시장 변화에 적응하는 체계적 트레이딩 연구

# Chapter 1: The Process Is Your Edge


# Chapter 1: The Process Is Your Edge

The chapter establishes the chapter's central claim: in trading, durable performance depends less on picking a sophisticated model than on maintaining a disciplined research process that can survive changing markets, noisy signals, and real-world frictions. It gives readers a usable vocabulary for market change, shows why recent shocks exposed fragile assumptions, and reframes ML for trading as an adaptation problem rather than a model-selection contest.

## Learning Objectives

* Distinguish structural breaks, regimes, data drift, concept drift, and online detection, and explain why static trading models degrade in changing markets
* Explain the ML4T Workflow as a research-to-production system, including its data infrastructure foundation, scoping invariants, iterative research modules, and feedback loops from live trading back to research
* Define the evidence boundary between exploration and confirmation, and explain how trial logging, sealed holdouts, and selection-aware evaluation preserve research integrity
* Describe how causal inference and generative AI fit within a disciplined trading workflow, including the main benefits they provide and the new failure modes they introduce
* Apply regime thinking, implementability checks, and monitoring logic to diagnose strategy vulnerabilities and to adapt workflow discipline across independent and institutional settings

## Sections

### 1.1 Why process discipline matters

This section establishes the chapter's central claim: in trading, durable performance depends less on picking a sophisticated model than on maintaining a disciplined research process that can survive changing markets, noisy signals, and real-world frictions. It gives readers a usable vocabulary for market change, shows why recent shocks exposed fragile assumptions, and reframes ML for trading as an adaptation problem rather than a model-selection contest.

### 1.2 Introducing the ML4T workflow

This section presents the book's core framework: a research-to-production workflow built on point-in-time-correct data infrastructure, explicit scoping rules, iterative feature and model development, realistic strategy design, deployment discipline, and ongoing monitoring. The key value for readers is that it turns trading research into a managed lifecycle with auditable artifacts, clear handoffs, and an explicit boundary between exploration and confirmation.

### 1.3 Causal inference and generative AI in the workflow

This section places two modern method families inside the workflow rather than treating them as standalone trends. Causal inference is framed as a way to sharpen mechanisms, assumptions, and diagnosis; generative AI is framed as a way to expand research and unstructured-data processing while also creating new risks such as leakage, hallucination, and workflow bloat. Readers should care because the section makes clear that new tools increase the value of discipline rather than replacing it.

### 1.4 Keeping up with changing market regimes

This section turns non-stationarity into something operational. It shows how regime concepts can support explanation, robustness checks, and live monitoring, while insisting that regimes are primarily a risk lens rather than a reliable timing signal. The factor and macro examples make the idea concrete: regime methods are useful when they help identify adverse environments and connect them to predefined risk actions.

- [`factor_regimes`](factor_regimes.ipynb) — Demonstrates unsupervised learning for market regime detection using Gaussian Mixture Models (GMM) on factor returns from the AQR Century of Factor Premia dataset.
- [`macro_regimes`](macro_regimes.ipynb) — Demonstrates unsupervised learning for market regime detection using macroeconomic indicators from FRED, validated against S&P 500 volatility and drawdowns.

### 1.5 Independent versus institutional workflows in the real world

This section translates the workflow into real operating contexts. It explains how institutions benefit from built-in friction and review, while independent researchers must create their own governance through documentation, checkpoints, and explicit stop criteria. The practical payoff is strong: it helps readers see where solo practitioners are vulnerable, where they can still compete, and how reusable infrastructure compounds research quality over time.

## Running the Notebooks

```bash
# From the repository root
uv run python 01_process_is_edge/<notebook>.py

# Test mode (reduced data via Papermill)
uv run pytest tests/test_chapter_notebooks.py -v -k "01_process_is_edge"
```

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