Three new reward intelligence features, all zero-state GPU-native:
1. Spread-aware transaction costs: tx_cost scales by CUSUM volatility.
Trading in choppy markets costs more — teaches the model to reduce
frequency in volatile regimes. Real spread DOES widen with volatility.
2. Kelly-inspired confidence scaling: when realized_pnl > 0 (model has
been right), amplify PnL weight 1.5x. When losing, amplify drawdown
penalty 1.5x. Self-reinforcing: good decisions → stronger signal →
better Q-values. Bad decisions → defensive mode → more exploration.
3. Profit-taking bonus: +0.1 reward when model reduces a position toward
flat while cumulative episode PnL is positive. Explicitly rewards the
ACT of taking profit, not just being in a winner. Teaches the model
to lock in gains rather than riding them back to breakeven.
Total kernel additions: ~20 lines, ~10 FLOPs. Zero extra state beyond
what PORTFOLIO_STRIDE=12 already provides.
Co-Authored-By: Claude Opus 4.6 (1M context) <noreply@anthropic.com>
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