bf619a2e7b
Three follow-ups from cluster smoke gp74n (trade_vol pearl validation): 1. Max-hold force-close: max_hold_ns added as per-backtest config (default 0 = disabled). Fires force-flat (3, 0) when current_ts - entry_ts >= max_hold_ns, BEFORE SL/trail check. Tested via max_hold_forces_close. Sweep YAML sets 60s cap to bound the long tail observed in gp74n (263985s pathological hold). 2. exit_px defensive sanity check: 500/1024 gp74n trades reported exit_px = ±i32::MAX/100 (float→int saturation sentinel from likely NaN segment_realized). Defensive fix in pnl_track_step: if exit_px is non-finite or diverges from entry_px by >10%, fall back to entry_px with zero realised_pnl. Root cause to be traced separately. 3. Spec §9.2 criteria revision: mean_hold<30s replaced with p95<600s + max<=max_hold_ns. The 30s threshold reflected the pre-pearl sub-cost churning bug, not a real feature criterion. p95 catches long-tail pathology while letting alpha-driven exit timing breathe. Co-Authored-By: Claude Opus 4.7 (1M context) <noreply@anthropic.com>
55 lines
2.1 KiB
Rust
55 lines
2.1 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::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, 0.8, 0.8, 0.8, 0.8])?;
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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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cost_per_lot_per_side: 0.0,
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max_hold_ns: 0,
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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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