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foxhunt/docs
jgrusewski 5b4cdec4ff feat(sp5): Task A6 — Pearl 6 cross-fold-persistent Kelly cap signals
Adds `pearl_6_kelly_kernel.cu` (single-block 6-thread kernel reading
portfolio_state directly) to populate ISV[280..286) with Bayesian-prior
Kelly fraction, conviction identity, trade variance, cumulative sample
count (max-semantics), win-rate and loss-rate EMAs. EWMA α=0.01 is an
Invariant 1 structural anchor for cross-fold inertia.

Key design departure from A1-A5: ISV[280..286) are intentionally EXEMPT
from the StateResetRegistry and from apply_pearls/Pearls A+D. portfolio_state
has WindowReset lifecycle (resets at EVERY window boundary, not just fold),
making cross-fold persistence essential. The max()-semantics for sample_count
(s==3) ensure the cumulative count never decreases across any boundary.
Wiener offsets [525..543) that naive formula would produce are intentionally
unused; in-kernel EWMA replaces external wiener bootstrap.

Verification: cargo check -p ml --offline clean (11 pre-existing warnings,
no new). sp5_producer_unit_tests --no-run clean. Two GPU tests (12, 13)
validate EWMA blend and cross-fold persistence.

Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>
2026-05-01 23:22:06 +02:00
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