Datasets:
File size: 4,594 Bytes
149513d | 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 68 69 70 71 72 73 74 75 76 77 78 79 80 81 82 83 84 85 86 87 88 89 90 91 92 93 | # Backtest Run Inventory
All backtest runs referenced anywhere in the paper, grouped by experiment.
Run artifacts live under `<repo_root>/reports/backtest/<run_id>/` and contain:
- `metrics.json` — summary metrics (total_return, max_drawdown, sharpe_ratio, total_trades, avg_position_days, avg_cash_ratio, avg_gross_exposure, value_filter_pass_rate, etc.)
- `trades.csv` — per-trade log (date, ticker, action, shares, price, value, justification)
- `equity_curve.csv` — daily portfolio time series (date, total_value, daily_return, cashflow=cash_balance, benchmark_value, benchmark_return)
- `backtest_report.md` — human-readable summary
Multi-mandate comparison bundles live under `<repo_root>/reports/multi_personality/<bundle>/` and contain:
- `comparison_data.json` — mapping from mandate key to its run ID, return, MDD, trade count, and aggregated metrics
- `comparison_report.md` — human-readable summary
- `personality_summary.csv` — flat CSV summary
## Experiment 1 — Six-month main case study (the headline result)
| Mandate | US run (Sep 1 2025 – Feb 28 2026, 124 trading days) | CN run (Sep 1 2025 – Feb 28 2026, 102 trading days) |
|---|---|---|
| Fundamental Value | `mp_fundamental_value_20260409_165131_876468` | `mp_fundamental_value_20260413_163905_878961` |
| Macro Tactical | `mp_macro_tactical_20260409_165131_876505` | `mp_macro_tactical_20260413_163905_878979` |
| Behavioral Momentum | `mp_behavioral_momentum_20260409_165131_876499` | `mp_behavioral_momentum_20260413_163905_878974` |
| Low-Volatility (Smart Beta) | `mp_smart_beta_passive_20260409_165131_876510` | `mp_smart_beta_passive_20260413_163905_878984` |
| Equal-Weight (Baseline) | `mp_equal_weight_index_20260409_165131_876514` | `mp_equal_weight_index_20260413_163905_878987` |
- **US comparison bundle:** `multi_personality/20260409_165121_176781/`
- **CN comparison bundle:** `multi_personality/20260413_163854_715331/`
- **Initial capital:** $100,000 (each market)
- **Universe:** 20 tickers per market on a 5×4 sector/style grid (Appendix Table~\ref{tab:sector_style_universe})
- **Backend:** DeepSeek-V3.2
## Experiment 2 — Full-run reproducibility (US 6M, Run 2)
Independent re-run of all five US 6M mandates with identical configuration to Experiment 1.
| Mandate | US Run 2 |
|---|---|
| Fundamental Value | `mp_fundamental_value_20260425_035029_413185` |
| Macro Tactical | `mp_macro_tactical_20260425_035029_413208` |
| Behavioral Momentum | `mp_behavioral_momentum_20260425_035029_413202` |
| Low-Volatility (Smart Beta) | `mp_smart_beta_passive_20260425_035029_413212` |
| Equal-Weight (Baseline) | `mp_equal_weight_index_20260425_035029_413216` |
## Experiment 3 — US 3M mechanism ablation (Dec 1 2025 – Feb 28 2026)
Each LLM-conditioned mandate has a Full variant (full doctrine) and one
Ablated variant (a single guardrail removed).
| Mandate / variant | Run ID |
|---|---|
| Fundamental Value — Full | `20260417_160942` |
| Fundamental Value — No filter | `20260417_191443` |
| Behavioral Momentum — Full | `20260417_220721` |
| Behavioral Momentum — No guardrails | `20260418_004927` |
| Macro Tactical — Full | `20260418_033940` |
| Macro Tactical — No tilt | `20260418_072633` |
| Low-Volatility — Reference | `20260418_110947` |
| Equal-Weight — Reference | `20260418_111210` |
## Experiment 4 — US 3M backend robustness (GPT-5.4 replacement)
Same 3M window as Experiment 3, but the reasoning backend swapped from
DeepSeek-V3.2 to GPT-5.4 while every other component is held fixed.
| Mandate | GPT-5.4 run |
|---|---|
| Fundamental Value | `20260423_124148` |
| Macro Tactical | `20260424_094955` |
| Behavioral Momentum | `20260424_132728_372104` |
| Low-Volatility | `20260424_094956` |
| Equal-Weight | `20260424_132723_271683` |
These per-run metrics are also aggregated into
`derived/gpt54_robustness/backend_comparison.csv`, which is what the
`generate_backend_robustness_figure.py` script consumes.
## Experiment 5 — Execution efficiency ablation (CN, 10 tickers, 6M)
Three execution paths (E0/E1/E2) on a fixed business setting (10 CN
tickers, multi-mandate, Sep 1 2025 – Feb 28 2026), used only to
demonstrate runtime/cost reductions enabled by shared phase-one
preprocessing and warm artifact caching.
| Path | Run ID | Wall-clock |
|---|---|---|
| E0 (baseline) | `20260308_032534_600248` | 43.73 h |
| E1 (optimized cold-cache) | `20260308_164113_268847` | 10.79 h |
| E2 (optimized warm-cache) | `20260309_120759_016922` | 10.82 h |
Source doc: `docs/2026-03-23-cn-10tickers-6m-efficiency-ablation.md`.
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