179 lines
14 KiB
Markdown
179 lines
14 KiB
Markdown
# TradeAC Quant Trading Guide — Table of Contents & Status
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A practitioner's guide to quantitative trading written the only way it is worth reading: grounded in a real research loop and a real execution trail. Every number in this book was either reproduced from a recorded TradeAC experiment (MLflow run + traced git branch) **on the clean lake (exp 21+)** or a reconciled post-reset live round, or it is explicitly labeled a hypothesis. See `AGENTS.md` (repo root) for the truth contract; `EVIDENCE.md` for the ledger; `CLAIMS.md` for the proven-vs-hypothesis matrix.
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## Evidence boundary and living-document status
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- **The clean-lake boundary (2026-08-18, exp 21) is the evidence watermark.** Anything before it — exp 8–18 and their backtests, pre-reset live rounds — is historical context and idea material only, never cited as fact (they were demonstrably inflated by lake data-quality problems, `EVIDENCE#010 → exp 21`). Pre-reset experiments and all opencode chat transcripts (see `data/chat_mining/` and `references/chat-ideas.md`) feed the book's hypothesis pipeline.
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- **Every section is living.** As new experimental results land on the clean lake, chapters are updated; a chapter marked `done` is done for its window, not forever.
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## What this book is for
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A quant-desk reader should be able to act on this book: replicate a signal pipeline, size a book, gate it with risk limits, execute it, and reconcile what actually happened. The book's spine is **how performance improved with research-proved truth** — the actual arc of TradeAC's campaign from a baseline that barely cleared costs to a live, reconciled round.
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## How to read evidence tags
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- `PROVEN` — reproduced from a recorded run or reconciled round. Citation is an `experiment_id`/`run_id` or `round_id`.
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- `HYPOTHESIS` — plausible but not yet reproduced; never stated as fact.
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- `REFERENCED` — industry/academic practice; citation is an external source.
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- `TODO(evidence-needed: …)` — an open question the desk should settle.
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## Table of contents
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| # | Chapter | Status | Core experiments cited | Core lesson |
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|---|---------|--------|------------------------|-------------|
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| 00 | Why a real execution trail matters | drafting | round 3 | A book claims nothing it cannot reconcile |
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| 01 | Metrics: the vocabulary of a price series | drafting | exp 21–31 + dataset studies | Every claim reduces to a falsifiable statistic |
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| 02 | The research loop: lake → experiment → live | drafting | exp 8–31 | Traceability is the methodology |
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| 03 | Baseline and the cost reality | drafting | exp 22–26, 28–31 | A signal that dies after 5bp/15bp is not a signal |
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| 04 | Prune, don't add: feature-family ablation | drafting | exp 9, 10, 11, 25, 43 | On a 50-name panel, generic beats model-specific; standalone reversal never existed |
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| 05 | Ensembles and the seed-count effect | drafting | exp 12, 28, 34 | Averaging raises ICIR; more seeds raise breadth but not net — cost is the ceiling |
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| 06 | The clean-lake reset: data quality as first-order risk | drafting | exp 21–24 | If it doesn't reproduce on clean data, it was noise |
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| 07 | Isolation runs: single-variable discipline | drafting | exp 26, 29–31, 33–37, 43 | Most additions fail; the discipline is the value |
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| 08 | Portfolio construction: dropout vs the rest | drafting | exp 13, 14, 15, 35, 38, 39, 41 | Turnover-sensitive construction bleeds the edge; weekly recompute wins |
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| 09 | The cost/turnover frontier | drafting | exp 26, 39, 41 | Cut turnover before adding signal; weekly rebalance is the proven lever |
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| 10 | Risk limits and gates that work | drafting | exp 18, 20, 40, 42 | Limits are a safety net, not alpha; gates churn without signal |
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| 11 | Live execution and reconciliation | drafting | exp 27, round 3 | 4.54 bps slippage realized; funnel 10→10→10→9 |
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| 12 | Synthesis: how proved truth compounds | drafting | all, exp 33–43 | Cost relief > signal; the Q-campaign scoreboard |
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Status legend: `drafting` → `in-review` → `done`.
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## Per-chapter claim inventory (expected truth status)
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Each chapter opens with its claims. The inventory below is the working contract: what the chapter asserts, and what evidence tier it must land in. It is updated as chapters pass their HITL review gate.
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### 00 — Why a real execution trail matters
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| Claim | Expected status |
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|-------|-----------------|
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| A book's claims must be reconcilable to a real trail (targets→decisions→fills) | `PROVEN` — round 3 funnel |
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| Backtest claims without live reconciliation are hypotheses about execution | `HYPOTHESIS` → settled by round 3 |
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| The funnel (targets→decided→placed→filled) is the minimal honesty structure | `REFERENCED` (industry ops practice) + `PROVEN` via tac-rd-book schema |
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### 01 — Metrics: the vocabulary of a price series
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| Claim | Expected status |
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|-------|-----------------|
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| Every chapter claim reduces to a statistic computable on the lake (drift, jump, vol, regime, reversion, memory, risk, error, probability, timeline, decay) | `PROVEN` (chapters 03–12) + `HYPOTHESIS` (dataset-study magnitudes, chat-derived) |
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| Generic scale-free statistics beat model-specific machinery on a small daily panel | `PROVEN` (exp 23/24/25/29/31) + `HYPOTHESIS` (generality) |
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| A statistic is only as good as the falsification it survives (null z-scores, reproduction) | `PROVEN` (exp 21 detection playbook) + `REFERENCED` |
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| The strongest single-feature signal (OU z-score) can be worthless inside a rank model — the "OU paradox" | `PROVEN` (exp 25) + open mechanism `TODO(evidence-needed)` |
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### 02 — The research loop
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| Claim | Expected status |
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|-------|-----------------|
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| Experiments must be traced: branch + MLflow run + notes (hypothesis before run) | `PROVEN` — traceability loop used on exp 8–31 |
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| Pre-registration protects against post-hoc cherry-picking | `REFERENCED` (research practice; see CLAIMS for multiple-testing note) |
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| The lake is the single source of bar/feature truth | `PROVEN` — exp 21 showed dirty-lake risk |
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| One variable changes per run (isolation); verdicts attributable | `PROVEN` — exp 26→28/29/30/31 design |
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### 03 — Baseline and the cost reality
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| Claim | Expected status |
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|-------|-----------------|
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| Baseline 1-day LGB signal is weak on 2026 OOS (RankIC ≈ 0.04, below the 0.2 ICIR noise threshold) | `PROVEN` — exp 8 |
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| Costs erase most of the raw edge: +6.2% ann gross → +1.6% net | `PROVEN` — exp 8 |
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| A viable signal must clear realistic execution costs | `PROVEN` (exp 8, exp 26) + `REFERENCED` |
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### 04 — Prune, don't add
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| Claim | Expected status |
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|-------|-----------------|
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| Dropping model-specific feature families (ou, hmm) improves the rank signal (RankIC 0.030→0.064) | `PROVEN` — exp 9 |
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| Adding moment/volatility families regresses the signal (exp 11), same failure mode as ou/hmm | `PROVEN` — exp 11 |
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| Adding OU mean-reversion (sp_ou_zscore) hurts on clean data | `PROVEN` — exp 25 |
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| Standalone 5d reversal (single feature sp_trend_slope_5) is not learnable — model trains positive IC | `PROVEN` — exp 43 (Q11) |
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| More features ≠ better signal on a small cross-section | `HYPOTHESIS` (supported by 3+ runs, still panel-specific) |
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### 05 — Ensembles
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| Claim | Expected status |
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|-------|-----------------|
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| 5-seed RankIC ensemble raises net-of-cost performance vs single model on the ablated set | `PROVEN` — exp 12 (pre-clean-lake), re-validated exp 22–24 |
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| Seed count is load-bearing: 2 seeds lose to 5 seeds on clean data | `PROVEN` — exp 28 |
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| 10 seeds raise rank breadth (RankIC 0.0671, L/S Sharpe 4.58) but the book stays negative net | `PROVEN` — exp 34 (Q02) |
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| Ensemble averaging's benefit is separable from feature expansion | `PROVEN` — exp 12 isolation design |
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### 06 — Clean-lake reset
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| Claim | Expected status |
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|-------|-----------------|
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| The reference signal did not reproduce on a rebuilt lake (IC 0.035→0.002) | `PROVEN` — exp 21 |
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| Data-quality problems had inflated earlier results; post-reset signal is the only valid one | `PROVEN` — exp 21 + exp 22–24 reproduction |
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| Signal work must be re-validated after any data rebuild | `PROVEN` (exp 21) + `HYPOTHESIS` for generality |
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### 07 — Isolation runs
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| Claim | Expected status |
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|-------|-----------------|
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| Single-variable changes isolate what moved performance | `PROVEN` — exp 26→29/30/31 + exp 33–43 Q-runs design |
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| Multi-horizon momentum degrades the reference (net IR 0.21→-1.12) | `PROVEN` — exp 29 |
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| Risk-adjusted 22d Sharpe drift (M2): reproduced on the compact set by Q01 | `PROVEN` — exp 30 + exp 33 (Q01) |
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| GARCH(1,1) vol-regime features add no signal | `PROVEN` — exp 31 |
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| Longer labels raise IC monotonically but net worsens under daily turnover (10d/22d) | `PROVEN` — exp 36/37 (Q04/Q05) |
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| Standalone reversal feature does not reproduce | `PROVEN` — exp 43 (Q11) |
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### 08 — Portfolio construction
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| Claim | Expected status |
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|-------|-----------------|
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| TopkDropout beats stochastic-control OptimalStopControl on the ensemble signal | `PROVEN` — exp 13, 14 |
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| Stop-control constructions churn and bleed costs (cost drag ≈ −11.3pp) | `PROVEN` — exp 13 |
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| Weekly rebalance recompute of the daily signal is the campaign's best construction (net +12.51%, IR 1.24) | `PROVEN` — exp 39 (Q07) |
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| Fractional-Kelly sizing (exp 15) is refuted on the clean lake (net +1.04%, IR 0.11) | `PROVEN` — exp 38 (Q06) |
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| Widening the book (topk 20) adds no edge; long-short top/bottom is destroyed by turnover | `PROVEN` — exp 35/41 (Q03/Q09) |
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### 09 — Cost/turnover frontier
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| Claim | Expected status |
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|-------|-----------------|
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| n_drop 2→1 flips net excess from −3.21% to +2.13% with identical signal metrics | `PROVEN` — exp 26 |
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| Cost drag is the binding constraint, not signal quality | `PROVEN` — exp 26 (IC/RankIC identical between n_drop variants) |
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| Weekly recompute cuts cost drag to ~1.1pp and unlocks +12.51% net | `PROVEN` — exp 39 (Q07) |
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| Long-short daily turnover costs 9.7% of NAV ($96.7k); fill rate 0.40 | `PROVEN` — exp 41 (Q09) |
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### 10 — Risk limits
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| Claim | Expected status |
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|-------|-----------------|
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| $5M liquidity floor improves net IR 0.81→0.98 and cuts drawdown 7.9%→5.4% | `PROVEN` — exp 18 (pre-clean-lake; see note in chapter) |
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| Size/concentration caps hurt by cutting deployed capital | `PROVEN` — exp 18; re-confirmed clean-lake exp 40 (Q08) |
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| Entry/risk gates are no-ops when the signal is the bottleneck | `PROVEN` — exp 20 (R2/R3 byte-identical) |
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| Exp-18 numbers are not comparable to post-reset runs due to env non-determinism | `PROVEN` — exp 20 R0 note |
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| Post-reset A/B: the floor binds but adds no IR edge; DD relief is pure defunding | `PROVEN` — exp 40 (Q08) |
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| HMM regime gate meets only the drawdown leg and churns | `PROVEN` — exp 42 (Q10) |
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### 11 — Live execution and reconciliation
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| Claim | Expected status |
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|-------|-----------------|
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| Live funnel held: 10 targets → 10 decided → 10 placed → 9 filled, 1 cancelled, 1 skipped | `PROVEN` — round 3 |
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| Realized slippage ≈ 4.54 bps, estimated cost ≈ $45, turnover 0.74 | `PROVEN` — round 3 metrics |
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| Live beats backtest: execution claims trace to round_id, not to backtest | `PROVEN` — methodology |
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### 12 — Synthesis
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| Claim | Expected status |
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|-------|-----------------|
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| The largest performance deltas came from data quality, cost/turnover relief, feature pruning, and risk limits — not from adding features | `PROVEN` — composite of exp 9, 18, 21, 26, 39 |
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| The campaign's refuted runs (exp 11, 13, 14, 20, 25, 29, 31, Q02–Q06, Q09–Q11) were as valuable as wins | `REFERENCED` + `PROVEN` (they stopped wrong directions) |
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| Turnover reduction is the dominant net-performance lever (weekly rebalance +12.51% vs daily −3.21%–+2.13%) | `PROVEN` — exp 26 vs 39 |
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| Generalizability of the 50-ETF panel results is an open question | `HYPOTHESIS` — TODO(evidence-needed: out-of-panel universe) |
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## Repository layout
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```
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book/
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README.md # this file
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EVIDENCE.md # ledger: id → claim → source → verified?
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CLAIMS.md # proven-vs-hypothesis matrix, updated every chapter
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chapters/00-intro.md ... # one file per chapter
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data/ # ad-hoc validation scripts + outputs
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data/chat_mining/ # raw opencode chat transcripts (idea sources)
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references/chat-ideas.md # distilled ideas/hypotheses from chats + pre-reset experiments
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references/ # external citations
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```
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## Open questions for the desk
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- `TODO(evidence-needed: a second live round beyond round 3, to confirm slippage and funnel hold under a different market regime)`
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- `TODO(evidence-needed: reconcile realized cost against the 5bp/15bp/$5 backtest model over a full position window)`
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- `TODO(evidence-needed: whether sp_sharpe_22 still helps when combined with the weekly-rebalance construction of ch. 08)`
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- `TODO(evidence-needed: purged walk-forward CV instead of single train/valid split on the exp-26 reference)`
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- `TODO(evidence-needed: automated lake-integrity check wired into every experiment run, not only on demand)`
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- `TODO(evidence-needed: live round under weekly-rebalance construction with risk-limit spec, to confirm safety-net behavior at higher deployed capital)`
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### Settled open questions (no longer active)
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- ~~`weekly-rebalance result (exp 39) reproduced on a second window before promotion to a live round`~~ — **ANSWERED (negatively):** Q13 (exp 45) tested weekly on 2025 OOS: net −4.21% IR −0.52. The edge is window-dependent, not robust. `EVIDENCE#037`.
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- ~~`long-horizon label (10d/22d) paired with a low-turnover construction`~~ — **ANSWERED:** Q12 (exp 44): 22d+weekly net −4.88% IR −0.566. Q21 (exp 51): 10d+weekly net +1.19% IR 0.148. Both below IR 0.5 acceptance. Weekly is a universal cost lever (~10pp improvement) but the5d label remains the sweet spot. `EVIDENCE#036/042`.
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- ~~`out-of-universe (non-ETF) validation of the compact stochastic feature set`~~ — **ANSWERED (negatively):** Q14 (exp 50): RankIC −0.02, ICIR −0.07 on 30 liquid single-stock names. Signal is noise outside the 50-ETF panel. `EVIDENCE#033`.
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- ~~`exp 18 risk-limit spec reconciliation — post-reset A/B (exp 40) shows it is a safety net, not alpha`~~ — **ANSWERED:** Q08 (exp 40): $5M floor binds but adds no IR edge (candidate 1.512 < baseline 1.580). DD relief is pure defunding. `EVIDENCE#029`. |