zhaoli
7124ef5d8e
Series 1 (Q01-Q11, exp 33-43) executed and folded into book/CLAIMS.md. Series 2 covers the remaining HYPOTHESIS rows and open questions: Q12 22d label + weekly recompute (untested combo) Q13 weekly rebalance reproduction on a 2nd OOS window Q14 out-of-universe validation (single-stock panel, needs lake backfill) Q15 5-seed vs single-seed clean A/B Q16 hmm family as features Q17 realized-moments family as features Q18 OptimalStopControl clean re-test Q19/Q20 martingale-VR + effective-names scripted studies Each workflow pins one-variable change vs exp-26 reference and acceptance.
69 lines
6.2 KiB
Markdown
69 lines
6.2 KiB
Markdown
# TradeAC Experiment Queue — Series 2 (Q12+)
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**Purpose.** The next pre-registered batch of experiments, continuing Series 1
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(Q01–Q11, exp 33–43, all executed and folded into `book/CLAIMS.md` /
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`book/EVIDENCE.md`). Each entry targets a still-unproven `HYPOTHESIS` from the
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book or an open question flagged in `CLAIMS.md`/`book/README.md`, and follows the
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Series-1 discipline: one variable changed vs the exp-26 reference, acceptance
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fixed BEFORE the run, sequential execution, trace-first, verify-then-close.
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**Reference / control (MUST reproduce first).** exp 26 (`21afc6af…`, mlflow exp
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25) is the campaign baseline; exp 39 (Q07, weekly rebalance) is the best
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construction. Reference config is byte-reproduced in `workflows/exp26/` on the
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`exp/26-…` branch and in this dir's `workflows/*.yaml`.
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| Config element | exp-26 reference value |
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|---|---|
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| Universe | 50-ETF panel (`UNIVERSE` below) |
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| Features | compact stochastic 25-field set (no ou/hmm/moments/garch) |
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| Label | `Ref($close,-6)/Ref($close,-1)-1` (5d) |
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| Model | `RankICEnsembleLGBModel`, seeds `42,7,2026,99,123`, lr 0.02, leaves 31, 3000 rounds, ES 200 |
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| Segments | train 2016-01-04..2025-09-01 / valid 2025-09-03..2026-01-03 / test 2026-01-04..2026-08-10 |
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| Strategy | TopkDropout, topk 10, n_drop 1, risk_degree 0.95 |
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| Costs | open 0.0005 / close 0.0015 / min $5, deal $close, SPY benchmark, $1M |
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**Reference metrics to beat (EVIDENCE#015):** net_ann +2.13%, net_IR 0.21, gross
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+7.02%, maxDD −7.69%, RankIC 0.0663, RankICIR 0.2545, L/S Sharpe 4.54. Weekly
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(Q07, EVIDENCE#028): net +12.51%, IR 1.24, maxDD −4.13%, ~1.1pp cost drag.
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## The queue (ordered by value × feasibility)
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| ID | Title / hypothesis | Change vs reference (ONE var) | Acceptance | Config | Ready? |
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|----|--------------------|-------------------------------|------------|--------|--------|
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| Q12 | **22d label + weekly recompute** — the untested combo: Q05's label edge (IC 0.097, RankIC 0.117) with Q07's cost relief | label → 22d AND strategy → weekly (two coupled, explicitly pre-registered) | net_IR > 0.5, net_ann > +5%, cost drag ≤ 2pp | `workflows/q12_label22d_weekly.yaml` | ✅ |
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| Q13 | **Weekly rebalance reproduction on a 2nd window** — Q07 was a single OOS window; reproduce on test 2025-01-02..2025-12-31 before promoting to a live round | segments only (shifted) | net_IR > 0.21, net_ann > +2.13% on the new window | `workflows/q13_weekly_second_window.yaml` | ✅ |
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| Q14 | **Out-of-universe validation** — compact stochastic set generalizes off the 50-ETF panel to a single-stock universe | universe → 30 liquid single names | RankIC > 0.03, ICIR > 0.15, net IR > 0 on stocks | `workflows/q14_out_of_universe.yaml` | ⚠️ needs stock-lake backfill (see design) |
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| Q15 | **5-seed vs single-model clean A/B** — seed-count claim (exp 12 idea, re-validated exp 22–24, never a clean A/B) | seeds → 1 (`2026`) | single-model RankIC/IR < 5-seed ref; net_IR ≥ 0.21 acceptable if ≥ single | `workflows/q15_single_seed.yaml` | ✅ |
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| Q16 | **HMM family added as features** — settles "dropping model-specific (ou,hmm) improves signal" (exp 25 tested OU; hmm-as-feature untested) | features += `sp_hmm_p_regime1,sp_hmm_state` | no improvement: RankIC ≤ 0.0663, net_IR ≤ 0.21 | `workflows/q16_hmm_features.yaml` | ✅ |
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| Q17 | **Realized-moments family added** — settles "moment/volatility families regress" (exp 11 idea, never clean A/B) | features += `sp_rskew_5,sp_rskew_22,sp_rkurt_5,sp_rkurt_22,sp_dsv_5,sp_dsv_22` | no improvement: RankIC ≤ 0.0663, net_IR ≤ 0.21 | `workflows/q17_moments_features.yaml` | ✅ |
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| Q18 | **OptimalStopControl clean re-test** — exp 13/14 claim (TopkDropout > stop-control) never re-tested post-reset | strategy → `OptimalStopControl` (exp-13 params) | TopkDropout net_IR ≥ stop-control net_IR; document cost drag | `workflows/q18_optstop.yaml` | ✅ (module verified in venv) |
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| Q19 | **Martingale / variance-ratio study close-out** — exp 19 never closed; VR<1 at 5–20d on clean lake | ad-hoc script (no qrun) | VR stats + drift decomposition on 50-ETF panel | `designs/q19_martingale_vr.md` | ✅ script |
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| Q20 | **Effective independent names (≈4)** — eigenvalue analysis on clean-lake covariance | ad-hoc script | eigenvalue spectrum + effective-rank count | `designs/q20_effective_names.md` | ✅ script |
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### Deferred (methodology / infra, P3)
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- Purged / walk-forward CV (was queue's old Q12) — methodology, not an alpha lever.
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- PSI-based drift-aware retraining cadence — needs a drift-gate module + a retrain decision rule.
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- No-trade buffer band / notional-vs-qty sizing — siblings of Q12/Q13; queue only if weekly reproduces.
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- Macro/drift overlays (SPY>200d regime gate, momentum tilt) — needs new data pipeline.
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## Execution protocol (per queued run)
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1. **Validate the lake first** (`validate_lake_dataset` + `rd_status`) — clean-lake lesson: silent NaN-drops and hollow coverage invalidate a run. Q14 additionally requires backfilling the single-stock universe (bars + sp/ta features, full range, explicit `start`/`end`).
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2. **Trace before running** (`rd_trace_start` with the hypothesis as `rational`, fresh `experiment_name`, `evolved_from=auto`).
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3. **Run** `rd_run_workflow config_path=<abs path to the queue YAML> experiment_name=<fresh name>` — `wait=false`, poll `rd_exp_get_run` until `FINISHED`.
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4. **Verify against acceptance** via `rd_exp_result` (headline + backtest risk).
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5. **Finish the trace** (`rd_trace_finish` with `metrics` + `evaluation`), snapshot any changed contrib modules.
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6. **Report to the book** — PROVE/REFUTE → update `book/CLAIMS.md` + `book/EVIDENCE.md`.
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Sequential execution only (concurrent runs hang — chat-ideas.md ops lesson). Any
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custom strategy/module changed here must be copied into the venv site-packages
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snapshot before `rd_run_workflow` can import it (see `/app/AGENTS.md`). As of
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2026-08-20 `WeeklyRebalanceDropoutStrategy` and `OptimalStopControl` are verified
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in sync with the venv snapshot; the lake already persists the `sp_hmm_*` and
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`sp_moments` families on the 50-ETF panel.
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## Provenance
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Mined 2026-08-20 from `book/CLAIMS.md`, `book/EVIDENCE.md`, `book/README.md`,
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`book/references/chat-ideas.md`, and Series-1 `queue/` (Q01–Q11, executed exp
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33–43). Reference numbers are post-clean-lake (exp 21+). |