21 lines
810 B
Markdown
21 lines
810 B
Markdown
# exp/10 sp5d-moment-features
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Variant C: generic-only 19 + 16 new moment/volatility families (skew, kurt,
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DSV+ratios, max_up/down, rv_ac1, rv_cv_22, sig lag-5). 35 sp_* fields, ou/hmm excluded.
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Run a3f7d1d40c3d4b839314fcf5b40f9b08 (tac-rd-moments / exp 12) — FINISHED.
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## Result: NEGATIVE (regression vs generic-only baseline)
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| Metric | generic-only 19 (run 7b1e797) | +moments 35 (run a3f7d1d) |
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| Rank IC | 0.0635 | 0.0466 |
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| Rank ICIR | 0.276 | 0.183 |
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| L-S Sharpe | 2.55 | 1.44 |
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| net excess (cost) | +3.1% IR 0.28 | -16.2% IR -1.57 |
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| MDD | -7.3% | -11.1% |
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Same failure mode as ou/hmm in exp 9: adding cross-sectional moment features
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to the 50-name panel degrades the rank signal. Generic-only 19 remains the
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best configuration. No further moment-family variants planned.
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