| # Reproducibility Audit |
|
|
| This directory documents the data provenance for every figure, table, and |
| quantitative claim in the paper. It is intended as a reviewer-facing |
| reproducibility manifest: any number, panel, or claim in the paper should |
| be traceable to a specific backtest run, CSV, or source document. |
|
|
| ## Audit anchor |
|
|
| - **Commit:** `a4bf9e6` (`fix(figure): use 6M case-study runs for US sector matrix`) |
| - **Audit date:** 2026-04-28 |
|
|
| The audit was performed after fixing a previously-discovered run-ID |
| mismatch in the U.S. sector matrix figure (the script wired the figure to |
| GPT-5.4 3M ablation runs but the paper text described it as a 6M case |
| study). All other figures, tables, and prose claims were re-verified |
| against actual run metrics during the same audit. |
|
|
| ## Files in this directory |
|
|
| | File | Scope | |
| |---|---| |
| | `README.md` | This overview | |
| | `run_inventory.md` | All backtest runs referenced anywhere in the paper, indexed by experiment family | |
| | `figures.md` | Per-figure provenance (which script, which runs, which data file) | |
| | `tables.md` | Per-table provenance plus verified cell values | |
| | `claims.md` | Key quantitative claims in the prose with data sources | |
|
|
| ## How to verify a number in the paper |
|
|
| 1. Locate the figure/table/claim in question. |
| 2. Look it up in `figures.md`, `tables.md`, or `claims.md`. |
| 3. The audit doc names the source (run ID, CSV path, or source doc). |
| 4. The actual run artifacts live in the parent repository under |
| `reports/backtest/<run_id>/` (`metrics.json`, `trades.csv`, |
| `equity_curve.csv`). |
|
|
| ## Metric scope (v1) |
|
|
| Each `runs/**/metrics.json` ships the metric set actually used in the |
| paper plus the supporting fidelity diagnostics: |
|
|
| - **Performance:** `total_return`, `annualized_return`, `max_drawdown`, |
| `max_drawdown_duration`, `volatility`, `sharpe_ratio`, `sortino_ratio` |
| - **Benchmark anchor:** `benchmark_total_return`, |
| `benchmark_annualized_return`, `benchmark_source` |
| - **Fidelity:** `total_trades`, `trading_days`, `avg_position_days`, |
| `avg_cash_ratio`, `avg_gross_exposure`, `win_rate` |
| - **Profile-specific:** e.g. `value_filter_pass_rate`, |
| `value_consistency_score` for `Fundamental Value` |
|
|
| Benchmark-relative fields (`alpha`, `beta`, `tracking_error`, |
| `information_ratio`, `excess_return`, `calmar_ratio`, |
| `up_capture`, `down_capture`) are **intentionally not shipped in v1**. |
| They were computed per run during development but require a harmonized |
| benchmark-return series and a risk-free rate that are out of scope for |
| the matched-window protocol used here, and the implementation gave |
| different values across the U.S. and CN paths during validation. A |
| v1.1 release will reintroduce them after cross-substrate harmonization; |
| the v1 paper does not depend on these fields. |
|
|
| The same applies to `derived/all_metrics.csv` and |
| `derived/gpt54_robustness/gpt54_us_3m_summary.csv`: the v1 release ships |
| only the columns above. Bundle maintainers can rerun |
| `tools/strip_benchmark_relative_metrics.py` to enforce this scope on a |
| freshly built bundle. |
|
|
| ## Data layout (parent repository) |
|
|
| ``` |
| <repo_root>/ |
| ├── latex/ # Paper source (this is the Overleaf project) |
| │ ├── sec/ # Main-text sections |
| │ ├── appendix/ # Appendices |
| │ ├── figures/ # Compiled figure PDFs/PNGs |
| │ ├── scripts/ # Figure/table generation scripts |
| │ ├── data/artifact_ingest/ # Optional static input artifacts for local rebuilds |
| │ └── audit/ # ← This directory |
| └── reports/ |
| ├── backtest/<run_id>/ # Per-run artifacts (metrics.json, trades.csv, ...) |
| └── multi_personality/<bundle>/ # Cross-mandate comparison bundles |
| ``` |
|
|
