jgrusewski 050407dbd5 fix: 3 critical findings — state blindness, cold-start, reward scaling ...

Finding 1: STATE BLINDNESS — Q-network couldn't see risk
  Portfolio features expanded from 3 (useless: pv/pv≈1, cash/pv≈1) to 8:
  position, unrealized_pnl/equity, drawdown, hold_time/100, realized_pnl/equity,
  distance_to_floor, trade_return, cash_ratio.
  PORTFOLIO_DIM 3→8 across all NVRTC injection sites.
  State dim: 48→56 (without OFI), 56→64 (with OFI).

Finding 2: Q-GAP COLD-START — model couldn't trade to learn
  Q-gap threshold ramps linearly from 0.0 to target over first 10 epochs.
  At epoch 0, all Q-values ≈ 0 → Q-gap < threshold → no trades → no signal.
  Added current_epoch field to DQNTrainer.

Finding 3: TRADE REWARD SCALING — idle penalty dominated trade signal
  trade_return scaling: ×100 → ×1000 (1 ES tick = 0.36 reward, was 0.036).
  idle penalty max: 0.05 → 0.01 (was competing with 1-tick trade reward).
  Now: trade reward (0.36) >> idle penalty (0.01). Correct incentive.

Co-Authored-By: Claude Opus 4.6 (1M context) <noreply@anthropic.com>

2026-03-23 10:13:27 +01:00

..

backtesting

fix(clippy): resolve all clippy warnings across entire workspace (--all-targets)

2026-03-13 10:18:35 +01:00

common

Merge branch 'worktree-branching-dqn-plan'

2026-03-11 08:46:58 +01:00

config

fix(ci): clippy test-gate uses --lib, fix pre-existing lint errors

2026-03-12 19:10:18 +01:00

ctrader-openapi

fix: tune log levels across workspace — demote noisy warn to debug/trace

2026-03-14 11:35:15 +01:00

data

fix(clippy): resolve all clippy warnings across entire workspace (--all-targets)

2026-03-13 10:18:35 +01:00

database

fix(clippy): resolve all clippy warnings across entire workspace (--all-targets)

2026-03-13 10:18:35 +01:00

market-data

docs: create/update README.md for all 17 crates

2026-03-01 22:47:39 +01:00

ml

fix: 3 critical findings — state blindness, cold-start, reward scaling

2026-03-23 10:13:27 +01:00

ml-asset-selection

fix(clippy): resolve all clippy warnings across entire workspace (--all-targets)

2026-03-13 10:18:35 +01:00

ml-backtesting

fix(clippy): resolve all clippy warnings across entire workspace (--all-targets)

2026-03-13 10:18:35 +01:00

ml-checkpoint

fix(clippy): resolve all clippy warnings across entire workspace (--all-targets)

2026-03-13 10:18:35 +01:00

ml-core

feat: ExposureLevel 5→9 variants (Short75/Short25/Long25/Long75)

2026-03-23 09:21:58 +01:00

ml-data

docs: create/update README.md for all 17 crates

2026-03-01 22:47:39 +01:00

ml-data-validation

fix(clippy): resolve all clippy warnings across entire workspace (--all-targets)

2026-03-13 10:18:35 +01:00

ml-dqn

feat: 9-exposure branch_sizes + num_actions defaults across workspace

2026-03-23 09:24:55 +01:00

ml-ensemble

feat: ZERO unannotated GPU→CPU downloads — every memcpy_dtoh accounted for

2026-03-18 20:09:37 +01:00

ml-explainability

refactor(cuda): eliminate candle from ml-core, ml-ppo, and 4 thin crates

2026-03-17 22:27:56 +01:00

ml-features

fix(ml): BF16/F32 boundary alignment, GPU-resident ops across all ML crates

2026-03-15 11:59:31 +01:00

ml-hyperopt

fix: TPE evaluate_point catches training errors as penalty, not abort

2026-03-22 14:48:40 +01:00

ml-labeling

fix(clippy): ml-supervised + ml-core + thin crates — 34 errors fixed

2026-03-19 00:39:03 +01:00

ml-observability

fix(clippy): resolve all clippy warnings across entire workspace (--all-targets)

2026-03-13 10:18:35 +01:00

ml-paper-trading

fix(clippy): resolve all clippy warnings across entire workspace (--all-targets)

2026-03-13 10:18:35 +01:00

ml-ppo

fix: wire real GPU backprop + SPSA gradients, fix checkpoint loading, eliminate candle from examples

2026-03-20 15:41:42 +01:00

ml-regime

refactor(cuda): eliminate all CPU fallbacks — CUDA mandatory across ML stack

2026-03-16 21:01:28 +01:00

ml-regime-detection

fix(clippy): resolve all clippy warnings across entire workspace (--all-targets)

2026-03-13 10:18:35 +01:00

ml-risk

fix(clippy): resolve all clippy warnings across entire workspace (--all-targets)

2026-03-13 10:18:35 +01:00

ml-security

fix(clippy): resolve all clippy warnings across entire workspace (--all-targets)

2026-03-13 10:18:35 +01:00

ml-stress-testing

fix(clippy): achieve zero warnings across entire workspace

2026-03-10 13:18:57 +01:00

ml-supervised

fix: wire real GPU backprop + SPSA gradients, fix checkpoint loading, eliminate candle from examples

2026-03-20 15:41:42 +01:00

ml-universe

fix(clippy): resolve all clippy warnings across entire workspace (--all-targets)

2026-03-13 10:18:35 +01:00

ml-validation

fix(clippy): resolve all clippy warnings across entire workspace (--all-targets)

2026-03-13 10:18:35 +01:00

model_loader

fix(clippy): resolve all clippy warnings across entire workspace (--all-targets)

2026-03-13 10:18:35 +01:00

risk

refactor: eliminate candle from entire workspace — tests, examples, Cargo.toml

2026-03-18 00:53:47 +01:00

risk-data

fix: tune log levels across workspace — demote noisy warn to debug/trace

2026-03-14 11:35:15 +01:00

storage

docs: create/update README.md for all 17 crates

2026-03-01 22:47:39 +01:00

trading_engine

fix(ml): BF16/F32 boundary alignment, GPU-resident ops across all ML crates

2026-03-15 11:59:31 +01:00

trading-data

docs: create/update README.md for all 17 crates

2026-03-01 22:47:39 +01:00

training_uploader

feat: implement all 15 fxt CLI commands with real gRPC calls

2026-03-03 22:16:35 +01:00