Two new kernels in cuda/decision_policy.cu:
decision_policy_default — alpha[N_HORIZONS] × per-horizon IsvKellyState
→ market target. Per-horizon Kelly fraction × signal magnitude × ISV-cap
(target_annual_vol / sqrt(realised_return_var × annualisation_factor)),
aggregated via WeightedByRealizedSharpe (weights = max(0, recent_sharpe)
/ Σ; auto-shifts capital toward empirically winning horizons per spec §5
+ §6). No floor — sub-1-lot intents become no-op. Round-to-nearest on
the final lot count to dodge an f32-truncation off-by-one where
0.8(f32) * 0.75 * 5.0 ≈ 2.99999976 → trunc-int 2.
isv_kelly_update_on_close — for every horizon flagged in
closed_horizon_mask[b], updates pnl_ema_{win,loss} via Wiener-α (floor
0.4 per pearl_wiener_alpha_floor_for_nonstationary), win_rate_ema,
Welford-ish realised_return_var, and the recent_sharpe composite.
First-observation bootstrap (per pearl_first_observation_bootstrap):
sentinel n_trades_seen=0 → direct EMA replacement, no zero-bias warmup.
The full bytecode VM from spec §6 is NOT in this commit — the default
policy is hardcoded in the kernel as the path Strategy::default_for()
already produces. Bytecode plumbing in src/policy/mod.rs stays put for
v2 expansion (custom RegimeSwitch / Portfolio compositions).
IsvKellyState struct added to lob_state.cuh (24 bytes per horizon × 5
per backtest); host mirror IsvKellyStateHost from C3 cast-compatible
via bytemuck::Pod. LobSimCuda gains broadcast_alpha + step_decision +
read_isv_kelly + write_isv_kelly (warm-start). step_decision chains:
decision_policy → merge_open_mask → submit_market_immediate
→ pnl_track_step → host close-detect → isv_kelly_update_on_close.
PRE-submit pos/pnl/mask snapshots feed the host close-detection;
captured via three small DtoH copies (cold path, 24 bytes × n_backtests).
decision_alpha_buy_close fixture: warm-start h4 with positive Kelly
state (n=50, recent_sharpe=1.0), broadcast alpha[4]=0.9 → buy 3 lots
@ ask top 5500.00. Snapshot moves to bid 5505.00, broadcast alpha[4]=0.1
→ sell 3 lots → close at +15 P&L. Verify ISV-Kelly h4: n_trades 50→51
exactly, others unchanged. PASS — all 6 Ring 1 fixtures green on RTX 3050.
Out-of-scope for this commit (defer to follow-ups, per plan trim notes):
- stop_trigger / oco_one_cancels_other / submission_overflow fixtures
(need resting-order LimitSlot[32] machinery deferred from C5)
- Bytecode VM dispatch (RegimeSwitch / Portfolio compositions)
Co-Authored-By: Claude Opus 4.7 <noreply@anthropic.com>
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