feat(rl): adaptive risk-management stack — 5 layers, all ISV-driven
Layered risk stack per spec docs/superpowers/specs/2026-05-30-adaptive-risk-management-design.md:
Layer 1 (CMDP) hard session-DD, cooldown, max-open, inventory limits
Layer 2 (IQN τ) risk-averse action selection adapts to session drawdown
Layer 3 (Inventory) Avellaneda-Stoikov penalty β scales with reward magnitude
and inventory variance
Layer 4 (Kelly) half-Kelly fraction sizing from observed win-rate +
R-multiple, warmup-gated until cumulative_dones >= 1000
Layer D (Trail) wire dead a7/a8 (TrailTighten/Loosen) via independent
ISV factors, replacing the symmetric reciprocal
Architecture: every threshold ISV-driven (22 new slots, RL_SLOTS_END 662→684).
Every adaptive bound follows the canonical Wiener-α blend with floor 0.4,
sentinel-zero bootstrap, and asymmetric Schulman where applicable.
Kernels:
rl_cmdp_constraints_check session pnl + cooldown + consec-loss tracking
rl_iqn_action_tau_controller τ = clamp(0.5 - 5·dd_frac, τ_min, 1.0)
rl_inventory_beta_controller β_target = 0.01·E|reward| / (2·σ_inventory)
rl_kelly_fraction_controller f = clamp(safety · (p·b - q)/b, 0, 1)
rl_win_rate_ema_update closed-trade win-rate EMA from rewards + dones
rl_avg_win_loss_ema_update separate avg-win and avg-loss EMAs
rl_inventory_variance_update Welford variance of net-position-per-batch
Integration:
- All 7 new cubins loaded in IntegratedTrainer + launched per step in spec order
(CMDP after reward pipeline, before actions_to_market_targets reads override
flags; Layer 2/3/4 controllers in rl_fused_controllers.cu).
- actions_to_market_targets.cu: Layer 1 hard overrides (DD-triggered → 0 lots;
cooldown → 0 lots; max-open → block opening actions; inventory cap → block
one-sided expansion) and Layer 4 Kelly fraction scaling on target lots.
- rl_fused_reward_pipeline.cu: Layer 3 inventory penalty term in reward shaping.
- rl_trail_mutate.cu: a7 multiplies trail by RL_TRAIL_TIGHTEN_FACTOR_INDEX,
a8 by RL_TRAIL_LOOSEN_FACTOR_INDEX (was symmetric reciprocal — pearls
pearl_dead_trail_stop_actions_a7_a8).
Validation:
- 12 GPU-oracle invariants pass (tests/risk_stack_invariants.rs):
G1-G4 CMDP, G5-G7 IQN τ, G8-G9 inventory β, G10-G12 Kelly.
- 20/20 trade_management_kernels.rs tests pass (a7/a8 migrated).
- 5/5 controller_adaptive_floors.rs tests still pass.
- integrated_trainer_smoke passes (end-to-end pipeline launch).
- Local 1k smoke b=128: completes 1000/1000 steps, no NaN, controllers steady.
- compute-sanitizer memcheck (5 steps b=128): ERROR SUMMARY: 0 errors.
Plan: docs/superpowers/plans/2026-05-30-adaptive-risk-management-plan.md
285d42aa7b