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 (seedata/chat_mining/andreferences/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
doneis 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 anexperiment_id/run_idorround_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 | Metrics: the vocabulary of a price series | drafting | exp 21–31 + dataset studies | Every claim reduces to a falsifiable statistic |
| 02 | The research loop: lake → experiment → live | drafting | exp 8–31 | Traceability is the methodology |
| 03 | Baseline and the cost reality | drafting | exp 22–26, 28–31 | A signal that dies after 5bp/15bp is not a signal |
| 04 | Prune, don't add: feature-family ablation | drafting | exp 9, 10, 11, 25, 43 | On a 50-name panel, generic beats model-specific; standalone reversal never existed |
| 05 | Ensembles and the seed-count effect | drafting | exp 12, 28, 34 | Averaging raises ICIR; more seeds raise breadth but not net — cost is the ceiling |
| 06 | 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 |
| 07 | Isolation runs: single-variable discipline | drafting | exp 26, 29–31, 33–37, 43 | Most additions fail; the discipline is the value |
| 08 | Portfolio construction: dropout vs the rest | drafting | exp 13, 14, 15, 35, 38, 39, 41 | Turnover-sensitive construction bleeds the edge; weekly recompute wins |
| 09 | The cost/turnover frontier | drafting | exp 26, 39, 41 | Cut turnover before adding signal; weekly rebalance is the proven lever |
| 10 | Risk limits and gates that work | drafting | exp 18, 20, 40, 42 | Limits are a safety net, not alpha; gates churn without signal |
| 11 | Walk-forward re-validation and guard candidates | drafting | exp 52–56 | The edge is a 2025–2026 regime artifact; all 5 guards refuted |
| 12 | Live execution and reconciliation | drafting | exp 27, round 3 | 4.54 bps slippage realized; funnel 10→10→10→9 |
| 13 | Synthesis: how proved truth compounds | drafting | all, exp 33–43, 52–56 | Cost relief > signal; the Q-campaign scoreboard |
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 — Metrics: the vocabulary of a price series
| Claim | Expected status |
|---|---|
| Every chapter claim reduces to a statistic computable on the lake (drift, jump, vol, regime, reversion, memory, risk, error, probability, timeline, decay) | PROVEN (chapters 03–13) + HYPOTHESIS (dataset-study magnitudes, chat-derived) |
| Generic scale-free statistics beat model-specific machinery on a small daily panel | PROVEN (exp 23/24/25/29/31) + HYPOTHESIS (generality) |
| A statistic is only as good as the falsification it survives (null z-scores, reproduction) | PROVEN (exp 21 detection playbook) + REFERENCED |
| The strongest single-feature signal (OU z-score) can be worthless inside a rank model — the "OU paradox" | PROVEN (exp 25) + open mechanism TODO(evidence-needed) |
02 — 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 |
| One variable changes per run (isolation); verdicts attributable | PROVEN — exp 26→28/29/30/31 design |
03 — 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 |
04 — 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 |
| Standalone 5d reversal (single feature sp_trend_slope_5) is not learnable — model trains positive IC | PROVEN — exp 43 (Q11) |
| More features ≠ better signal on a small cross-section | HYPOTHESIS (supported by 3+ runs, still panel-specific) |
05 — 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 |
| 10 seeds raise rank breadth (RankIC 0.0671, L/S Sharpe 4.58) but the book stays negative net | PROVEN — exp 34 (Q02) |
| Ensemble averaging's benefit is separable from feature expansion | PROVEN — exp 12 isolation design |
06 — 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 |
07 — Isolation runs
| Claim | Expected status |
|---|---|
| Single-variable changes isolate what moved performance | PROVEN — exp 26→29/30/31 + exp 33–43 Q-runs design |
| Multi-horizon momentum degrades the reference (net IR 0.21→-1.12) | PROVEN — exp 29 |
| Risk-adjusted 22d Sharpe drift (M2): reproduced on the compact set by Q01 | PROVEN — exp 30 + exp 33 (Q01) |
| GARCH(1,1) vol-regime features add no signal | PROVEN — exp 31 |
| Longer labels raise IC monotonically but net worsens under daily turnover (10d/22d) | PROVEN — exp 36/37 (Q04/Q05) |
| Standalone reversal feature does not reproduce | PROVEN — exp 43 (Q11) |
08 — 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 |
| Weekly rebalance recompute of the daily signal is the campaign's best construction (net +12.51%, IR 1.24) | PROVEN — exp 39 (Q07) |
| Fractional-Kelly sizing (exp 15) is refuted on the clean lake (net +1.04%, IR 0.11) | PROVEN — exp 38 (Q06) |
| Widening the book (topk 20) adds no edge; long-short top/bottom is destroyed by turnover | PROVEN — exp 35/41 (Q03/Q09) |
09 — 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) |
| Weekly recompute cuts cost drag to ~1.1pp and unlocks +12.51% net | PROVEN — exp 39 (Q07) |
| Long-short daily turnover costs 9.7% of NAV ($96.7k); fill rate 0.40 | PROVEN — exp 41 (Q09) |
10 — 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; re-confirmed clean-lake exp 40 (Q08) |
| 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 |
| Post-reset A/B: the floor binds but adds no IR edge; DD relief is pure defunding | PROVEN — exp 40 (Q08) |
| HMM regime gate meets only the drawdown leg and churns | PROVEN — exp 42 (Q10) |
11 — Walk-forward re-validation and guard candidates
| Claim | Expected status |
|---|---|
| The headline results (weekly +12.51%, m2-sharpe22 +6.5%) are 2026-window-specific; walk-forward re-training across 2024/2025 is negative or flat | PROVEN — exp 52/53 |
| A and C share identical predictions; the strategy layer alone decides the outcome | PROVEN — exp 52 |
| No pre-deployment measurable gate (feature-PSI, label-regime PSI, streaming IC, window length, staleness) selects a profitable year | PROVEN — exp 52–56, all 5 guards refuted |
| The edge is a 2025–2026 regime artifact; live capital must be cut until the regime returns | PROVEN (walk-forward) + HYPOTHESIS (forward-looking) |
12 — 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 |
13 — 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, 39 |
| The campaign's refuted runs (exp 11, 13, 14, 20, 25, 29, 31, Q02–Q06, Q09–Q11) were as valuable as wins | REFERENCED + PROVEN (they stopped wrong directions) |
| Turnover reduction is the dominant net-performance lever (weekly rebalance +12.51% vs daily −3.21%–+2.13%) | PROVEN — exp 26 vs 39 |
| The campaign's headline edges were a 2025–2026 regime artifact, not robust OOS | PROVEN — exp 52–56 |
| Generalizability of the 50-ETF panel results is an open question | HYPOTHESIS — TODO(evidence-needed: out-of-panel universe) |
Repository layout
book/
README.md # this file
EVIDENCE.md # ledger: id → claim → source → verified?
CLAIMS.md # proven-vs-hypothesis matrix, updated every chapter
chapters/00-intro.md ... # one file per chapter
data/ # ad-hoc validation scripts + outputs
data/chat_mining/ # raw opencode chat transcripts (idea sources)
references/chat-ideas.md # distilled ideas/hypotheses from chats + pre-reset experiments
references/ # external citations
Open questions for the desk
TODO(evidence-needed: a second live round beyond round 3, to confirm slippage and funnel hold under a different market regime)TODO(evidence-needed: reconcile realized cost against the 5bp/15bp/$5 backtest model over a full position window)TODO(evidence-needed: whether sp_sharpe_22 still helps when combined with the weekly-rebalance construction of ch. 08)TODO(evidence-needed: automated lake-integrity check wired into every experiment run, not only on demand)TODO(evidence-needed: live round under weekly-rebalance construction with risk-limit spec, to confirm safety-net behavior at higher deployed capital)TODO(evidence-needed: a live window that matches the 2026 label regime, to test whether the edge returns when the regime returns)TODO(evidence-needed: a causal (no-lookahead) regime-change detector that selects the 2026 window before the fact — none of the five guards did)
Settled open questions (no longer active)
weekly-rebalance result (exp 39) reproduced on a second window before promotion to a live roundEVIDENCE#037.long-horizon label (10d/22d) paired with a low-turnover constructionEVIDENCE#036/042.out-of-universe (non-ETF) validation of the compact stochastic feature setEVIDENCE#033.exp 18 risk-limit spec reconciliation — post-reset A/B (exp 40) shows it is a safety net, not alphaEVIDENCE#029.do the headline results survive walk-forward re-training?EVIDENCE#043–045.is there a pre-deployment guard that isolates the profitable regime?ic_min_rankic), adaptive short-window, and staleness guards all refuted.EVIDENCE#043–047.