docs(phase-e): implementation plan for execution-layer RL policy

Browse Source

32 tasks across 5 milestones (E.0 foundation → E.4 shadow-mode), with
locked design decisions from three rounds of focused research memos:
- Q1 (fill sim): medium-tier Poisson regression from 5.2M trade tape
- Q2 (reward): terminal-only, n-step credit (consumes ISV slot 517)
- Q3 (alpha trust): implicit calibrated trust via state features
- Q4 (state window): current snapshot + 2 short-horizon scalars
- Q5 (sizing): hybrid decoupled fractional Kelly × Phase E attenuation

Trainer choice: DQN primary (Rainbow + Munchausen target), PPO control
on H=600 truncated only if kill criteria fire. Exploration: ε-greedy
with kill-criteria gate at end of week 2; NoisyNet escalation (4-6 days
due to dead scaffolding in our codebase) if criteria fail; RND beyond
that.

ISV consumption: 5 existing slots (n_step=517, γ=43-46, ε=41, Kelly=280,
reward_caps=452-453); new block 539..550 reserved for Phase E (10 in
active use, 2 spare). One new controller (stacker-threshold
engagement-rate-self-correction at slot 543).

Hardcoded by design: Kelly contract cap (Category-1 safety),
kill-criteria thresholds (circuit breakers). All other knobs are
ISV-driven per pearl_controller_anchors_isv_driven.

Decisive gates at week 1 (H=600 kill criteria), week 4 (composition
backtest Sharpe at half-tick > 0), and week 5 (shadow-vs-backtest
PnL within 30%).

Co-Authored-By: Claude Opus 4.7 <noreply@anthropic.com>

...

This commit is contained in:

jgrusewski

2026-05-15 10:42:14 +02:00

parent e190ecfa61

commit 9c26e78cdc

1 changed files with 2112 additions and 0 deletions

Show all changes Ignore whitespace when comparing lines Ignore changes in amount of whitespace Ignore changes in whitespace at EOL

Download Patch File Download Diff File Expand all files Collapse all files

2112

docs/superpowers/plans/2026-05-15-phase-e-execution-rl.md Normal file

File diff suppressed because it is too large Load Diff