tac-exp-dev/queue/designs/q19_martingale_vr.md

QUEUE-19 — Martingale / variance-ratio study close-out (no qrun)

Status: QUEUED · Priority: P2 · Effort: ad-hoc script under book/data/

Hypothesis (settle)

Assets are submartingales long-horizon / mean-reverting short-horizon (VR < 1 at 5–20d). CLAIMS.md marks this HYPOTHESIS (chat-derived martingale study; exp 19 was opened but never closed). It is a market-structure claim, not a trading claim — settle it with a clean-lake script, then close exp 19 or open a scripted EVIDENCE entry.

Method (persist everything under book/data/evidence/q19-vr/)

1. Load the 50-ETF panel 1d bars from the lake for 2015-01-01..2026-08-19.
2. Compute the Lo–MacKinlay variance ratio at horizons 5 / 10 / 20d per symbol, with heteroskedasticity-robust z-stats.
3. Report: per-horizon VR distribution, fraction of symbols with VR < 1 and the z-significance, pooled drift vs daily variance (submartingale check).
4. Cross-check the pooled sp_trend_slope_5 regression beta claim (β ≈ −0.53, t ≈ −24) on the clean lake.
5. Write VR_stats.csv + a one-page summary into the evidence dir.

Acceptance

• VR < 1 at 5–20d for a material fraction of the panel with |z| > 2 → supports the mean-reversion HYPOTHESIS; else mark REFUTED or REFERENCED.
• The result updates CLAIMS.md's "Assets are submartingales…" row and closes the exp-19 open thread.