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8f7ce7bd8e7306fa3e901e504ba3763c203c6907
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9 Commits
Author SHA1 Message Date
zhaoli 8f7ce7bd8e ch11: add EVIDENCE#051 — comprehensive model search confirms regime gate robustness to model selection 2026-08-20 22:38:52 +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
zhaoli 4831a2770c book: add perturbation stress test (EVIDENCE#049) — Config A 2026 robust to topk/n_drop/cost within window 2026-08-20 21:44:04 +00:00
zhaoli 18b61bbb8f book: add ch 11 walk-forward + 5 refuted guards (exp 52-56); EVIDENCE#043-047; rename 12→13-synthesis 2026-08-20 21:03:59 +00:00
zhaoli c0d21115eb book: resolve 4 open questions with Q12/Q13/Q14/Q21 evidence; update README + chapters 07/09/12 2026-08-20 05:50:03 +00:00
zhaoli 06fb1e8ee9 book: fold Q-campaign (exp 33-43) evidence into ledger, claims, and chapters 
- EVIDENCE#022-032: Q01-Q11 runs (2 PASS / 9 FAIL) with run_ids and branches
- CLAIMS: promote M2 Sharpe-drift to PROVEN (Q01), refute Kelly (Q06), risk-limit-as-alpha (Q08), standalone reversal (Q11); add label-horizon + weekly-rebalance + long-short-turnover claims
- README: TOC + claim inventories for ch 04/05/07/08/09/10/12 updated to the Q-campaign
- new chapters 04 (prune), 05 (ensembles), 07 (isolation), 08 (construction), 09 (cost/turnover), 10 (risk limits & gates), 12 (synthesis); ch 00/02/03 updated
- Q08 calibration evidence persisted under book/data/evidence/q08-risklimit/
 2026-08-20 01:23:21 +00:00
TradeAC Book Agent 436692a620 book: insert ch01 metrics vocabulary + ch02 research loop; renumber 03/06 — evidence exp 21-31, martingale study 2026-08-18 23:04:10 +00:00
TradeAC Book Agent 3562b7f776 book: evidence boundary (clean-lake watermark) + ch02 cost reality + ch05 clean-lake reset — exp 21-31, chat mining 2026-08-18 22:45:11 +00:00
TradeAC Book Agent c93424e76c book: scaffold + ch00 (execution trail as spine) — evidence exp 8-31, round 3 2026-08-18 22:35:23 +00:00