4.5 KiB
4.5 KiB
CLAIMS.md — Proven vs Hypothesis Matrix
The running scoreboard of every quantitative claim in the book. Updated per chapter after HITL review. Status codes: PROVEN (reproduced from recorded run / reconciled round), HYPOTHESIS (plausible, tested once or never), REFUTED (tested and contradicted), REFERENCED (external citation).
Signal & features
| Claim | Status | Evidence |
|---|---|---|
| Baseline 1-day LGB signal is weak on 2026 OOS (RankIC 0.040, ICIR 0.062) | PROVEN | EVIDENCE#001 → exp 8 |
| Costs erase most of the baseline edge (+6.2% gross → +1.6% net) | PROVEN | EVIDENCE#002 → exp 8 |
| Dropping model-specific feature families (ou, hmm) improves rank signal (RankIC 0.030→0.064) | PROVEN | EVIDENCE#003 → exp 9 |
| Adding moment/volatility families regresses the signal | PROVEN (refuted direction) | EVIDENCE#004 → exp 11 |
| Adding OU mean-reversion (sp_ou_zscore) hurts on clean data | PROVEN (refuted direction) | EVIDENCE#014 → exp 25 |
| Multi-horizon momentum (M1) degrades the reference | PROVEN (refuted direction) | EVIDENCE#017 → exp 29 |
| GARCH(1,1) vol-regime features add no signal | PROVEN (refuted direction) | EVIDENCE#019 → exp 31 |
| Risk-adjusted 22d Sharpe drift (M2) improves portfolio metrics | HYPOTHESIS (one run, unreproduced) | EVIDENCE#018 → exp 30 |
| More features ≠ better signal on a small (50-name) cross-section | HYPOTHESIS (3 supporting runs, panel-specific) | EVIDENCE#003/004/014/017/019 |
| General stochastic features (no TA/HMM/OU) have highest ICIR 0.340 | PROVEN | EVIDENCE#012 → exp 23 |
Model
| Claim | Status | Evidence |
|---|---|---|
| 5-seed RankIC ensemble raises performance vs single model on ablated set | PROVEN (pre-reset); re-validated post-reset exp 22–24 | EVIDENCE#005/011/013 |
| Seed count is load-bearing: 2 seeds < 5 seeds on clean data | PROVEN | EVIDENCE#016 → exp 28 |
| n_drop 2→1 flips net excess (−3.21% → +2.13%) with identical signal metrics | PROVEN | EVIDENCE#015 → exp 26 |
| Cost drag is the binding constraint, not signal quality | PROVEN | EVIDENCE#015 → exp 26 (IC/RankIC identical across n_drop) |
| Fractional-Kelly sizing beats equal-weight top-k net of costs | HYPOTHESIS (exp 15 never finished) | run never completed |
Portfolio construction & risk
| Claim | Status | Evidence |
|---|---|---|
| TopkDropout beats stochastic-control OptimalStopControl on the ensemble signal | PROVEN | EVIDENCE#006/007 → exp 13/14 |
| Stop-control churns and bleeds costs (−11.3pp cost drag) | PROVEN | EVIDENCE#006 → exp 13 |
| $5M liquidity floor improves net IR (0.81→0.98) and cuts drawdown (7.9%→5.4%) | PROVEN (pre-clean-lake; not comparable post-reset) | EVIDENCE#008 → exp 18 |
| Size/concentration caps hurt by cutting deployed capital | PROVEN (pre-clean-lake) | EVIDENCE#008 → exp 18 |
| Entry/risk gates (momentum, HMM) are byte-identical no-ops on the reference signal | PROVEN | EVIDENCE#009 → exp 20 |
| Signal quality is the bottleneck, not the execution/risk layer | PROVEN (on the exp-20 reference) | EVIDENCE#009 → exp 20 |
Data & reproducibility
| Claim | Status | Evidence |
|---|---|---|
| The reference signal did not reproduce on a rebuilt lake (IC 0.035→0.002) | PROVEN | EVIDENCE#010 → exp 21 |
| Old-lake data quality inflated the signal and backtest | PROVEN | EVIDENCE#010 → exp 21 |
| Signal work must be re-validated after any data rebuild | PROVEN (exp 21) / HYPOTHESIS (generality) | EVIDENCE#010 |
| Pre-reset experiment baselines are not comparable to post-reset runs | PROVEN | EVIDENCE#009/010 (exp 20 R0 note, exp 21) |
Live execution
| Claim | Status | Evidence |
|---|---|---|
| Live funnel held: 10 targets → 10 decided → 10 placed → 9 filled | PROVEN | EVIDENCE#020 → round 3 |
| Realized slippage ≈ 4.54 bps, est. cost ≈ $45, turnover 0.74 | PROVEN | EVIDENCE#020 → round 3 metrics |
| Execution claims trace to round_id + reconcile, not backtest | PROVEN (methodology, round 3 settled) | EVIDENCE#020 |
| 50-ETF panel results generalize to other universes | HYPOTHESIS — TODO(evidence-needed) | — |
Open questions (settled by further experiments)
- exp 30 M2 Sharpe-drift: reproduce on a second window before promoting past HYPOTHESIS.
- exp 15 Kelly sizing: re-run on the clean lake.
- exp 18 risk-limit spec: re-validate $5M liquidity floor on the post-reset reference signal (exp 26 lineage).
- Out-of-universe validation: non-ETF universe for the compact stochastic feature set.