Phase 2 second relocation: the kelly_sizing_weight reward penalty
(experience_kernels.cu:1727-1746 — penalized deviation from Kelly-optimal
sizing) is deleted. Kelly is now a physics constraint in trade_physics.cuh:
the environment refuses to let the agent over-lever, not the reward
scoring the agent for matching a formula.
New helper in trade_physics.cuh (shared device function, reusable by
the forthcoming unified env kernel):
kelly_position_cap(win_count, loss_count, sum_wins, sum_losses,
max_position, safety_multiplier)
Applied in experience_kernels.cu between margin cap and execute_trade,
with health-coupled safety multiplier:
safety = 0.5 + 0.5 × health
- health=1 (healthy): full Kelly — trust the learned policy
- health=0 (collapsing): half Kelly — constrain when decisions less
reliable
Cold-start warmup (critical — otherwise balanced priors yield kelly_f=0
until real trades accumulate, starving Q-learning):
maturity = min(1.0, total_trades / 10)
effective_kelly = maturity × kelly_f + (1 - maturity) × 0.5
Early on (0 trades): cap dominated by 50% floor.
As real trades accumulate (10+): pure data-driven Kelly.
Validation env (backtest_env_kernel.cu) does NOT yet get the Kelly cap —
that requires extending its portfolio state or adding a separate
kelly_stats buffer, which naturally belongs in the Phase 3 unified env
kernel refactor. The current asymmetry is a KNOWN temporary — training
is constrained, validation is not — and will be resolved when both
kernels share the same env_step() device function.
Also completes removal of kelly_sizing_weight from all plumbing:
- experience_kernels.cu: kernel arg deleted
- gpu_experience_collector.rs: launch arg, config field, default
- training_loop.rs: hyperparam propagation
- config.rs: field, default, intensity clamp (with tombstone)
- hyperopt/adapters/dqn.rs: log reference
- config/training/*.toml (6 entries across 4 files): orphan configs
(none were wired to a profile parser field)
Verification:
- cargo check -p ml --lib clean
- E1 smoke test passes: final epoch q_gap=0.1109, health=0.51 (warmup
floor of 0.5 gives early exploration enough room; floor of 0.25
was too tight and failed at q_gap=0.0496)
Co-Authored-By: Claude Opus 4.7 (1M context) <noreply@anthropic.com>
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