jgrusewski 6c113b0df2 feat(surfer): ML multi-signal combination — definitive (market not tools) ...

Ran the quant-fund method (gradboost+ridge+IC+equal combining 13 weak cross-sectional
signals) on liquid US equities. Single-split gradboost looked amazing (OOS +1.14, DSR 0.62)
but leak-free WALK-FORWARD diagnostic: gradboost OOS predictive IC = 0.0041 (statistically
ZERO; no leak; successful equity ML is 0.02-0.05). Single-split was overfit; WF +32 Sharpe
was a variance-degeneracy; equal/ridge/IC all fail OOS. The ML combination does NOT work on
efficient equities -- not because the ML is bad (works perfectly) but because there's no
signal (IC 0.004) to combine. DEFINITIVE answer to 'millions of LOC of ML, why nothing?':
the ML is not the missing piece, MARKET ACCESS is. Pointed the actual RenTech/TwoSigma
method at liquid equities -> IC 0.004 = noise. ML amplifies signal, cannot create it;
efficient markets have none. Crypto (less-efficient) is the one place the same machinery
finds robust signal. Sophistication was never the bottleneck.

Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>

2026-06-06 22:44:43 +02:00

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