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)
30 lines
1.5 KiB
Markdown
30 lines
1.5 KiB
Markdown
# QUEUE-09 — Long-short construction: capture the long-short edge net of costs
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**Status:** QUEUED · **Priority:** P2 · **Effort:** custom strategy module + run
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## Hypothesis (prove)
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The compact stochastic signal's long-short spread is the real edge (L/S ann
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Sharpe 4.54, exp 24; "edge is long-short, not long-only" — chat-ideas.md), but
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all canonical constructions are long-only (TopkDropout buys topk, drops, holds).
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A market-neutral book (long topk, short bottom topk) should realize more of the
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spread net of costs than the long-only book, IF short-side financing + doubled
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turnover cost stays below the added spread capture.
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## Change vs exp-26 reference (ONE variable)
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- **Strategy**: long-only TopkDropout (topk 10, n_drop 1) → custom
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`TopBottomDropoutStrategy` (long topk by rank, short bottom topk, equal
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weight per side, same risk_degree), realized in a workflow with a cost model
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that includes both sides (open/close cost symmetric).
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- All signal/config unchanged.
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## Acceptance
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- `net_IR > 0.21` AND `net_ann_return > +2.13%` AND `total_cost` within ~2× the
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reference (doubled side count is the structural cost of this construction).
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- Watch: benchmark neutrality (SPY beta ≈ 0) as a secondary sanity metric.
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## Execution prerequisites
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1. New contrib module `tac_qlib/contrib/strategy/top_bottom.py`
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(`TopBottomDropoutStrategy` subclassing `BaseSignalStrategy`), copy to the
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venv site-packages copy.
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2. Workflow YAML wiring the strategy; PortAnaRecord benchmark SPY.
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3. Trace + run + snapshot. |