# Training Environment Alignment Implementation Plan

> **For agentic workers:** REQUIRED SUB-SKILL: Use superpowers:subagent-driven-development (recommended) or superpowers:executing-plans to implement this plan task-by-task. Steps use checkbox (`- [ ]`) syntax for tracking.

**Goal:** Close the 45× gap between training Sharpe (0.19) and validation Sharpe (25) by aligning the training experience collector with the validation backtest — position-gated episodes, adapted reward shaping, and comparable metrics.

**Architecture:** 3 phases, 8 steps. Phase 1 changes episode structure (config + CUDA done flag + soft reset). Phase 2 adapts reward shaping (rank normalization + DSR + Q-drift). Phase 3 aligns metrics (un-annualized per-trade Sharpe). All changes in existing files — no new files created.

**Tech Stack:** Rust 1.85, CUDA 12.4, TOML config

---

## Task 1: Phase 1 — Episode Length + Position-Gated Done + Soft Reset

The most impactful change. Episodes go from 100 fixed bars to 5000 bars with position-gated done flags.

**Files:**
- Modify: `config/gpu/h100.toml`
- Modify: `crates/ml/src/cuda_pipeline/experience_kernels.cu`
- Modify: `crates/ml/src/cuda_pipeline/gpu_experience_collector.rs`

- [ ] **Step 1: Change H100 config**

In `config/gpu/h100.toml`, change:

```toml
[experience]
gpu_timesteps_per_episode = 5000
gpu_n_episodes = 1024
```

Was: `gpu_timesteps_per_episode = 100` (no gpu_n_episodes, defaulted to 4096).

VRAM: `1024 × 5000 × 80 × 4 = 1.6 GB` (fits in H100 80GB).

- [ ] **Step 2: Add position-gated done to experience_env_step**

In `crates/ml/src/cuda_pipeline/experience_kernels.cu`, find line 1758:

```cuda
int done = (next_bar >= total_bars || check_capital_floor(new_portfolio_value, peak_equity)) ? 1 : 0;
```

Replace with:

```cuda
    /* Position-gated done: episode ends when model completes a trade cycle
     * (was positioned → now flat). V(flat)=0 is a correct terminal anchor.
     * Also done at end-of-data or capital floor breach (existing). */
    int trade_complete = (fabsf(pre_trade_position) > 0.001f && fabsf(position) < 0.001f);
    int capital_breach = check_capital_floor(new_portfolio_value, peak_equity);
    int data_end = (next_bar >= total_bars);
    int done = (trade_complete || capital_breach || data_end) ? 1 : 0;
```

- [ ] **Step 3: Change portfolio reset at done to soft reset**

In the same kernel, find the episode reset block (around line 1963):

```cuda
    if (done) {
```

Inside this block, find where cash and position are reset. Change to SOFT reset — keep equity, clear position state:

The current reset likely does:
```cuda
    cash = initial_capital;
    position = 0.0f;
```

Change to:
```cuda
    /* Soft reset: keep equity (accumulated gains/losses), clear trade state.
     * The model starts the next segment with its real P&L, not artificial reset. */
    // cash stays at current value (no reset to initial_capital)
    // position is already 0 (trade_complete means we went flat)
    // Clear trade tracking state:
    entry_price = 0.0f;
    trade_start_pnl = 0.0f;
    // Keep: equity, cash, win/loss counters, DSR state
```

Read the actual reset block carefully before editing — there may be multiple fields being reset. Only reset TRADE-SPECIFIC state, not PORTFOLIO state.

NOTE: For `data_end` and `capital_breach` done, keep the FULL reset (portfolio goes back to initial capital for the next data window). Only `trade_complete` gets the soft reset.

```cuda
    if (done) {
        if (data_end || capital_breach) {
            /* Hard reset: new data window or capital breach — full restart */
            cash = initial_capital;
            position = 0.0f;
            // ... existing full reset code ...
        } else {
            /* Soft reset (trade_complete): keep equity, clear trade state */
            entry_price = 0.0f;
            // position already 0 (model chose flat)
        }
    }
```

- [ ] **Step 4: Update gpu_n_episodes config handling**

In `crates/ml/src/cuda_pipeline/gpu_experience_collector.rs`, check if `gpu_n_episodes` is read from config. If it's hardcoded or uses a different field name, update to use the config value. Search for where `n_episodes` or `alloc_episodes` is determined:

The experience collector's `new()` takes `n_episodes` as a parameter. The caller (training_loop.rs) may auto-scale it. Check that reducing from 4096 to 1024 is handled — the auto-scaler might override the config.

Search `training_loop.rs` for `n_episodes` or `auto_scale` and ensure 1024 is respected.

- [ ] **Step 5: Verify compilation**

```bash
SQLX_OFFLINE=true cargo check -p ml 2>&1 | tail -5
```

- [ ] **Step 6: Commit**

```bash
cd /home/jgrusewski/Work/foxhunt && git add config/gpu/h100.toml crates/ml/src/cuda_pipeline/experience_kernels.cu crates/ml/src/cuda_pipeline/gpu_experience_collector.rs && git commit -m "feat: position-gated episodes + 5000-bar limit — close 45× training/val gap

Episode done flag: timer-based → position-gated (trade complete = done).
V(flat)=0 is correct terminal anchor. Soft reset keeps equity.
H100: 100 bars → 5000 bars, 4096 episodes → 1024 episodes.
VRAM: 1.6GB (fits in 80GB). 12× more experience per epoch.

Co-Authored-By: Claude Opus 4.6 (1M context) <noreply@anthropic.com>"
```

---

## Task 2: Phase 2 — Adapt Rank Normalization for Sparse Rewards

Rank only non-zero rewards (actual trades). Skip the 95% zeros from holding bars.

**Files:**
- Modify: `crates/ml/src/cuda_pipeline/reward_shaping_kernel.cu`
- Modify: `crates/ml/src/cuda_pipeline/gpu_experience_collector.rs`

- [ ] **Step 1: Add zero-filtering to rank normalization kernel**

In `crates/ml/src/cuda_pipeline/reward_shaping_kernel.cu`, the `reward_rank_normalize` kernel processes ALL N rewards. Modify to SKIP near-zero rewards:

After the line that loads the raw reward:
```cuda
    float raw_r = (i < N) ? rewards_in[i] : 0.0f;
```

Add zero-filtering:
```cuda
    /* Skip near-zero rewards (holding bars with tiny holding cost).
     * Only rank actual trade P&L. Zeros get rank 0.5 (neutral). */
    int is_trade = (fabsf(raw_r) > 0.001f) ? 1 : 0;
```

Then in the ranking loop, only count against OTHER trades:
```cuda
    /* Only rank against other non-zero (trade) rewards */
    if (!is_trade) {
        rewards_out[i] = 0.0f;  /* holding bars: zero reward (no rank) */
        return;
    }
```

For the counting section, only compare against other trades (where `fabsf(tile_val) > 0.001f`). This requires modifying the tile comparison loop.

Alternatively — simpler approach: after rank normalization, zero out the holding bars:
```cuda
    if (!is_trade) {
        rewards_out[i] = 0.0f;
    }
```

This preserves the existing ranking logic for trades and just masks out the zeros. The model trains on rank-normalized TRADE returns and zero holding bars.

- [ ] **Step 2: Verify and commit**

```bash
SQLX_OFFLINE=true cargo check -p ml 2>&1 | tail -5
```

```bash
cd /home/jgrusewski/Work/foxhunt && git add crates/ml/src/cuda_pipeline/reward_shaping_kernel.cu && git commit -m "feat: rank normalization skips zero (holding) rewards — only ranks trades

With trade-level reward, 95% of bars have reward≈0 (holding cost).
Ranking zeros is meaningless — a $500 winner and $5 winner got similar
ranks. Now: holding bars get reward=0 (no rank), only actual trade
P&L is ranked. Preserves relative ordering among real trades.

Co-Authored-By: Claude Opus 4.6 (1M context) <noreply@anthropic.com>"
```

---

## Task 3: Phase 2 — Remove Hardcoded Q-Drift Penalty

The E1 enrichment (Q-value reality check) handles Q-drift adaptively from eval data. The hardcoded penalty in c51_grad_kernel is redundant and fights the adaptive system.

**Files:**
- Modify: `crates/ml/src/cuda_pipeline/c51_grad_kernel.cu`

- [ ] **Step 1: Remove hardcoded drift penalty**

In `crates/ml/src/cuda_pipeline/c51_grad_kernel.cu`, find lines 136-141:

```cuda
    /* Q-mean drift regularization: ADAPTIVE quadratic penalty.
     * Small drift → tiny penalty (don't interfere). Large drift → hard correction.
     * lambda=0.1 (scaled up from 0.01 for trade-level reward's smaller Q-values). */
    float q_mean_ema = q_mean_ema_ptr[0];
    float drift_penalty = 0.1f * q_mean_ema * fabsf(q_mean_ema);
    d_val_sum += drift_penalty;
```

Replace with:
```cuda
    /* Q-mean drift: handled by E1 enrichment (Q-value reality check) which
     * computes bias correction from eval data and applies it adaptively.
     * Hardcoded penalty removed — it competed with E1 and used a fixed lambda
     * that couldn't adapt to changing reward scales. */
    (void)q_mean_ema_ptr; /* keep parameter to avoid kernel signature change */
```

NOTE: Keep the `q_mean_ema_ptr` parameter in the kernel signature to avoid changing ALL launch sites. Just don't USE it for the penalty.

- [ ] **Step 2: Verify and commit**

```bash
SQLX_OFFLINE=true cargo check -p ml 2>&1 | tail -5
```

```bash
cd /home/jgrusewski/Work/foxhunt && git add crates/ml/src/cuda_pipeline/c51_grad_kernel.cu && git commit -m "feat: remove hardcoded Q-drift penalty — E1 enrichment handles it adaptively

The quadratic penalty (0.1 * q_mean * |q_mean|) competed with the
E1 enrichment (Q-value reality check) which computes bias correction
from actual eval performance. E1 adapts to changing reward scales;
the hardcoded penalty couldn't. Kernel parameter kept for ABI compat.

Co-Authored-By: Claude Opus 4.6 (1M context) <noreply@anthropic.com>"
```

---

## Task 4: Phase 3 — Aligned Sharpe Metrics

Add un-annualized per-trade Sharpe to both training and validation logging.

**Files:**
- Modify: `crates/ml/src/trainers/dqn/financials.rs`
- Modify: `crates/ml/src/trainers/dqn/trainer/training_loop.rs`

- [ ] **Step 1: Add raw Sharpe to EpochFinancials**

In `crates/ml/src/trainers/dqn/financials.rs`, find the `EpochFinancials` struct and add:

```rust
    /// Un-annualized per-trade Sharpe (mean_trade_return / std_trade_return).
    /// Directly comparable between training and validation.
    pub sharpe_raw: f64,
```

In `compute_epoch_financials`, after the annualized Sharpe computation (around line 101), compute the raw version:

```rust
        let sharpe_raw = if std > 1e-10 { mean / std } else { 0.0 };
```

And set `sharpe_raw` in the returned struct.

- [ ] **Step 2: Log raw Sharpe alongside annualized**

In `crates/ml/src/trainers/dqn/trainer/training_loop.rs`, find the epoch Sharpe logging (around line 2198):

```rust
info!(
    "Epoch {}/{}: Sharpe={:.2} WinRate={:.1}% ...",
```

Add raw Sharpe:
```rust
info!(
    "Epoch {}/{}: Sharpe={:.2} Sharpe_raw={:.4} WinRate={:.1}% ...",
    epoch + 1, self.hyperparams.epochs,
    financials.sharpe, financials.sharpe_raw, ...
```

Also log the val_Sharpe raw equivalent:
```rust
// After val_Sharpe logging:
let val_bar_annualization = (self.hyperparams.bars_per_day * 252.0).sqrt();
let val_sharpe_raw = val_sharpe / val_bar_annualization;
info!("  val_Sharpe_raw={:.4} (un-annualized per-bar)", val_sharpe_raw);
```

- [ ] **Step 3: Verify and commit**

```bash
SQLX_OFFLINE=true cargo check -p ml 2>&1 | tail -5
```

```bash
cd /home/jgrusewski/Work/foxhunt && git add crates/ml/src/trainers/dqn/financials.rs crates/ml/src/trainers/dqn/trainer/training_loop.rs && git commit -m "feat: aligned Sharpe metrics — un-annualized per-trade for direct comparison

Add sharpe_raw (mean/std, no annualization) to both training and
validation logging. Training uses per-trade. Validation uses per-bar.
Both now report raw alongside annualized for honest comparison.

Co-Authored-By: Claude Opus 4.6 (1M context) <noreply@anthropic.com>"
```

---

## Task 5: Build Verification + Smoke Test

**Files:**
- Modify: `crates/ml/src/trainers/dqn/smoke_tests/generalization.rs`

- [ ] **Step 1: Update smoke test for longer episodes**

The smoke test uses `batch_size=4096` which might conflict with the new `gpu_n_episodes=1024`. Check if the smoke test overrides episode config. If it uses `smoke_params()`, it may not pick up h100.toml. The smoke test runs on RTX 3050 — keep `rtx3050.toml` at 100 timesteps for fast local testing.

Verify the smoke test still passes:

```bash
SQLX_OFFLINE=true FOXHUNT_TEST_DATA=test_data/futures-baseline cargo test -p ml --lib -- test_generalization_components_smoke --include-ignored --nocapture 2>&1 | tail -20
```

- [ ] **Step 2: Run compute-sanitizer**

```bash
FOXHUNT_TEST_DATA=test_data/futures-baseline compute-sanitizer --tool memcheck --print-limit 5 target/debug/deps/ml-* "test_generalization_components_smoke" --test-threads=1 --include-ignored 2>&1 | grep "ERROR SUMMARY"
```

Target: 0 errors.

- [ ] **Step 3: Run full test suite**

```bash
SQLX_OFFLINE=true cargo test -p ml --lib 2>&1 | tail -5
```

Target: 899+ passed, 0 failed.

- [ ] **Step 4: Final commit**

```bash
cd /home/jgrusewski/Work/foxhunt && git add -A && git commit -m "chore: training environment alignment — build verification

Position-gated episodes (5000 bars), adapted rank normalization,
removed hardcoded Q-drift, aligned Sharpe metrics.
Smoke test passes. compute-sanitizer: 0 errors. 899+ tests pass.

Co-Authored-By: Claude Opus 4.6 (1M context) <noreply@anthropic.com>"
```