From 25ee24aff4519f422e86f50523ac5d4a0b0ec8ce Mon Sep 17 00:00:00 2001
From: jgrusewski <jgrusewski@localhost>
Date: Fri, 27 Mar 2026 10:28:25 +0100
Subject: [PATCH] fix: wire bars_per_day + trading_days_per_year to backtest
 evaluator

- bars_per_day: now propagated from DQNHyperparameters to GpuBacktestConfig
  (was silently using Default 390.0 regardless of hyperparams setting)
- trading_days_per_year: added to GpuBacktestConfig, replaces hardcoded 252.0
  in annualization_factor computation
- Annualization: sqrt(bars_per_day * trading_days_per_year) is now fully
  configurable for any bar frequency and market calendar

Co-Authored-By: Claude Opus 4.6 (1M context) <noreply@anthropic.com>
---
 crates/ml/src/cuda_pipeline/gpu_backtest_evaluator.rs | 5 ++++-
 crates/ml/src/hyperopt/adapters/dqn.rs                | 2 ++
 2 files changed, 6 insertions(+), 1 deletion(-)

diff --git a/crates/ml/src/cuda_pipeline/gpu_backtest_evaluator.rs b/crates/ml/src/cuda_pipeline/gpu_backtest_evaluator.rs
index 74ba72baf..f3c41baa7 100644
--- a/crates/ml/src/cuda_pipeline/gpu_backtest_evaluator.rs
+++ b/crates/ml/src/cuda_pipeline/gpu_backtest_evaluator.rs
@@ -191,6 +191,8 @@ pub struct GpuBacktestConfig {
     /// CME initial margin ~6% of notional for equity index futures.
     /// Default: 0.06.
     pub margin_pct: f32,
+    /// Trading days per year for annualization. CME equity/futures: 252. Crypto: 365.
+    pub trading_days_per_year: f32,
 }
 
 impl Default for GpuBacktestConfig {
@@ -205,6 +207,7 @@ impl Default for GpuBacktestConfig {
             ofi_dim: 0,
             bars_per_day: 390.0, // 1-minute bar frequency (6.5h × 60min)
             min_hold_bars: 5,
+            trading_days_per_year: 252.0,
             margin_pct: 0.06,
         }
     }
@@ -577,7 +580,7 @@ impl GpuBacktestEvaluator {
             feature_dim,
             portfolio_dim: PORTFOLIO_AND_MTF_DIM,
             state_dim,
-            annualization_factor: (config.bars_per_day * 252.0).sqrt(),
+            annualization_factor: (config.bars_per_day * config.trading_days_per_year).sqrt(),
             config,
             forward_actions_buf,
             cublas_forward: None,
diff --git a/crates/ml/src/hyperopt/adapters/dqn.rs b/crates/ml/src/hyperopt/adapters/dqn.rs
index 99197d57c..3b25ef679 100644
--- a/crates/ml/src/hyperopt/adapters/dqn.rs
+++ b/crates/ml/src/hyperopt/adapters/dqn.rs
@@ -1766,6 +1766,8 @@ impl DQNTrainer {
             // directly, eliminating the Candle narrow+cat closure.
             ofi_dim: if ofi_enabled { 8 } else { 0 },
             min_hold_bars: internal_trainer.hyperparams().min_hold_bars as i32,
+            bars_per_day: internal_trainer.hyperparams().bars_per_day as f32,
+            trading_days_per_year: internal_trainer.hyperparams().trading_days_per_year as f32,
             ..Default::default()
         };