jgrusewski 0718dabd4c feat: GPU-native multi-timeframe features — 4 windows × 4 features ...

16 new features computed directly in the state_gather CUDA kernel
from market data already on GPU. No CPU feature engineering.

Lookback windows: 5, 15, 60, 240 bars (≈5min, 15min, 1hr, 4hr)
Features per window:
  - Return over N bars (directional bias)
  - Volatility (high-low range / close)
  - Volume trend (current / N-bar average)
  - Momentum (position within N-bar range [0=bottom, 1=top])

State dim: 66 raw (72 aligned) without OFI, 74 raw (80 aligned) with.
The model now sees price action at 4 timescales simultaneously.

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

2026-03-23 12:52:36 +01:00

..

asset_selection

refactor(ml): extract universe, backtesting, asset-selection into sub-crates

2026-03-08 15:17:22 +01:00

backtesting

refactor(ml): extract universe, backtesting, asset-selection into sub-crates

2026-03-08 15:17:22 +01:00

benchmark

fix: resolve all CI test failures — TFT, DQN pipeline, benchmarks

2026-03-21 09:09:51 +01:00

checkpoint

refactor(ml): split monolith into 9 sub-crates + delete dead code

2026-03-08 15:17:22 +01:00

cuda_common

refactor: restructure repo — crates/, bin/, testing/ layout

2026-02-25 11:56:00 +01:00

cuda_pipeline

feat: GPU-native multi-timeframe features — 4 windows × 4 features

2026-03-23 12:52:36 +01:00

data_loaders

fix(clippy): ZERO errors across entire workspace — CI ready

2026-03-19 01:04:09 +01:00

data_pipeline

fix(ci): mark 8 heavy data-loading tests #[ignore] for CI

2026-03-19 13:38:49 +01:00

data_validation

refactor(ml): split monolith into 9 sub-crates + delete dead code

2026-03-08 15:17:22 +01:00

deployment

refactor(ml): move UnifiedTrainable to ml-core + delete 6K dead deployment code

2026-03-08 15:17:22 +01:00

diffusion

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

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

dqn

fix: migrate 4 DQN/recovery test files to GPU types — 92 errors fixed

2026-03-19 08:55:55 +01:00

ensemble

feat: 9-exposure branch_sizes + num_actions defaults across workspace

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

evaluation

refactor(ml): split monolith into 9 sub-crates + delete dead code

2026-03-08 15:17:22 +01:00

explainability

refactor(ml): extract regime-detection, explainability, paper-trading

2026-03-08 15:17:22 +01:00

features

audit: annotate all remaining to_vec/memcpy_dtoh — categorized 158 sites

2026-03-18 19:36:41 +01:00

flash_attention

fix(clippy): ZERO errors across entire workspace — CI ready

2026-03-19 01:04:09 +01:00

gpu_benchmarks

refactor: restructure repo — crates/, bin/, testing/ layout

2026-02-25 11:56:00 +01:00

hyperopt

feat: add Phase Risk (P4) to four-phase hyperopt — 8D risk parameter search

2026-03-23 12:51:49 +01:00

integration

audit: annotate all remaining to_vec/memcpy_dtoh — categorized 158 sites

2026-03-18 19:36:41 +01:00

kan

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

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

labeling

refactor(ml): split monolith into 9 sub-crates + delete dead code

2026-03-08 15:17:22 +01:00

liquid

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

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

mamba

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

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

microstructure

refactor(ml): split monolith into 9 sub-crates + delete dead code

2026-03-08 15:17:22 +01:00

model_registry

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

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

observability

refactor(ml): extract observability, stress-testing, security into sub-crates

2026-03-08 15:17:22 +01:00

paper_trading

refactor(ml): extract regime-detection, explainability, paper-trading

2026-03-08 15:17:22 +01:00

ppo

fix(clippy): ZERO errors across entire workspace — CI ready

2026-03-19 01:04:09 +01:00

regime

refactor(ml): split monolith into 9 sub-crates + delete dead code

2026-03-08 15:17:22 +01:00

regime_detection

refactor(ml): extract regime-detection, explainability, paper-trading

2026-03-08 15:17:22 +01:00

registry

refactor: restructure repo — crates/, bin/, testing/ layout

2026-02-25 11:56:00 +01:00

risk

refactor(ml): split monolith into 9 sub-crates + delete dead code

2026-03-08 15:17:22 +01:00

security

refactor(ml): extract observability, stress-testing, security into sub-crates

2026-03-08 15:17:22 +01:00

stress_testing

refactor(ml): extract observability, stress-testing, security into sub-crates

2026-03-08 15:17:22 +01:00

tests

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

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

tft

fix: resolve all CI test failures — TFT, DQN pipeline, benchmarks

2026-03-21 09:09:51 +01:00

tgnn

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

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

tlob

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

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

trainers

feat: GPU-native multi-timeframe features — 4 windows × 4 features

2026-03-23 12:52:36 +01:00

training

audit: annotate all remaining to_vec/memcpy_dtoh — categorized 158 sites

2026-03-18 19:36:41 +01:00

transformers

fix(ml): migrate all test code to GPU types — 125 compile errors fixed

2026-03-18 14:47:33 +01:00

universe

refactor(ml): extract universe, backtesting, asset-selection into sub-crates

2026-03-08 15:17:22 +01:00

validation

fix(clippy): ZERO errors across entire workspace — CI ready

2026-03-19 01:04:09 +01:00

xlstm

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

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

.gitignore

refactor: restructure repo — crates/, bin/, testing/ layout

2026-02-25 11:56:00 +01:00

batch_processing.rs

refactor(ml): move core types to ml-core + dedup MLError (5a)

2026-03-08 15:13:41 +01:00

benchmarks.rs

feat: WORKSPACE COMPILES — zero candle, zero errors, GPU-native

2026-03-18 13:31:35 +01:00

bridge.rs

refactor: restructure repo — crates/, bin/, testing/ layout

2026-02-25 11:56:00 +01:00

data_loader.rs

fix: data_loader finds futures-baseline + mamba2 benchmark #[ignore]

2026-03-20 11:38:52 +01:00

examples.rs

audit: annotate all remaining to_vec/memcpy_dtoh — categorized 158 sites

2026-03-18 19:36:41 +01:00

feature_cache.rs

fix: include MBP-10 + trades dirs in feature cache key

2026-03-22 23:31:05 +01:00

inference_validator.rs

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

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

inference.rs

chore: remove last 4 candle references from ml crate (comments only)

2026-03-20 01:05:44 +01:00

lib.rs

fix: update evaluate_baseline for new backtest evaluator API

2026-03-22 15:16:11 +01:00

model_factory.rs

refactor: restructure repo — crates/, bin/, testing/ layout

2026-02-25 11:56:00 +01:00

model_loader_integration.rs

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

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

model_registry.rs

fix: unignore 2 PostgreSQL model registry tests — docker running

2026-03-18 17:20:23 +01:00

portfolio_transformer.rs

fix(ml): migrate remaining files — hyperopt, validation, data_loaders, inference

2026-03-18 09:57:24 +01:00

preprocessing.rs

refactor(ml): eliminate candle from all 104 src files

2026-03-18 00:24:35 +01:00

training_pipeline.rs

fix(clippy): ZERO errors across entire workspace — CI ready

2026-03-19 01:04:09 +01:00

training_profile.rs

feat: add Phase Risk (P4) to four-phase hyperopt — 8D risk parameter search

2026-03-23 12:51:49 +01:00

training.rs

refactor: delete 4,800 lines of dead ML code and remove MLFeatureExtractor dependency

2026-03-01 18:29:43 +01:00

walk_forward.rs

feat(infra): Argo workflow templates, drop cuDNN, GPU hotpath fixes

2026-03-12 01:44:03 +01:00