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5 Commits

Author SHA1 Message Date
jgrusewski
d313486dc2 refactor(ml): split monolith into 9 sub-crates + delete dead code 
Extract 9 new sub-crates from the ml monolith to enable parallel
compilation across the workspace:

New crates (this commit):
- ml-features (282 tests): feature engineering, 21 modules
- ml-labeling (45 tests): triple barrier, meta-labeling, fractional diff
- ml-ensemble (116 tests): ensemble coordination, voting, confidence
- ml-hyperopt (47 tests): core PSO/TPE optimizer, parameter space
- ml-checkpoint (41 tests): checkpoint persistence, compression, signing
- ml-regime (68 tests): CUSUM, Bayesian changepoint, regime classification
- ml-data-validation (67 tests): FDR correction, CPCV, data quality
- ml-risk (33 tests): neural VaR, Kelly criterion, circuit breakers
- ml-validation (43 tests): statistical validation, walk-forward, DSR

Extended existing crates:
- ml-dqn: added evaluation/ (backtesting engine, metrics, reports)
  and checkpoint implementation
- ml-supervised: added checkpoint implementations
- ml-core: added shared types needed by new sub-crates

Pattern: each module in ml/ becomes a thin facade (pub use subcrate::*)
with bridge modules staying in ml for cross-model adapter code.

Dead code deleted (~7K lines):
- 13 undeclared files in microstructure/ (never compiled)
- 7 undeclared files + tests/ in risk/ (never compiled)
- parquet_io, cache_service, cache_storage, minio_integration (unused)
- extraction_wave_d_impl.rs (bare fn outside impl block)

All 2,746 sub-crate tests + 951 ml tests pass.
Full workspace builds clean.

Co-Authored-By: Claude Opus 4.6 <noreply@anthropic.com>
 2026-03-08 15:17:22 +01:00
jgrusewski
ba269d7ce7 fix(ml): improve DQN backtest Sharpe — greedy eval, exposure-scaled reward, cost alignment 
A: Switch backtest eval from Gumbel softmax to greedy argmax (batch_greedy_actions)
   so hyperopt Sharpe reflects the agent's actual learned policy, not noisy sampling.

C: Disable reward normalization (enable_normalization=false). EMA normalizer with
   ±3.0 clipping was flattening the reward landscape, preventing the agent from
   distinguishing large winners from scratch trades.

D: Wire tx_cost_bps (0.1 bps for IBKR ES) through to EvaluationEngine via
   new_with_fee_rate(). Previously hardcoded at 15 bps (150x mismatch with actual
   commission costs), massively penalizing every trade in backtest.

E: Scale PnL reward by agent's target exposure in calculate_pnl_reward().
   Previously, a Short100 action received POSITIVE reward when market went up
   (pct_return ignored position direction). Now: reward = pct_return × exposure.

2735 tests pass, 0 clippy warnings.

Co-Authored-By: Claude Opus 4.6 <noreply@anthropic.com>
 2026-03-06 20:25:42 +01:00
jgrusewski
c033a34fec fix(ml): wire minimum_profit_factor, fix eval capital, HFT score, Sortino 
4 bugs found by deep investigation agents:

1. HIGH: minimum_profit_factor (search dim 30) was never forwarded from
   DQNHyperparameters to DQNConfig — trainer hardcoded 1.5, making the
   entire dimension wasted. Added field to DQNHyperparameters, wired
   through trainer.rs.

2. HIGH: Backtest EvaluationEngine used hardcoded $10K initial capital
   while training used $35K (self.initial_capital). Returns/Sharpe were
   3.5x distorted. Now uses self.initial_capital.

3. MEDIUM: calculate_hft_activity_score_wave10 multiplied already-100x
   buy_pct/sell_pct by 100 again, making the diversity penalty threshold
   (15%) unreachable (values were ~2700). Removed double multiplication.

4. MEDIUM: Sortino ratio returned 0.0 for all-positive returns (no
   downside deviation), penalizing perfect strategies in the 40%-weighted
   composite score. Now returns 100.0 (capped) when mean return > 0.

Co-Authored-By: Claude Opus 4.6 <noreply@anthropic.com>
 2026-03-05 21:07:07 +01:00
jgrusewski
c881557d6b feat(ml): add process_bar_factored() for exposure-aware backtesting 
Add factored evaluation support to EvaluationEngine with continuous
exposure tracking (-1.0 to +1.0), partial position changes, and
order-type-aware transaction costs for the 45-action factored space.

Co-Authored-By: Claude Opus 4.6 <noreply@anthropic.com>
 2026-03-05 01:43:42 +01:00
jgrusewski
9c3d741a08 refactor: restructure repo — crates/, bin/, testing/ layout 
Move 17 library crates into crates/, CLI binary into bin/fxt,
consolidate 10 test crates into testing/, split config crate
from deployment config files.

Root directory reduced from 38+ to ~17 directories.
All Cargo.toml paths and build.rs proto refs updated.

Co-Authored-By: Claude Opus 4.6 <noreply@anthropic.com>
 2026-02-25 11:56:00 +01:00