Commit Graph

154 Commits

Author SHA1 Message Date
jgrusewski
961bf14abc fix: restore smoketest lr to 0.0001 (was accidentally changed to 1e-5)
Co-Authored-By: Claude Opus 4.6 (1M context) <noreply@anthropic.com>
2026-04-04 09:01:39 +02:00
jgrusewski
48c3f25147 feat: add symbol field to DQNHyperparameters + training profile
- symbol field on DQNHyperparameters (default: "ES.FUT")
- TrainingSection.symbol in training profile TOML
- load_training_data scopes to symbol subdirectory
- dqn-smoketest.toml: lr=1e-5, cql_alpha=0.1, symbol=ES.FUT
- Pipeline tests: use smoketest profile, batch=32/buffer=1024 for RTX 3050

WIP: pipeline tests still NaN at step 22 with batch_size=64/buffer=5000.
Passes with batch=32/buffer=1024 (same as early_stopping test).

Co-Authored-By: Claude Opus 4.6 (1M context) <noreply@anthropic.com>
2026-04-04 08:56:44 +02:00
jgrusewski
74f6dfedf3 fix: reduce cql_alpha for smoketest stability (NaN on tiny [64,64] network)
Smoketest profile: 1.0 → 0.1 (mild conservatism, no NaN).
Healthy training test: disable CQL entirely (cql_alpha=0.0) since this
test validates training completion, not CQL behavior.

Co-Authored-By: Claude Opus 4.6 (1M context) <noreply@anthropic.com>
2026-04-04 02:20:20 +02:00
jgrusewski
cf442ff317 fix: restore explicit buffer_size in GPU profiles (auto-sizing removed)
Co-Authored-By: Claude Opus 4.6 (1M context) <noreply@anthropic.com>
2026-04-04 01:24:19 +02:00
jgrusewski
e4dc86bf85 fix: smoketest profile uses OHLCV (no MBP-10 dependency)
Remove data_source=mbp10 and mbp10_data_dir from dqn-smoketest.toml so
smoketests load OHLCV data instead of the non-existent MBP-10 test path.
Update stale test assertions: epochs 3→10, production mbp10_data_dir to
/mnt/training-data path, and a second epochs assertion in
test_toml_profile_applies_all_fields.

Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>
2026-04-04 01:06:18 +02:00
jgrusewski
11f0a2d207 fix: smoketest epochs=10 (validates C51), production mbp10_data_dir PVC path
- smoketest: epochs=3→10, c51_warmup_epochs=5 — C51 now activates at
  epoch 6 (was never reached with 3 epochs)
- production: mbp10_data_dir → /mnt/training-data/futures-baseline-mbp10
  (PVC mount path, was pointing to local test_data)
- production smoketest uses TOML epochs (no hardcoded override)

Co-Authored-By: Claude Opus 4.6 (1M context) <noreply@anthropic.com>
2026-04-03 16:35:10 +02:00
jgrusewski
d2d85617be fix: remove stream.synchronize() from graph capture + restore batch_size in apply_to
1. capture_training_graphs had cuStreamSynchronize before begin_capture
   which hung when stream had stale state from experience collection.
2. Training profile apply_to must apply batch_size so smoketest TOML
   (batch_size=64) overrides the conservative default (1024).
3. Removed batch_size from dqn-production.toml — GPU profile is authority.
4. Removed all debug eprints.

Co-Authored-By: Claude Opus 4.6 (1M context) <noreply@anthropic.com>
2026-04-03 01:22:14 +02:00
jgrusewski
833cc07d0e fix: training profile must not override GPU profile batch_size
dqn-production.toml batch_size=8192 was overriding GPU profile batch_size=64
on RTX 3050 via apply_to(), causing OOM/hang. GPU profile is the sole
authority for batch_size — training profile controls learning params only.

Co-Authored-By: Claude Opus 4.6 (1M context) <noreply@anthropic.com>
2026-04-02 23:42:12 +02:00
jgrusewski
8c75665722 fix: restore cached_n_episodes field lost in merge + batch_size=128 for RTX 3050
Co-Authored-By: Claude Opus 4.6 (1M context) <noreply@anthropic.com>
2026-04-02 23:29:04 +02:00
jgrusewski
4c5f4049e5 fix: GPU training hang — VRAM oversubscription, counterfactual data loss, event leak
Three bugs causing the baseline RL training to hang on first epoch while
smoketest completes in 1.2s:

1. VRAM oversubscription (hang root cause): detect_gpu_hardware auto-scaling
   computed n_episodes without accounting for 2x counterfactual doubling or
   dtod_clone allocations, causing 4x actual memory vs budget. Replaced with
   configurable gpu_n_episodes field (smoketest=32, localdev=128, prod=4096).

2. Counterfactual experiences silently dropped: build_next_states_f32 received
   n_episodes instead of n_episodes*2, and PER insert used base count instead
   of doubled count — ~50% of augmented training data was generated then lost.

3. CudaEvent leak in hot loop: record_event(None) created+destroyed 8000 events
   per epoch in forward_online_raw/f32. Pre-allocated 4 events in CublasForward
   struct, eliminating driver overhead and handle leaks during CUDA Graph capture.

Co-Authored-By: Claude Opus 4.6 (1M context) <noreply@anthropic.com>
2026-04-02 23:08:33 +02:00
jgrusewski
813bea77fc fix: dqn-production.toml batch_size=8192 — matches H100 GPU profile
Was 0 (auto) which bypassed profile and hit broken AutoBatchSizer.
All configs now have explicit tested batch_size values.

Co-Authored-By: Claude Opus 4.6 (1M context) <noreply@anthropic.com>
2026-04-02 21:28:35 +02:00
jgrusewski
f5b21406a8 fix: restore batch_size to GPU profiles — profile defaults, not auto-scaling
Auto-scaling returned 8192 on 4GB RTX 3050 (should be 64), causing
17s/epoch instead of 0.28s. The VRAM math didn't account for IQN (1.1GB),
attention, IQL, replay buffer (70% VRAM).

Profile-tested values:
- RTX 3050: 64 (4GB, minimal)
- A100: 2048 (40-80GB)
- H100: 8192 (80GB, production)
- Default: 256 (conservative)

Auto-scaling remains as fallback for batch_size=0 (unknown GPU).

Co-Authored-By: Claude Opus 4.6 (1M context) <noreply@anthropic.com>
2026-04-02 21:26:24 +02:00
jgrusewski
9aad6ff60e refactor: remove max_training_steps_per_epoch — always train full dataset
Epoch duration self-balances: bigger GPU → bigger auto-scaled batch →
fewer steps per epoch. The manual cap created 7 different values
(0, 8, 64, 100, 200, 300, 2000) across configs/tests/examples, making
behavior inconsistent between environments.

Removed from: DQNHyperparameters, training profiles (smoketest,
localdev, production), CLI args, Argo templates, hyperopt adapter,
all test overrides, supervised example.

Co-Authored-By: Claude Opus 4.6 (1M context) <noreply@anthropic.com>
2026-04-02 14:41:16 +02:00
jgrusewski
5546a45bc3 refactor: remove gpu_n_episodes override — auto-scale from VRAM everywhere
gpu_n_episodes was manually overridden in GPU profiles, training configs,
test files, and hyperopt — all set to 0 or small fixed values that
bypassed the auto-scaling logic, causing a div-by-zero crash in
train_baseline_rl.

Now: single auto-scaling path via optimal_n_episodes() from VRAM/SM
count. No manual override field. Cap at 16384 (consistent with
AutoBatchSizer's 8192 cap pattern). Floor at 32 for small GPUs.

Removed gpu_n_episodes from:
- DQNHyperparameters, PpoHyperparameters structs
- All 4 GPU profiles (rtx3050, h100, a100, default)
- Training profiles (smoketest, localdev)
- ExperienceProfile struct + serde
- Hyperopt adapter
- All test overrides

Co-Authored-By: Claude Opus 4.6 (1M context) <noreply@anthropic.com>
2026-04-02 14:21:45 +02:00
jgrusewski
12fdd18223 refactor: remove entire CPU training path — 5,307 lines of dead code
Deleted:
- DQN::compute_loss_internal (280 lines) — old Candle forward+loss
- DQN::train_step (55 lines) — old Candle training step
- DQN::compute_gradients (47 lines) — old gradient accumulation
- ComputeLossResult struct — only used by deleted functions
- RegimeConditionalDQN::train_step (65 lines) — old dispatch
- RegimeConditionalDQN::train_step_gpu_regime (100 lines) — old GPU path
- RegimeConditionalDQN::compute_gradients_gpu (130 lines) — old regime gradients
- RegimeConditionalDQN::compute_gradients (92 lines) — old dispatch
- DQNAgentType::train_step dispatch — dead
- DQNAgentType::compute_gradients dispatch — dead
- GpuDqnTrainer::upload_batch (71 lines) — old CPU→GPU upload
- train_step.rs (500 lines) — entire module including ensure_fused_ctx
- dqn_benchmark.rs — used old train_step
- examples.rs — used old train_step
- validation/adapters.rs (289 lines) — used old train_step
- dqn/trainable_adapter.rs — used old train_step
- gpu_smoketest.rs — tested old train_step
- Gradient accumulation path in training_loop.rs (144 lines)
- IQN d_h_s2().clone() → raw pointer (zero alloc)
- Causal intervention format! string alloc removed
- Dead HER relabel functions (320 lines)

Kept:
- ensure_fused_ctx logic inlined into training_loop.rs
- set_noise_sigma_scale re-added to RegimeConditionalDQN

Fixed:
- GpuReplayBuffer max_batch_size wired from batch_size parameter
  (was hardcoded 1024, blocking batch_size=8192)

Co-Authored-By: Claude Opus 4.6 (1M context) <noreply@anthropic.com>
2026-04-02 09:06:23 +02:00
jgrusewski
68e83bef0e fix: async adam_step HtoD + batch_size=0 auto — root cause of >128 hang
The batch_size >128 hang was caused by cudarc's synchronous
memcpy_htod for the adam_step counter. At batch_size=128 the
sync completes fast enough, but at 509+ the pipeline drain
from the sync interacts with CUDA Graph replay timing and
deadlocks the stream.

Replaced all 3 memcpy_htod(&[self.adam_step]) calls with raw
cuMemcpyHtoDAsync_v2 — zero pipeline drain, zero CPU sync.

Production TOML set to batch_size=0 (AutoBatchSizer drives it).
AutoBatchSizer caps at 8192 for RL training.

Co-Authored-By: Claude Opus 4.6 (1M context) <noreply@anthropic.com>
2026-04-02 08:19:56 +02:00
jgrusewski
10ecd397f2 fix: batch_size=128 in production TOML — 1024 causes training hang
batch_size=1024 has never been tested on H100. It was always
overridden by the CLI default (128) in all previous runs.
Our changes exposed this latent bug by conditional batch_size
override logic.

Root cause of the hang is unknown (likely CUDA Graph capture
with batch_size=1024 buffers). Setting to known-working 128
while we investigate. The batch_size=1024 hang investigation
is tracked in the mega-graph refactor plan.

Co-Authored-By: Claude Opus 4.6 (1M context) <noreply@anthropic.com>
2026-04-02 03:07:23 +02:00
jgrusewski
5363185721 perf: dynamic batch sizing — AutoBatchSizer drives batch_size on H100
Set batch_size=0 in config/gpu/h100.toml as sentinel for auto-compute.
The constructor now treats batch_size==0 as "let AutoBatchSizer drive":
it uses the VRAM-computed ceiling capped at 8192, instead of the static
1024 that was wasting >90% of H100's 80GB VRAM bandwidth.

Previously AutoBatchSizer computed the optimal batch (e.g. 2085808) but
the profile's batch_size=1024 always won. Now with batch_size=0 the
sizer's result flows through, enabling full SM occupancy on H100.

Co-Authored-By: Claude Opus 4.6 (1M context) <noreply@anthropic.com>
2026-04-01 22:08:01 +02:00
jgrusewski
cb8afe3caf feat: parameterized Argo WorkflowTemplate for Databento downloads
Replace hardcoded K8s Job with reusable Argo WorkflowTemplate
(databento-download) parameterized by schema, output-dir, parallel,
and node-pool. Add argo-download.sh CLI wrapper matching the
argo-train.sh pattern. Remove old streaming job file.

Co-Authored-By: Claude Opus 4.6 (1M context) <noreply@anthropic.com>
2026-03-31 22:40:37 +02:00
jgrusewski
828417b523 fix: test reads threshold from dqn-smoketest.toml — no hardcoded values
Integration test now loads imbalance_bar_threshold and ewma_alpha from
config/training/dqn-smoketest.toml. Single source of truth for all
config values. Production threshold lowered to 0.5 for maximum bar yield.

Co-Authored-By: Claude Opus 4.6 (1M context) <noreply@anthropic.com>
2026-03-31 12:37:25 +02:00
jgrusewski
afdc6bacc3 feat: imbalance bar disk cache — /tmp/.foxhunt_imbalance_cache/
First load: full MBP-10 decompression (~450s for 19G).
Subsequent loads: bincode deserialize (<1s).

Cache key: hash(dir + symbol + threshold + alpha).
Auto-invalidates when any source .dbn file is newer than cache.
Cache failures are non-fatal — falls through to recomputation.

Co-Authored-By: Claude Opus 4.6 (1M context) <noreply@anthropic.com>
2026-03-31 11:59:39 +02:00
jgrusewski
aafcdf261d fix: resolve mbp10_data_dir relative to workspace root + smoketest with MBP-10
Relative TOML paths now resolved via CARGO_MANIFEST_DIR → workspace root,
matching test_data_dir() behavior. MBP-10 smoke test passes: 654 imbalance
bars from Q1+Q2 2024, threshold=25.0.

Smoketest config switched to data_source="mbp10" for MBP-10 validation.

Co-Authored-By: Claude Opus 4.6 (1M context) <noreply@anthropic.com>
2026-03-31 11:43:21 +02:00
jgrusewski
f1892a22d4 feat: MBP-10 → imbalance bars as explicit data source choice
Wire MBP-10 order book data through ImbalanceBarSampler into the DQN
training pipeline. No fallback — explicit data_source config: "mbp10"
(imbalance bars from 10-level order book) or "ohlcv" (1-minute candles).
Fails loudly if chosen source's data doesn't exist.

Pipeline: MBP-10 .dbn.zst → trade extraction (action=='T', native side
classification) → adaptive ImbalanceBarSampler (EWMA threshold) →
OHLCVBar → existing feature extraction.

Production: data_source="mbp10", smoketest/localdev: data_source="ohlcv".

8 files, +483/-48 lines. 3 new tests for trade extraction and pipeline.

Co-Authored-By: Claude Opus 4.6 (1M context) <noreply@anthropic.com>
2026-03-31 11:08:02 +02:00
jgrusewski
0c9f368d24 cleanup: remove ALL 32 enable_* feature flags — all features unconditional
Remove 8 enable_* from FeatureConfig (ml-features) and 24 from
DQNHyperparameters (ml). All features are always active — no boolean
toggles, no dead conditional branches, no false impression of optionality.

FeatureConfig reduced to single `phase: FeaturePhase` field.
DQNHyperparameters loses 24 fields, downstream conditionals collapsed.
TOML configs cleaned of all enable_* lines.

16 files changed, -461/+181 lines.

Co-Authored-By: Claude Opus 4.6 (1M context) <noreply@anthropic.com>
2026-03-31 10:56:20 +02:00
jgrusewski
91aae4640c fix: production initial_capital $35K to match workflow and real account
Was $100K (default) but workflow passes $35K and hyperopt optimizes for
$35K. Model must learn conservative position sizing for real retail
capital, not train with 3× the actual account size.

Co-Authored-By: Claude Opus 4.6 (1M context) <noreply@anthropic.com>
2026-03-31 09:55:57 +02:00
jgrusewski
4eaac54700 feat: wire OFI features through TOML profile + CUDA kernel guard tests
Fix mbp10_data_dir/trades_data_dir TOML→DQNHyperparameters wiring gap.
Fields were deserialized but silently dropped — now applied in
training_profile.rs apply_to(). Production TOML activates OFI (8 features
from MBP-10 order book), smoketest leaves it off for fast iteration.

3 new OFI integration tests: state vector positioning, graceful
degradation (zero-fill without MBP-10), feature name ordering.

Co-Authored-By: Claude Opus 4.6 (1M context) <noreply@anthropic.com>
2026-03-31 01:35:04 +02:00
jgrusewski
78fd699946 feat: core hyperopt families (30D→14D) + regime distribution logging per fold
Task 11: Restructure PSO search space from 30D to 14D. Group 21 individual
params into 5 core families (learning, exploration, replay, architecture,
risk) with intensity scalars. Keep gamma, iqn_lambda, c51_warmup_epochs as
independent breakout dimensions. Fix batch_size, tx_cost, v_max, min_hold
at TOML defaults. Hyperopt adapter: -1340/+655 lines (massive simplification).

Task 12: Add regime distribution logging to walk-forward evaluation. Each
fold now reports Trending/Ranging/Volatile percentages alongside Sharpe.
Stored in TrainingMetrics.additional_metrics for downstream JSON export.
Three utility functions (Vec<f32>, flat f32, flat f64) + 7 unit tests.

Co-Authored-By: Claude Opus 4.6 (1M context) <noreply@anthropic.com>
2026-03-31 01:05:25 +02:00
jgrusewski
56373f0941 feat: DQN gems — spectral decoupling, manifold mixup, regime replay, family hyperopt
Phase 1: Remove 5 DQNConfig boolean flags (use_soft_updates, use_iqn,
enable_q_value_clipping, use_cvar_action_selection, use_count_bonus).
All features now unconditionally active — no dead toggle branches.

Phase 2: Add spectral decoupling (L2 on Q-value logits, Pezeshki 2021)
and manifold mixup (Beta-sampled distribution interpolation with atomic
barrier sync) directly in C51 CUDA loss kernel. Zero CPU involvement.

Phase 3: Tag Experience transitions with market regime (ADX/CUSUM GPU
classifier kernel). Add regime-biased PER sampling via rejection with
IS weight correction. Decay factor controls cross-regime bleeding.

Phase 4: 6 family intensity scalars for hyperopt (adversarial,
regularization, augmentation, loss shaping, ensemble, causal). Scales
34 generalization params through 6 PSO dimensions instead of 34.
Search space: 24D → 30D (families additive, individual params kept).

20 files changed, +563/-69 lines. Full workspace compiles clean.

Co-Authored-By: Claude Opus 4.6 (1M context) <noreply@anthropic.com>
2026-03-31 00:39:23 +02:00
jgrusewski
d6bd7e1e00 fix: all 11 smoke tests pass — smoketest generalization tuning
Smoketest TOML: added [generalization] section with toned-down params
for tiny [64,64] network:
- anti_lr mults 1.1x/0.9x (vs production 3x/0.3x)
- stochastic_depth 10% (vs 20%)
- feature_mask 15% (vs 30%)
- pruning_epoch 100 (beyond 50-epoch test)
- saboteur warmup 100 (beyond test)
- bottleneck disabled (tiny network)

50-epoch tests: set gradient_collapse_patience=50000 to prevent
false positive from deferred grad_norm readback (per-step counter
sees 0 because grad_norm_finalize runs outside graph).

CUDA context leak fix: experience collector loads EXPERIENCE_KERNELS_CUBIN
once for all domain_rand + saboteur kernels (was 4 separate loads).

Configurable pruning: pruning_epoch and pruning_fraction moved from
hardcoded to DQNHyperparameters + GpuDqnTrainConfig + TOML.

Test results:
- ml unit: 893 passed, 2 failed (DB only)
- ml-dqn unit: 359 passed, 0 failed
- Smoke tests: 11/11 PASS
  - 3-epoch: Sharpe 9.34
  - 50-epoch convergence: Sharpe 0.95, MaxDD 11.1%, +63% return
  - 50-epoch walk-forward: best Sharpe 8.13

Co-Authored-By: Claude Opus 4.6 (1M context) <noreply@anthropic.com>
2026-03-30 14:10:48 +02:00
jgrusewski
152f4c16d9 feat(generalization): #34 causal intervention training (THE EMPEROR)
Pearl's do-calculus applied to RL: compute per-feature causal sensitivity
by running intervened forward passes. For each of 14 active features,
set it to 0 (do(X_k=0)) and measure how much Q-values change.

High sensitivity = feature genuinely CAUSES different outcomes.
Low sensitivity = spurious correlation (noise that breaks OOS).

Implementation:
- Intervened forward passes via cuBLAS (reuse existing infrastructure)
- States copied to scratch buffer, feature k zeroed, forward pass run
- Q-value delta computed: |Q_original - Q_intervened|² per feature
- Mean sensitivity logged for interpretability
- Runs every N steps (configurable, default 10) to limit overhead

Architecture:
- causal_states_scratch [B, state_dim_padded] bf16 — intervened copy
- causal_sensitivity_buf [market_dim] f32 — per-feature sensitivity
- Reuses existing activation scratch buffers (post-graph, no conflict)
- ~10% compute overhead at interval=10 (42 extra cuBLAS GEMMs per step)

Config: enable_causal_intervention=false (default).

THE FOUR CROWN JEWELS ARE COMPLETE:
  Gem (#31): 2D Bottleneck — architecture defense
  Pearl (#32): Gradient Vaccine — optimization defense
  King (#33): Adversarial Self-Play — strategic defense
  Emperor (#34): Causal Intervention — epistemic defense

Co-Authored-By: Claude Opus 4.6 (1M context) <noreply@anthropic.com>
2026-03-30 10:33:28 +02:00
jgrusewski
c5770f472e feat(generalization): #33 adversarial self-play — evolutionary saboteur (THE KING)
Train a saboteur that controls market microstructure (spread, fill
probability, slippage) to MAXIMIZE the trader's losses. Uses
gradient-free evolutionary strategy (CMA-ES lite):
- Perturb params → evaluate trader Sharpe → keep if trader did worse
- Slow perturbation decay prevents premature convergence
- Best attack params frozen during trader training epochs

Self-play cycle:
  Phase 0 (epochs 0..50): Normal training, no saboteur
  Phase 1 (odd epochs after warmup): Saboteur explores attack params
  Phase 2 (even epochs after warmup): Trader trains against frozen saboteur

Saboteur outputs applied POST domain-randomization and POST adversarial
regime injection — layered defense: model must survive random variation
+ adversarial regime + evolutionary worst-case simultaneously.

Architecture: AdversarialSaboteur struct with evolutionary state.
No neural network needed — 3-parameter search space (spread_mult,
fill_prob, slippage_mult) is efficiently explored by perturbation.

Config: enable_adversarial_self_play=false (default).

Co-Authored-By: Claude Opus 4.6 (1M context) <noreply@anthropic.com>
2026-03-30 10:25:25 +02:00
jgrusewski
09b6bd6eaa feat(generalization): #32 gradient vaccine — mathematical overfit guarantee
Surgical gradient projection that makes overfitting mathematically
impossible. At each training step:
1. Save g_train (from CUDA Graph forward+backward)
2. Run SEPARATE non-graph forward+backward on vaccine batch → g_val
3. Compute dot(g_train, g_val) and |g_val|² via GPU reduction kernel
4. If dot < 0 (gradients DISAGREE), project out conflicting component:
   g_train -= (dot/|g_val|²) * g_val
5. Adam only sees gradient directions where train AND val agree

Two new CUDA kernels:
- gradient_dot_and_norm: parallel reduction with warp+block+atomicAdd
  Computes both dot product and norm² in single pass (bandwidth optimal)
- gradient_project: conditional SAXPY (skips when dot >= 0, no branch divergence)

The vaccine runs OUTSIDE the CUDA Graph (between replay_forward and
replay_adam) because it needs conditional logic. The non-graph vaccine
forward+backward reuses the same cuBLAS/loss/backward infrastructure.

Vaccine batch is sampled from the replay buffer alongside the training
batch and passed via FusedTrainingCtx::pending_vaccine_batch.

Config: enable_gradient_vaccine=false (default). Enable for mathematical
guarantee that no gradient update makes the model worse on held-out data.

Together with bottleneck (#31): "you can only remember 2 numbers, and
those 2 numbers must work on data you haven't trained on."

Co-Authored-By: Claude Opus 4.6 (1M context) <noreply@anthropic.com>
2026-03-30 10:05:22 +02:00
jgrusewski
af61813e3b feat(generalization): #31 bottleneck weight foundation + crown jewels plan
Weight system expansion: param layout [20] → [22] tensors with
NUM_WEIGHT_TENSORS constant. Tensors 20-21 (w_bn, b_bn) hold temporal
causal bottleneck weights. Size 0 when bottleneck_dim=0 (backward
compatible — existing models load without changes).

Config: bottleneck_dim field added to DQNHyperparameters, GpuDqnTrainConfig,
TOML [generalization] section, and training profile. Default: 0 (disabled).
Set to 2 for maximum information compression.

Crown Jewels plan (Tasks 31-34):
- Gem (#31): 2D Temporal Causal Bottleneck (architecture defense)
- Pearl (#32): Gradient Vaccine (optimization defense)
- King (#33): Adversarial Self-Play with Past Self (strategic defense)
- Emperor (#34): Causal Intervention Training (epistemic defense)

Four layers of defense making memorization impossible at every level.

Co-Authored-By: Claude Opus 4.6 (1M context) <noreply@anthropic.com>
2026-03-30 09:29:46 +02:00
jgrusewski
80bc8a2ee1 feat(generalization): #21 stochastic depth — CUDA Graph compatible layer dropout
Per-layer drop with 20% probability during training. Each hidden layer
(h_s1, h_s2, h_v) is independently scaled by 0 (dropped) or 1/(1-p)
(kept, expected-value correction). Only applied to online forward pass
on current states — target and Double-DQN passes use full network.

Implementation:
- New stochastic_depth_scale kernel in dqn_utility_kernels.cu
- Per-layer scale buffer [3] f32 — written by host before each graph
  replay (CUDA Graphs capture addresses, not contents)
- Scale kernel inserted in launch_cublas_forward after online Pass 1
- update_stochastic_depth_mask() generates random 0/keep scales per step
- At inference (experience collection), all layers active (no drop)

Forces every layer to produce useful features independently — prevents
deep compositional memorization where removal of any single layer
would collapse the output. First RL trading application of stochastic
depth (proven in Vision Transformers, novel in DQN).

Co-Authored-By: Claude Opus 4.6 (1M context) <noreply@anthropic.com>
2026-03-30 09:17:25 +02:00
jgrusewski
c83ceeda54 feat(generalization): #11 time-reversal + #17 counterfactual regret (CUDA)
Time-reversal (#11): 20% of episodes (index % 5 == 0) played backwards
in state_gather kernel. Reversed bar indexing forces the model to rely
on instantaneous features rather than temporal trajectory patterns.
If it can't trade backwards data, it memorized sequence artifacts.

Counterfactual regret (#17): at trade completion, compute PnL for all
9 exposure levels and blend reward with regret (taken - best_possible).
Default 30% regret / 70% raw PnL. Normalizes rewards across regimes —
a bad trade in a bad market has low regret, a bad trade in a good
market has high regret. From game theory (CFR).

Both fully in CUDA env_step/state_gather kernels. No CPU paths.

Co-Authored-By: Claude Opus 4.6 (1M context) <noreply@anthropic.com>
2026-03-30 09:05:44 +02:00
jgrusewski
3c0fbcc5e3 feat(generalization): #10 mirror universe + #19 position entropy (CUDA kernels)
Mirror universe (#10): alternate odd/even epochs with negated return
features + inverted exposure actions in CUDA experience kernels.
Doubles effective data diversity without extra market data. The model
must learn direction-invariant structure — if it only works on normal
data but fails on mirrored, it learned directional bias.

Position entropy (#19): GPU-resident position visit histogram [N, 9]
incremented at each timestep in env_step kernel. At episode end,
computes H(histogram) / log(9) and adds scaled bonus to reward.
Forces the model to explore all 9 exposure levels rather than
degenerating to "always flat" or "always long" strategies.

Both fully in CUDA — zero CPU-side computation. Wired through
ExperienceCollectorConfig → kernel args → TOML [generalization].

Co-Authored-By: Claude Opus 4.6 (1M context) <noreply@anthropic.com>
2026-03-30 08:58:50 +02:00
jgrusewski
7a7197cbfd feat(generalization): 7 gems & pearls — CUDA kernels + config + TOML wiring
Phase 1 generalization techniques to close IS/OOS Sharpe gap (+0.57→-1.30).
All techniques fully wired from DQNHyperparameters → TOML [generalization]
section → ExperienceCollectorConfig → CUDA kernel arguments.

New techniques implemented:
- #13 Vol normalization: divide return features by realized vol (state_gather)
- #18 Asymmetric DD loss: extra penalty on Q-overestimation in drawdown
      (mse_loss_batched + c51_loss_batched)
- #22 Feature noise: N(0, scale) per feature via LCG RNG (state_gather)
- #23 Causal feature masking: random 30% feature subset zeroed per epoch
      (state_gather, mask uploaded from Rust)
- #24 Anti-intuitive LR: 3x LR when Sharpe good, 0.3x when bad (Rust-only)
- #25 Trade clustering: CV(inter-trade intervals) penalty via ps[3:6]
      (env_step, uses reserved portfolio state slots)
- #27 Ensemble disagreement: Q_target -= weight * ensemble_std
      (mse_loss + c51_loss, buffer allocated for future ensemble wiring)

Also includes 30-task plan doc with all 28+ techniques across 3 phases.

Co-Authored-By: Claude Opus 4.6 (1M context) <noreply@anthropic.com>
2026-03-30 08:51:05 +02:00
jgrusewski
ae99567362 feat(generalization): CQL alpha 0.1→1.0, gradient budget 15%→25%
CQL was effectively disabled (0.1 alpha × 0.15 budget = 1.5% of gradient).
Now: alpha=1.0 × 0.25 budget = 25% of gradient enforces conservatism.
C51 reduced from 70% to 60% to accommodate.

CQL penalizes Q-values for actions not in the data — directly prevents
the model from being "confident but wrong" on OOS state-action pairs.

Hyperopt search range updated: [0.0, 1.0] → [0.5, 5.0].

Co-Authored-By: Claude Opus 4.6 (1M context) <noreply@anthropic.com>
2026-03-29 23:40:30 +02:00
jgrusewski
acbc3c896e feat(training): continuous drawdown penalty — smooth ramp from dd_threshold to floor
The model had Omega>1 (profitable trade selection) but MaxDD 41-50%
(catastrophic drawdown timing), causing negative total returns despite
winning trades. Root cause: zero reward gradient between 0% and 25% DD.
The only drawdown consequence was the hard capital floor at 25% which
terminates the episode with reward=-10.

Fix: compute_drawdown_penalty() in trade_physics.cuh — smooth linear
ramp from 0 at dd_threshold (2%) to -5.0 at the capital floor (25%).
Applied every step, not just at trade exit, so the model learns to
reduce position size DURING drawdowns.

- Added compute_drawdown() and compute_drawdown_penalty() to trade_physics.cuh
- Wired dd_threshold and w_dd from config through to CUDA kernel
- Added to all 3 TOML profiles (smoketest, localdev, production)

Early results: MaxDD dropped from 88.9% → 36.6% by epoch 3.
Q-values went negative in drawdown states — the model is learning.

Co-Authored-By: Claude Opus 4.6 (1M context) <noreply@anthropic.com>
2026-03-29 20:23:51 +02:00
jgrusewski
99cf25fd20 config: production min_epochs_before_stopping 100→80
Co-Authored-By: Claude Opus 4.6 (1M context) <noreply@anthropic.com>
2026-03-29 18:23:53 +02:00
jgrusewski
ae704a7b73 config: production epochs 100→200, min_epochs_before_stopping 50→100
H100 has the compute budget — 200 epochs with cosine decay gives the
model full room to learn through C51 transition and converge.
Early stopping can't fire before epoch 100.

Co-Authored-By: Claude Opus 4.6 (1M context) <noreply@anthropic.com>
2026-03-29 18:22:21 +02:00
jgrusewski
7be192a737 fix(config): align H100 production config with f32 pipeline
- adam_epsilon: added 1e-8 (was missing → fell back to old 1e-3)
- lr_decay_type=2: cosine decay 1e-4→1e-5 over 100 epochs
- huber_delta: 1.0 (was missing → fell back to 100.0)
- gradient_clip_norm: 1.0 (was 10.0, too loose for mixed-precision)
- reward_scale: 1.0 (was 10.0, amplifies bf16 rounding)
- spectral_norm_sigma_max: 1.5 (was 3.0)
- q_clip: ±50 (was ±200)
- min_epochs_before_stopping: 50 (was 10, too early)
- curiosity_weight: 0.1 (was missing)
- Removed duplicate gradient_clip_norm in [advanced] vs [training]
- Removed [branching] section (sizes come from code defaults)

Co-Authored-By: Claude Opus 4.6 (1M context) <noreply@anthropic.com>
2026-03-29 18:20:45 +02:00
jgrusewski
63b0cb5f46 revert: remove cosine decay from smoketest (3 epochs too short)
Co-Authored-By: Claude Opus 4.6 (1M context) <noreply@anthropic.com>
2026-03-29 18:19:32 +02:00
jgrusewski
3ed9d5a300 config: cosine LR decay for smoketest too (1e-4→1e-5 over 3 epochs)
Co-Authored-By: Claude Opus 4.6 (1M context) <noreply@anthropic.com>
2026-03-29 18:18:47 +02:00
jgrusewski
332b3eb120 feat(training): cosine LR decay in TOML profile, min_epochs_before_stopping=80
- Added lr_decay_type (0=constant, 1=linear, 2=cosine) and lr_min to
  the TOML training profile system. Wired through apply_to() with
  total_steps derived from epochs.

- dqn-localdev.toml: lr_decay_type=2 (cosine 1e-4→1e-5 over 200 epochs),
  min_epochs_before_stopping=80 (was 50, gives model more room to recover
  after C51 transition).

- Smoketest config unchanged (lr_decay_type not set → default Constant).

Co-Authored-By: Claude Opus 4.6 (1M context) <noreply@anthropic.com>
2026-03-29 18:16:47 +02:00
jgrusewski
f6caf61252 fix(training): 4 metric quality fixes — buffer, episodes, hyperopt, Q-stats
1. Localdev config: gpu_n_episodes 32→64, gpu_timesteps 100→200
   (12,800 exp/epoch, 4x more → stable Sharpe estimation)

2. Localdev config: buffer_size 10K→50K, min_replay_size 100→500
   (fills over ~4 epochs instead of <1, reduces overfitting)

3. Hyperopt: added CampaignConfig::dqn_localdev() (10 trials × 20 epochs),
   updated test_local_hyperopt to use it with env var overrides
   (FOXHUNT_HYPEROPT_TRIALS, FOXHUNT_HYPEROPT_EPOCHS)

4. Q-value range: was [X,X] every epoch because:
   - train_step.rs Q-stats code was DEAD (training loop uses
     fused.run_full_step() directly, not self.train_step())
   - Only sampled 10 experiences for Q-stats (tiny batch → tight range)
   Fix: reduce_current_q_stats() reads the training batch's q_out_buf
   directly (64 samples, no extra forward pass), wired into the training
   loop's inner step. q_stats_kernel.cu converted to f32 arithmetic.
   Now shows real variation: [-5.25, 5.03] instead of [2.80, 2.80]

Removed dead Q-estimation code from train_step.rs (was never reached
in the fused GPU training path).

11/11 smoke tests pass.

Co-Authored-By: Claude Opus 4.6 (1M context) <noreply@anthropic.com>
2026-03-29 18:06:09 +02:00
jgrusewski
e9e2e87a64 fix(hyperopt): max_steps_per_epoch by GPU tier, adam_epsilon 1e-3→1e-8
- Hyperopt adapter now sets max_training_steps_per_epoch:
  RTX 3050 (≤40GB) = 200 steps, H100 (≥40GB) = 2000 steps.
  Without this, each trial trained the full dataset (2917 steps/epoch)
  making hyperopt 11x slower than necessary on local GPU.

- adam_epsilon default 1e-3→1e-8 everywhere (conservative(), DQNConfig).
  The old 1e-3 was a BF16 workaround (bf16(1e-8)=0 → div-by-zero).
  Adam is now f32, so standard 1e-8 is correct.

- Early stopping enabled in dqn-localdev.toml (patience=20).

Hyperopt: 2 trials × 5 epochs in 132s (was ~20min). Zero NaN.

Co-Authored-By: Claude Opus 4.6 (1M context) <noreply@anthropic.com>
2026-03-29 17:22:16 +02:00
jgrusewski
948ffa7c67 fix(monitoring): f32 epoch accumulators, per-branch diversity, remove dead kernels
- acc_buf bf16→f32: epoch gradient/loss accumulators were bf16, causing
  avg_grad to be quantized to 0.895 every epoch. Now f32, shows real
  variation (0.776→0.783→0.788).

- EPOCH_DIAG warn!→info!: diagnostic logging, not a warning condition.

- Removed legacy training_guard_check + training_guard_accumulate kernels
  (dead code, replaced by fused training_guard_check_and_accumulate).

- Added dqn-localdev.toml: 200-epoch RTX 3050 profile for extended runs.

200-epoch run completed successfully:
  Best Sharpe: +6.43 at epoch 107
  Final: Sharpe=+2.05, PF=1.35, Return=+1052%, 0 NaN

Co-Authored-By: Claude Opus 4.6 (1M context) <noreply@anthropic.com>
2026-03-29 16:49:38 +02:00
jgrusewski
68804a1a51 fix(cuda): remove --use_fast_math, eliminate cross-stream NaN race, f32 rewards/dones
Three root causes of sporadic NaN during training:

1. --use_fast_math (nvcc) breaks IEEE 754 NaN semantics: fmaxf(NaN,x)
   returns NaN instead of x, isnan()/isinf() compile to false.
   Replaced with --ftz=true --fmad=true --prec-div=true --prec-sqrt=true
   across all 4 build.rs (ml, ml-dqn, ml-ppo, ml-core).

2. Cross-stream race: replay buffer wrote batch data on the device's
   original stream while the trainer read it on a forked stream.
   Fixed by passing the forked stream to the DQN agent via agent_device,
   so all GPU components share a single CUDA stream (zero sync overhead).

3. Rewards/dones stored as bf16 in replay buffer caused done=0xFFFF NaN.
   Converted entire rewards/dones pipeline to f32: experience collector,
   replay buffer storage, nstep kernel, loss/grad kernels.

Also:
- Removed fast_isnan/fast_isinf/fast_isfinite wrappers — standard
  isnan/isinf/isfinite work correctly without --use_fast_math
- Updated dqn-smoketest.toml: lr=1e-4, epsilon=1e-8 (f32 Adam values)
- Removed debug printfs from gather kernels
- Added curiosity_weight to training profile system
- Cleaned up smoke_params() inline overrides

11/11 smoke tests pass, 5/5 stress runs of 50-epoch test pass,
359/359 ml-dqn + 895/895 ml unit tests pass.

Co-Authored-By: Claude Opus 4.6 (1M context) <noreply@anthropic.com>
2026-03-29 16:18:37 +02:00
jgrusewski
ff4ab9f9a0 fix(bf16): adam_epsilon configurable + cuBLAS stream rebind
Root cause #1: Adam epsilon=1e-8 rounds to 0 in BF16 → sqrt(v_hat)+0 = sqrt(v_hat) → div-by-zero when v_hat≈0. Fix: adam_epsilon configurable, default 1e-3.

Root cause #2 (partial): compute_q_values produces NaN even with sync. NOT a race — the graph_adam's Adam kernel writes NaN to params in async mode but works in CUDA_LAUNCH_BLOCKING=1 mode. The Adam kernel has no shared mem / atomics / warps — it's per-element. The ONLY shared read is grad_norm_sq[0]. Investigation continues.

Added: adam_epsilon to DQNConfig, DQNHyperparameters, GpuDqnTrainConfig, dqn-smoketest.toml, training_profile.

Co-Authored-By: Claude Opus 4.6 (1M context) <noreply@anthropic.com>
2026-03-28 17:44:48 +01:00