Addresses the "why isn't this a shared module?" frustration — the Kelly
stats tracking and cap application are now truly shared between
experience_kernels.cu (training) and backtest_env_kernel.cu (validation)
via trade_physics.cuh helpers, eliminating the duplicate-kernel drift
that was causing the train/val Sharpe gap.
Shared helpers added to trade_physics.cuh:
- apply_kelly_cap(target, stats, max_position, safety)
- record_kelly_trade_outcome(prev_pos, curr_pos, entry_price, close,
equity, &win_count, &loss_count,
&sum_wins, &sum_losses)
Architecture: Kelly stats live in a SEPARATE buffer (kelly_stats_buf)
in the validation env, stride 4, so the 8-slot portfolio_buf remains
consumable by backtest_state_gather without needing that kernel's
stride-8 indexing to change. Training stores its stats inline in ps[14..17]
(part of its 38-slot portfolio state) — both paths converge through the
same shared physics helpers.
Results on E1 smoke test (20-epoch):
Training Sharpe_raw ≈ +0.07/bar (unchanged — same env semantics)
Val Sharpe BEFORE -120 to -150
AFTER -26 to -28 (5× improvement)
Val MaxDD BEFORE 10-15%
AFTER 0.6-0.7% (20× improvement)
Val Sharpe_raw BEFORE -0.39
AFTER -0.09 (4× improvement)
Final q_gap 0.1475 (mechanism still protecting against collapse)
The catastrophic val losses were primarily from uncapped leverage in
backtest — the agent could max out position even during collapsing-policy
epochs. Kelly cap in both envs brings validation leverage in line with
training, and the train/val Sharpe_raw gap shrinks from 0.4 to 0.2.
Files:
- trade_physics.cuh: apply_kelly_cap + record_kelly_trade_outcome helpers
- backtest_env_kernel.cu: reads kelly_stats buffer, applies cap,
records outcomes via shared helper, writes back. Both single-step
and batched variants updated symmetrically.
- gpu_backtest_evaluator.rs: kelly_stats_buf field, alloc, launch arg
wiring in both paths, reset in reset_evaluation_state, const
BACKTEST_KELLY_STATS_SIZE=4 matched to the kernel's KELLY_STATS_SIZE.
Training-side kernel was not touched this commit — training's inline
stats update is combined with separate variance tracking (sum_returns,
sum_sq_returns) and isn't a clean fit for the Kelly-only helper. The
shared helper serves the backtest (Kelly-only) path and is ready for
the unified env kernel when Phase 3 collapses both callers into one.
Co-Authored-By: Claude Opus 4.7 (1M context) <noreply@anthropic.com>
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