jgrusewski 23157e9faa fix(dqn): normalize VaR/CVaR to percentage returns using initial capital ...

pnl_history stores raw dollar rewards but VaR calculation treated them
as percentage returns, producing nonsensical -500% VaR values. Now
divides by initial_capital before calculating percentiles.

Co-Authored-By: Claude Opus 4.6 <noreply@anthropic.com>

2026-03-12 10:06:17 +01:00

..

backtesting

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

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

common

Merge branch 'worktree-branching-dqn-plan'

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

config

refactor: rename JWT issuer foxhunt-api-gateway → foxhunt-api, drop compat aliases

2026-03-05 00:22:04 +01:00

ctrader-openapi

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

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

data

fix(ml): streaming parallel OFI + fix hardcoded state_dim=54 in backtest

2026-03-07 23:28:18 +01:00

database

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

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

market-data

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

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

ml

fix(dqn): normalize VaR/CVaR to percentage returns using initial capital

2026-03-12 10:06:17 +01:00

ml-asset-selection

fix(clippy): apply cargo clippy --fix across workspace

2026-03-10 11:17:51 +01:00

ml-backtesting

fix(clippy): achieve zero warnings across entire workspace

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

ml-checkpoint

fix(clippy): achieve zero warnings across entire workspace

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

ml-core

fix(metrics): reduce training log noise, fix Prometheus scraping for hyperopt pods

2026-03-12 09:29:29 +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): achieve zero warnings across entire workspace

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

ml-dqn

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

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

ml-ensemble

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

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

ml-explainability

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

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

ml-features

fix(clippy): achieve zero warnings across entire workspace

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

ml-hyperopt

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

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

ml-labeling

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

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

ml-observability

fix(clippy): add doc backticks and const fn across ML crates

2026-03-10 11:51:31 +01:00

ml-paper-trading

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

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

ml-ppo

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

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

ml-regime

fix(clippy): resolve misc warnings across ML crates

2026-03-10 12:12:14 +01:00

ml-regime-detection

fix(clippy): achieve zero warnings across entire workspace

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

ml-risk

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

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

ml-security

fix(clippy): apply cargo clippy --fix across workspace

2026-03-10 11:17:51 +01:00

ml-stress-testing

fix(clippy): achieve zero warnings across entire workspace

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

ml-supervised

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

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

ml-universe

fix(clippy): achieve zero warnings across entire workspace

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

ml-validation

fix(clippy): achieve zero warnings across entire workspace

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

model_loader

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

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

risk

refactor: remove trading_engine dep from ml and risk crates

2026-03-05 23:19:38 +01:00

risk-data

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

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

storage

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

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

trading_engine

refactor: replace all api_gateway/web-gateway references across codebase

2026-03-05 00:18:58 +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