The DECISIVE gate for FoxhuntQ-Δ's two-head architecture. The K-sweep
(commit db874b184) showed stateless single-snapshot alpha decays from
K=50 peak to gone by K=500. The two-head design exists to amplify
short-horizon evidence into long-horizon prediction via SSM state
accumulation; this smoke is the actual test of that hypothesis.
Gate per the implementation plan:
- AUC > 0.55 at K=6000 → multi-minute alpha confirmed, design validated
- AUC < 0.52 → decisive FAIL, design dead in current form
- 0.52 ≤ AUC ≤ 0.55 → marginal, tune or extend seq_len
New module `multi_horizon_labels.rs` generates labels at arbitrary K
with tie-drops + NaN guards (mirror of `purged_split::binary_direction_label`
semantics but bypassing Phase1aConfig's hardcoded K=100). 5 unit tests
covering: strict-ramp all-ones, constant-series all-tied, K-too-large
edge case, index alignment with mixed up/down/tied, non-finite drops.
New example `phase1d_long_horizon.rs` loads snapshot fxcache, generates
K=6000 labels, splits 80/20 with horizon-sized embargo (so train sequences
ending near boundary don't share forward-window prices with val), trains
Mamba2 (seq_len=32, hidden=64, state=16), reports val AUC.
Co-Authored-By: Claude Opus 4.7 <noreply@anthropic.com>
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