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.
1.4 KiB
1.4 KiB
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/)
- Load the 50-ETF panel 1d bars from the lake for 2015-01-01..2026-08-19.
- Compute the Lo–MacKinlay variance ratio at horizons 5 / 10 / 20d per symbol, with heteroskedasticity-robust z-stats.
- Report: per-horizon VR distribution, fraction of symbols with VR < 1 and the z-significance, pooled drift vs daily variance (submartingale check).
- Cross-check the pooled
sp_trend_slope_5regression beta claim (β ≈ −0.53, t ≈ −24) on the clean lake. - 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.