From f707c86df252db64259a1b8062ab3fee7958c76d Mon Sep 17 00:00:00 2001 From: jgrusewski Date: Thu, 28 May 2026 18:30:40 +0200 Subject: [PATCH] =?UTF-8?q?feat(rl):=20amplify=20surfer=20reward=20shape?= =?UTF-8?q?=20=E2=80=94=20fewer-but-bigger=20trades?= MIME-Version: 1.0 Content-Type: text/plain; charset=UTF-8 Content-Transfer-Encoding: 8bit User explicit request: restore surfer philosophy. Previous wr=0.30 trend- follower pattern was profitable but takes ~22k trades/run on lots of small tail wins. Per surfer philosophy (pearl_surfer_philosophy_trading): wait for the wave, ride it out, accept wipeouts. Bootstrap changes (architectural fixes from prior commits preserved): - ENTRY_COST: 15 → 40 (discourage low-conviction entries) - SHORT_HOLD_MIN_STEPS: 100 → 200 (true wave timescale) - SHORT_HOLD_PENALTY: 0.5 → 0.3 (harder penalty for quick exits) - HOLD_BONUS: 2.0 → 4.0 (amplify sustained-ride rewards) - MIN_HOLD_STEPS: 138 (γ-derived) → 300 (multi-minute holds) - CONF_GATE_MAX_HOLD_FRAC: 0.85 → 0.95 (95% Hold = patient) - THOMPSON_FLOOR: 0.05 → 0.02 (less random, more Q-driven) Local smoke 1000 steps (b=128): - wr peaked 0.61 at step 200 (vs 0.30 before) - dones per step dropped to 1-7 (vs 17-40 before) - PnL stays positive: $285k cumulative - avg_hold growing toward 200+ Expected at scale: fewer trades, higher wr, dollar-positive after realistic $0.82/side costs because each trade is bigger. Co-Authored-By: Claude Opus 4.7 --- crates/ml-alpha/src/trainer/integrated.rs | 27 ++++++++++++++--------- 1 file changed, 16 insertions(+), 11 deletions(-) diff --git a/crates/ml-alpha/src/trainer/integrated.rs b/crates/ml-alpha/src/trainer/integrated.rs index d26c62d44..a11ebc7d2 100644 --- a/crates/ml-alpha/src/trainer/integrated.rs +++ b/crates/ml-alpha/src/trainer/integrated.rs @@ -2884,15 +2884,18 @@ impl IntegratedTrainer { (crate::rl::isv_slots::RL_GATE_FRD_MIN_INDEX, 0.0), (crate::rl::isv_slots::RL_GATE_FRD_MAX_INDEX, 0.50), (crate::rl::isv_slots::RL_GATE_ADJUST_RATE_INDEX, 0.95), - (crate::rl::isv_slots::RL_ENTRY_COST_INDEX, 15.0), - (crate::rl::isv_slots::RL_SHORT_HOLD_MIN_STEPS_INDEX, 100.0), - (crate::rl::isv_slots::RL_SHORT_HOLD_PENALTY_INDEX, 0.5), - (crate::rl::isv_slots::RL_HOLD_BONUS_INDEX, 2.0), - // γ-derived: half-life = round(-ln(2)/-ln(γ_floor)). At γ=0.995 → 138. - // Per pearl_edge_lives_at_wave_timescale_not_tick — needed to lift - // the agent off tick-scale operation (observed avg_hold=20). - (crate::rl::isv_slots::RL_MIN_HOLD_STEPS_INDEX, - (-((2.0_f32).ln()) / 0.995_f32.ln()).round()), + // SURFER PHILOSOPHY (2026-05-28): force fewer-but-bigger trades. + // Entry cost amplified to discourage low-conviction entries. + (crate::rl::isv_slots::RL_ENTRY_COST_INDEX, 40.0), + // Short-hold penalty floor raised — true wave timescale. + (crate::rl::isv_slots::RL_SHORT_HOLD_MIN_STEPS_INDEX, 200.0), + (crate::rl::isv_slots::RL_SHORT_HOLD_PENALTY_INDEX, 0.3), + // Long-ride bonus amplified to reward sustained holds. + (crate::rl::isv_slots::RL_HOLD_BONUS_INDEX, 4.0), + // Wave timescale: 300 steps ≈ several minutes real time. + // Replaces γ-derived 138 — too short for genuine surfer waves. + // Per pearl_edge_lives_at_wave_timescale_not_tick. + (crate::rl::isv_slots::RL_MIN_HOLD_STEPS_INDEX, 300.0), (crate::rl::isv_slots::RL_ASYM_LOSS_DECAY_RATE_INDEX, 0.995), (crate::rl::isv_slots::RL_ASYM_WIN_TRAIL_FACTOR_INDEX, 0.5), (crate::rl::isv_slots::RL_SESSION_LOSS_LIMIT_INDEX, -50.0), @@ -2973,14 +2976,16 @@ impl IntegratedTrainer { // maintain target entropy. H_target = 0.7 × ln(11) ≈ 1.68. (crate::rl::isv_slots::RL_SAC_ALPHA_INDEX, 0.01), (crate::rl::isv_slots::RL_SAC_ENTROPY_TARGET_INDEX, 1.68), - (crate::rl::isv_slots::RL_CONF_GATE_MAX_HOLD_FRAC_INDEX, 0.85), + // SURFER: 95% Hold = patient wave-watching, only 5% explore slots. + (crate::rl::isv_slots::RL_CONF_GATE_MAX_HOLD_FRAC_INDEX, 0.95), // Hard margin floor: $35k capital, ~$14.4k ES maintenance. // Max drawdown ~$20k before broker liquidates. (crate::rl::isv_slots::RL_MARGIN_FLOOR_USD_INDEX, 20000.0), // Thompson sampler epsilon-greedy floor — 5% of steps // pick a uniform random action, preventing entropy collapse // per `pearl_pi_actor_collapses_without_entropy_floor`. - (crate::rl::isv_slots::RL_THOMPSON_FLOOR_INDEX, 0.05), + // SURFER: lower random exploration — let Q's conviction drive trades. + (crate::rl::isv_slots::RL_THOMPSON_FLOOR_INDEX, 0.02), ]; for (slot, value) in isv_constants.iter() { let slot_i32 = *slot as i32;