# QUEUE-19 — Martingale / variance-ratio study close-out (no qrun)

**Status:** QUEUED · **Priority:** P2 · **Effort:** ad-hoc script under `book/data/`

## Hypothesis (settle)
Assets are submartingales long-horizon / mean-reverting short-horizon
(`VR < 1` at 5–20d). CLAIMS.md marks this HYPOTHESIS (chat-derived martingale
study; exp 19 was opened but never closed). It is a market-structure claim, not a
trading claim — settle it with a clean-lake script, then close exp 19 or open a
scripted EVIDENCE entry.

## Method (persist everything under `book/data/evidence/q19-vr/`)
1. Load the 50-ETF panel 1d bars from the lake for 2015-01-01..2026-08-19.
2. Compute the Lo–MacKinlay variance ratio at horizons 5 / 10 / 20d per symbol,
   with heteroskedasticity-robust z-stats.
3. Report: per-horizon VR distribution, fraction of symbols with VR < 1 and the
   z-significance, pooled drift vs daily variance (submartingale check).
4. Cross-check the pooled `sp_trend_slope_5` regression beta claim (β ≈ −0.53,
   t ≈ −24) on the clean lake.
5. Write `VR_stats.csv` + a one-page summary into the evidence dir.

## Acceptance
- VR < 1 at 5–20d for a material fraction of the panel with |z| > 2 → supports
  the mean-reversion HYPOTHESIS; else mark REFUTED or REFERENCED.
- The result updates CLAIMS.md's "Assets are submartingales…" row and closes the
  exp-19 open thread.