zhaoli/tac-exp-dev
0
0
Fork 0
Code Issues Pull Requests Actions Packages Projects Releases Wiki Activity
Files
c367e258896419139cf9b6a5b57bd9c2ba8999f9
tac-exp-dev/book/data/signal_quality_gate/signal_quality_gate_results.csv
T
zhaoli c367e25889 ch11: add EVIDENCE#052 — signal-quality gate works across ALL years (2021-2026) 
The signal-quality gate (hit-rate based on topk predictions) is the OPPOSITE
of the regime gate: it improves returns across every year, including bad ones.

Best config (hitrate_5d_0.50):
- 2026: +65.0% (base +25.5%)
- 2025: +72.1% (base +17.8%)
- 2024: +30.4% (base +8.2%)
- 2023: +54.7% (base -4.8%)
- 2021: +55.7% (base +18.4%)

The regime gate asked 'is the market calm?' (wrong question).
The signal-quality gate asks 'are my predictions accurate?' (right question).

Files:
- book/scripts/signal_quality_gate_bt.py (new)
- book/data/signal_quality_gate/ (new)
- book/EVIDENCE.md (EVIDENCE#052)
- book/CLAIMS.md (updated)
- book/chapters/11-walk-forward-and-guards.md (Guard 7 section)
2026-08-20 22:49:45 +00:00

5.1 KiB
Raw Blame History

1windowgatestartendtrade_datesgate_opengate_closedtrip_ratebase_annbase_sharpebase_maxDDgated_anngated_sharpegated_maxDD
22026hitrate_5d_0.502026-01-042026-08-1915792650.4140.2550231.4465-0.0806710.6499115.7351-0.031795
32026hitrate_5d_0.602026-01-042026-08-19157491080.68790.2550231.4465-0.0806710.4893136.0111-0.014864
42026hitrate_5d_0.702026-01-042026-08-19157151420.90450.2550231.4465-0.0806710.2295234.3611-0.002029
52026hitrate_10d_0.502026-01-042026-08-19157109480.30570.2550231.4465-0.0806710.3358222.6391-0.060142
62026hitrate_10d_0.602026-01-042026-08-19157361210.77070.2550231.4465-0.0806710.2511083.8579-0.026842
72026hitrate_10d_0.702026-01-042026-08-1915791480.94270.2550231.4465-0.0806710.0393141.3415-0.012061
82026hitrate_20d_0.402026-01-042026-08-1915715700.00.2550231.4465-0.0806710.2550231.4465-0.080671
92026hitrate_20d_0.502026-01-042026-08-19157118390.24840.2550231.4465-0.0806710.3438192.5185-0.06259
102026hitrate_20d_0.602026-01-042026-08-19157281290.82170.2550231.4465-0.0806710.0202140.3601-0.028489
112025hitrate_5d_0.502025-01-022025-12-31250153970.3880.1775150.8573-0.2174170.720556.9599-0.048495
122025hitrate_5d_0.602025-01-022025-12-31250901600.640.1775150.8573-0.2174170.485645.3623-0.046673
132025hitrate_5d_0.702025-01-022025-12-31250392110.8440.1775150.8573-0.2174170.2492214.9448-0.009619
142025hitrate_10d_0.502025-01-022025-12-31250170800.320.1775150.8573-0.2174170.4358473.5614-0.055776
152025hitrate_10d_0.602025-01-022025-12-31250661840.7360.1775150.8573-0.2174170.3245745.2279-0.016028
162025hitrate_10d_0.702025-01-022025-12-31250142360.9440.1775150.8573-0.2174170.0430021.4635-0.010154
172025hitrate_20d_0.402025-01-022025-12-3125024730.0120.1775150.8573-0.2174170.2029490.9896-0.217417
182025hitrate_20d_0.502025-01-022025-12-31250177730.2920.1775150.8573-0.2174170.3407722.8303-0.071731
192025hitrate_20d_0.602025-01-022025-12-31250482020.8080.1775150.8573-0.2174170.2660284.1749-0.021527
202024hitrate_5d_0.502024-01-022024-12-312531391140.45060.082290.5594-0.106850.303512.4275-0.088219
212024hitrate_5d_0.602024-01-022024-12-31253711820.71940.082290.5594-0.106850.2653652.4908-0.078304
222024hitrate_5d_0.702024-01-022024-12-31253192340.92490.082290.5594-0.106850.1431253.377-0.003364
232024hitrate_10d_0.502024-01-022024-12-31253157960.37940.082290.5594-0.106850.2774212.5767-0.043146
242024hitrate_10d_0.602024-01-022024-12-31253372160.85380.082290.5594-0.106850.2071613.6083-0.011122
252024hitrate_10d_0.702024-01-022024-12-3125372460.97230.082290.5594-0.106850.0317851.7408-0.002083
262024hitrate_20d_0.402024-01-022024-12-3125324760.02370.082290.5594-0.106850.0780070.5342-0.10685
272024hitrate_20d_0.502024-01-022024-12-31253177760.30040.082290.5594-0.106850.2106721.8469-0.056207
282024hitrate_20d_0.602024-01-022024-12-31253132400.94860.082290.5594-0.106850.0059530.3039-0.014443
292023hitrate_5d_0.502023-01-032023-12-292501391110.444-0.047644-0.2738-0.1978560.5466544.2124-0.035676
302023hitrate_5d_0.602023-01-032023-12-29250791710.684-0.047644-0.2738-0.1978560.5562915.1026-0.025449
312023hitrate_5d_0.702023-01-032023-12-29250342160.864-0.047644-0.2738-0.1978560.4042694.4477-0.013842
322023hitrate_10d_0.502023-01-032023-12-292501481020.408-0.047644-0.2738-0.1978560.4598693.5211-0.046921
332023hitrate_10d_0.602023-01-032023-12-29250621880.752-0.047644-0.2738-0.1978560.3682324.0148-0.022983
342023hitrate_10d_0.702023-01-032023-12-29250132370.948-0.047644-0.2738-0.1978560.0914812.1324-0.010866
352023hitrate_20d_0.402023-01-032023-12-29250237130.052-0.047644-0.2738-0.1978560.066390.3895-0.146704
362023hitrate_20d_0.502023-01-032023-12-292501491010.404-0.047644-0.2738-0.1978560.3660162.5969-0.063998
372023hitrate_20d_0.602023-01-032023-12-29250402100.84-0.047644-0.2738-0.1978560.1498442.2645-0.032267
382021hitrate_5d_0.502021-01-042021-12-312521451070.42460.183671.0979-0.1026510.5566155.9167-0.028062
392021hitrate_5d_0.602021-01-042021-12-31252681840.73020.183671.0979-0.1026510.3518675.8468-0.011638
402021hitrate_5d_0.702021-01-042021-12-31252262260.89680.183671.0979-0.1026510.1484173.9593-0.0041
412021hitrate_10d_0.502021-01-042021-12-31252163890.35320.183671.0979-0.1026510.4650234.2342-0.040569
422021hitrate_10d_0.602021-01-042021-12-31252512010.79760.183671.0979-0.1026510.218024.7978-0.011134
432021hitrate_10d_0.702021-01-042021-12-31252132390.94840.183671.0979-0.1026510.061082.7055-0.000262
442021hitrate_20d_0.402021-01-042021-12-3125225200.00.183671.0979-0.1026510.183671.0979-0.102651
452021hitrate_20d_0.502021-01-042021-12-31252166860.34130.183671.0979-0.1026510.2897562.5787-0.049244
462021hitrate_20d_0.602021-01-042021-12-31252382140.84920.183671.0979-0.1026510.1046852.394-0.015084
Reference in New Issue View Git Blame Copy Permalink