0.414 0.255023 1.4465 -0.080671 0.649911 5.7351 -0.031795
3 2026 hitrate_5d_0.60 2026-01-04 2026-08-19 157 49 108 0.6879 0.255023 1.4465 -0.080671 0.489313 6.0111 -0.014864
4 2026 hitrate_5d_0.70 2026-01-04 2026-08-19 157 15 142 0.9045 0.255023 1.4465 -0.080671 0.229523 4.3611 -0.002029
5 2026 hitrate_10d_0.50 2026-01-04 2026-08-19 157 109 48 0.3057 0.255023 1.4465 -0.080671 0.335822 2.6391 -0.060142
6 2026 hitrate_10d_0.60 2026-01-04 2026-08-19 157 36 121 0.7707 0.255023 1.4465 -0.080671 0.251108 3.8579 -0.026842
7 2026 hitrate_10d_0.70 2026-01-04 2026-08-19 157 9 148 0.9427 0.255023 1.4465 -0.080671 0.039314 1.3415 -0.012061
8 2026 hitrate_20d_0.40 2026-01-04 2026-08-19 157 157 0 0.0 0.255023 1.4465 -0.080671 0.255023 1.4465 -0.080671
9 2026 hitrate_20d_0.50 2026-01-04 2026-08-19 157 118 39 0.2484 0.255023 1.4465 -0.080671 0.343819 2.5185 -0.06259
10 2026 hitrate_20d_0.60 2026-01-04 2026-08-19 157 28 129 0.8217 0.255023 1.4465 -0.080671 0.020214 0.3601 -0.028489
11 2025 hitrate_5d_0.50 2025-01-02 2025-12-31 250 153 97 0.388 0.177515 0.8573 -0.217417 0.72055 6.9599 -0.048495
12 2025 hitrate_5d_0.60 2025-01-02 2025-12-31 250 90 160 0.64 0.177515 0.8573 -0.217417 0.48564 5.3623 -0.046673
13 2025 hitrate_5d_0.70 2025-01-02 2025-12-31 250 39 211 0.844 0.177515 0.8573 -0.217417 0.249221 4.9448 -0.009619
14 2025 hitrate_10d_0.50 2025-01-02 2025-12-31 250 170 80 0.32 0.177515 0.8573 -0.217417 0.435847 3.5614 -0.055776
15 2025 hitrate_10d_0.60 2025-01-02 2025-12-31 250 66 184 0.736 0.177515 0.8573 -0.217417 0.324574 5.2279 -0.016028
16 2025 hitrate_10d_0.70 2025-01-02 2025-12-31 250 14 236 0.944 0.177515 0.8573 -0.217417 0.043002 1.4635 -0.010154
17 2025 hitrate_20d_0.40 2025-01-02 2025-12-31 250 247 3 0.012 0.177515 0.8573 -0.217417 0.202949 0.9896 -0.217417
18 2025 hitrate_20d_0.50 2025-01-02 2025-12-31 250 177 73 0.292 0.177515 0.8573 -0.217417 0.340772 2.8303 -0.071731
19 2025 hitrate_20d_0.60 2025-01-02 2025-12-31 250 48 202 0.808 0.177515 0.8573 -0.217417 0.266028 4.1749 -0.021527
20 2024 hitrate_5d_0.50 2024-01-02 2024-12-31 253 139 114 0.4506 0.08229 0.5594 -0.10685 0.30351 2.4275 -0.088219
21 2024 hitrate_5d_0.60 2024-01-02 2024-12-31 253 71 182 0.7194 0.08229 0.5594 -0.10685 0.265365 2.4908 -0.078304
22 2024 hitrate_5d_0.70 2024-01-02 2024-12-31 253 19 234 0.9249 0.08229 0.5594 -0.10685 0.143125 3.377 -0.003364
23 2024 hitrate_10d_0.50 2024-01-02 2024-12-31 253 157 96 0.3794 0.08229 0.5594 -0.10685 0.277421 2.5767 -0.043146
24 2024 hitrate_10d_0.60 2024-01-02 2024-12-31 253 37 216 0.8538 0.08229 0.5594 -0.10685 0.207161 3.6083 -0.011122
25 2024 hitrate_10d_0.70 2024-01-02 2024-12-31 253 7 246 0.9723 0.08229 0.5594 -0.10685 0.031785 1.7408 -0.002083
26 2024 hitrate_20d_0.40 2024-01-02 2024-12-31 253 247 6 0.0237 0.08229 0.5594 -0.10685 0.078007 0.5342 -0.10685
27 2024 hitrate_20d_0.50 2024-01-02 2024-12-31 253 177 76 0.3004 0.08229 0.5594 -0.10685 0.210672 1.8469 -0.056207
28 2024 hitrate_20d_0.60 2024-01-02 2024-12-31 253 13 240 0.9486 0.08229 0.5594 -0.10685 0.005953 0.3039 -0.014443
29 2023 hitrate_5d_0.50 2023-01-03 2023-12-29 250 139 111 0.444 -0.047644 -0.2738 -0.197856 0.546654 4.2124 -0.035676
30 2023 hitrate_5d_0.60 2023-01-03 2023-12-29 250 79 171 0.684 -0.047644 -0.2738 -0.197856 0.556291 5.1026 -0.025449
31 2023 hitrate_5d_0.70 2023-01-03 2023-12-29 250 34 216 0.864 -0.047644 -0.2738 -0.197856 0.404269 4.4477 -0.013842
32 2023 hitrate_10d_0.50 2023-01-03 2023-12-29 250 148 102 0.408 -0.047644 -0.2738 -0.197856 0.459869 3.5211 -0.046921
33 2023 hitrate_10d_0.60 2023-01-03 2023-12-29 250 62 188 0.752 -0.047644 -0.2738 -0.197856 0.368232 4.0148 -0.022983
34 2023 hitrate_10d_0.70 2023-01-03 2023-12-29 250 13 237 0.948 -0.047644 -0.2738 -0.197856 0.091481 2.1324 -0.010866
35 2023 hitrate_20d_0.40 2023-01-03 2023-12-29 250 237 13 0.052 -0.047644 -0.2738 -0.197856 0.06639 0.3895 -0.146704
36 2023 hitrate_20d_0.50 2023-01-03 2023-12-29 250 149 101 0.404 -0.047644 -0.2738 -0.197856 0.366016 2.5969 -0.063998
37 2023 hitrate_20d_0.60 2023-01-03 2023-12-29 250 40 210 0.84 -0.047644 -0.2738 -0.197856 0.149844 2.2645 -0.032267
38 2021 hitrate_5d_0.50 2021-01-04 2021-12-31 252 145 107 0.4246 0.18367 1.0979 -0.102651 0.556615 5.9167 -0.028062
39 2021 hitrate_5d_0.60 2021-01-04 2021-12-31 252 68 184 0.7302 0.18367 1.0979 -0.102651 0.351867 5.8468 -0.011638
40 2021 hitrate_5d_0.70 2021-01-04 2021-12-31 252 26 226 0.8968 0.18367 1.0979 -0.102651 0.148417 3.9593 -0.0041
41 2021 hitrate_10d_0.50 2021-01-04 2021-12-31 252 163 89 0.3532 0.18367 1.0979 -0.102651 0.465023 4.2342 -0.040569
42 2021 hitrate_10d_0.60 2021-01-04 2021-12-31 252 51 201 0.7976 0.18367 1.0979 -0.102651 0.21802 4.7978 -0.011134
43 2021 hitrate_10d_0.70 2021-01-04 2021-12-31 252 13 239 0.9484 0.18367 1.0979 -0.102651 0.06108 2.7055 -0.000262
44 2021 hitrate_20d_0.40 2021-01-04 2021-12-31 252 252 0 0.0 0.18367 1.0979 -0.102651 0.18367 1.0979 -0.102651
45 2021 hitrate_20d_0.50 2021-01-04 2021-12-31 252 166 86 0.3413 0.18367 1.0979 -0.102651 0.289756 2.5787 -0.049244
46 2021 hitrate_20d_0.60 2021-01-04 2021-12-31 252 38 214 0.8492 0.18367 1.0979 -0.102651 0.104685 2.394 -0.015084
book/data/signal_quality_gate/signal_quality_gate_results.json
+722
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@@ -0,0 +1,722 @@
[
{
"window": "2026",
"gate": "hitrate_5d_0.50",
"start": "2026-01-04",
"end": "2026-08-19",
"trade_dates": 157,
"gate_open": 92,
"gate_closed": 65,
"trip_rate": 0.414,
"base_ann": 0.255023,
"base_sharpe": 1.4465,
"base_maxDD": -0.080671,
"gated_ann": 0.649911,
"gated_sharpe": 5.7351,
"gated_maxDD": -0.031795
},
{
"window": "2026",
"gate": "hitrate_5d_0.60",
"start": "2026-01-04",
"end": "2026-08-19",
"trade_dates": 157,
"gate_open": 49,
"gate_closed": 108,
"trip_rate": 0.6879,
"base_ann": 0.255023,
"base_sharpe": 1.4465,
"base_maxDD": -0.080671,
"gated_ann": 0.489313,
"gated_sharpe": 6.0111,
"gated_maxDD": -0.014864
},
{
"window": "2026",
"gate": "hitrate_5d_0.70",
"start": "2026-01-04",
"end": "2026-08-19",
"trade_dates": 157,
"gate_open": 15,
"gate_closed": 142,
"trip_rate": 0.9045,
"base_ann": 0.255023,
"base_sharpe": 1.4465,
"base_maxDD": -0.080671,
"gated_ann": 0.229523,
"gated_sharpe": 4.3611,
"gated_maxDD": -0.002029
},
{
"window": "2026",
"gate": "hitrate_10d_0.50",
"start": "2026-01-04",
"end": "2026-08-19",
"trade_dates": 157,
"gate_open": 109,
"gate_closed": 48,
"trip_rate": 0.3057,
"base_ann": 0.255023,
"base_sharpe": 1.4465,
"base_maxDD": -0.080671,
"gated_ann": 0.335822,
"gated_sharpe": 2.6391,
"gated_maxDD": -0.060142
},
{
"window": "2026",
"gate": "hitrate_10d_0.60",
"start": "2026-01-04",
"end": "2026-08-19",
"trade_dates": 157,
"gate_open": 36,
"gate_closed": 121,
"trip_rate": 0.7707,
"base_ann": 0.255023,
"base_sharpe": 1.4465,
"base_maxDD": -0.080671,
"gated_ann": 0.251108,
"gated_sharpe": 3.8579,
"gated_maxDD": -0.026842
},
{
"window": "2026",
"gate": "hitrate_10d_0.70",
"start": "2026-01-04",
"end": "2026-08-19",
"trade_dates": 157,
"gate_open": 9,
"gate_closed": 148,
"trip_rate": 0.9427,
"base_ann": 0.255023,
"base_sharpe": 1.4465,
"base_maxDD": -0.080671,
"gated_ann": 0.039314,
"gated_sharpe": 1.3415,
"gated_maxDD": -0.012061
},
{
"window": "2026",
"gate": "hitrate_20d_0.40",
"start": "2026-01-04",
"end": "2026-08-19",
"trade_dates": 157,
"gate_open": 157,
"gate_closed": 0,
"trip_rate": 0.0,
"base_ann": 0.255023,
"base_sharpe": 1.4465,
"base_maxDD": -0.080671,
"gated_ann": 0.255023,
"gated_sharpe": 1.4465,
"gated_maxDD": -0.080671
},
{
"window": "2026",
"gate": "hitrate_20d_0.50",
"start": "2026-01-04",
"end": "2026-08-19",
"trade_dates": 157,
"gate_open": 118,
"gate_closed": 39,
"trip_rate": 0.2484,
"base_ann": 0.255023,
"base_sharpe": 1.4465,
"base_maxDD": -0.080671,
"gated_ann": 0.343819,
"gated_sharpe": 2.5185,
"gated_maxDD": -0.06259
},
{
"window": "2026",
"gate": "hitrate_20d_0.60",
"start": "2026-01-04",
"end": "2026-08-19",
"trade_dates": 157,
"gate_open": 28,
"gate_closed": 129,
"trip_rate": 0.8217,
"base_ann": 0.255023,
"base_sharpe": 1.4465,
"base_maxDD": -0.080671,
"gated_ann": 0.020214,
"gated_sharpe": 0.3601,
"gated_maxDD": -0.028489
},
{
"window": "2025",
"gate": "hitrate_5d_0.50",
"start": "2025-01-02",
"end": "2025-12-31",
"trade_dates": 250,
"gate_open": 153,
"gate_closed": 97,
"trip_rate": 0.388,
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