Root cause: backtest windows of 300K bars produced ±billions% returns via
multiplicative compounding, and sqrt(252) annualization was wrong for
1-minute bars.
Fixes:
- Window size capped to 10K bars (~25 trading days), evenly distributed
across the full validation set (was clustered in first 6%)
- Annualization: configurable bars_per_day field in GpuBacktestConfig
(default 390.0 for 1-min), produces sqrt(98280) ≈ 313.5
- tanh normalization recalibrated: Sharpe/5, Sortino/8 (was /2, /3)
- CVaR threshold scaled to per-bar: 0.003 with slope 1400 (was 0.05/200)
- VaR/CVaR strided sampling covers full window (was first 4096 only)
- financials.rs + ab_testing.rs: sqrt(252) → sqrt(98280) for consistency
Co-Authored-By: Claude Opus 4.6 (1M context) <noreply@anthropic.com>
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