AEGIS — KRX Incubator
Adaptive Eigenvalue Gating & Integrated Strategy · Fiedler-gated regime engine
LOOKAHEAD CLEAN INCUBATING —
Overview
Forensic Audit
Regime
Research
✅
Forensic Audit — CLEAN
Look-ahead bias: CLEAN — signals 1-day lagged (PASS). Alpha source: Fiedler λ₂ regime timing (Tactical Asset Allocation) — exposure scaled by market structure signal. Stock selection: composite score (size + Fiedler Δ + ML momentum, IC=+0.058, t=4.53). OOS Sharpe > Train Sharpe — strategy generalizes well out-of-sample.
Reported SR (Raw)
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4.2y backtest
Excess SR (over Rf)
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OOS > Train ✓
Backtest CAGR
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Ann Volatility: —
Max Drawdown
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Calmar: —
Current Fiedler λ₂
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KRX theme graph
Paper NAV
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Since —
⚙️ Strategy Design
Signal
Fiedler eigenvalue λ₂ of KRX theme correlation graph. High λ₂ = themes tightly connected (CONCENTRATION) → reduced market edge. Weekly theme-level signal with entropy augmentation (v3.7).
Regime Gate
4 regimes: EXPANSION (full long) · CONCENTRATION (reduced) · STRESS_EVENT (defensive) · RECOVERY (partial). Hysteresis + min-hold classifier (v3.6 fixed) prevents excessive switching.
📊 Paper Trading NAV (₩ base 1,000)
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16-Test Forensic Audit — WWAI Standard Protocol
Tests cover look-ahead, exposure lag, beta, stress, transaction costs, White's reality check, and RF attribution. Look-ahead bias: CLEAN. OOS > Train: PASS. All key tests PASS.
🔍 Forensic Audit Results
TestFlagDetail
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📈 Walk-Forward OOS
ConfigTrain SRTest SROverfit
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⚖️ SR Interpretation
Reported raw SR: —
Excess SR (over Rf): —
Stock selection IC: +0.058 (t=4.53)
OOS vs Train: OOS > Train (PASS)
2022 stress (OOS): SR —, MaxDD —
With 50bps TC: SR —
Current Regime
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As of —
Fiedler λ₂ (today)
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KRX theme correlation graph connectivity
Avg Corr
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Lead Entropy
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📉 Fiedler λ₂ — 60-day Sparkline
🗺️ Regime Map
RegimeDefinitionAction
EXPANSIONFiedler ↑, avg corr low, entropy highFull long exposure
CONCENTRATIONFiedler moderate, high corr, low entropyReduced exposure
STRESS_EVENTInstability spike, corr surgeDefensive / cash
RECOVERYPost-stress rebound, Fiedler risingPartial re-entry
🔗 Open Full AEGIS KRX Dashboard →
📖 Strategy Thesis
Engine versionv3.7 Entropy-Augmented
Signal typeFiedler λ₂ of 253-theme correlation graph (weekly)
Universe2,270 KRX stocks · 253 Naver themes · KRXNOTTRAINED
Backtest periodOct 2021 – Mar 2026 (4.2 years)
RebalanceWeekly (5-day forward window)
Regime classifierV3.6 fixed (hysteresis + min-hold)
L1 hypothesisTheme-level Fiedler eigenvalue predicts regime
L2 hypothesisEntropy augmentation reduces overfitting
Audit resultCLEAN — Look-ahead free, OOS > Train, IC=+0.058
Full dashboardaegis.wwai.app
📋 Version History
VersionChangeSR Impact
v3.7Entropy-augmented signal (lead_entropy)↑ +0.3
v3.6fHysteresis + min-hold classifier fix↓ -0.2 (realistic)
v3.6Instability term added, cash=0↑ +0.5
v3.5Weekly graph estimation (12-week window)↑ +0.4
v3.0Baseline Fiedler-gated AEGISSR ~2.2
🚧 Incubation Roadmap
① Survivorship bias 제거 — delisting handler 추가
② Address survivorship bias — add delisting handler
③ Calibrate realistic SR with bootstrap CIs
④ Validate on 2025–2026 data (OOS, not used in v3.7 tuning)
⑤ Paper trade 3 months minimum before live consideration