zhaoli
c0eb65efa7
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)
37 lines
1.7 KiB
Markdown
37 lines
1.7 KiB
Markdown
# QUEUE-07 — Turnover relief: weekly rebalance vs daily (next cost lever after n_drop 1)
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**Status:** QUEUED · **Priority:** P1 · **Effort:** custom strategy module + run
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## Hypothesis (prove)
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n_drop 2→1 proved the cost/turnover frontier is the binding constraint
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(EVIDENCE#015, ch.03/ch.09: identical IC/RankIC, net flips −3.21% → +2.13%).
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The next lever in the same direction: rebalance the TopkDropout book only
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**weekly** (e.g. on Mondays) instead of daily — cutting forced churn further
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should lift net performance at the same signal quality.
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Source: `book/references/chat-ideas.md` ("weekly rebalance" among the turnover
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reduction ideas), ch.09 claim inventory.
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## Change vs exp-26 reference (ONE variable)
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- **Strategy**: daily TopkDropout (topk 10, n_drop 1) → custom
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`WeeklyRebalanceDropoutStrategy` that recomputes the target book once per
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week and otherwise holds (no-trade buffer band for small deltas).
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- All signal/config unchanged.
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## Acceptance
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- `total_cost`/turnover strictly below the reference AND `net_IR > 0.21` AND
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`net_ann_return > +2.13%`.
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- Reference numbers to beat: turnover ~0.74 (round-3 live), est. ~20% daily
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book turnover at topk10/n_drop2 (pre-clean-lake estimate).
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## Execution prerequisites
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1. New contrib module `tac_qlib/contrib/strategy/weekly_rebalance.py`
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(`WeeklyRebalanceDropoutStrategy` subclassing `TopkDropoutStrategy`, trade
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only when the trade calendar day is the week's first trading day), copy to
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the venv site-packages copy.
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2. Workflow YAML wiring the strategy.
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3. Trace + run + snapshot.
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## Sibling (deferred)
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No-trade buffer band and notional-vs-qty order sizing are variants of the same
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cost lever; queue them only if Q07 reproduces positively. |