dff6e666ee
Phase 2A scaffolding complete (per spec §7.2): - oracle.rs: OracleAction enum + 3 oracle policies (flat, drift, OU) - harness.rs: BehavioralResult + evaluate_policy_on_market stub. Trainer-side methods (eval_actions_on_features, read_isv_for_test) are documented gap #7; Phase 2B tests add them per-test as needed. - pre-commit hook: cargo test -p ml --test behavioral_suite gates argo-train.sh per spec §4.5 discipline rule. Co-Authored-By: Claude Opus 4.7 (1M context) <noreply@anthropic.com>
81 lines
2.8 KiB
Rust
81 lines
2.8 KiB
Rust
//! SP15 Phase 2A — oracle policies for behavioral test harness.
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//! Each oracle is a known-correct action sequence for a given synthetic
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//! market type; tests assert the trained policy approaches the oracle.
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use ml::cuda_pipeline::lob_bar::LobBar;
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#[derive(Debug, Clone, Copy, PartialEq, Eq, Hash)]
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pub enum MagBucket { Quarter, Half, Full }
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#[derive(Debug, Clone, Copy, PartialEq, Eq, Hash)]
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pub enum OracleAction {
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Hold,
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Long(MagBucket),
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Short(MagBucket),
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Flat,
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}
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/// Oracle for flat markets: always Hold.
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pub fn flat_market_oracle(bars: &[LobBar]) -> Vec<OracleAction> {
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vec![OracleAction::Hold; bars.len()]
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}
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/// Oracle for drift markets: take direction-of-trend, mag = Half.
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pub fn drift_market_oracle(bars: &[LobBar]) -> Vec<OracleAction> {
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let mut actions = Vec::with_capacity(bars.len());
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actions.push(OracleAction::Hold); // first bar: no prior
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for w in bars.windows(2) {
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let action = if w[1].price > w[0].price + 0.05 {
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OracleAction::Long(MagBucket::Half)
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} else if w[1].price < w[0].price - 0.05 {
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OracleAction::Short(MagBucket::Half)
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} else {
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OracleAction::Hold
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};
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actions.push(action);
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}
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actions
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}
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/// Oracle for OU markets: reverse at ±2σ extremes.
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pub fn ou_market_oracle(bars: &[LobBar], mu: f32, sigma: f32) -> Vec<OracleAction> {
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bars.iter().map(|b| {
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let z = (b.price - mu) / sigma.max(1e-6);
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if z > 2.0 { OracleAction::Short(MagBucket::Half) }
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else if z < -2.0 { OracleAction::Long(MagBucket::Half) }
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else { OracleAction::Hold }
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}).collect()
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}
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#[cfg(test)]
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mod tests {
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use super::*;
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use crate::synthetic_markets::*;
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#[test]
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fn flat_oracle_all_hold() {
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let bars = flat_market(100, 0.1, 0.25, 42);
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let actions = flat_market_oracle(&bars);
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assert_eq!(actions.len(), 100);
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assert!(actions.iter().all(|a| *a == OracleAction::Hold));
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}
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#[test]
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fn drift_oracle_takes_uptrend() {
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let bars = drift_market(1000, 0.5, 0.1, 0.25, 42);
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let actions = drift_market_oracle(&bars);
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let long_count = actions.iter().filter(|a| matches!(a, OracleAction::Long(_))).count();
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// Strong uptrend → most actions should be Long
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assert!(long_count > 700, "drift_market_oracle Long count = {}, expected > 700", long_count);
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}
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#[test]
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fn ou_oracle_reverses_at_extremes() {
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let bars = ou_market(1000, 0.05, 1.0, 4500.0, 0.25, 42);
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let actions = ou_market_oracle(&bars, 4500.0, 1.0);
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// OU oracle should produce SOME reversion actions (not all Hold)
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let action_count = actions.iter().filter(|a| !matches!(a, OracleAction::Hold)).count();
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assert!(action_count > 0, "OU oracle produced zero non-Hold actions");
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}
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}
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