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.
1.2 KiB
1.2 KiB
QUEUE-20 — Effective independent names in the 50-ETF book (no qrun)
Status: QUEUED · Priority: P2 · Effort: ad-hoc script under book/data/
Hypothesis (settle)
The 50-ETF book has only ~4 effective independent names (CLAIMS.md HYPOTHESIS, chat-derived eigenvalue analysis, pre-reset). This is a concentration/diversification claim with direct sizing relevance; verify it on the clean lake.
Method (persist everything under book/data/evidence/q20-effective-names/)
- Load the 50-ETF panel 1d returns from the lake for the test window 2026-01-04..2026-08-10.
- Standardize returns; compute the correlation matrix and its eigendecomposition.
- Count eigenvalues above the Marchenko–Pastur bound (N=50, T≈150) and report the cumulative-variance share of the top k components.
- Effective-rank measures: participation ratio
(Σλ)² / Σλ²and cumulative 80% variance count. - Write
eigenanalysis.csv+ a one-page summary.
Acceptance
- If effective rank ≈ 4 (top-4 explain ~80%+ variance), the concentration claim is PROVEN and feeds chapter 08 sizing guidance (why topk 10→20 adds no breadth).
- If effective rank is much larger, mark the claim REFUTED.