 zhaoli
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eefc26ce8f
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ch11: fix guard numbering — regime gate is Guard 6, SQ gate is Guard 7
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2026-08-21 02:44:08 +00:00 |
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zhaoli
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6e3c82408c
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ch11: signal-quality gate REFUTED — walk-forward workflow shows gate harmful (exp 61-67, EVIDENCE#053)
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2026-08-21 02:35:50 +00:00 |
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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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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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