3 Commits

Include renames

Author	SHA1	Message	Date
zhaoli	6e3c82408c	ch11: signal-quality gate REFUTED — walk-forward workflow shows gate harmful (exp 61-67, EVIDENCE#053)	2026-08-21 02:35:50 +00:00
zhaoli	c367e25889	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)	2026-08-20 22:49:45 +00:00
zhaoli	718b048df9	Add regime gate walk-forward test (EVIDENCE#050) ... - 3 detector types (dispersion/vol/HMM) × 14 configs across 5 years - Dispersion gates: 0% trip rate everywhere (dead) - Vol gates: trip differential +32-47pp but destroy returns in good years - HMM gates: +6pp differential, hmm_0.7 improves 2023/2025 but kills 2026 - Guard candidate regime gate REFUTED (ch 11) - Script: book/scripts/regime_gate_bt.py - Results: book/data/regime_gate/regime_gate_trip_rates.csv	2026-08-20 22:14:31 +00:00