26 lines
1.4 KiB
Markdown
26 lines
1.4 KiB
Markdown
# QUEUE-19 — Martingale / variance-ratio study close-out (no qrun)
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**Status:** QUEUED · **Priority:** P2 · **Effort:** ad-hoc script under `book/data/`
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## Hypothesis (settle)
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Assets are submartingales long-horizon / mean-reverting short-horizon
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(`VR < 1` at 5–20d). CLAIMS.md marks this HYPOTHESIS (chat-derived martingale
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study; exp 19 was opened but never closed). It is a market-structure claim, not a
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trading claim — settle it with a clean-lake script, then close exp 19 or open a
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scripted EVIDENCE entry.
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## Method (persist everything under `book/data/evidence/q19-vr/`)
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1. Load the 50-ETF panel 1d bars from the lake for 2015-01-01..2026-08-19.
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2. Compute the Lo–MacKinlay variance ratio at horizons 5 / 10 / 20d per symbol,
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with heteroskedasticity-robust z-stats.
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3. Report: per-horizon VR distribution, fraction of symbols with VR < 1 and the
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z-significance, pooled drift vs daily variance (submartingale check).
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4. Cross-check the pooled `sp_trend_slope_5` regression beta claim (β ≈ −0.53,
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t ≈ −24) on the clean lake.
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5. Write `VR_stats.csv` + a one-page summary into the evidence dir.
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## Acceptance
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- VR < 1 at 5–20d for a material fraction of the panel with |z| > 2 → supports
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the mean-reversion HYPOTHESIS; else mark REFUTED or REFERENCED.
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- The result updates CLAIMS.md's "Assets are submartingales…" row and closes the
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exp-19 open thread. |