VAL DIAGNOSTIC PROOF (train-4fpzx step=400):
pick=Long Full (target=0.66) prev_pos=0.0 → pos_post=0.0 actual_dir=Flat
trail=0, margin can't clip to 0 → only Kelly cap zeroed the target.
ROOT CAUSE:
effective_kelly = maturity * kelly_f + (1 - maturity) * warmup_floor
Cold-start fix (commit 2c97e0436) protected `warmup_floor` so it never
collapses to zero at maturity=0. But the warm branch was left exposed:
once maturity → 1 (>=10 completed trades), the blend collapses to
`kelly_f` alone, and `kelly_f = 0` is the natural state of
(payoff*win_rate - (1-win_rate)) / payoff
with balanced priors and small actual returns. Val environments with
pure per-bar P&L (no saboteur/shaping perturbations like training)
settle into this regime within ~10 trades — after which every non-Hold
target gets clamped to 0 deterministically. Identical bootstrap-deadlock
pattern to the IQN trunk SAXPY.
EVIDENCE:
val_picked_dir_dist [short=0.19 hold=0.20 long=0.39 flat=0.21] (kernel pick)
val_dir_dist [short=0.0001 hold=0.20 long=0.0000 flat=0.80] (post-physics)
100% of Long picks and ~99.95% of Short picks become actual_dir=Flat.
Hold passes through 1:1 (Hold skips margin/Kelly/trail in env_step).
VALDIAG step=400: act=77 (Long Full, target=0.66) prev=0.0 pos_post=0.0
-> confirms target zeroed before execute_trade; trail=0 rules out trail;
margin cap can't produce 0 with equity=$35K vs margin/contract=$17.9K.
FIX:
effective_kelly = max(kelly_f, warmup_floor)
The conviction-and-health-driven warmup_floor (in [0.5, 1.0]) becomes a
permanent minimum cap. `kelly_f` only takes over when the policy has
demonstrated enough edge to *exceed* the floor. Preserves design intent
(Kelly drives sizing once stats mature with real edge) while preventing
the bootstrap deadlock in environments where balanced trades naturally
yield kelly_f = 0.
All adaptive ISV-driven signals; no tuned constants.
Co-Authored-By: Claude Opus 4.7 (1M context) <noreply@anthropic.com>
0c9d1ee39e