jgrusewski
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2bb2b50fd1
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fix(surfer): correct roll handling (held-contract return stitching) + cost stress + dual gates
The +0.32 'edge' was a roll-zeroing artifact (discarded held-contract roll-day P&L).
Correct roll stitching + 2bp cost: floor Sharpe ~0.05 (sign) / 0.06 (cont) / 0.14
(cont+band), all NEGATIVE at 2x cost. Marginal, implementation-dominated edge.
Adds FLOOR_SIGNAL mode (sign|cont), no-trade band, 2x-cost stress, develop/deploy gates.
Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>
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2026-06-06 01:43:06 +02:00 |
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jgrusewski
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8df1c7eea2
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feat(surfer): Phase 0 GPU floor + validation harness — first real (weak) OOS trend edge
PyTorch-GPU diversified-trend floor (TSMOM 1/3/12mo + inverse-vol + 10% vol-target)
+ CPCV/Deflated-Sharpe validation, over 22 CME futures x 19.7y (Databento GLBX
ohlcv-1d via budget-capped fetcher, ~$32 credits). Verdict: Sharpe +0.32, CPCV
median +0.30, IS +0.36/OOS +0.08 (sign-consistent), Deflated Sharpe ~0.92 at honest
n_trials. Real but weak edge; fails deploy-grade gates (correct), passes edge-exists.
Includes roll-neutralization fix (max-vol outright + zero roll-day returns) that
eliminated 988%/day continuous-contract artifacts (RB vol 550%->31%). Plus
install_torch_gpu.sh. Data gitignored.
Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>
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2026-06-06 01:31:37 +02:00 |
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