Single-sample latency measurement was flaky under concurrent test load.
Using median eliminates outlier sensitivity (127μs median vs 1154μs spike).
Co-Authored-By: Claude Opus 4.6 <noreply@anthropic.com>
Create PpoStrategy and PpoLstmStrategy implementing ValidatableStrategy
to run PPO through walk-forward validation with DSR, PBO, and permutation
tests. Both variants validated on real 6E.FUT data (29,937 bars, 15 folds).
Key implementation detail: LSTM hidden states are detached from the
computation graph after each step to prevent stack overflow from
unbounded graph growth across 30k+ sequential forward passes.
Co-Authored-By: Claude Opus 4.6 <noreply@anthropic.com>
Critical fixes found during pre-GPU-test code audit:
- DSR SE formula: (kurt-1)/4 → kurt/4 for excess kurtosis input
- PBO CSCV: replace circular fold ranking with IS/OOS mean comparison
- DqnStrategy evaluate: fix off-by-one (loop over returns, not bars)
- DqnStrategy action mapping: handle small num_actions (3→5) directly
instead of FactoredAction decomposition (which maps all to Short100)
- Walk-forward: document rolling window as deliberate design choice
Co-Authored-By: Claude Opus 4.6 <noreply@anthropic.com>
Move validation.rs to validation/financial.rs, create validation/mod.rs
with re-exports for backward compatibility, and remove orphan
numerical_tests.rs that referenced nonexistent types.
Co-Authored-By: Claude Opus 4.6 <noreply@anthropic.com>
Wave 64-65 cleanup: Proto regeneration and build system updates from Tonic 0.12→0.14 upgrade
Files updated:
- Cargo.lock: Dependency resolution for Tonic 0.14.2
- All build.rs: Updated for tonic-prost-build
- Proto files: Regenerated with tonic-prost 0.14
- Examples/tests: Updated for new gRPC API
🤖 Generated with [Claude Code](https://claude.com/claude-code)
Co-Authored-By: Claude <noreply@anthropic.com>
