Two `gpu_backtest_validation` tests were failing with bit-identical
deterministic values for 2+ months: `test_always_long_on_downtrend`
(expected negative PnL, got +0.00023627281) and
`test_multiple_windows_produce_results` (uptrend < downtrend instead
of > ).
Root cause: SP21 Phase 8.5 (2026-05-12) wired the factored 4-3-3-3
action decoder into the eval (`backtest_state_gather` + env_step),
but the test's hardcoded `constant_action_model(4, ...)` integer
literal wasn't migrated. Pre-Phase-8.5 the eval used a flat
4-action enum where `4` reportedly meant Long100; the factored
decoder now interprets `4` as:
decode_direction_4b(4, b1=3, b2=3, b3=3) = 4 / 27 = 0 = DIR_SHORT
decode_magnitude_4b(4, b1=3, b2=3, b3=3) = (4/9) % 3 = 0 = MAG_QUARTER
So the test was running Short-Quarter (-0.25 position) on the trend
fixtures. On random-walk synthetic prices with drift ±0.001 vs σ=0.01
noise per bar, the 24-step eval window has S/N ≈ 0.49 — specific
seeds can produce net-against-drift trajectories, making the actual
short-quarter PnL small but deterministic, with sign flipped relative
to test intent.
Fix: change `constant_action_model(4, ...)` → `constant_action_model(72, ...)`
in the 2 failing tests. Action 72 = dir=LONG (2) * 27 + mag=FULL (2)
* 9 + 0 + 0 — the actual "Long100" under 4-3-3-3 factoring. Both
tests now pass; no regressions on the 4 previously-passing tests.
Verification
────────────
- gpu_backtest_validation pre-fix: 4 passed, 2 failed
- gpu_backtest_validation post-fix: 6 passed, 0 failed
Out of scope for this commit (follow-up audit needed)
─────────────────────────────────────────────────────
Three other tests in the same file have the same stale `4` constant
with misleading "Always Long100" comments, but currently pass
incidentally:
- `test_always_long_on_uptrend` (line 218): asserts `total_pnl > 0`.
Currently passes BY ACCIDENT — action=4 (Short-Quarter) on seed-42's
net-down 24-bar trajectory produces +PnL, satisfying the assertion
for the wrong reason. Fixing to action=72 alone would break this
test (true Long100 on seed-42's net-down trajectory is negative);
the test needs BOTH the action fix AND a seed/window change so the
"uptrend" trajectory actually trends up over the eval window
(e.g., 250-bar window or drift=0.01).
- `test_extended_metrics_populated` (line 465) and
`test_active_model_records_trades` (line 524): assertions are
direction-agnostic (VaR/CVaR/Calmar/Omega NaN-check + CVaR≤VaR;
total_trades > 0 + win_rate range), so they pass legitimately
under whatever-direction action=4 produces. The "Long100" comments
are misleading but the tests are correctly covering their stated
behavior.
A separate audit-and-fix pass should address all three at once:
either correct the action constants + adjust seed/window to ensure
each test's named trajectory direction is statistically reliable,
or introduce a named constant (e.g., LONG100_ACTION) and helper to
prevent the same drift recurring.
Refs
────
- SP21 T2.2 Phase 8.5 commit 5694eb4df: "wire factored-action branch
sizes into closure-based eval (atomic)"
- crates/ml/src/cuda_pipeline/trade_physics.cuh: `decode_direction_4b`,
`decode_magnitude_4b` — canonical factored action decoders
- crates/ml/src/cuda_pipeline/gpu_backtest_evaluator.rs:189:
`DqnBacktestConfig::from_network_dims` — sets branch_sizes (4,3,3,3)
Co-Authored-By: Claude Opus 4.7 (1M context) <noreply@anthropic.com>
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