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>
65 lines
1.8 KiB
Markdown
65 lines
1.8 KiB
Markdown
# DQN Backtesting Report
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**Model**: DQN-Weak-Example
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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 | -3.20% | >0% | ❌ |
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| Sharpe Ratio | 0.60 | >1.5 | ❌ |
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| Max Drawdown | 35.40% | <20% | ❌ |
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| Win Rate | 38.0% | >50% | ❌ |
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| Alpha vs B&H | -2.10% | >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% | -3.20% | -15.30% | ↘️ |
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| Sharpe | 1.80 | 0.60 | -1.20 | ↘️ |
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| Drawdown | 18.30% | 35.40% | +17.10% | ↘️ |
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| Win Rate | 52.0% | 38.0% | -14.0% | ↘️ |
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| Alpha | 1.50% | -2.10% | -3.60% | ↘️ |
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## Trade Statistics
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| Metric | Value |
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|--------|-------|
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| Total Trades | 110 |
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| Avg Trade Return | -0.029% |
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| Win Rate | 38.00% |
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| Trades vs Baseline | -28 |
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## Deployment Recommendation
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**Status**: ❌ REJECT - Not Production Ready
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Model only passes 0/5 production criteria. Performance is insufficient for production deployment.
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**Critical Issues**:
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- ❌ Negative total return (-3.20%)
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- ❌ Low Sharpe ratio (0.60 < 1.5)
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- ❌ Excessive drawdown (35.40% > 20%)
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- ❌ Poor win rate (38.0% < 50%)
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- ❌ Negative alpha (-2.10%)
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**Action**: Do not deploy. Retrain model with improved hyperparameters or different architecture.
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### Production Criteria Checklist
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- **Criteria Passed**: 0/5
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- **Total Return**: ❌ FAIL (-3.20% > 0%)
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- **Sharpe Ratio**: ❌ FAIL (0.60 > 1.5)
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- **Max Drawdown**: ❌ FAIL (35.40% < 20%)
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- **Win Rate**: ❌ FAIL (38.0% > 50%)
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- **Alpha vs B&H**: ❌ FAIL (-2.10% > 0%)
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---
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*Report generated automatically by Foxhunt ML Evaluation Framework*
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