59 lines
8.3 KiB
Markdown
59 lines
8.3 KiB
Markdown
# Evidence Ledger
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Every quantitative claim in the book lands here: id → claim → source (experiment/run/branch, round_id, script, citation) → verified?.
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## Evidence boundary
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**The clean-lake boundary (2026-08-18, exp 21) is the watermark.** `PROVEN` status in this book is reserved for the **Post-reset period** table (exp 21–31) and post-reset live rounds. The **Pre-clean-lake period** table below is **historical context and idea material only**: it was demonstrably inflated by lake data-quality problems (`EVIDENCE#010 → exp 21`). Pre-reset numbers may inform hypotheses but may never be cited as fact in the book.
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## Key metric-schema note
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Experiments 8–18 record metrics under a legacy schema (`ls_sharpe`, `maxdd_with_cost`, `excess_ann_with_cost`, `excess_ir_with_cost`, `ls_ann_return`). Experiments 21+ use the canonical `IC / ICIR / Rank IC / Rank ICIR / net_IR / net_ann_return / gross_* / Long-Short_Ann_Sharpe / net_max_drawdown`. Do not compare schemas directly; chapter text states which schema a number comes from. Additionally, exp 20's R0 note states the exp-18 baseline is not comparable to post-reset runs due to environment non-determinism, and exp 21 invalidated all pre-clean-lake positive results.
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## Pre-clean-lake period (exp 8–18) — historical context / idea material ONLY, superseded
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| ID | Claim | Source | Verified? |
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|----|-------|--------|-----------|
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| EVIDENCE#001 | Baseline 1-day LGB signal weak on 2026 OOS: IC 0.017, ICIR 0.062, RankIC 0.040, RankICIR 0.161 (below 0.2 noise threshold). L/S ann +4.9%. | exp 8, run `e65cf1ec…` (mlflow exp 10), branch `exp/8-baseline-lightgbm-on-the-full-60etf-univ` | NOT usable as PROVEN — pre-clean-lake |
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| EVIDENCE#002 | Costs erase most of the raw edge on baseline: excess +6.2% ann w/o cost (IR 0.31, MaxDD −20.4%) vs +1.6% ann after costs (IR 0.08). | exp 8 (same run) | NOT usable as PROVEN — pre-clean-lake |
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| EVIDENCE#003 | Feature-family ablation: generic-only (jump,har,trend,hurst,signature,ret,max_move) beats all-24: RankIC 0.030→0.064, RankICIR 0.146→0.276, L/S Sharpe −0.83→+2.55, net excess −9.4%→+3.1%. | exp 9, run `7b1e7972…` (mlflow exp 11), branch `exp/9-sp5d-feature-family-ablation` | NOT usable as PROVEN — pre-clean-lake (idea: pruning generic beats model-specific) |
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| EVIDENCE#004 | Adding 16 moment/volatility fields regresses every metric (RankIC 0.064→0.047, net excess −16.2% IR −1.57) — same failure mode as ou/hmm. | exp 11, run `a3f7d1d4…` (mlflow exp 12), branch `exp/11-sp5d-momentfeature-extension-after-exten` | NOT usable as PROVEN — pre-clean-lake (idea: panel width vs feature count) |
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| EVIDENCE#005 | 5-seed RankIC ensemble on ablated generic features: RankIC 0.0586, RankICIR 0.224, net excess +7.8% (IR 0.79), L/S Sharpe 3.71, MDD −7.9%. Best pre-clean-lake net result. | exp 12, run `0cea66d9…` (mlflow exp 16), branch `exp/12-isolate-the-multiseed-rankic-ensemble-ef` | NOT usable as PROVEN — inflated by dirty lake (see EVIDENCE#010) |
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| EVIDENCE#006 | OptimalStopControl (entry 0.85/exit 0.7/hold 10/sl −0.08) worse than TopkDropout: net excess −2.7% (IR −0.31) vs +7.8%; cost drag −11.3pp. | exp 13, run `4e1f77b4…` (mlflow exp 17), branch `exp/13-portfolioconstruction-variant-of-the-iso` | NOT usable as PROVEN — pre-clean-lake (idea: turnover-sensitive construction bleeds costs) |
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| EVIDENCE#007 | OptimalStopControlV2 (turnover band/cooldown/cap) also refuted: net −6.9% (IR −0.72) vs TopkDropout +7.8% (IR 0.79). | exp 14, run `83d7e27e…` (mlflow exp 18), branch `exp/14-enhanced-stochasticcontrol-allocation-fo` | NOT usable as PROVEN — pre-clean-lake (idea only) |
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| EVIDENCE#008 | Risk-limit A/B: $5M liquidity floor → net IR 0.81→0.98, cumDD 7.93%→5.44%; size cap 15% + conc 60% hurts (IR 0.816, ann 6.11%). | exp 18, run `28c7fa08…` (mlflow exp 21), branch `exp/18-risk-limit-control-on-the-reference-ense` | NOT usable as PROVEN — pre-clean-lake (idea: liquidity floor > concentration caps) |
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| EVIDENCE#009 | Improvement sweep (R1-R5): 4/5 refuted; R2 momentum gate and R3 HMM gate are byte-identical no-ops; R5 MA3/EWMA marginal (IR 0.049). Conclusion: signal quality is the bottleneck, not the execution/risk layer. | exp 20, run `958198a8…` (mlflow exp 21), branch `exp/20-improve-the-risk-limit-reference-signal` | NOT usable as PROVEN — pre-clean-lake (idea: gates are no-ops when signal is weak) |
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## Post-reset period (exp 21–31) — canonical, current
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| ID | Claim | Source | Verified? |
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|----|-------|--------|-----------|
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| EVIDENCE#010 | Clean-lake re-execution of the reference collapsed: IC 0.0019 (vs ref 0.0354), RankIC 0.0259, net −20.6% (IR −2.70). Old lake data quality had inflated the signal. | exp 21, run `f1bd3c28…` (mlflow exp 23), branch `exp/21-clean-lake-re-execution-of-the-tac-rd-ra` | yes |
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| EVIDENCE#011 | Re-run after fixing feature routing: IC 0.0486, RankIC 0.0617, ICIR 0.235, RankICIR 0.243, L/S Sharpe 3.23. | exp 22, run `18db5bc1…` (mlflow exp 24), branch `exp/22-re-run-experiment-16s-5-day-rankic-ensem` | yes |
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| EVIDENCE#012 | General stochastic features only (no TA/HMM/OU): IC 0.0728, ICIR 0.340, L/S Sharpe 4.56. | exp 23, run `be5cd314…` (mlflow exp 25), branch `exp/23-test-whether-the-5-day-rankic-ensemble-i` | yes |
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| EVIDENCE#013 | Compact stochastic set (raw OHLCV + sp_ret, jump, RV1/5/22, vol ratios, trend slopes, logp, hurst, signature L1/L2): IC 0.0511, RankIC 0.0663, RankICIR 0.2545, L/S Sharpe 4.54. | exp 24, run `fe469a19…` (mlflow exp 25), branch `exp/24-run-the-rankic-ensemble-in-mlflow-experi` | yes |
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| EVIDENCE#014 | Adding sp_ou_zscore hurts on clean data: IC 0.0343 vs 0.0511, net −3.76% vs −3.21%. | exp 25, run `57450d1a…` (mlflow exp 25), branch `exp/25-test-the-clean-data-hypothesis-that-addi` | yes |
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| EVIDENCE#015 | n_drop 2→1 on identical compact stochastic signal: gross +7.02%, net +2.13% (vs −3.21%), MDD −7.69%, IR 0.21. IC/RankIC identical to n_drop 2 — the gain is turnover/cost relief. | exp 26, run `21afc6af…` (mlflow exp 25), branch `exp/26-test-whether-reducing-topkdropout-daily` | yes — best result of the campaign |
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| EVIDENCE#016 | 2-seed ensemble loses to 5-seed on clean data: RankIC 0.0579 vs 0.0663, net −1.49% (IR −0.14) vs +2.13% (IR 0.21). Seed count is load-bearing. | exp 28, run `c4ab1d01…` (mlflow exp 27), branch `exp/28-isolate-the-seed-count-effect-on-the-ndr` | yes |
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| EVIDENCE#017 | Multi-horizon momentum bundle refuted: IC 0.0337 vs 0.0511, net −13.35% (IR −1.12) vs +2.13%. | exp 29, run `b4586675…` (mlflow exp 28), branch `exp/29-isolation-run-m1-does-adding-multi-horiz` | yes |
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| EVIDENCE#018 | Risk-adjusted 22d Sharpe drift: mixed — rank metrics lower (RankIC 0.0576 vs 0.0663) but portfolio strong (net +6.53% IR 0.62 vs +2.13% IR 0.21). Single run, unreproduced. | exp 30, run `d5d775f9…` (mlflow exp 29), branch `exp/30-isolation-run-m2-does-adding-risk-adjust` | yes — mark HYPOTHESIS in text |
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| EVIDENCE#019 | GARCH(1,1) vol-regime trio refuted: IC 0.0415 vs 0.0511, RankICIR 0.179 vs 0.255, net +1.36% (IR 0.13). | exp 31, run `514cb523…` (mlflow exp 30), branch `exp/31-isolation-run-m3-does-adding-garch11-vol` | yes |
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## Live execution trail
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| ID | Claim | Source | Verified? |
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|----|-------|--------|-----------|
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| EVIDENCE#020 | Live round 3 (target 2026-08-17): retrained exp-26 n_drop=1 config on rolling 4y window; Topk10/n_drop1 with risk limits (liq floor $5M dropped 8, size cap 12%, conc 95%, drawdown pause 10%); funnel 10 targets → 10 decided → 10 placed → 9 filled, 1 cancelled, 1 skipped (SLV delta_zero); invested $74,202.85, slippage 4.54 bps, est. cost ~$45. | round 3 (`tac-rd-book`), trace 27, run `721ef257…` (mlflow exp 26), branch `exp/27-scheduled-algo-retrain-on-2026-08-17-tac` | yes — settled, reconcile available |
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| EVIDENCE#021 | Scheduled retrain on 2026-08-14 (pre-reset reference): 10 buys + 6 sells placed, 0 cancelled by sentiment gate; sized on live equity $99,999.93. | trace 16, run `3b858b2b…` (mlflow exp 13), branch `exp/16-scheduled-algo-retrain-on-20260814-tacrd` | yes — historical, pre-reset signal |
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## Ad-hoc scripts (book/data/)
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| ID | Claim | Source | Verified? |
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|----|-------|--------|-----------|
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| (none yet) | — | — | — |
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## External references (book/references/)
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| ID | Claim | Source | Verified? |
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|----|-------|--------|-----------|
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| (none yet) | — | — | — | |