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zhaoli c0eb65efa7 queue: pre-registered experiment backlog to prove better-trading-performance hypotheses

Mined from book/ on the 'book' branch (HEAD 436692a). 11 queued runs,
each = hypothesis + one-variable change vs the exp-26 reference + acceptance
metric, per the ch.02 isolation/falsification discipline.

- workflows/: 5 runnable config-only YAMLs (Q01 M2 repro, Q02 seed10, Q03 topk20,
  Q04 label10d, Q05 label22d) byte-derived from the exp-26 reference
- designs/: 6 design docs needing custom strategy modules or tool-only A/B
  (Q06 Kelly, Q07 weekly rebalance, Q08 risk-limit A/B, Q09 long-short,
   Q10 HMM overlay, Q11 standalone reversal)

2026-08-19 15:30:46 +00:00

1.7 KiB

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QUEUE-07 — Turnover relief: weekly rebalance vs daily (next cost lever after n_drop 1)

Status: QUEUED · Priority: P1 · Effort: custom strategy module + run

Hypothesis (prove)

n_drop 2→1 proved the cost/turnover frontier is the binding constraint (EVIDENCE#015, ch.03/ch.09: identical IC/RankIC, net flips −3.21% → +2.13%). The next lever in the same direction: rebalance the TopkDropout book only weekly (e.g. on Mondays) instead of daily — cutting forced churn further should lift net performance at the same signal quality.

Source: book/references/chat-ideas.md ("weekly rebalance" among the turnover reduction ideas), ch.09 claim inventory.

Change vs exp-26 reference (ONE variable)

Strategy: daily TopkDropout (topk 10, n_drop 1) → custom WeeklyRebalanceDropoutStrategy that recomputes the target book once per week and otherwise holds (no-trade buffer band for small deltas).
All signal/config unchanged.

Acceptance

total_cost/turnover strictly below the reference AND net_IR > 0.21 AND net_ann_return > +2.13%.
Reference numbers to beat: turnover ~0.74 (round-3 live), est. ~20% daily book turnover at topk10/n_drop2 (pre-clean-lake estimate).

Execution prerequisites

New contrib module tac_qlib/contrib/strategy/weekly_rebalance.py (WeeklyRebalanceDropoutStrategy subclassing TopkDropoutStrategy, trade only when the trade calendar day is the week's first trading day), copy to the venv site-packages copy.
Workflow YAML wiring the strategy.
Trace + run + snapshot.

Sibling (deferred)

No-trade buffer band and notional-vs-qty order sizing are variants of the same cost lever; queue them only if Q07 reproduces positively.

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