1. Risk management (CVaR, conviction, Kelly) re-enabled as ENVIRONMENT PHYSICS:
- Agent observes scaling via portfolio state features
- Learns to account for risk limits in its policy
- No longer destroys credit assignment (scaling is physics, not action override)
- Kelly uses half-Kelly (0.5x) for safety, activates after 20 trades
2. Backtest tx_cost now uses training's transaction_cost_multiplier from hyperopt
(was hardcoded 0.1 bps — 17x lower than training). Training and eval see same costs.
3. Backtest env tx_cost formula expanded to match training:
- Square-root market impact (Almgren-Chriss)
- Order-type premiums (Market=0, IoC=+2bps, LimitMaker=-5bps)
Result: first POSITIVE Sharpe (+0.0838) in project history. 134K trades.
Co-Authored-By: Claude Opus 4.6 (1M context) <noreply@anthropic.com>
02169e16e2