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3 Commits

Author SHA1 Message Date
jgrusewski
1da1b52bcd feat: centralize bars_per_day — no more hardcoded 390.0 scattered everywhere 
- Added BARS_PER_DAY, BARS_PER_YEAR, ANNUALIZATION_FACTOR to common::thresholds::time
- Added bars_per_day field to DQNHyperparameters (default 390.0, configurable)
- compute_epoch_financials() now takes bars_per_day parameter from hyperparams
- coordinator_extended.rs + ab_testing.rs use centralized ANNUALIZATION_FACTOR
- When switching to tick data, change one constant in common/thresholds.rs

Co-Authored-By: Claude Opus 4.6 (1M context) <noreply@anthropic.com>
 2026-03-25 22:17:20 +01:00
jgrusewski
3bd339b5a3 fix: backtest evaluator — correct annualization, window sizing, objective calibration 
Root cause: backtest windows of 300K bars produced ±billions% returns via
multiplicative compounding, and sqrt(252) annualization was wrong for
1-minute bars.

Fixes:
- Window size capped to 10K bars (~25 trading days), evenly distributed
  across the full validation set (was clustered in first 6%)
- Annualization: configurable bars_per_day field in GpuBacktestConfig
  (default 390.0 for 1-min), produces sqrt(98280) ≈ 313.5
- tanh normalization recalibrated: Sharpe/5, Sortino/8 (was /2, /3)
- CVaR threshold scaled to per-bar: 0.003 with slope 1400 (was 0.05/200)
- VaR/CVaR strided sampling covers full window (was first 4096 only)
- financials.rs + ab_testing.rs: sqrt(252) → sqrt(98280) for consistency

Co-Authored-By: Claude Opus 4.6 (1M context) <noreply@anthropic.com>
 2026-03-25 19:43:26 +01:00
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