2df1ea92e1
BREAKING CHANGES: - Removed orphaned dqn.rs monolithic trainer (4,975 lines) - Removed orphaned dqn_ensemble.rs module (816 lines) - Removed orphaned tft.rs and tft_complete_int8_integration_test.rs - TFT trainer split into modular directory structure DQN Module Refactoring: - Split trainers/dqn.rs into modular structure (config.rs, statistics.rs, trainer.rs) - Fixed hyperopt 39D search space (continuous params only) - Boolean flags (use_dueling, use_double_dqn, use_per, use_noisy_nets) are now FIXED architectural decisions - use_distributional defaults to false (Candle BUG #36 - scatter_add gradient issues) Clean Module Structure: - ml/src/trainers/dqn/ directory with proper mod.rs exports - ml/src/trainers/tft/ directory with config.rs, types.rs, model.rs, trainer.rs, tests.rs - All P0 features validated: TD-error clamping, batch diversity, LR scheduler, priority staleness Documentation: - Added comprehensive docs in docs/codebase-cleanup/ - ADR-001 for DQN refactoring decisions - Rainbow DQN component matrix and quick reference guides Build Status: Compiles with zero errors 🤖 Generated with [Claude Code](https://claude.com/claude-code) Co-Authored-By: Claude <noreply@anthropic.com>
58 lines
1.6 KiB
Markdown
58 lines
1.6 KiB
Markdown
# DQN Backtesting Report
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**Model**: DQN-New-Model
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**Baseline**: DQN-Trial35-Baseline
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**Generated**: 2025-11-04 07:56:33 UTC
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---
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## Performance Summary
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| Metric | Value | Target | Status |
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|--------|-------|--------|--------|
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| Total Return | 18.50% | >0% | ✅ |
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| Sharpe Ratio | 2.50 | >1.5 | ✅ |
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| Max Drawdown | 10.20% | <20% | ✅ |
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| Win Rate | 62.0% | >50% | ✅ |
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| Alpha vs B&H | 4.50% | >0% | ✅ |
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## Comparison to Baseline
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| Metric | Baseline | New Model | Change | Direction |
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|--------|----------|-----------|--------|----------|
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| Returns | 12.10% | 18.50% | +6.40% | ↗️ |
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| Sharpe | 1.80 | 2.50 | +0.70 | ↗️ |
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| Drawdown | 18.30% | 10.20% | -8.10% | ↗️ |
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| Win Rate | 52.0% | 62.0% | +10.0% | ↗️ |
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| Alpha | 1.50% | 4.50% | +3.00% | ↗️ |
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## Trade Statistics
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| Metric | Value |
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|--------|-------|
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| Total Trades | 150 |
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| Avg Trade Return | 0.123% |
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| Win Rate | 62.00% |
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| Trades vs Baseline | +12 |
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## Deployment Recommendation
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**Status**: ✅ APPROVE - Ready for Production
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Model passes 5/5 production criteria. Strong performance with 18.50% return, 2.50 Sharpe ratio, and 62.0% win rate. Risk is acceptable with 10.20% max drawdown. Model demonstrates profitability with 4.50% alpha vs buy-and-hold.
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**Action**: Proceed with production deployment after final validation.
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### Production Criteria Checklist
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- **Criteria Passed**: 5/5
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- **Total Return**: ✅ PASS (18.50% > 0%)
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- **Sharpe Ratio**: ✅ PASS (2.50 > 1.5)
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- **Max Drawdown**: ✅ PASS (10.20% < 20%)
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- **Win Rate**: ✅ PASS (62.0% > 50%)
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- **Alpha vs B&H**: ✅ PASS (4.50% > 0%)
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---
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*Report generated automatically by Foxhunt ML Evaluation Framework*
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