zhaoli/tac-exp-dev
0
0
Fork 0
Code Issues Pull Requests Actions Packages Projects Releases Wiki Activity

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

Browse Source 
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.json
+722
View File
@@ -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,
"base_ann": 0.177515,
"base_sharpe": 0.8573,
"base_maxDD": -0.217417,
"gated_ann": 0.72055,
"gated_sharpe": 6.9599,
"gated_maxDD": -0.048495
},
{
"window": "2025",
"gate": "hitrate_5d_0.60",
"start": "2025-01-02",
"end": "2025-12-31",
"trade_dates": 250,
"gate_open": 90,
"gate_closed": 160,
"trip_rate": 0.64,
"base_ann": 0.177515,
"base_sharpe": 0.8573,
"base_maxDD": -0.217417,
"gated_ann": 0.48564,
"gated_sharpe": 5.3623,
"gated_maxDD": -0.046673
},
{
"window": "2025",
"gate": "hitrate_5d_0.70",
"start": "2025-01-02",
"end": "2025-12-31",
"trade_dates": 250,
"gate_open": 39,
"gate_closed": 211,
"trip_rate": 0.844,
"base_ann": 0.177515,
"base_sharpe": 0.8573,
"base_maxDD": -0.217417,
"gated_ann": 0.249221,
"gated_sharpe": 4.9448,
"gated_maxDD": -0.009619
},
{
"window": "2025",
"gate": "hitrate_10d_0.50",
"start": "2025-01-02",
"end": "2025-12-31",
"trade_dates": 250,
"gate_open": 170,
"gate_closed": 80,
"trip_rate": 0.32,
"base_ann": 0.177515,
"base_sharpe": 0.8573,
"base_maxDD": -0.217417,
"gated_ann": 0.435847,
"gated_sharpe": 3.5614,
"gated_maxDD": -0.055776
},
{
"window": "2025",
"gate": "hitrate_10d_0.60",
"start": "2025-01-02",
"end": "2025-12-31",
"trade_dates": 250,
"gate_open": 66,
"gate_closed": 184,
"trip_rate": 0.736,
"base_ann": 0.177515,
"base_sharpe": 0.8573,
"base_maxDD": -0.217417,
"gated_ann": 0.324574,
"gated_sharpe": 5.2279,
"gated_maxDD": -0.016028
},
{
"window": "2025",
"gate": "hitrate_10d_0.70",
"start": "2025-01-02",
"end": "2025-12-31",
"trade_dates": 250,
"gate_open": 14,
"gate_closed": 236,
"trip_rate": 0.944,
"base_ann": 0.177515,
"base_sharpe": 0.8573,
"base_maxDD": -0.217417,
"gated_ann": 0.043002,
"gated_sharpe": 1.4635,
"gated_maxDD": -0.010154
},
{
"window": "2025",
"gate": "hitrate_20d_0.40",
"start": "2025-01-02",
"end": "2025-12-31",
"trade_dates": 250,
"gate_open": 247,
"gate_closed": 3,
"trip_rate": 0.012,
"base_ann": 0.177515,
"base_sharpe": 0.8573,
"base_maxDD": -0.217417,
"gated_ann": 0.202949,
"gated_sharpe": 0.9896,
"gated_maxDD": -0.217417
},
{
"window": "2025",
"gate": "hitrate_20d_0.50",
"start": "2025-01-02",
"end": "2025-12-31",
"trade_dates": 250,
"gate_open": 177,
"gate_closed": 73,
"trip_rate": 0.292,
"base_ann": 0.177515,
"base_sharpe": 0.8573,
"base_maxDD": -0.217417,
"gated_ann": 0.340772,
"gated_sharpe": 2.8303,
"gated_maxDD": -0.071731
},
{
"window": "2025",
"gate": "hitrate_20d_0.60",
"start": "2025-01-02",
"end": "2025-12-31",
"trade_dates": 250,
"gate_open": 48,
"gate_closed": 202,
"trip_rate": 0.808,
"base_ann": 0.177515,
"base_sharpe": 0.8573,
"base_maxDD": -0.217417,
"gated_ann": 0.266028,
"gated_sharpe": 4.1749,
"gated_maxDD": -0.021527
},
{
"window": "2024",
"gate": "hitrate_5d_0.50",
"start": "2024-01-02",
"end": "2024-12-31",
"trade_dates": 253,
"gate_open": 139,
"gate_closed": 114,
"trip_rate": 0.4506,
"base_ann": 0.08229,
"base_sharpe": 0.5594,
"base_maxDD": -0.10685,
"gated_ann": 0.30351,
"gated_sharpe": 2.4275,
"gated_maxDD": -0.088219
},
{
"window": "2024",
"gate": "hitrate_5d_0.60",
"start": "2024-01-02",
"end": "2024-12-31",
"trade_dates": 253,
"gate_open": 71,
"gate_closed": 182,
"trip_rate": 0.7194,
"base_ann": 0.08229,
"base_sharpe": 0.5594,
"base_maxDD": -0.10685,
"gated_ann": 0.265365,
"gated_sharpe": 2.4908,
"gated_maxDD": -0.078304
},
{
"window": "2024",
"gate": "hitrate_5d_0.70",
"start": "2024-01-02",
"end": "2024-12-31",
"trade_dates": 253,
"gate_open": 19,
"gate_closed": 234,
"trip_rate": 0.9249,
"base_ann": 0.08229,
"base_sharpe": 0.5594,
"base_maxDD": -0.10685,
"gated_ann": 0.143125,
"gated_sharpe": 3.377,
"gated_maxDD": -0.003364
},
{
"window": "2024",
"gate": "hitrate_10d_0.50",
"start": "2024-01-02",
"end": "2024-12-31",
"trade_dates": 253,
"gate_open": 157,
"gate_closed": 96,
"trip_rate": 0.3794,
"base_ann": 0.08229,
"base_sharpe": 0.5594,
"base_maxDD": -0.10685,
"gated_ann": 0.277421,
"gated_sharpe": 2.5767,
"gated_maxDD": -0.043146
},
{
"window": "2024",
"gate": "hitrate_10d_0.60",
"start": "2024-01-02",
"end": "2024-12-31",
"trade_dates": 253,
"gate_open": 37,
"gate_closed": 216,
"trip_rate": 0.8538,
"base_ann": 0.08229,
"base_sharpe": 0.5594,
"base_maxDD": -0.10685,
"gated_ann": 0.207161,
"gated_sharpe": 3.6083,
"gated_maxDD": -0.011122
},
{
"window": "2024",
"gate": "hitrate_10d_0.70",
"start": "2024-01-02",
"end": "2024-12-31",
"trade_dates": 253,
"gate_open": 7,
"gate_closed": 246,
"trip_rate": 0.9723,
"base_ann": 0.08229,
"base_sharpe": 0.5594,
"base_maxDD": -0.10685,
"gated_ann": 0.031785,
"gated_sharpe": 1.7408,
"gated_maxDD": -0.002083
},
{
"window": "2024",
"gate": "hitrate_20d_0.40",
"start": "2024-01-02",
"end": "2024-12-31",
"trade_dates": 253,
"gate_open": 247,
"gate_closed": 6,
"trip_rate": 0.0237,
"base_ann": 0.08229,
"base_sharpe": 0.5594,
"base_maxDD": -0.10685,
"gated_ann": 0.078007,
"gated_sharpe": 0.5342,
"gated_maxDD": -0.10685
},
{
"window": "2024",
"gate": "hitrate_20d_0.50",
"start": "2024-01-02",
"end": "2024-12-31",
"trade_dates": 253,
"gate_open": 177,
"gate_closed": 76,
"trip_rate": 0.3004,
"base_ann": 0.08229,
"base_sharpe": 0.5594,
"base_maxDD": -0.10685,
"gated_ann": 0.210672,
"gated_sharpe": 1.8469,
"gated_maxDD": -0.056207
},
{
"window": "2024",
"gate": "hitrate_20d_0.60",
"start": "2024-01-02",
"end": "2024-12-31",
"trade_dates": 253,
"gate_open": 13,
"gate_closed": 240,
"trip_rate": 0.9486,
"base_ann": 0.08229,
"base_sharpe": 0.5594,
"base_maxDD": -0.10685,
"gated_ann": 0.005953,
"gated_sharpe": 0.3039,
"gated_maxDD": -0.014443
},
{
"window": "2023",
"gate": "hitrate_5d_0.50",
"start": "2023-01-03",
"end": "2023-12-29",
"trade_dates": 250,
"gate_open": 139,
"gate_closed": 111,
"trip_rate": 0.444,
"base_ann": -0.047644,
"base_sharpe": -0.2738,
"base_maxDD": -0.197856,
"gated_ann": 0.546654,
"gated_sharpe": 4.2124,
"gated_maxDD": -0.035676
},
{
"window": "2023",
"gate": "hitrate_5d_0.60",
"start": "2023-01-03",
"end": "2023-12-29",
"trade_dates": 250,
"gate_open": 79,
"gate_closed": 171,
"trip_rate": 0.684,
"base_ann": -0.047644,
"base_sharpe": -0.2738,
"base_maxDD": -0.197856,
"gated_ann": 0.556291,
"gated_sharpe": 5.1026,
"gated_maxDD": -0.025449
},
{
"window": "2023",
"gate": "hitrate_5d_0.70",
"start": "2023-01-03",
"end": "2023-12-29",
"trade_dates": 250,
"gate_open": 34,
"gate_closed": 216,
"trip_rate": 0.864,
"base_ann": -0.047644,
"base_sharpe": -0.2738,
"base_maxDD": -0.197856,
"gated_ann": 0.404269,
"gated_sharpe": 4.4477,
"gated_maxDD": -0.013842
},
{
"window": "2023",
"gate": "hitrate_10d_0.50",
"start": "2023-01-03",
"end": "2023-12-29",
"trade_dates": 250,
"gate_open": 148,
"gate_closed": 102,
"trip_rate": 0.408,
"base_ann": -0.047644,
"base_sharpe": -0.2738,
"base_maxDD": -0.197856,
"gated_ann": 0.459869,
"gated_sharpe": 3.5211,
"gated_maxDD": -0.046921
},
{
"window": "2023",
"gate": "hitrate_10d_0.60",
"start": "2023-01-03",
"end": "2023-12-29",
"trade_dates": 250,
"gate_open": 62,
"gate_closed": 188,
"trip_rate": 0.752,
"base_ann": -0.047644,
"base_sharpe": -0.2738,
"base_maxDD": -0.197856,
"gated_ann": 0.368232,
"gated_sharpe": 4.0148,
"gated_maxDD": -0.022983
},
{
"window": "2023",
"gate": "hitrate_10d_0.70",
"start": "2023-01-03",
"end": "2023-12-29",
"trade_dates": 250,
"gate_open": 13,
"gate_closed": 237,
"trip_rate": 0.948,
"base_ann": -0.047644,
"base_sharpe": -0.2738,
"base_maxDD": -0.197856,
"gated_ann": 0.091481,
"gated_sharpe": 2.1324,
"gated_maxDD": -0.010866
},
{
"window": "2023",
"gate": "hitrate_20d_0.40",
"start": "2023-01-03",
"end": "2023-12-29",
"trade_dates": 250,
"gate_open": 237,
"gate_closed": 13,
"trip_rate": 0.052,
"base_ann": -0.047644,
"base_sharpe": -0.2738,
"base_maxDD": -0.197856,
"gated_ann": 0.06639,
"gated_sharpe": 0.3895,
"gated_maxDD": -0.146704
},
{
"window": "2023",
"gate": "hitrate_20d_0.50",
"start": "2023-01-03",
"end": "2023-12-29",
"trade_dates": 250,
"gate_open": 149,
"gate_closed": 101,
"trip_rate": 0.404,
"base_ann": -0.047644,
"base_sharpe": -0.2738,
"base_maxDD": -0.197856,
"gated_ann": 0.366016,
"gated_sharpe": 2.5969,
"gated_maxDD": -0.063998
},
{
"window": "2023",
"gate": "hitrate_20d_0.60",
"start": "2023-01-03",
"end": "2023-12-29",
"trade_dates": 250,
"gate_open": 40,
"gate_closed": 210,
"trip_rate": 0.84,
"base_ann": -0.047644,
"base_sharpe": -0.2738,
"base_maxDD": -0.197856,
"gated_ann": 0.149844,
"gated_sharpe": 2.2645,
"gated_maxDD": -0.032267
},
{
"window": "2021",
"gate": "hitrate_5d_0.50",
"start": "2021-01-04",
"end": "2021-12-31",
"trade_dates": 252,
"gate_open": 145,
"gate_closed": 107,
"trip_rate": 0.4246,
"base_ann": 0.18367,
"base_sharpe": 1.0979,
"base_maxDD": -0.102651,
"gated_ann": 0.556615,
"gated_sharpe": 5.9167,
"gated_maxDD": -0.028062
},
{
"window": "2021",
"gate": "hitrate_5d_0.60",
"start": "2021-01-04",
"end": "2021-12-31",
"trade_dates": 252,
"gate_open": 68,
"gate_closed": 184,
"trip_rate": 0.7302,
"base_ann": 0.18367,
"base_sharpe": 1.0979,
"base_maxDD": -0.102651,
"gated_ann": 0.351867,
"gated_sharpe": 5.8468,
"gated_maxDD": -0.011638
},
{
"window": "2021",
"gate": "hitrate_5d_0.70",
"start": "2021-01-04",
"end": "2021-12-31",
"trade_dates": 252,
"gate_open": 26,
"gate_closed": 226,
"trip_rate": 0.8968,
"base_ann": 0.18367,
"base_sharpe": 1.0979,
"base_maxDD": -0.102651,
"gated_ann": 0.148417,
"gated_sharpe": 3.9593,
"gated_maxDD": -0.0041
},
{
"window": "2021",
"gate": "hitrate_10d_0.50",
"start": "2021-01-04",
"end": "2021-12-31",
"trade_dates": 252,
"gate_open": 163,
"gate_closed": 89,
"trip_rate": 0.3532,
"base_ann": 0.18367,
"base_sharpe": 1.0979,
"base_maxDD": -0.102651,
"gated_ann": 0.465023,
"gated_sharpe": 4.2342,
"gated_maxDD": -0.040569
},
{
"window": "2021",
"gate": "hitrate_10d_0.60",
"start": "2021-01-04",
"end": "2021-12-31",
"trade_dates": 252,
"gate_open": 51,
"gate_closed": 201,
"trip_rate": 0.7976,
"base_ann": 0.18367,
"base_sharpe": 1.0979,
"base_maxDD": -0.102651,
"gated_ann": 0.21802,
"gated_sharpe": 4.7978,
"gated_maxDD": -0.011134
},
{
"window": "2021",
"gate": "hitrate_10d_0.70",
"start": "2021-01-04",
"end": "2021-12-31",
"trade_dates": 252,
"gate_open": 13,
"gate_closed": 239,
"trip_rate": 0.9484,
"base_ann": 0.18367,
"base_sharpe": 1.0979,
"base_maxDD": -0.102651,
"gated_ann": 0.06108,
"gated_sharpe": 2.7055,
"gated_maxDD": -0.000262
},
{
"window": "2021",
"gate": "hitrate_20d_0.40",
"start": "2021-01-04",
"end": "2021-12-31",
"trade_dates": 252,
"gate_open": 252,
"gate_closed": 0,
"trip_rate": 0.0,
"base_ann": 0.18367,
"base_sharpe": 1.0979,
"base_maxDD": -0.102651,
"gated_ann": 0.18367,
"gated_sharpe": 1.0979,
"gated_maxDD": -0.102651
},
{
"window": "2021",
"gate": "hitrate_20d_0.50",
"start": "2021-01-04",
"end": "2021-12-31",
"trade_dates": 252,
"gate_open": 166,
"gate_closed": 86,
"trip_rate": 0.3413,
"base_ann": 0.18367,
"base_sharpe": 1.0979,
"base_maxDD": -0.102651,
"gated_ann": 0.289756,
"gated_sharpe": 2.5787,
"gated_maxDD": -0.049244
},
{
"window": "2021",
"gate": "hitrate_20d_0.60",
"start": "2021-01-04",
"end": "2021-12-31",
"trade_dates": 252,
"gate_open": 38,
"gate_closed": 214,
"trip_rate": 0.8492,
"base_ann": 0.18367,
"base_sharpe": 1.0979,
"base_maxDD": -0.102651,
"gated_ann": 0.104685,
"gated_sharpe": 2.394,
"gated_maxDD": -0.015084
}
]