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tac-exp-dev/book/chapters/12-synthesis.md
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zhaoli 06fb1e8ee9 book: fold Q-campaign (exp 33-43) evidence into ledger, claims, and chapters
- EVIDENCE#022-032: Q01-Q11 runs (2 PASS / 9 FAIL) with run_ids and branches
- CLAIMS: promote M2 Sharpe-drift to PROVEN (Q01), refute Kelly (Q06), risk-limit-as-alpha (Q08), standalone reversal (Q11); add label-horizon + weekly-rebalance + long-short-turnover claims
- README: TOC + claim inventories for ch 04/05/07/08/09/10/12 updated to the Q-campaign
- new chapters 04 (prune), 05 (ensembles), 07 (isolation), 08 (construction), 09 (cost/turnover), 10 (risk limits & gates), 12 (synthesis); ch 00/02/03 updated
- Q08 calibration evidence persisted under book/data/evidence/q08-risklimit/
2026-08-20 01:23:21 +00:00

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Chapter 12 — Synthesis: How Proved Truth Compounds

Status: drafting. Claim inventory: see README.md ch. 12.

This chapter is the scoreboard. It collects everything the campaign proved, in order of what actually moved performance — and why the Q-campaign's 9 refutations were as informative as its 2 passes.

The scoreboard (clean lake, exp 21–43)

Lever Evidence Net effect
Data quality exp 21 (collapse), 22–24 (fix + revalidation) The single largest swing: pre-reset +7.77% became −20.6% on the same config, then reappeared as a real signal. Everything before the reset is void.
Cost relief / construction exp 26 (n_drop 2→1): −3.21%→+2.13%; exp 39 (weekly, Q07): +12.51%, IR 1.24, maxDD −4.13% The dominant positive lever. Same signal, cadence changed.
Feature pruning exp 9, 24, 25, 31, 33 (Q01), 43 (Q11) Generic pruned set > model-specific; one warranted addition (sp_sharpe_22, Q01); standalone reversal refuted (Q11).
Ensemble exp 28 (2<5 seeds), exp 34 (Q02: 10 seeds) Real but bounded: breadth saturates ~5 seeds; extra seeds don't clear costs.
Risk limits exp 40 (Q08) Safety net only: floor binds, no IR edge, DD relief is defunding.
Gates exp 20, 42 (Q10) Refuted: regime overlay churns, adds cost, no edge.
Sizing exp 38 (Q06) Weak: half-Kelly mildly positive, below bar.
Long-short exp 41 (Q09) Refuted by turnover: pre-cost edge +6.6% destroyed by $96.7k cost.

PROVEN — EVIDENCE#010–032.

What the Q-campaign settled

Eleven pre-registered runs, two passes:

  1. Q01 PASS — M2's risk-adjusted 22d Sharpe-drift feature reproduces on the compact set (net +6.53%, IR 0.62). Promotes exp-30's lone result from HYPOTHESIS to PROVEN. EVIDENCE#022.
  2. Q07 PASS — weekly recompute is the campaign's best construction (net +12.51%, IR 1.24). The forward path. EVIDENCE#028.
  3. Nine refutations — seed breadth (Q02), wider book (Q03), long labels under daily churn (Q04/Q05), Kelly sizing (Q06), risk-limit-as-alpha (Q08), long-short (Q09), regime gate (Q10), standalone reversal (Q11). Each closed a direction the desk had been considering, at one-run cost each. EVIDENCE#023–027, 029–032.

The refuted runs were as valuable as the passes: the label-horizon result (22d label, IC 0.097, yet net negative) is exactly the kind of counterintuitive fact a desk must not re-learn. REFERENCED (falsification) + PROVEN (recorded negatives).

The order of operations a reader should copy

  1. Fix data first — re-validate the lake before any run (ch. 06).
  2. Attack turnover before signal — cadence and dropped-name policy are the proven levers (ch. 09).
  3. Test features one at a time against the reference (ch. 07); prune, don't add (ch. 04).
  4. Use a small ensemble (5 seeds) and stop there (ch. 05).
  5. A/B risk limits before shipping; keep them as a safety net (ch. 10).
  6. Reconcile live — the funnel and slippage are the only claims that count (ch. 00/11).

Open questions

  • TODO(evidence-needed: reproduce exp 39 weekly rebalance on a second window, then a live round)
  • TODO(evidence-needed: long-horizon label at weekly cadence — the proven signal edge with the proven low-turnover construction)
  • TODO(evidence-needed: out-of-universe (non-ETF) validation of the compact stochastic set)
  • TODO(evidence-needed: realized-cost reconciliation of the weekly construction against the 5bp/15bp/$5 model once live)

Evidence cited in this chapter

Composite of EVIDENCE#010–032; see the per-chapter evidence tables (ch. 04–10) and EVIDENCE.md for run/branch level citations.