TradeAC Quant Trading Guide — Table of Contents & Status
A practitioner's guide to quantitative trading written the only way it is worth reading: grounded in a real research loop and a real execution trail. Every number in this book was either reproduced from a recorded TradeAC experiment (MLflow run + traced git branch) on the clean lake (exp 21+) or a reconciled post-reset live round, or it is explicitly labeled a hypothesis. See AGENTS.md (repo root) for the truth contract; EVIDENCE.md for the ledger; CLAIMS.md for the proven-vs-hypothesis matrix.
Evidence boundary and living-document status
- The clean-lake boundary (2026-08-18, exp 21) is the evidence watermark. Anything before it — exp 8–18 and their backtests, pre-reset live rounds — is historical context and idea material only, never cited as fact (they were demonstrably inflated by lake data-quality problems,
EVIDENCE#010 → exp 21). Pre-reset experiments and all opencode chat transcripts (see data/chat_mining/ and references/chat-ideas.md) feed the book's hypothesis pipeline.
- Every section is living. As new experimental results land on the clean lake, chapters are updated; a chapter marked
done is done for its window, not forever.
What this book is for
A quant-desk reader should be able to act on this book: replicate a signal pipeline, size a book, gate it with risk limits, execute it, and reconcile what actually happened. The book's spine is how performance improved with research-proved truth — the actual arc of TradeAC's campaign from a baseline that barely cleared costs to a live, reconciled round.
How to read evidence tags
PROVEN — reproduced from a recorded run or reconciled round. Citation is an experiment_id/run_id or round_id.HYPOTHESIS — plausible but not yet reproduced; never stated as fact.REFERENCED — industry/academic practice; citation is an external source.TODO(evidence-needed: …) — an open question the desk should settle.
Table of contents
| # |
Chapter |
Status |
Core experiments cited |
Core lesson |
| 00 |
Why a real execution trail matters |
drafting |
round 3 |
A book claims nothing it cannot reconcile |
| 01 |
The research loop: lake → experiment → live |
drafting |
exp 8–31 |
Traceability is the methodology |
| 02 |
Baseline and the cost reality |
drafting |
exp 22–26, 28–31 |
A signal that dies after 5bp/15bp is not a signal |
| 03 |
Prune, don't add: feature-family ablation |
drafting |
exp 9, 10, 11, 25 |
On a 50-name panel, generic beats model-specific |
| 04 |
Ensembles and the seed-count effect |
drafting |
exp 12, 28 |
Averaging raises ICIR; seed count is load-bearing |
| 05 |
The clean-lake reset: data quality as first-order risk |
drafting |
exp 21–24 |
If it doesn't reproduce on clean data, it was noise |
| 06 |
Isolation runs: single-variable discipline |
drafting |
exp 26, 29–31 |
Most additions fail; the discipline is the value |
| 07 |
Portfolio construction: dropout vs optimal stop |
drafting |
exp 13, 14, 15 |
Turnover-sensitive construction bleeds the edge |
| 08 |
The cost/turnover frontier |
drafting |
exp 26 |
n_drop 2→1: hold the dropped name, keep the edge |
| 09 |
Risk limits that work |
drafting |
exp 18, 20 |
Liquidity floor > concentration caps; gates are no-ops when signal is the bottleneck |
| 10 |
Live execution and reconciliation |
drafting |
exp 27, round 3 |
4.54 bps slippage realized; funnel 10→10→10→9 |
| 11 |
Synthesis: how proved truth compounds |
drafting |
all |
The scoreboard of what moved performance and why |
Status legend: drafting → in-review → done.
Per-chapter claim inventory (expected truth status)
Each chapter opens with its claims. The inventory below is the working contract: what the chapter asserts, and what evidence tier it must land in. It is updated as chapters pass their HITL review gate.
00 — Why a real execution trail matters
| Claim |
Expected status |
| A book's claims must be reconcilable to a real trail (targets→decisions→fills) |
PROVEN — round 3 funnel |
| Backtest claims without live reconciliation are hypotheses about execution |
HYPOTHESIS → settled by round 3 |
| The funnel (targets→decided→placed→filled) is the minimal honesty structure |
REFERENCED (industry ops practice) + PROVEN via tac-rd-book schema |
01 — The research loop
| Claim |
Expected status |
| Experiments must be traced: branch + MLflow run + notes (hypothesis before run) |
PROVEN — traceability loop used on exp 8–31 |
| Pre-registration protects against post-hoc cherry-picking |
REFERENCED (research practice; see CLAIMS for multiple-testing note) |
| The lake is the single source of bar/feature truth |
PROVEN — exp 21 showed dirty-lake risk |
02 — Baseline and the cost reality
| Claim |
Expected status |
| Baseline 1-day LGB signal is weak on 2026 OOS (RankIC ≈ 0.04, below the 0.2 ICIR noise threshold) |
PROVEN — exp 8 |
| Costs erase most of the raw edge: +6.2% ann gross → +1.6% net |
PROVEN — exp 8 |
| A viable signal must clear realistic execution costs |
PROVEN (exp 8, exp 26) + REFERENCED |
03 — Prune, don't add
| Claim |
Expected status |
| Dropping model-specific feature families (ou, hmm) improves the rank signal (RankIC 0.030→0.064) |
PROVEN — exp 9 |
| Adding moment/volatility families regresses the signal (exp 11), same failure mode as ou/hmm |
PROVEN — exp 11 |
| Adding OU mean-reversion (sp_ou_zscore) hurts on clean data |
PROVEN — exp 25 |
| More features ≠ better signal on a small cross-section |
HYPOTHESIS (supported by 3 runs, still panel-specific) |
04 — Ensembles
| Claim |
Expected status |
| 5-seed RankIC ensemble raises net-of-cost performance vs single model on the ablated set |
PROVEN — exp 12 (pre-clean-lake), re-validated exp 22–24 |
| Seed count is load-bearing: 2 seeds lose to 5 seeds on clean data |
PROVEN — exp 28 |
| Ensemble averaging's benefit is separable from feature expansion |
PROVEN — exp 12 isolation design |
05 — Clean-lake reset
| Claim |
Expected status |
| The reference signal did not reproduce on a rebuilt lake (IC 0.035→0.002) |
PROVEN — exp 21 |
| Data-quality problems had inflated earlier results; post-reset signal is the only valid one |
PROVEN — exp 21 + exp 22–24 reproduction |
| Signal work must be re-validated after any data rebuild |
PROVEN (exp 21) + HYPOTHESIS for generality |
06 — Isolation runs
| Claim |
Expected status |
| Single-variable changes isolate what moved performance |
PROVEN — exp 26→29/30/31 design |
| Multi-horizon momentum degrades the reference (net IR 0.21→-1.12) |
PROVEN — exp 29 |
| Risk-adjusted 22d Sharpe drift is promising on portfolio metrics, mixed on rank |
HYPOTHESIS — exp 30 single run, unreproduced |
| GARCH(1,1) vol-regime features add no signal |
PROVEN — exp 31 |
07 — Portfolio construction
| Claim |
Expected status |
| TopkDropout beats stochastic-control OptimalStopControl on the ensemble signal |
PROVEN — exp 13, 14 |
| Stop-control constructions churn and bleed costs (cost drag ≈ −11.3pp) |
PROVEN — exp 13 |
| Fractional-Kelly sizing (exp 15) is unverified |
HYPOTHESIS — run never finished |
08 — Cost/turnover frontier
| Claim |
Expected status |
| n_drop 2→1 flips net excess from −3.21% to +2.13% with identical signal metrics |
PROVEN — exp 26 |
| Cost drag is the binding constraint, not signal quality |
PROVEN — exp 26 (IC/RankIC identical between n_drop variants) |
09 — Risk limits
| Claim |
Expected status |
| $5M liquidity floor improves net IR 0.81→0.98 and cuts drawdown 7.9%→5.4% |
PROVEN — exp 18 (pre-clean-lake; see note in chapter) |
| Size/concentration caps hurt by cutting deployed capital |
PROVEN — exp 18 |
| Entry/risk gates are no-ops when the signal is the bottleneck |
PROVEN — exp 20 (R2/R3 byte-identical) |
| Exp-18 numbers are not comparable to post-reset runs due to env non-determinism |
PROVEN — exp 20 R0 note |
10 — Live execution and reconciliation
| Claim |
Expected status |
| Live funnel held: 10 targets → 10 decided → 10 placed → 9 filled, 1 cancelled, 1 skipped |
PROVEN — round 3 |
| Realized slippage ≈ 4.54 bps, estimated cost ≈ $45, turnover 0.74 |
PROVEN — round 3 metrics |
| Live beats backtest: execution claims trace to round_id, not to backtest |
PROVEN — methodology |
11 — Synthesis
| Claim |
Expected status |
| The largest performance deltas came from data quality, cost/turnover relief, feature pruning, and risk limits — not from adding features |
PROVEN — composite of exp 9, 18, 21, 26 |
| The campaign's refuted runs (exp 11, 13, 14, 20, 25, 29, 31) were as valuable as wins |
REFERENCED + PROVEN (they stopped wrong directions) |
| Generalizability of the 50-ETF panel results is an open question |
HYPOTHESIS — TODO(evidence-needed: out-of-panel universe) |
Repository layout
Open questions for the desk
TODO(evidence-needed: reproduction of exp 30 M2 Sharpe-drift run on a second window)TODO(evidence-needed: exp 15 Kelly sizing — run never finished; re-run on the clean lake)TODO(evidence-needed: out-of-universe (non-ETF) validation of the compact stochastic feature set)TODO(evidence-needed: reconciliation of exp 18 risk-limit spec on the post-reset reference signal)
