34 lines
1.9 KiB
Markdown
34 lines
1.9 KiB
Markdown
# QUEUE-08 — Risk-limit A/B re-validation: $5M liquidity floor on the exp-26 reference
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**Status:** QUEUED · **Priority:** P1 · **Effort:** tool-only (no new code)
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## Hypothesis (prove)
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The $5M liquidity floor improves net IR and cuts drawdown on the **post-reset**
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reference signal (pre-reset exp 18, EVIDENCE#008: net IR 0.81→0.98, cumDD
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7.93%→5.44%), while size/concentration caps hurt by cutting deployed capital.
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Needs re-validation on the exp-26 lineage because exp 18 is pre-clean-lake and
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not comparable (EVIDENCE#009/010). Source: `book/CLAIMS.md` open question +
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`book/README.md` `TODO(evidence-needed: reconciliation of exp 18 risk-limit spec
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on the post-reset reference signal)`.
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## Change vs exp-26 reference (ONE variable)
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- Reference: the saved exp-26 prediction (run `21afc6af…`, mlflow exp 25).
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- A/B via `rd_risk_calibrate` (runs limit-vs-no-limit A/B + sensitivity grid
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over size_cap_pct, concentration_cap_pct, liquidity_floor_adv) and/or
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`rd_backtest` with `risk_limits` on the SAME saved `pred.pkl`:
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- baseline: no limits (this must reproduce the exp-26 net +2.13% / IR 0.21);
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- candidate: `{"liquidity_floor_adv": 5000000, "size_cap_pct": 0.12,
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"concentration_cap_pct": 0.95, "drawdown_pause_pct": 0.10}` (round-3 spec).
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- Pick the spec (B2 calibration) that keeps live ≈ backtest.
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## Acceptance
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- Candidate spec: `net_IR > 0.21` AND `net_max_drawdown < 7.69%` vs no-limit on
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the same pred. Size/concentration caps expected to REDUCE deployed capital
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(record the direction as confirmation of exp 18).
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- If the floor is a no-op (gates don't bind at this signal) → report that gates
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are no-ops when the signal is the bottleneck (exp 20 pattern) as a PROVEN
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clean-lake result.
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## Execution prerequisites
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- None (uses saved pred + `rd_risk_calibrate`/`rd_backtest`). Trace the A/B as
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an experiment; record the spec chosen for the next live round. |