foxhunt

gitadmin/foxhunt

Fork 0

Commit Graph

Author	SHA1	Message	Date
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	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

Author

SHA1

Message

Date

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

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

3 Commits