 zhaoli
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c367e25889
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ch11: add EVIDENCE#052 — signal-quality gate works across ALL years (2021-2026)
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)
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2026-08-20 22:49:45 +00:00 |
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