refactor(per-horizon): N_HORIZONS 5→3 — ml-backtesting full propagation
Source migration:
- crates/ml-backtesting/src/lob/mod.rs:5 + policy/mod.rs:18: local
const N_HORIZONS 5→3 via re-export from ml_alpha::heads::N_HORIZONS
(single source of truth across crates)
- crates/ml-backtesting/src/sim/mod.rs:1751,1773,1784: [IsvKellyStateHost; 5]
array literals → ; N_HORIZONS]
- crates/ml-backtesting/cuda/lob_state.cuh:9: #define N_HORIZONS 5→3
(this triggers cubin rebuild of decision_policy + 4 other ml-backtesting
kernels that #include this header)
Test migration (8 test files + 2 JSON fixtures):
- threshold_and_cost.rs, decision_floor_coldstart.rs, parallel_sim_
correctness.rs, stop_controller.rs (37+10+1 broadcast_alpha calls),
lob_sim_integrated_fuzz.rs, lob_sim_fixtures.rs: hardcoded [f32; 5]
alpha-probs and [IsvKellyStateHost; 5] arrays → N_HORIZONS-sized via
std::array::from_fn or [v; N_HORIZONS] literals
- trainer_parity.rs:34 + ring3_replay.rs:47: horizons literal
[30,100,300,1000,6000] → ml_alpha::heads::HORIZONS
- fixtures/decision_alpha_buy_close.json + decision_program_h4_only.json:
5-element warm_start_isv_kelly / alpha_probs / expected_isv_kelly_after
trimmed to 3 elements; active horizon relocated to N_HORIZONS-1
Library lib-test rewrite (per pearl_tests_must_prove_not_lock_observations):
- crates/ml-backtesting/src/policy/mod.rs:197-233: lib tests
default_strategy_has_5_horizon_leaves + ..._flattens_to_5_emits...
renamed to N_HORIZONS-parametric form (observed-value 5 and 7
were bug-locks).
cargo check -p ml-backtesting --all-targets: clean.
cargo test -p ml-backtesting --lib: 33 passed.
cargo test -p ml-backtesting --tests (non-CUDA, non-fixture-data): 2 passed,
53 ignored (CUDA-gated or FOXHUNT_TEST_DATA-gated).
Co-Authored-By: Claude Opus 4.7 (1M context) <noreply@anthropic.com>
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