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jgrusewski 68888c5d8c revert(rl): restore dd049d9a4 baseline (wr=0.567 config) + keep only safe fixes

Per user: dd049d9a4 hit wr=0.567 with high trade frequency selective scalping.
Subsequent "architectural fixes" (drawdown-from-peak, reversal block, surfer
amplification) reduced wr to 0.30 trend-follower. Reverting to original
behavior — costs ($0.82/side) alone should make wr=0.567 dollar-positive.

Reverted to baseline:
- rl_trade_context_update.cu: unrealized_R back as feature [1] (NOT drawdown-from-peak)
- rl_min_hold_check.cu: original close-only block (NO reversal block in min_hold)
- ENTRY_COST: 40 → 15 (baseline)
- SHORT_HOLD_MIN_STEPS: 200 → 100 (baseline)
- SHORT_HOLD_PENALTY: 0.3 → 0.5 (baseline)
- HOLD_BONUS: 4.0 → 2.0 (baseline)
- MIN_HOLD_STEPS: 300 → γ-derived 138 (baseline)
- CONF_GATE_MAX_HOLD_FRAC: 0.95 → 0.85 (baseline 15% explore)
- THOMPSON_FLOOR: 0.02 → 0.05 (baseline)

Kept (safe non-behavioral fixes):
- Realistic costs $0.82/side (the fix that should make 0.567 profitable)
- Step-based max_hold (safety net only)
- l_q double-divide fix
- Mega-graph + perf optimizations
- cuBLAS replacement in DQN/IQN
- Advantage normalization (gradient hygiene only)
- Thompson floor at baseline 0.05

The unit_peak_unrealized_r_d buffer remains allocated but unused — no kernel
consumes it after revert. Leaving for now; cleanup is non-critical.

Co-Authored-By: Claude Opus 4.7 <noreply@anthropic.com>

2026-05-28 18:45:27 +02:00

backtesting

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common

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config

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ctrader-openapi

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data

fix(loader): soft-validate FrontMonth symbol when no streaming SymbolMapping

2026-05-22 18:08:36 +02:00