Test the independence of transverse feature structure and longitudinal IC dependence

Investigate whether the independence between transverse feature-family structure and longitudinal information-coefficient dependence imposed in the synthetic design holds approximately in a real signal library.

Background

The synthetic experiment imposes independence between transverse feature-family structure and the temporal dependence of realized information coefficients. Under that imposed design, signal correlation is a poor proxy for PnL correlation, whereas IC co-alignment ranks PnL dependence well. The paper explicitly leaves unresolved whether this mechanism and independence assumption approximate behavior in an actual signal library.