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