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feat(4branch): backtest env_step uses 4-branch position mapping

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Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>
This commit is contained in:
jgrusewski
2026-04-08 12:44:23 +02:00
parent da65ab9425
commit a57459e736
2 changed files with 35 additions and 17 deletions
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47
crates/ml/src/cuda_pipeline/backtest_env_kernel.cu
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@@ -25,12 +25,14 @@ __device__ void handle_capital_floor_breach(
float new_capital, float step_ret,
float* step_rewards, float* step_returns, int* actions_history, int* done_flags,
int w, int max_len, int current_step,
int b0_size, int b1_size, int b2_size
int b0_size, int b1_size, int b2_size, int b3_size
) {
step_rewards[w] = step_ret;
step_returns[w * max_len + current_step] = step_ret;
// Full factored action encoding for Flat (exposure midpoint)
actions_history[w * max_len + current_step] = (b0_size / 2) * b1_size * b2_size;
// Flat = direction=1, magnitude=1, order=any(0), urgency=any(0)
// Flat action = 1 * b1*b2*b3 + 1 * b2*b3 + 0 * b3 + 0
actions_history[w * max_len + current_step] = 1 * b1_size * b2_size * b3_size
+ 1 * b2_size * b3_size;
// Full episode restart — metrics captured before this reset
portfolio_state[ps + 0] = new_capital;
portfolio_state[ps + 1] = 0.0f;
@@ -130,7 +132,7 @@ extern "C" __global__ void backtest_env_step(
: 0.0f;
handle_capital_floor_breach(portfolio_state, ps, liq_value, liq_ret,
step_rewards, step_returns, actions_history, done_flags,
w, max_len, current_step, b0_size, b1_size, b2_size);
w, max_len, current_step, b0_size, b1_size, b2_size, b2_size);
return;
}
@@ -229,7 +231,7 @@ extern "C" __global__ void backtest_env_step(
: 0.0f;
handle_capital_floor_breach(portfolio_state, ps, new_value, step_ret,
step_rewards, step_returns, actions_history, done_flags,
w, max_len, current_step, b0_size, b1_size, b2_size);
w, max_len, current_step, b0_size, b1_size, b2_size, b2_size);
return;
}
@@ -298,6 +300,7 @@ extern "C" __global__ void backtest_env_step_batch(
int b0_size,
int b1_size,
int b2_size,
int b3_size,
int min_hold_bars,
float contract_multiplier,
float margin_pct
@@ -347,7 +350,7 @@ extern "C" __global__ void backtest_env_step_batch(
: 0.0f;
handle_capital_floor_breach(portfolio_state, ps, liq_value, liq_ret,
step_rewards, step_returns, actions_history, done_flags,
w, max_len, current_step, b0_size, b1_size, b2_size);
w, max_len, current_step, b0_size, b1_size, b2_size, b3_size);
/* Bug 9 fix: return instead of break to avoid tail write */
return;
}
@@ -359,9 +362,10 @@ extern "C" __global__ void backtest_env_step_batch(
int action_val = chunked_actions[s * n_windows + w];
/* ── Decode action ────────────────────────────────────────────── */
int exposure_idx = decode_exposure_index(action_val, b0_size, b1_size, b2_size);
float target_exposure = compute_target_position(exposure_idx, b0_size, max_position);
int order_type_idx = decode_order_type(action_val, b1_size, b2_size);
int dir_idx = decode_direction_4b(action_val, b1_size, b2_size, b3_size);
int mag_idx = decode_magnitude_4b(action_val, b1_size, b2_size, b3_size);
float target_exposure = compute_target_position_4branch(dir_idx, mag_idx, max_position);
int order_type_idx = decode_order_4b(action_val, b2_size, b3_size);
/* ── Margin-aware position cap ────────────────────────────────── */
float margin_per_contract = close * contract_multiplier * margin_pct;
@@ -439,7 +443,7 @@ extern "C" __global__ void backtest_env_step_batch(
? (new_value - value) / value : 0.0f;
handle_capital_floor_breach(portfolio_state, ps, new_value, step_ret,
step_rewards, step_returns, actions_history, done_flags,
w, max_len, current_step, b0_size, b1_size, b2_size);
w, max_len, current_step, b0_size, b1_size, b2_size, b3_size);
return; /* Exit kernel — episode over */
}
@@ -457,13 +461,22 @@ extern "C" __global__ void backtest_env_step_batch(
step_rewards[w] = step_ret;
step_returns[w * max_len + current_step] = step_ret;
{
float f_actual_frac = position / fmaxf(max_position, 0.01f);
int actual_exp_idx = (int)roundf((f_actual_frac + 1.0f) * 0.5f * (float)(b0_size - 1));
if (actual_exp_idx < 0) actual_exp_idx = 0;
if (actual_exp_idx >= b0_size) actual_exp_idx = b0_size - 1;
int orig_order = (b1_size > 0 && b2_size > 0) ? (action_val / b2_size) % b1_size : 0;
int orig_urgency = (b2_size > 0) ? action_val % b2_size : 0;
int actual_action = actual_exp_idx * b1_size * b2_size + orig_order * b2_size + orig_urgency;
/* Re-encode actual position as 4-branch factored action.
* Recover direction and magnitude from position, preserve order/urgency. */
float pos_sign = position;
int actual_dir = (pos_sign > 0.001f) ? 2 : (pos_sign < -0.001f) ? 0 : 1;
float abs_pos = fabsf(position) / fmaxf(max_position, 0.01f);
int actual_mag;
if (abs_pos < 0.375f) actual_mag = 0; /* ~0.25 → Quarter */
else if (abs_pos < 0.75f) actual_mag = 1; /* ~0.50 → Half */
else actual_mag = 2; /* ~1.00 → Full */
if (actual_dir == 1) actual_mag = 0; /* Flat: magnitude irrelevant */
int orig_order = decode_order_4b(action_val, b2_size, b3_size);
int orig_urgency = decode_urgency_4b(action_val, b3_size);
int actual_action = actual_dir * b1_size * b2_size * b3_size
+ actual_mag * b2_size * b3_size
+ orig_order * b3_size
+ orig_urgency;
actions_history[w * max_len + current_step] = actual_action;
}
} /* end step loop */

5
crates/ml/src/cuda_pipeline/gpu_backtest_evaluator.rs
View File

@@ -319,6 +319,7 @@ pub struct GpuBacktestEvaluator {
b0_size: i32,
b1_size: i32,
b2_size: i32,
b3_size: i32,
/// Q-value gap threshold for trade conviction filter (0.0 = disabled).
q_gap_threshold: f32,
@@ -605,6 +606,7 @@ impl GpuBacktestEvaluator {
b0_size: 0,
b1_size: 0,
b2_size: 0,
b3_size: 0,
q_gap_threshold: 0.0,
rng_states: None,
q_gaps_buf: None,
@@ -1028,6 +1030,7 @@ impl GpuBacktestEvaluator {
let b0 = dqn_cfg.branch_0_size as i32;
let b1 = dqn_cfg.branch_1_size as i32;
let b2 = dqn_cfg.branch_2_size as i32;
let b3 = dqn_cfg.branch_3_size as i32;
let v_min_f = dqn_cfg.v_min;
let v_max_f = dqn_cfg.v_max;
let state_row_bytes = n * state_dim * std::mem::size_of::<half::bf16>();
@@ -1178,6 +1181,7 @@ impl GpuBacktestEvaluator {
.arg(&b0)
.arg(&b1)
.arg(&b2)
.arg(&b3)
.arg(&self.config.min_hold_bars)
.arg(&self.config.contract_multiplier)
.arg(&self.config.margin_pct)
@@ -1516,6 +1520,7 @@ impl GpuBacktestEvaluator {
self.b0_size = dqn_cfg.branch_0_size as i32;
self.b1_size = dqn_cfg.branch_1_size as i32;
self.b2_size = dqn_cfg.branch_2_size as i32;
self.b3_size = dqn_cfg.branch_3_size as i32;
self.cublas_forward = Some(cublas);
self.cublas_params_flat = Some(params_flat);
self.cublas_h_s1 = Some(h_s1);