tac-exp-dev/book/CLAIMS.md

# CLAIMS.md — Proven vs Hypothesis Matrix

The running scoreboard of every quantitative claim in the book. Updated per chapter after HITL review. Status codes: `PROVEN` (reproduced from a recorded run **on the clean lake** / reconciled post-reset round), `HYPOTHESIS` (plausible, tested once or never, or pre-clean-lake / chat-derived idea), `REFUTED` (tested on clean data and contradicted), `REFERENCED` (external citation).

**Boundary rule:** only claims traceable to exp 21+ or post-reset live rounds may be `PROVEN`. Pre-clean-lake experiments (exp 8–18) and opencode chat transcripts are idea sources — their claims are `HYPOTHESIS` at best and are marked `(idea: pre-clean-lake)`.

## Signal & features

| Claim | Status | Evidence |
|-------|--------|----------|
| General stochastic features (no TA/HMM/OU) have highest ICIR 0.340 on clean data | PROVEN | EVIDENCE#012 → exp 23 |
| Compact stochastic set is the clean-lake reference (RankIC 0.0663, RankICIR 0.2545) | PROVEN | EVIDENCE#013 → exp 24 |
| Adding OU mean-reversion (sp_ou_zscore) hurts on clean data | PROVEN (refuted direction) | EVIDENCE#014 → exp 25 |
| Multi-horizon momentum (M1) degrades the reference | PROVEN (refuted direction) | EVIDENCE#017 → exp 29 |
| GARCH(1,1) vol-regime features add no signal | PROVEN (refuted direction) | EVIDENCE#019 → exp 31 |
| Risk-adjusted 22d Sharpe drift (M2) improves portfolio metrics | PROVEN (reproduced on the compact set) | EVIDENCE#018 → exp 30; EVIDENCE#022 → exp 33 (Q01 repro) |
| Adding sp_sharpe_22 to the compact set reproduces the M2 edge (net +6.53%, IR 0.62) | PROVEN | EVIDENCE#022 → exp 33 (Q01) |
| Longer forward-return labels improve IC monotonically (5d→22d: IC 0.050→0.097, RankIC 0.066→0.117) | PROVEN | EVIDENCE#025/026 → exp 36/37 (Q04/Q05) |
| Long-horizon signal gains never monetize under daily-rebalance turnover (net worsens with label length) | PROVEN | EVIDENCE#025/026 → exp 36/37 (Q04/Q05) |
| Standalone 5d reversal (single feature sp_trend_slope_5) does not reproduce — model learns positive IC, no reversal | PROVEN (refuted direction) | EVIDENCE#032 → exp 43 (Q11) |
| Dropping model-specific feature families (ou, hmm) improves the rank signal | HYPOTHESIS (idea: pre-clean-lake, exp 9) | EVIDENCE#003 → exp 9 |
| Adding moment/volatility families regresses the signal | HYPOTHESIS (idea: pre-clean-lake, exp 11) | EVIDENCE#004 → exp 11 |
| Baseline 1-day LGB signal is weak / costs erase most of the edge | HYPOTHESIS (idea: pre-clean-lake, exp 8) | EVIDENCE#001/002 → exp 8 |
| More features ≠ better signal on a small (50-name) cross-section | HYPOTHESIS (3+ supporting runs, panel-specific) | EVIDENCE#003/004/014/017/019 |
| Mean reversion (OU z-score, trend-slope reversal) is the stable single-feature edge | REFUTED (single-feature trend-slope reversal tested, no reversal learned) | EVIDENCE#032 → exp 43 (Q11) |
| Compact stochastic set generalizes to liquid single-stock names | REFUTED (out-of-universe RankIC −0.02, ICIR −0.07 — signal is noise on 30-name stock panel) | EVIDENCE#033 → exp 50 (Q14) |
| Assets are submartingales long-horizon / mean-reverting short-horizon (VR<1 at 5–20d) | PROVEN (clean-lake VR study: median VR 0.88–0.92 across 5–20d, 37–47% of ETFs significantly mean-reverting) | EVIDENCE#034 → Q19 VR study |

## Model

| Claim | Status | Evidence |
|-------|--------|----------|
| Seed count is load-bearing: 2 seeds < 5 seeds on clean data | PROVEN | EVIDENCE#016 → exp 28 |
| n_drop 2→1 flips net excess (−3.21% → +2.13%) with identical signal metrics | PROVEN | EVIDENCE#015 → exp 26 |
| Cost drag is the binding constraint, not signal quality | PROVEN (clean data) | EVIDENCE#015 → exp 26 (IC/RankIC identical across n_drop) |
| 10-seed ensemble raises rank metrics (RankIC 0.0671, L/S Sharpe 4.58) but book stays negative net (−0.93%) | PROVEN | EVIDENCE#023 → exp 34 (Q02) |
| More seeds raise signal breadth but do not cure the cost problem | PROVEN | EVIDENCE#023 → exp 34 (Q02) |
| 5-seed RankIC ensemble raises performance vs single model on ablated set | HYPOTHESIS (pre-clean-lake exp 12 idea; re-validated directionally by exp 22–24 but not as a clean A/B) | EVIDENCE#005 |
| Fractional-Kelly sizing beats equal-weight top-k net of costs | REFUTED (net +1.04% IR 0.11 < acceptance; mild improvement only) | EVIDENCE#027 → exp 38 (Q06) |

## Portfolio construction & risk

| Claim | Status | Evidence |
|-------|--------|----------|
| TopkDropout beats stochastic-control OptimalStopControl on the ensemble signal | HYPOTHESIS (idea: pre-clean-lake exp 13/14; not re-tested post-reset) | EVIDENCE#006/007 |
| $5M liquidity floor improves IR and cuts drawdown | REFUTED (post-reset A/B: floor binds but no IR edge — candidate 1.512 < baseline 1.580; DD cut is defunding) | EVIDENCE#029 → exp 40 (Q08) |
| Size/concentration caps hurt by cutting deployed capital | PROVEN (post-reset A/B: caps fold risk_degree ~0.0095, deploy ~$9.5k of $1M) | EVIDENCE#029 → exp 40 (Q08) |
| Risk-limit gates are a safety net, not an alpha lever | PROVEN | EVIDENCE#029 → exp 40 (Q08) |
| Weekly rebalance of the same signal is the campaign's best construction (net +12.51%, IR 1.24, maxDD −4.13%, ~1.1pp cost drag) | PROVEN | EVIDENCE#028 → exp 39 (Q07) |
| Turnover reduction (weekly) ≫ sizing (Kelly) ≫ gates (regime/risk-limit) as a performance lever | PROVEN | EVIDENCE#028 → exp 39 (Q07); EVIDENCE#027 → exp 38 (Q06); EVIDENCE#029/031 → exp 40/42 (Q08/Q10) |
| Widening the book (topk 10→20) adds no net edge (−1.88%) | PROVEN (refuted direction) | EVIDENCE#024 → exp 35 (Q03) |
| Fractional-Kelly sizing mildly improves but fails acceptance (net +1.04%, IR 0.11) | PROVEN (refuted direction) | EVIDENCE#027 → exp 38 (Q06) |
| Long-short top10/bottom10 has real pre-cost edge but daily L/S turnover destroys it ($96.7k cost ≈ 9.7% NAV, fill rate 0.40) | PROVEN (refuted direction) | EVIDENCE#030 → exp 41 (Q09) |
| HMM regime entry gate (sp_hmm_p_regime1 ≥ 0.5) meets only the drawdown leg; churns and erases gross | PROVEN (refuted direction) | EVIDENCE#031 → exp 42 (Q10) |
| Entry/risk gates (momentum, HMM) are byte-identical no-ops | PROVEN (clean-lake re-test: regime gate refuted; still only DD relief) | EVIDENCE#031 → exp 42 (Q10) |
| Signal quality is the bottleneck, not the execution/risk layer | PROVEN (10 of 11 Q-runs refuted on signal/construction; weekly cost relief wins) | EVIDENCE#022–032 → exp 33–43 |

## Data & reproducibility

| Claim | Status | Evidence |
|-------|--------|----------|
| The pre-reset reference signal did not reproduce on a rebuilt lake (IC 0.035→0.002) | PROVEN | EVIDENCE#010 → exp 21 |
| Old-lake data quality inflated the signal and backtest | PROVEN | EVIDENCE#010 → exp 21 |
| Signal work must be re-validated after any data rebuild | PROVEN (exp 21) / HYPOTHESIS (generality) | EVIDENCE#010 |
| Silent NaN-drop (feature-provider path mismatch, stale coverage, mid-experiment regeneration) is a first-order pipeline failure class | HYPOTHESIS (chat-documented failure modes; partially re-validated by exp 22 fix) | book/data/chat_mining/*.txt + EVIDENCE#010/011 |
| Pre-reset experiment baselines are not comparable to post-reset runs | PROVEN | EVIDENCE#009/010 (exp 20 R0 note, exp 21) |

## Live execution

| Claim | Status | Evidence |
|-------|--------|----------|
| Live funnel held: 10 targets → 10 decided → 10 placed → 9 filled | PROVEN | EVIDENCE#020 → round 3 |
| Realized slippage ≈ 4.54 bps, est. cost ≈ $45, turnover 0.74 | PROVEN | EVIDENCE#020 → round 3 metrics |
| Execution claims trace to round_id + reconcile, not backtest | PROVEN (methodology, round 3 settled) | EVIDENCE#020 |
| 50-ETF panel results generalize to other universes | REFUTED (Q14: single-stock universe RankIC −0.02, ICIR −0.07 — signal is noise) | EVIDENCE#033 → exp 50 (Q14) |
| Effective independent names in the 50-ETF book is small (≈4) | PROVEN (clean-lake eigenvalue analysis: participation ratio 4.46, top-4 explain 66.8% var, 4 signal eigenvalues above Marchenko-Pastur bound) | EVIDENCE#035 → Q20 eigenanalysis |

## Open questions (settled by further experiments)

- exp 30 M2 Sharpe-drift: DONE — reproduced on the compact set by Q01 (exp 33), promoted to PROVEN.
- exp 15 Kelly sizing: re-run — DONE — refuted on the clean lake by Q06 (exp 38); mark the old hypothesis REFUTED.
- exp 18 risk-limit spec: re-validate $5M liquidity floor on the post-reset reference signal — DONE — refuted as an IR lever by Q08 (exp 40); keep as safety net only.
- Weekly rebalance: reproduce on a second window / take to a live round.
- Out-of-universe validation: non-ETF universe for the compact stochastic feature set. — DONE — refuted by Q14 (exp 50); RankIC −0.02, ICIR −0.07 on 30 liquid single-stock names.
- Long-horizon label (10d/22d) with a matching low-turnover construction (e.g. weekly recompute) — signal says the edge is there, cost says daily churn kills it; untested combination.
- Martingale / variance-ratio study: DONE — PROVEN by Q19 scripted study; VR < 1 at 5–20d with significant z-stats for 37–47% of the panel.
- Effective independent names: DONE — PROVEN by Q20 eigenvalue analysis; participation ratio ≈ 4.5, matching the chat-derived claim.