0c8b4b5608
Source migration: - crates/ml-backtesting/src/lob/mod.rs:5 + policy/mod.rs:18: local const N_HORIZONS 5→3 via re-export from ml_alpha::heads::N_HORIZONS (single source of truth across crates) - crates/ml-backtesting/src/sim/mod.rs:1751,1773,1784: [IsvKellyStateHost; 5] array literals → ; N_HORIZONS] - crates/ml-backtesting/cuda/lob_state.cuh:9: #define N_HORIZONS 5→3 (this triggers cubin rebuild of decision_policy + 4 other ml-backtesting kernels that #include this header) Test migration (8 test files + 2 JSON fixtures): - threshold_and_cost.rs, decision_floor_coldstart.rs, parallel_sim_ correctness.rs, stop_controller.rs (37+10+1 broadcast_alpha calls), lob_sim_integrated_fuzz.rs, lob_sim_fixtures.rs: hardcoded [f32; 5] alpha-probs and [IsvKellyStateHost; 5] arrays → N_HORIZONS-sized via std::array::from_fn or [v; N_HORIZONS] literals - trainer_parity.rs:34 + ring3_replay.rs:47: horizons literal [30,100,300,1000,6000] → ml_alpha::heads::HORIZONS - fixtures/decision_alpha_buy_close.json + decision_program_h4_only.json: 5-element warm_start_isv_kelly / alpha_probs / expected_isv_kelly_after trimmed to 3 elements; active horizon relocated to N_HORIZONS-1 Library lib-test rewrite (per pearl_tests_must_prove_not_lock_observations): - crates/ml-backtesting/src/policy/mod.rs:197-233: lib tests default_strategy_has_5_horizon_leaves + ..._flattens_to_5_emits... renamed to N_HORIZONS-parametric form (observed-value 5 and 7 were bug-locks). cargo check -p ml-backtesting --all-targets: clean. cargo test -p ml-backtesting --lib: 33 passed. cargo test -p ml-backtesting --tests (non-CUDA, non-fixture-data): 2 passed, 53 ignored (CUDA-gated or FOXHUNT_TEST_DATA-gated). Co-Authored-By: Claude Opus 4.7 (1M context) <noreply@anthropic.com>
62 lines
2.4 KiB
Rust
62 lines
2.4 KiB
Rust
//! P1 regression test: per-backtest sim parameter arrays. With uniform
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//! config across N backtests, all N must produce the same market_target
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//! decision (proves the per-backtest indexing reduces correctly to the
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//! pre-refactor scalar-broadcast semantics).
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//!
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//! Pair: the independence test (proving DIFFERENT per-backtest configs
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//! produce different outputs) lands alongside the P2 inflight-limits
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//! kernel where the read_first_inflight_arrival_ts helper exists.
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use anyhow::Result;
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use ml_backtesting::policy::N_HORIZONS;
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use ml_backtesting::sim::{BatchedSimConfig, LobSimCuda, UniformSimParams};
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use ml_core::device::MlDevice;
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#[test]
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#[ignore = "requires CUDA"]
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fn parallel_sim_equivalence_with_uniform_config() -> Result<()> {
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let dev = match MlDevice::cuda(0) {
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Ok(d) => d,
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Err(e) => {
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eprintln!("skipping: cuda device unavailable ({e})");
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return Ok(());
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}
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};
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let mut sim = LobSimCuda::new(8, &dev)?;
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sim.broadcast_alpha(&[0.8; N_HORIZONS])?;
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let cfg = BatchedSimConfig::from_uniform(
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8,
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&UniformSimParams {
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target_annual_vol_units: 50.0,
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annualisation_factor: 825.0,
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max_lots: 5,
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latency_ns: 0,
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kelly_frac_floor: 0.20,
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sharpe_weight_floor: 0.10,
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threshold: 0.0,
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// CRT.1 C1.2: cost > 0 is required for the §4.4 conviction
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// formula's eps_edge floor; 1.0 is a typical futures
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// round-trip cost.
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cost_per_lot_per_side: 1.0,
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max_hold_ns: 0,
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delta_floor: 0.0,
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min_reasonable_px: 0.0,
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max_reasonable_px: f32::INFINITY,
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},
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);
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sim.step_decision_with_latency(0, &cfg)?;
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let first = sim.read_market_target(0)?;
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for b in 1..8 {
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let got = sim.read_market_target(b)?;
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assert_eq!(
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got, first,
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"backtest {b} differs from backtest 0 under uniform config: {got:?} vs {first:?}"
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);
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}
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// And the uniform-config result must equal the result we'd get from
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// a single-backtest sim (preserves pre-refactor behaviour).
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assert_eq!(first.0, 0, "uniform config with p_h=0.8 should produce a buy; got side={}", first.0);
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assert!(first.1 >= 1, "uniform-config size {} < 1", first.1);
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Ok(())
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}
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