jgrusewski 8df1c7eea2 feat(surfer): Phase 0 GPU floor + validation harness — first real (weak) OOS trend edge ...

PyTorch-GPU diversified-trend floor (TSMOM 1/3/12mo + inverse-vol + 10% vol-target)
+ CPCV/Deflated-Sharpe validation, over 22 CME futures x 19.7y (Databento GLBX
ohlcv-1d via budget-capped fetcher, ~$32 credits). Verdict: Sharpe +0.32, CPCV
median +0.30, IS +0.36/OOS +0.08 (sign-consistent), Deflated Sharpe ~0.92 at honest
n_trials. Real but weak edge; fails deploy-grade gates (correct), passes edge-exists.
Includes roll-neutralization fix (max-vol outright + zero roll-day returns) that
eliminated 988%/day continuous-contract artifacts (RB vol 550%->31%). Plus
install_torch_gpu.sh. Data gitignored.

Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>

2026-06-06 01:31:37 +02:00

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