| # 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: |
|
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| - `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: |
|
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| - `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` | |
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| - **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) |
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| Independent re-run of all five US 6M mandates with identical configuration to Experiment 1. |
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|
| | 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` | |
|
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| ## 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. |
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|
| | 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 | |
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| Source doc: `docs/2026-03-23-cn-10tickers-6m-efficiency-ablation.md`. |
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|
