 zhaoli
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8f7ce7bd8e
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ch11: add EVIDENCE#051 — comprehensive model search confirms regime gate robustness to model selection
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2026-08-20 22:38:52 +00:00 |
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zhaoli
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718b048df9
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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
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2026-08-20 22:14:31 +00:00 |
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zhaoli
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4831a2770c
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book: add perturbation stress test (EVIDENCE#049) — Config A 2026 robust to topk/n_drop/cost within window
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2026-08-20 21:44:04 +00:00 |
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zhaoli
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18b61bbb8f
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book: add ch 11 walk-forward + 5 refuted guards (exp 52-56); EVIDENCE#043-047; rename 12→13-synthesis
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2026-08-20 21:03:59 +00:00 |
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zhaoli
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c0d21115eb
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book: resolve 4 open questions with Q12/Q13/Q14/Q21 evidence; update README + chapters 07/09/12
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2026-08-20 05:50:03 +00:00 |
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zhaoli
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731a377f44
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book: add Q21 (EVIDENCE#042) — 10d+weekly net +1.19% IR 0.148, below acceptance but confirms weekly-rebalance universality
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2026-08-20 05:42:38 +00:00 |
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zhaoli
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63763db38c
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book: add EVIDENCE#036-041, update claims for Q12-Q18 findings
- EVIDENCE#036: Q12 22d label + weekly rebalance still fails (−4.88%)
- EVIDENCE#037: Q13 weekly rebalance edge is window-dependent (−4.21%)
- EVIDENCE#038: Q15 single-seed worse (clean-lake conf of #016)
- EVIDENCE#039: Q16 HMM features degrade on clean data (−6.06%)
- EVIDENCE#040: Q17 realized-moments improve portfolio (+9.90% IR 0.99)
- EVIDENCE#041: Q18 OptimalStopControl loses to TopkDropout (−6.21%)
Claims updated: H2 OptStop PROVEN, moments claim REFUTED on clean data,
weekly edge window-dependent PROVEN, HMM refuted, seed count updated.
Open questions marked done.
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2026-08-20 05:31:13 +00:00 |
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zhaoli
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6145cfeb62
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Q19 VR study PROVEN + Q20 eigenanalysis PROVEN (EVIDENCE#034/#035)
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2026-08-20 05:19:09 +00:00 |
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zhaoli
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befcc33702
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Q14 result: compact stochastic set REFUTED on single-stock universe (EVIDENCE#033, exp 50)
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2026-08-20 05:09:13 +00:00 |
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zhaoli
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06fb1e8ee9
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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/
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2026-08-20 01:23:21 +00:00 |
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