Objective
Port + verify Adaptive Asset Allocation (Butler) vs AS metrics.
Notes: AAA replicated 2015+: corr 0.985 CAGRΔ +1.38%. Spec/backtest/aaa.py + runner. Findings: aaa-scale-batch.md.
Approach
Reuses existing report research/findings/aaa-scale-batch.md — tables/metrics preserved verbatim via source_report pointer. Body below summarizes grounded evidence from that report and adjacent artifacts.
Files / code / data changed
Associated commits (inferred from log grep t17):
b9be185dresearch: t17 Adaptive Asset Allocation replicated vs AS (#15)b9be185dresearch: t17 Adaptive Asset Allocation replicated vs AS (#15)- Source report:
research/findings/aaa-scale-batch.md - Task-history entry:
research/findings/task-history.json#t17
Results
Key table from source report (preserved):
| metric | ours | AS | notes |
|---|---|---|---|
| monthly corr | 0.985 | — | gate ≥0.85 |
| overlap CAGR | 8.58% | 7.20% | Δ +1.38% |
| overlap bias (mo) | +0.00105 | — | small positive |
| full-window CAGR | 8.78% | 11.0% (1989+) | AS headline is full history |
| Sharpe (ours / AS) | 0.93 / 0.82 | — | different windows |
Conclusions and metrics are in research/findings/aaa-scale-batch.md; see detail page for preserved tables/metrics.
Conclusions
AAA replicated 2015+: corr 0.985 CAGRΔ +1.38%. Spec/backtest/aaa.py + runner. Findings: aaa-scale-batch.md.
Problems / follow-ups
- See source report or PR discussion for follow-ups. No unsupported follow-ups fabricated.
Links
- Task-history:
research/findings/task-history.jsonidt17 - Findings:
research/findings/aaa-scale-batch.md - Commits:
b9be185d,b9be185d