0384f76743
Anti-calibration evidence (smoke ckpts across architecture variants
showed higher reported conviction → MORE negative PnL, -15.6 → -145.2)
traced to a magnitude/direction mismatch in the sizing formula:
conv_ema = EMA(|conviction_signed|) # magnitude smoothing
target_lots = sign(conviction_signed) # INSTANTANEOUS sign
× conv_ema × max_lots # × SMOOTHED magnitude
When per-horizon directions disagree event-to-event, the magnitude EMA
stays high (|x| EMA can't cancel) but the sign flips on noise. Result:
big trades in random direction whenever the 5 horizons disagree.
Replace with a single signed-conviction EMA:
conv_signed_ema = EMA(conviction_signed)
target_lots = sign(conv_signed_ema)
× |conv_signed_ema| × max_lots
Now BOTH sign AND magnitude come from the same smoothed signal. When
directions disagree, signed EMA → 0 collapses size to zero naturally.
Atomic migration across decision_policy.cu (2 kernels), pnl_track.cu
(open-branch reads the SIGNED buffer and takes fabsf for the magnitude-
semantics open_trade_state offsets that composite_exit_check forms ratios
from), and src/sim/mod.rs (renamed device buffers + accessor + 4 launch
sites). No legacy aliases per feedback_no_legacy_aliases; no parallel
buffers per feedback_single_source_of_truth_no_duplicates; α floor 0.4
preserved per pearl_wiener_alpha_floor_for_nonstationary; first-
observation bootstrap preserved per pearl_first_observation_bootstrap.
ml-backtesting lib: 33 passed.
GPU oracle: signed_conviction_ema_collapses_on_sign_flips passes —
observed steady-state shows |signed_ema| ≈ 0.205 (post-fix) producing
|target_lots| = 2 every tail event, vs the pre-fix bug's predicted
|target_lots| = 7 every tail event. Existing
multi_horizon_conviction_cancels_on_disagreement still passes (zero-
cancellation regime is even cleaner under signed EMA).
ml-alpha lib: 33 passed (no regression).
Co-Authored-By: Claude Opus 4.7 (1M context) <noreply@anthropic.com>
1265 lines
63 KiB
Plaintext
1265 lines
63 KiB
Plaintext
// decision_policy.cu — alpha → per-horizon Kelly → aggregate → market target.
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//
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// Hardcoded v1 policy = Strategy::default_for(max_lots) from C3:
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// for each h in 0..N_HORIZONS:
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// compute signed sizing from (alpha[h], IsvKellyState[h])
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// aggregate via WeightedByRealizedSharpe:
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// w[h] = max(0, recent_sharpe[h]) / sum_of_positive_sharpes
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// final = sum_h w[h] * signed_size[h]
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// final → side+size in market_targets[b]
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//
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// The bytecode VM from spec §6 is intentionally not implemented in v1 —
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// the default Strategy::default_for produces exactly this shape and
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// alternative compositions are deferred. Bytecode plumbing remains in
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// src/policy/mod.rs ready for v2 expansion.
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//
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// Single-writer per block (thread 0). See spec §5.
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#include "lob_state.cuh"
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// Minimum closed-trade count before the variance-derived `cap_units`
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// constraint is trusted. With N < this threshold the cap falls back to
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// the host-supplied `max_lots` budget — a single-sample variance proxy
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// (`ret²`) systematically over-estimates Var[ret] for a directionally
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// biased loss/win and locks `cap_lots` to ~zero, which kills further
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// trading. Threshold of 10 picked as the standard rule-of-thumb for
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// "first moment estimate becomes informative" — same role as the
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// pearl_first_observation_bootstrap pattern applied to the variance side.
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#define MIN_TRADES_FOR_VAR_CAP 10u
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// CRT Phase A0.5 corrective: record a single max-conviction f32 per
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// decision-tick into a host-allocated growing device buffer. The same
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// max_conv calculation as the per-backtest threshold gate (decision_policy_default
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// line ~179) but driven once per decision rather than per backtest, with
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// the result staged on-device for a single end-of-run DtoV. Lets the
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// harness keep the percentile-tuning side-channel alive without round-
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// tripping host memory on the per-event hot path.
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//
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// Launch: grid=(1,1,1), block=(1,1,1). Single thread.
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// convictions_d : [max_decisions] device buffer
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// write_idx : host-managed write head (passed as scalar)
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// Writes one f32 into convictions_d[write_idx]. Bounds-clamps to
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// max_decisions so a long-running smoke that exceeds the allocation
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// can't OOB. Out-of-bound decisions just stop being recorded; the
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// host-side counter knows the real decision_count.
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extern "C" __global__ void record_max_conviction_to_slot(
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const float* __restrict__ alpha_probs, // [N_HORIZONS]
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float* __restrict__ convictions, // [max_decisions]
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int write_idx,
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int max_decisions
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) {
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if (threadIdx.x != 0 || blockIdx.x != 0) return;
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if (write_idx < 0 || write_idx >= max_decisions) return;
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float max_conv = 0.0f;
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#pragma unroll
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for (int h = 0; h < N_HORIZONS; ++h) {
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float c = fabsf(alpha_probs[h] - 0.5f) * 2.0f;
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// Match the harness's prior clamp: clamp(|p-0.5|*2, 0, 1).
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if (c < 0.0f) c = 0.0f;
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if (c > 1.0f) c = 1.0f;
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if (c > max_conv) max_conv = c;
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}
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convictions[write_idx] = max_conv;
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}
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// Per spec §3 + §5: shared stop-check helper called from both
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// decision_policy_default and decision_policy_program. Pure-device,
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// no host branches (CUDA Graph capture safe per
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// pearl_no_host_branches_in_captured_graph).
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//
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// Returns 1 if a stop fired (and market_targets[b] was written to
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// the (3, 0) force-flat encoding); 0 otherwise. Caller checks return
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// value to decide whether to skip the VM / sizing logic.
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//
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// Skeleton: gates on flat position only. SL/trail/averaging logic
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// lands in plan Tasks 4-6 of the ISV-stop-controller series.
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__device__ static int stop_check_isv(
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int b,
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const Pos* __restrict__ positions,
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const unsigned char* __restrict__ isv_kelly_base,
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const unsigned int* __restrict__ open_horizon_masks,
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const float* __restrict__ atr_mid_ema,
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float* __restrict__ trail_hwm,
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const Book* __restrict__ books,
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const float* __restrict__ cost_per_lot_per_side,
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int* __restrict__ market_targets,
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// S2.1: mh_kernel_calls counts stop_check_isv entries with non-zero position.
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// Kept as an ongoing generic diagnostic (always-non-decreasing means SL/trail
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// are being evaluated). The 6 max_hold-specific counters were removed when
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// max_hold enforcement moved to resting_orders_step (event-rate).
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unsigned int* __restrict__ mh_kernel_calls
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) {
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const Pos& pos = positions[b];
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if (pos.position_lots == 0) return 0;
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// S2.1: count every entry with a non-zero position.
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mh_kernel_calls[b] += 1u;
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// Spec §5 controller math — SL only in this task; trail in Task 5.
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const float atr = atr_mid_ema[b];
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const unsigned int mask = open_horizon_masks[b];
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const IsvKellyState* isv = reinterpret_cast<const IsvKellyState*>(
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isv_kelly_base + (size_t)b * N_HORIZONS * sizeof(IsvKellyState)
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);
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float ema_loss = 0.0f;
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float ema_win = 0.0f;
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float var_avg = 0.0f;
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int n_open = 0;
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#pragma unroll
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for (int h = 0; h < N_HORIZONS; ++h) {
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if (mask & (1u << h)) {
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ema_loss += isv[h].pnl_ema_loss;
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ema_win += isv[h].pnl_ema_win;
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var_avg += isv[h].realised_return_var;
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n_open += 1;
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}
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}
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if (n_open > 0) {
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ema_loss /= (float)n_open;
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ema_win /= (float)n_open;
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var_avg /= (float)n_open;
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}
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// Per pearl_trade_level_vol_for_stop_distance.md (2026-05-20):
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// Trade-level noise floor = sqrt(realised_return_var) bootstrapped from
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// cost². Cold-start (var=0): trade_vol = cost (structural minimum,
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// sub-cost is sub-fee noise). Post-bootstrap (>= MIN_TRADES_FOR_VAR_CAP
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// closes): sqrt(var) dominates — controller learns its own scale.
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// cost appears once as a bootstrap sentinel; never as a distance multiplier.
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const float cost = cost_per_lot_per_side[b];
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const float trade_vol = sqrtf(fmaxf(var_avg, cost * cost));
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// pearl_blend_formulas_must_have_permanent_floor — max, not blend.
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const float sl_distance = fmaxf(fmaxf(ema_loss, atr), trade_vol);
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const float trail_distance = fmaxf(fmaxf(ema_win, atr), trade_vol);
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const bool is_long = pos.position_lots > 0;
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const Book& bk = books[b];
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const float close_px = is_long ? bk.bid_px[0] : bk.ask_px[0];
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const float entry_px = pos.vwap_entry;
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const float unrealized_pl_per_lot =
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is_long ? (close_px - entry_px) : (entry_px - close_px);
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const bool sl_fired = unrealized_pl_per_lot <= -sl_distance;
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const float new_hwm = fmaxf(trail_hwm[b], unrealized_pl_per_lot);
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trail_hwm[b] = new_hwm;
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const bool trail_fired =
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(new_hwm > trail_distance)
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&& (unrealized_pl_per_lot <= new_hwm - trail_distance);
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if (sl_fired || trail_fired) {
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// §7 force-flat encoding.
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market_targets[b * 2 + 0] = 3;
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market_targets[b * 2 + 1] = 0;
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return 1;
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}
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return 0;
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}
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// CRT.1 C1.2 (anti-calibration fix 2026-05-22): Wiener-α adaptive EMA on
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// the SIGNED multi-horizon ISV-weighted conviction scalar (spec §4.4). The
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// prior magnitude-only EMA had a structural anti-calibration bug:
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//
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// conv_ema_mag = EMA(|conviction_signed|) // magnitude smoothing
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// target_lots = sign(conviction_signed) // INSTANTANEOUS sign
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// × conv_ema_mag × max_lots // × SMOOTHED magnitude
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//
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// When per-horizon directions disagreed event-to-event, the magnitude EMA
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// stayed high (|x| EMA cannot cancel) but the sign flipped on noise →
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// big trades in random direction. Empirically: higher reported conviction
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// correlated with MORE negative PnL (-15.6 → -145.2 in smoke ckpts).
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//
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// The signed-EMA fix collapses both sign and magnitude from the same
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// smoothed signal: directions that disagree event-to-event cancel naturally
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// in EMA(signed_conviction) → 0, which collapses |signed_ema| → 0 → size 0.
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//
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// Updates per-backtest second-order EMAs of sample variance + difference
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// variance (now both operating on the signed conviction), derives adaptive
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// α with floor 0.4 per pearl_wiener_alpha_floor_for_nonstationary, and
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// blends. First-observation bootstrap (prev_ema == 0): replace directly
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// per pearl_first_observation_bootstrap.
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//
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// Writes new SIGNED EMA to conv_signed_ema[b]. Caller derives both
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// direction and magnitude from `fabsf(returned_signed_ema)` and the sign
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// of the returned signed EMA — guaranteeing they come from the SAME
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// smoothed signal. The sample-variance EMA tracks E[signed_conviction²]
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// = Var[signed_conviction] (since the signal is bounded in [-1, +1] and
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// the variance-centering Welford pass would be a no-op against zero in
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// the steady disagreement-cancellation case the EMA targets).
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//
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// Single-thread-per-backtest invariant: caller must already have
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// gated on threadIdx.x == 0.
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// CRT.1 C1.4: composite exit_signal safety circuit-breaker per spec §4.3.
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// Backup exit path for cases the primary `target → 0 from collapsed
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// conviction` mechanism (C1.2) misses — most importantly when conviction
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// stays bounded above zero but the trade is deep in unrealized loss.
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//
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// Three risk dimensions, max-of-three composite:
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// degradation_term = (1 − conv_ema_now / conviction_at_entry) / 2.0
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// (50% conviction decay relative to entry fires)
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// disagreement_term = disagree_consecutive_events / 32.0
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// (32 events of short/long horizon disagreement)
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// pnl_decay_term = max(−pnl_adjusted_conv_ema, 0) / 1.0
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// (pnl-adjusted conviction flips and grows < −1)
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//
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// Reads the trajectory fields populated by the decision kernel above.
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// Writes force-flat (3, 0) on fire. Returns 1 if fired, 0 otherwise.
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//
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// Thresholds (2.0 / 32.0 / 1.0) are spec-bootstrap defaults; they migrate
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// to ISV-driven values in CRT.2 alongside the rest of the controller anchors
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// (pearl_controller_anchors_isv_driven). Single-thread-per-backtest invariant.
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__device__ static int composite_exit_check(
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int b,
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const Pos* __restrict__ positions,
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const unsigned char* __restrict__ open_trade_state,
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int* __restrict__ market_targets
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) {
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if (positions[b].position_lots == 0) return 0;
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const unsigned char* st_ro = open_trade_state + (size_t)b * 64;
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const float conviction_at_entry = *reinterpret_cast<const float*>(st_ro + 20);
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const float conv_ema_now = *reinterpret_cast<const float*>(st_ro + 24);
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const float pnl_adjusted_conv_ema = *reinterpret_cast<const float*>(st_ro + 44);
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const unsigned int disagree_n = *reinterpret_cast<const unsigned int*>(st_ro + 56);
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const float degradation_factor = 2.0f;
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const float disagreement_factor = 32.0f;
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const float pnl_decay_factor = 1.0f;
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const float degradation_term = (conviction_at_entry > 1e-6f)
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? (1.0f - conv_ema_now / conviction_at_entry) / degradation_factor
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: 0.0f;
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const float disagreement_term = (float)disagree_n / disagreement_factor;
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const float pnl_decay_term = fmaxf(-pnl_adjusted_conv_ema, 0.0f) / pnl_decay_factor;
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float exit_signal = degradation_term;
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if (disagreement_term > exit_signal) exit_signal = disagreement_term;
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if (pnl_decay_term > exit_signal) exit_signal = pnl_decay_term;
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if (exit_signal >= 1.0f) {
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market_targets[b * 2 + 0] = 3;
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market_targets[b * 2 + 1] = 0;
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return 1;
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}
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return 0;
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}
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// CRT.1 C1.4: update intra-trade trajectory fields in open_trade_state.
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// Called by the decision kernel each event AFTER the multi-horizon
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// conviction is computed and EMA-smoothed. Writes the four offsets the
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// composite_exit_check reads on the next stop_check pass:
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// offset 24: conviction_ema_mag (magnitude of conv_signed_ema_per_b[b];
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// composite_exit_check uses the ratio conv_ema_now /
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// conviction_at_entry which only makes sense as magnitudes)
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// offset 44: pnl_adjusted_conviction_ema (signed by sign of unrealized)
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// offset 48: peak_unrealized_pnl (max tracker)
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// offset 56: disagreement_consecutive_events (short vs long horizon)
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//
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// Skipped when no position is open — the composite check is a guard
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// against losing-trade edge cases and trajectory state is meaningless
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// pre-entry. Single-thread-per-backtest invariant: caller must already
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// have gated on threadIdx.x == 0.
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__device__ static void update_open_trade_trajectory(
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int b,
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const Pos* __restrict__ positions,
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const Book* __restrict__ books,
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const float* __restrict__ alpha_probs,
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float conv_ema_mag,
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unsigned char* __restrict__ open_trade_state
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) {
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const Pos& pos = positions[b];
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if (pos.position_lots == 0) return;
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unsigned char* st = open_trade_state + (size_t)b * 64;
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// Mirror the current smoothed conviction MAGNITUDE into open_trade_state.
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// composite_exit_check forms `1 − conv_ema_now / conviction_at_entry`
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// which is a degradation ratio — only magnitude (not signed) makes
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// sense there, because the signed EMA can flip sign on a deep-loss
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// reversal which would invert the ratio meaning.
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*reinterpret_cast<float*>(st + 24) = conv_ema_mag;
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// Unrealized P&L = (close_px − vwap_entry) × dir × |lots|.
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// Long: close at best bid; short: close at best ask. Matches the
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// close_px used by stop_check_isv's SL/trail computation.
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const Book& bk = books[b];
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const bool is_long = pos.position_lots > 0;
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const float close_px = is_long ? bk.bid_px[0] : bk.ask_px[0];
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const float lots_abs = is_long ? (float)pos.position_lots
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: -(float)pos.position_lots;
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const float dir_long = is_long ? 1.0f : -1.0f;
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const float unrealized = (close_px - pos.vwap_entry) * dir_long * lots_abs;
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// pnl-adjusted conviction: sign of unrealized × conv_ema_mag. EMA on
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// top with the same fixed-α=0.1 used by the conviction second-order
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// EMAs in update_signed_conviction_ema. First-observation bootstrap
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// per pearl_first_observation_bootstrap (prev == 0 ⇒ replace directly).
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const float pnl_sign = (unrealized >= 0.0f) ? 1.0f : -1.0f;
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const float prev_pnl_adj = *reinterpret_cast<const float*>(st + 44);
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const float new_pnl_adj_inst = pnl_sign * conv_ema_mag;
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const float new_pnl_adj = (prev_pnl_adj == 0.0f)
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? new_pnl_adj_inst
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: (0.9f * prev_pnl_adj + 0.1f * new_pnl_adj_inst);
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*reinterpret_cast<float*>(st + 44) = new_pnl_adj;
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// peak_unrealized_pnl tracker.
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const float prev_peak = *reinterpret_cast<const float*>(st + 48);
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if (unrealized > prev_peak) {
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*reinterpret_cast<float*>(st + 48) = unrealized;
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}
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|
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// disagreement_consecutive_events — short-horizon (h=0) vs long-horizon
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// (h=N_HORIZONS-1) directional sign disagreement. Reset to 0 when they
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// align, increment when they oppose. Used by composite_exit_check's
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// disagreement_term.
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const float p_short = alpha_probs[0];
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const float p_long = alpha_probs[N_HORIZONS - 1];
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const bool dir_short_up = (p_short > 0.5f);
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const bool dir_long_up = (p_long > 0.5f);
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const unsigned int prev_disagree = *reinterpret_cast<const unsigned int*>(st + 56);
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if (dir_short_up != dir_long_up) {
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*reinterpret_cast<unsigned int*>(st + 56) = prev_disagree + 1u;
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} else {
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*reinterpret_cast<unsigned int*>(st + 56) = 0u;
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}
|
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}
|
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|
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__device__ static float update_signed_conviction_ema(
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int b,
|
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float conviction_signed,
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float* __restrict__ conv_signed_ema,
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float* __restrict__ conv_signed_diff_var_ema,
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float* __restrict__ conv_signed_sample_var_ema
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) {
|
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// Defensive clamp to [-1, +1] — conviction is bounded by construction
|
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// (weighted_sum / total_abs_weight with per-horizon magnitudes ∈ [0, 1]
|
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// and per-horizon directions ∈ {−1, +1}), but bound it before feeding
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// into a variance EMA in case of NaN propagation through near-zero
|
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// total_abs_weight. NaN guard is reflexive — isnan(x) is true when
|
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// x compares unequal with itself; the bilateral clamp below catches it.
|
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if (!(conviction_signed == conviction_signed)) conviction_signed = 0.0f; // NaN
|
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if (conviction_signed > 1.0f) conviction_signed = 1.0f;
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if (conviction_signed < -1.0f) conviction_signed = -1.0f;
|
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|
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// Update second-order EMAs (diff_var, sample_var) with fixed α=0.1.
|
||
// These track the variance of the signed conviction and the variance
|
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// of its changes, and are themselves bootstrapped with the first
|
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// observation. sample_var uses x² which is non-negative regardless of
|
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// the sign of x, so the zero-sentinel bootstrap pattern still works
|
||
// (sample_var_prev == 0 ⇔ no observation seen yet, and a first signed
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// observation produces a strictly positive x² that escapes the
|
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// sentinel — assuming the multi-horizon formula returns non-zero on
|
||
// the first event, which is the normal case; the degenerate all-zero
|
||
// case stays bootstrapped which is correct).
|
||
const float prev_ema = conv_signed_ema[b];
|
||
const float diff = conviction_signed - prev_ema;
|
||
const float diff_var_prev = conv_signed_diff_var_ema[b];
|
||
const float new_diff_var = (diff_var_prev == 0.0f)
|
||
? (diff * diff) // first-observation bootstrap
|
||
: (0.9f * diff_var_prev + 0.1f * diff * diff);
|
||
conv_signed_diff_var_ema[b] = new_diff_var;
|
||
|
||
const float sample_var_prev = conv_signed_sample_var_ema[b];
|
||
const float new_sample_var = (sample_var_prev == 0.0f)
|
||
? (conviction_signed * conviction_signed) // first-observation bootstrap
|
||
: (0.9f * sample_var_prev + 0.1f * conviction_signed * conviction_signed);
|
||
conv_signed_sample_var_ema[b] = new_sample_var;
|
||
|
||
// Wiener α with floor at 0.4 (pearl_wiener_alpha_floor_for_nonstationary).
|
||
// Floor is critical here: the signed signal can drift around zero in
|
||
// the disagreement-cancellation regime where diff_var → 0 (consecutive
|
||
// events near the same near-zero value), which would push α_raw to
|
||
// ~0 and lock the EMA at its prev value. Floor 0.4 ensures the EMA
|
||
// continues to respond to genuine signal recovery.
|
||
const float eps_v = 1e-6f;
|
||
const float alpha_raw = new_diff_var / (new_diff_var + new_sample_var + eps_v);
|
||
const float alpha_active = (alpha_raw > 0.4f) ? alpha_raw : 0.4f;
|
||
|
||
// First-observation bootstrap: prev_ema==0 → replace directly per
|
||
// pearl_first_observation_bootstrap. Otherwise blend with Wiener-α.
|
||
// Note: a SIGNED 0.0 prev_ema is the sentinel (zero-init by host alloc),
|
||
// not a real observation. A real observation that happens to evaluate
|
||
// to exactly 0.0 (total_abs_weight==0 or perfect cancellation) is
|
||
// indistinguishable from the sentinel — but a perfect-cancellation
|
||
// event already produces the desired EMA=0 outcome via the bootstrap
|
||
// replace branch, so the ambiguity is harmless.
|
||
const float new_ema = (prev_ema == 0.0f)
|
||
? conviction_signed
|
||
: (alpha_active * conviction_signed + (1.0f - alpha_active) * prev_ema);
|
||
conv_signed_ema[b] = new_ema;
|
||
return new_ema;
|
||
}
|
||
|
||
// CRT.1 C1.2: Compute multi-horizon ISV-weighted conviction (spec §4.4).
|
||
// Replaces the scalar `max(|p-0.5|)` approach used in v2 A2 (1d889d2de) +
|
||
// A2.1 (fe2498769) which failed Gate 1 catastrophically. Direction comes
|
||
// from the per-horizon SIGNED sum, so disagreeing horizons cancel — the
|
||
// structural fix the scalar EMA could not provide.
|
||
//
|
||
// Per-horizon weight = max(net_edge_h, eps_edge) / (var_h + cost²) with
|
||
// `eps_edge = cost · 0.01` (spec §4.4: ε = cost / 100). The cost² term
|
||
// in the denominator bootstraps variance pre-trade per
|
||
// pearl_trade_level_vol_for_stop_distance; net_edge is one-sided positive
|
||
// per pearl_audit_unboundedness_for_implicit_asymmetry so losing-edge
|
||
// horizons drop out instead of flipping the sign. Normalizing by
|
||
// `total_abs_weight` makes the formula scale-invariant per
|
||
// pearl_zscore_normalization_for_magnitude_asymmetric_signals.
|
||
//
|
||
// Returns conviction_signed ∈ [-1, +1]. The caller passes this signed
|
||
// scalar directly into update_signed_conviction_ema; sign and magnitude
|
||
// both come from the resulting smoothed signed EMA so the magnitude/sign
|
||
// mismatch documented in update_signed_conviction_ema's header cannot
|
||
// recur.
|
||
__device__ static float compute_multi_horizon_conviction(
|
||
const float* __restrict__ alpha_probs,
|
||
const IsvKellyState* __restrict__ isv,
|
||
float cost
|
||
) {
|
||
const float eps_edge = cost * 0.01f; // spec §4.4 ε floor on net_edge
|
||
|
||
float weighted_sum_signed = 0.0f;
|
||
float total_abs_weight = 0.0f;
|
||
#pragma unroll
|
||
for (int h = 0; h < N_HORIZONS; ++h) {
|
||
const float p_h = alpha_probs[h];
|
||
const float direction_h = (p_h > 0.5f) ? 1.0f : -1.0f;
|
||
const float magnitude_h = fabsf(p_h - 0.5f) * 2.0f;
|
||
const float net_edge_h = fmaxf(isv[h].pnl_ema_win - isv[h].pnl_ema_loss, eps_edge);
|
||
const float weight_h = net_edge_h / (isv[h].realised_return_var + cost * cost);
|
||
weighted_sum_signed += magnitude_h * weight_h * direction_h;
|
||
total_abs_weight += fabsf(weight_h);
|
||
}
|
||
return (total_abs_weight > 1e-9f)
|
||
? (weighted_sum_signed / total_abs_weight)
|
||
: 0.0f;
|
||
}
|
||
|
||
// CRT.diag.2: per-horizon Wiener-α adaptive EMA on RAW alpha probabilities.
|
||
// Smooths alpha_probs[h] BEFORE compute_multi_horizon_conviction consumes
|
||
// it — testing whether per-event output noise is hiding a slower signal
|
||
// (ffr59 found all 5 horizons flip every 2.5 events, win rate flat ~24%,
|
||
// mean PnL anti-correlated with conviction; either smoothing recovers
|
||
// a signal, or the per-event output is genuinely noisy and the hypothesis
|
||
// is wrong).
|
||
//
|
||
// Pattern mirrors update_signed_conviction_ema (which works on the
|
||
// multi-horizon scalar). Per pearl_wiener_optimal_adaptive_alpha +
|
||
// pearl_first_observation_bootstrap.
|
||
// Floor at 0.1 — stronger smoothing than the 0.4 conviction-level floor,
|
||
// testing whether INPUT-side smoothing differs from OUTPUT-side.
|
||
//
|
||
// Writes alpha_smoothed[h] for h in 0..N_HORIZONS; updates the three per-
|
||
// horizon EMA-state slots in place. Single-thread-per-backtest invariant:
|
||
// caller must already have gated on threadIdx.x == 0.
|
||
__device__ static void compute_alpha_ema_per_horizon(
|
||
int b,
|
||
const float* __restrict__ alpha_probs,
|
||
float* __restrict__ alpha_ema_per_b_per_h,
|
||
float* __restrict__ alpha_diff_var_per_b_per_h,
|
||
float* __restrict__ alpha_sample_var_per_b_per_h,
|
||
float (&alpha_smoothed)[N_HORIZONS]
|
||
) {
|
||
#pragma unroll
|
||
for (int h = 0; h < N_HORIZONS; ++h) {
|
||
const float p_raw = alpha_probs[h];
|
||
const float prev_ema = alpha_ema_per_b_per_h[b * N_HORIZONS + h];
|
||
const float diff = p_raw - prev_ema;
|
||
const float diff_var_prev = alpha_diff_var_per_b_per_h[b * N_HORIZONS + h];
|
||
const float new_diff_var = (diff_var_prev == 0.0f)
|
||
? (diff * diff) // first-observation bootstrap
|
||
: (0.9f * diff_var_prev + 0.1f * diff * diff);
|
||
alpha_diff_var_per_b_per_h[b * N_HORIZONS + h] = new_diff_var;
|
||
|
||
// sample_var approximates the variance of p around its natural
|
||
// no-edge mean (0.5). Centering on 0.5 (instead of the running
|
||
// mean) gives a Wiener-α that reads "how far from the no-edge
|
||
// anchor the signal sits" rather than "how dispersed it is".
|
||
const float sample_var_prev = alpha_sample_var_per_b_per_h[b * N_HORIZONS + h];
|
||
const float p_centered = p_raw - 0.5f;
|
||
const float new_sample_var = (sample_var_prev == 0.0f)
|
||
? (p_centered * p_centered) // first-observation bootstrap
|
||
: (0.9f * sample_var_prev + 0.1f * p_centered * p_centered);
|
||
alpha_sample_var_per_b_per_h[b * N_HORIZONS + h] = new_sample_var;
|
||
|
||
// Wiener α with FLOOR 0.1 (stronger smoothing than the 0.4 floor
|
||
// on the output-side conviction EMA — testing input-side smoothing
|
||
// differs from output-side).
|
||
const float eps_v = 1e-6f;
|
||
const float alpha_raw = new_diff_var / (new_diff_var + new_sample_var + eps_v);
|
||
const float alpha_active = (alpha_raw > 0.1f) ? alpha_raw : 0.1f;
|
||
|
||
const float new_ema = (prev_ema == 0.0f)
|
||
? p_raw // first-observation bootstrap
|
||
: (alpha_active * p_raw + (1.0f - alpha_active) * prev_ema);
|
||
alpha_ema_per_b_per_h[b * N_HORIZONS + h] = new_ema;
|
||
alpha_smoothed[h] = new_ema;
|
||
}
|
||
}
|
||
|
||
// CRT.diag.2: variant of compute_multi_horizon_conviction that reads from
|
||
// a thread-local alpha_smoothed[h] array instead of the broadcast
|
||
// alpha_probs[h] pointer. The §4.4 weight math is identical — only the
|
||
// per-horizon p_h source differs.
|
||
__device__ static float compute_multi_horizon_conviction_smoothed(
|
||
const float (&alpha_smoothed)[N_HORIZONS],
|
||
const IsvKellyState* __restrict__ isv,
|
||
float cost
|
||
) {
|
||
const float eps_edge = cost * 0.01f;
|
||
|
||
float weighted_sum_signed = 0.0f;
|
||
float total_abs_weight = 0.0f;
|
||
#pragma unroll
|
||
for (int h = 0; h < N_HORIZONS; ++h) {
|
||
const float p_h = alpha_smoothed[h];
|
||
const float direction_h = (p_h > 0.5f) ? 1.0f : -1.0f;
|
||
const float magnitude_h = fabsf(p_h - 0.5f) * 2.0f;
|
||
const float net_edge_h = fmaxf(isv[h].pnl_ema_win - isv[h].pnl_ema_loss, eps_edge);
|
||
const float weight_h = net_edge_h / (isv[h].realised_return_var + cost * cost);
|
||
weighted_sum_signed += magnitude_h * weight_h * direction_h;
|
||
total_abs_weight += fabsf(weight_h);
|
||
}
|
||
return (total_abs_weight > 1e-9f)
|
||
? (weighted_sum_signed / total_abs_weight)
|
||
: 0.0f;
|
||
}
|
||
|
||
// CRT.diag.2 Group E: per-horizon SMOOTHED direction-flip + mean-run-length
|
||
// tracking. Mirrors Group A (which reads RAW alpha_probs[h]) but reads
|
||
// alpha_smoothed[h]. Single-writer-per-block; caller must already have
|
||
// gated on threadIdx.x == 0. Skips the 5-bucket histogram (Group A keeps
|
||
// the histogram; Group E only needs flip count + mean run length for the
|
||
// head-to-head comparison).
|
||
__device__ static void update_smoothed_flip_counters(
|
||
int b,
|
||
const float (&alpha_smoothed)[N_HORIZONS],
|
||
unsigned int* __restrict__ diag_smoothed_flip_count,
|
||
unsigned int* __restrict__ diag_smoothed_current_run_length,
|
||
unsigned long long* __restrict__ diag_smoothed_sum_run_length,
|
||
signed char* __restrict__ diag_smoothed_prev_dir
|
||
) {
|
||
#pragma unroll
|
||
for (int h = 0; h < N_HORIZONS; ++h) {
|
||
const float p = alpha_smoothed[h];
|
||
const signed char new_dir = (p > 0.5f) ? (signed char)1
|
||
: ((p < 0.5f) ? (signed char)-1 : (signed char)0);
|
||
const signed char prev_dir = diag_smoothed_prev_dir[b * N_HORIZONS + h];
|
||
const unsigned int prev_run = diag_smoothed_current_run_length[b * N_HORIZONS + h];
|
||
if (prev_dir != 0 && new_dir != 0 && prev_dir != new_dir) {
|
||
diag_smoothed_flip_count[b * N_HORIZONS + h] += 1u;
|
||
diag_smoothed_sum_run_length[b * N_HORIZONS + h] += (unsigned long long)prev_run;
|
||
diag_smoothed_current_run_length[b * N_HORIZONS + h] = 1u;
|
||
} else {
|
||
diag_smoothed_current_run_length[b * N_HORIZONS + h] = prev_run + 1u;
|
||
}
|
||
diag_smoothed_prev_dir[b * N_HORIZONS + h] = new_dir;
|
||
}
|
||
}
|
||
|
||
extern "C" __global__ void decision_policy_default(
|
||
const float* __restrict__ alpha_probs, // [N_HORIZONS] broadcast
|
||
const unsigned char* __restrict__ isv_kelly_base, // [n_backtests * N_HORIZONS * sizeof(IsvKellyState)]
|
||
const Pos* __restrict__ positions, // [n_backtests]
|
||
const unsigned int* __restrict__ program_lens, // [n_backtests] — non-zero ⇒ skip (program kernel handles it)
|
||
int* __restrict__ market_targets, // [n_backtests * 2] — written
|
||
unsigned int* __restrict__ open_horizon_masks, // [n_backtests] — written (entry attribution)
|
||
// Per-backtest envelope cap (post-fix 2026-05-22: target = conv_signed_ema × max_lots).
|
||
const int* __restrict__ max_lots_per_b, // [n_backtests]
|
||
// Threshold gate on the smoothed multi-horizon conviction (spec §5.2).
|
||
const float* __restrict__ threshold_per_b, // [n_backtests]
|
||
// CRT.1 C1.2: cost feeds the §4.4 conviction weight denominator
|
||
// (cost² bootstrap per pearl_trade_level_vol_for_stop_distance) AND
|
||
// stop_check_isv's SL/trail-distance floor (round-trip cost).
|
||
const float* __restrict__ cost_per_lot_per_side_per_b, // [n_backtests]
|
||
// Stop-controller state (ISV-driven stop controller spec §3 + §5).
|
||
const float* __restrict__ atr_mid_ema_per_b, // [n_backtests]
|
||
float* __restrict__ trail_hwm_per_b, // [n_backtests] — read + write
|
||
const Book* __restrict__ books_per_b, // [n_backtests * BOOK_LEVELS] (via lob_state.cuh)
|
||
// S2.1: mh_kernel_calls diagnostic counter (non-zero-position entries).
|
||
unsigned int* __restrict__ mh_kernel_calls_per_b, // [n_backtests]
|
||
// Anti-calibration fix (2026-05-22): Wiener-α conviction-EMA state on
|
||
// the SIGNED multi-horizon conviction. The buffer name carries `_signed_`
|
||
// so call sites can't accidentally re-introduce the magnitude-only
|
||
// misuse that produced the higher-conviction-→-more-negative-PnL
|
||
// anti-calibration. Same three-slot layout as before (sample / diff /
|
||
// value EMAs); the kernel-internal update routine now operates on the
|
||
// signed signal end-to-end.
|
||
float* __restrict__ conv_signed_ema_per_b, // [n_backtests] — read + write
|
||
float* __restrict__ conv_signed_diff_var_ema_per_b, // [n_backtests] — read + write
|
||
float* __restrict__ conv_signed_sample_var_ema_per_b, // [n_backtests] — read + write
|
||
// CRT.1 C1.4: trajectory state + composite exit_signal circuit-breaker.
|
||
// pnl_track populated conviction_at_entry on the open transition;
|
||
// this kernel updates the intra-trade fields each event so the composite
|
||
// exit check has fresh inputs on the next pass.
|
||
unsigned char* __restrict__ open_trade_state_per_b, // [n_backtests * 64]
|
||
// CRT.diag Group A: per-horizon signal persistence counters.
|
||
// Observe-only; zero behavior impact. Single-writer-per-block
|
||
// (caller already gated on threadIdx.x == 0). End-of-run dump only.
|
||
unsigned int* __restrict__ diag_flip_count, // [n_backtests * N_HORIZONS]
|
||
unsigned int* __restrict__ diag_current_run_length, // [n_backtests * N_HORIZONS]
|
||
unsigned long long* __restrict__ diag_sum_run_length, // [n_backtests * N_HORIZONS]
|
||
unsigned int* __restrict__ diag_run_length_hist, // [n_backtests * N_HORIZONS * 5]
|
||
signed char* __restrict__ diag_prev_dir_signed, // [n_backtests * N_HORIZONS]
|
||
// CRT.diag Group B: conviction-EMA histogram.
|
||
unsigned int* __restrict__ diag_conv_hist, // [n_backtests * 10]
|
||
// CRT.diag.2: per-horizon alpha-input EMA state. Smooths raw
|
||
// alpha_probs[h] BEFORE the §4.4 conviction formula consumes it.
|
||
// Three slots mirror the conviction-level EMA pattern.
|
||
float* __restrict__ alpha_ema_per_b_per_h, // [n_backtests * N_HORIZONS]
|
||
float* __restrict__ alpha_diff_var_per_b_per_h, // [n_backtests * N_HORIZONS]
|
||
float* __restrict__ alpha_sample_var_per_b_per_h, // [n_backtests * N_HORIZONS]
|
||
// CRT.diag.2 Group E: smoothed-direction-flip counters (mirror Group A
|
||
// but reading alpha_smoothed[h] instead of alpha_probs[h]). No histogram.
|
||
unsigned int* __restrict__ diag_smoothed_flip_count, // [n_backtests * N_HORIZONS]
|
||
unsigned int* __restrict__ diag_smoothed_current_run_length, // [n_backtests * N_HORIZONS]
|
||
unsigned long long* __restrict__ diag_smoothed_sum_run_length, // [n_backtests * N_HORIZONS]
|
||
signed char* __restrict__ diag_smoothed_prev_dir, // [n_backtests * N_HORIZONS]
|
||
int n_backtests
|
||
) {
|
||
int b = blockIdx.x;
|
||
if (b >= n_backtests || threadIdx.x != 0) return;
|
||
if (program_lens[b] != 0u) return; // backtest b uses a custom bytecode program; skip default
|
||
|
||
// Stop-check (spec §3) — pre-VM. Returns 1 if force-flat was written.
|
||
if (stop_check_isv(b, positions, isv_kelly_base, open_horizon_masks,
|
||
atr_mid_ema_per_b, trail_hwm_per_b, books_per_b,
|
||
cost_per_lot_per_side_per_b,
|
||
market_targets,
|
||
mh_kernel_calls_per_b)) {
|
||
return;
|
||
}
|
||
|
||
// CRT.diag.2: smooth RAW alpha_probs[h] per-horizon BEFORE the §4.4
|
||
// conviction formula consumes it. Wiener-α EMA with floor 0.1 (stronger
|
||
// than the 0.4 output-side floor). The alpha_smoothed[] array stays in
|
||
// registers — fed into both compute_multi_horizon_conviction_smoothed
|
||
// and the Group E flip counter. RAW alpha_probs[] is still passed
|
||
// through to Group A so the head-to-head comparison is apples-to-apples.
|
||
float alpha_smoothed[N_HORIZONS];
|
||
compute_alpha_ema_per_horizon(
|
||
b, alpha_probs,
|
||
alpha_ema_per_b_per_h,
|
||
alpha_diff_var_per_b_per_h,
|
||
alpha_sample_var_per_b_per_h,
|
||
alpha_smoothed);
|
||
|
||
// CRT.1 C1.2: multi-horizon ISV-weighted conviction (spec §4.4).
|
||
// Replaces v2 A2 (1d889d2de) + A2.1 (fe2498769) scalar approach that
|
||
// failed Gate 1 catastrophically on smokes vjmwc + lkrdf (155k trades,
|
||
// 9100% drawdown, Sharpe -15.7). Direction now comes from the
|
||
// per-horizon SIGNED sum so disagreeing horizons cancel — the
|
||
// structural fix the scalar EMA could not provide.
|
||
//
|
||
// CRT.diag.2: the §4.4 formula now reads alpha_smoothed[] (per-horizon
|
||
// EMA) instead of alpha_probs[]. Hypothesis test: does input smoothing
|
||
// recover signal hidden under per-event noise?
|
||
const IsvKellyState* isv = reinterpret_cast<const IsvKellyState*>(
|
||
isv_kelly_base + (size_t)b * N_HORIZONS * sizeof(IsvKellyState)
|
||
);
|
||
const float cost = cost_per_lot_per_side_per_b[b];
|
||
const float conviction_signed = compute_multi_horizon_conviction_smoothed(
|
||
alpha_smoothed, isv, cost);
|
||
|
||
// Anti-calibration fix (2026-05-22): Wiener-α adaptive EMA on the
|
||
// SIGNED conviction so disagreement-driven sign flips cancel in the
|
||
// EMA → |EMA| → 0 → no trade. Magnitude AND direction both come from
|
||
// the same smoothed signal — eliminates the previous magnitude/sign
|
||
// mismatch where size stayed large while sign flipped on noise.
|
||
//
|
||
// Runs ahead of the threshold gate so the EMA tracks all events
|
||
// (gating off an unsmoothed tick would let the EMA grow stale on long
|
||
// gated stretches).
|
||
const float conv_signed_ema = update_signed_conviction_ema(
|
||
b, conviction_signed,
|
||
conv_signed_ema_per_b,
|
||
conv_signed_diff_var_ema_per_b,
|
||
conv_signed_sample_var_ema_per_b);
|
||
const float conv_ema_mag = fabsf(conv_signed_ema);
|
||
const float conviction_dir = (conv_signed_ema >= 0.0f) ? 1.0f : -1.0f;
|
||
|
||
// CRT.diag Group A: per-horizon direction-flip + run-length tracking.
|
||
// Observe-only. Single-writer-per-block (already gated on thread 0).
|
||
// Reads RAW alpha_probs[h] — head-to-head comparison with Group E
|
||
// (which reads alpha_smoothed[h]). Apples-to-apples vs ffr59 baseline.
|
||
#pragma unroll
|
||
for (int h = 0; h < N_HORIZONS; ++h) {
|
||
const float p = alpha_probs[h];
|
||
const signed char new_dir = (p > 0.5f) ? (signed char)1
|
||
: ((p < 0.5f) ? (signed char)-1 : (signed char)0);
|
||
const signed char prev_dir = diag_prev_dir_signed[b * N_HORIZONS + h];
|
||
const unsigned int prev_run = diag_current_run_length[b * N_HORIZONS + h];
|
||
if (prev_dir != 0 && new_dir != 0 && prev_dir != new_dir) {
|
||
// Direction flipped — record the prev run length.
|
||
diag_flip_count[b * N_HORIZONS + h] += 1u;
|
||
diag_sum_run_length[b * N_HORIZONS + h] += (unsigned long long)prev_run;
|
||
int bk;
|
||
if (prev_run < 10u) bk = 0;
|
||
else if (prev_run < 100u) bk = 1;
|
||
else if (prev_run < 1000u) bk = 2;
|
||
else if (prev_run < 10000u) bk = 3;
|
||
else bk = 4;
|
||
diag_run_length_hist[(b * N_HORIZONS + h) * 5 + bk] += 1u;
|
||
diag_current_run_length[b * N_HORIZONS + h] = 1u; // start new run
|
||
} else {
|
||
diag_current_run_length[b * N_HORIZONS + h] = prev_run + 1u;
|
||
}
|
||
diag_prev_dir_signed[b * N_HORIZONS + h] = new_dir;
|
||
}
|
||
|
||
// CRT.diag.2 Group E: per-horizon SMOOTHED direction-flip + mean-run-length.
|
||
// Mirrors Group A reading alpha_smoothed[] instead of alpha_probs[].
|
||
update_smoothed_flip_counters(
|
||
b, alpha_smoothed,
|
||
diag_smoothed_flip_count,
|
||
diag_smoothed_current_run_length,
|
||
diag_smoothed_sum_run_length,
|
||
diag_smoothed_prev_dir);
|
||
|
||
// CRT.diag Group B: smoothed-conviction MAGNITUDE histogram (10 buckets
|
||
// over [0, 1)). Magnitude (not signed) because the histogram tracks
|
||
// "strength of opinion" not directional bias — symmetric +0.7 vs −0.7
|
||
// both belong in the same bucket.
|
||
{
|
||
float c = conv_ema_mag;
|
||
if (c < 0.0f) c = 0.0f;
|
||
if (c >= 1.0f) c = 0.999999f;
|
||
int bk = (int)(c * 10.0f);
|
||
if (bk < 0) bk = 0;
|
||
if (bk > 9) bk = 9;
|
||
diag_conv_hist[b * 10 + bk] += 1u;
|
||
}
|
||
|
||
// CRT.1 C1.4: refresh intra-trade trajectory state (offsets 24, 44, 48,
|
||
// 56) for the composite exit_signal. Skipped internally when flat.
|
||
// NOTE: keeps RAW alpha_probs for the short-vs-long disagreement
|
||
// counter (offset 56) — composite exit's disagreement signal is meant
|
||
// to react fast (32-event window), opposite of the smoothing rationale.
|
||
// Passes the MAGNITUDE of the smoothed signed EMA — composite_exit_check
|
||
// forms degradation ratios that only make sense between two magnitudes.
|
||
update_open_trade_trajectory(b, positions, books_per_b, alpha_probs,
|
||
conv_ema_mag, open_trade_state_per_b);
|
||
|
||
// CRT.1 C1.4: composite exit_signal safety circuit-breaker (spec §4.3).
|
||
// Catches the edge case where conviction stays bounded above zero but
|
||
// the trade is deep in unrealized loss — the primary `target → 0 from
|
||
// collapsed conviction` path (C1.2) cannot reach.
|
||
if (composite_exit_check(b, positions, open_trade_state_per_b, market_targets)) {
|
||
return;
|
||
}
|
||
|
||
// Threshold gate on the smoothed multi-horizon conviction MAGNITUDE.
|
||
// Per spec §5.2: gating on the smoothed signal rather than the raw
|
||
// signal makes the pre-registered percentile thresholds robust to
|
||
// event-rate jitter. Magnitude (not signed) because the pre-registered
|
||
// thresholds are |conviction| percentiles — sign-agnostic by design.
|
||
if (conv_ema_mag < threshold_per_b[b]) {
|
||
market_targets[b * 2 + 0] = 2;
|
||
market_targets[b * 2 + 1] = 0;
|
||
open_horizon_masks[b] = 0u;
|
||
return;
|
||
}
|
||
|
||
// Build per-horizon attribution mask: every horizon whose signed
|
||
// contribution agrees with the multi-horizon direction gets credit.
|
||
// This replaces the v2 sharpe-weight attribution because the v3
|
||
// weights come from the §4.4 formula directly. CRT.diag.2: reads
|
||
// alpha_smoothed[] so attribution matches the smoothed conviction the
|
||
// size formula used.
|
||
unsigned int attribution_mask = 0u;
|
||
#pragma unroll
|
||
for (int h = 0; h < N_HORIZONS; ++h) {
|
||
const float dir_h = (alpha_smoothed[h] > 0.5f) ? 1.0f : -1.0f;
|
||
if (dir_h == conviction_dir) attribution_mask |= (1u << h);
|
||
}
|
||
|
||
// Anti-calibration fix (2026-05-22): target = SIGNED smoothed conviction
|
||
// × envelope_max. Both sign AND magnitude come from `conv_signed_ema`
|
||
// — the SAME smoothed scalar. When per-horizon directions disagree
|
||
// event-to-event, conv_signed_ema → 0 collapses size to zero naturally,
|
||
// unlike the prior `sign(instantaneous) × EMA(|instantaneous|)` which
|
||
// multiplied a smoothed magnitude by an event-rate sign flip.
|
||
const int max_lots = max_lots_per_b[b];
|
||
const float envelope_max = (float)max_lots;
|
||
const float target_lots_f = conv_signed_ema * envelope_max;
|
||
const int target_lots = (int)truncf(
|
||
target_lots_f + (target_lots_f >= 0.0f ? 0.5f : -0.5f));
|
||
|
||
if (target_lots == 0) {
|
||
// No new lots ordered. Use force-flat encoding if currently open
|
||
// so the harness reduces toward zero; use no-op when already flat.
|
||
const int code = (positions[b].position_lots == 0) ? 2 : 3;
|
||
market_targets[b * 2 + 0] = code;
|
||
market_targets[b * 2 + 1] = 0;
|
||
return;
|
||
}
|
||
|
||
// If currently flat, this is an opening trade: record attribution mask
|
||
// so pnl_track + isv_kelly_update can credit the right horizons on close.
|
||
if (positions[b].position_lots == 0) {
|
||
open_horizon_masks[b] = attribution_mask;
|
||
}
|
||
|
||
const int side = (target_lots > 0) ? 0 : 1;
|
||
const int abs_sz = (target_lots > 0) ? target_lots : -target_lots;
|
||
market_targets[b * 2 + 0] = side;
|
||
market_targets[b * 2 + 1] = abs_sz;
|
||
}
|
||
|
||
// Bytecode VM — interprets the flat Program emitted by Strategy::flatten()
|
||
// (Rust src/policy/mod.rs) against current alpha probs + per-horizon
|
||
// IsvKellyState. Replaces the hardcoded default policy when the host
|
||
// has uploaded a non-empty program for backtest b.
|
||
//
|
||
// Stack layout: parallel float-value + u32-attribution-mask stacks.
|
||
// Each EmitPerHorizonSize pushes its (signed_size, mask=(1<<h)). The
|
||
// aggregators pop n values + n masks, push the aggregated value with
|
||
// OR'd mask. The terminal WriteOrder pops one value+mask, converts to
|
||
// {side, abs_size} in market_targets[b] and records the attribution
|
||
// mask in open_horizon_masks[b] for entry-time crediting.
|
||
//
|
||
// Layout MUST stay in sync with src/policy/mod.rs::{OpCode, Instruction}.
|
||
|
||
#define OP_NOOP 0
|
||
#define OP_EVAL_REGIME 1
|
||
#define OP_EMIT_PER_HORIZON_SIZE 2
|
||
#define OP_AGG_WEIGHTED_SHARPE 3
|
||
#define OP_AGG_MEAN 4
|
||
#define OP_AGG_MAX_CONFIDENCE 5
|
||
#define OP_APPLY_CONFLICT 6
|
||
#define OP_WRITE_ORDER 7
|
||
#define OP_PUSH_SCALAR 8
|
||
#define OP_BRANCH_IF_REGIME 9
|
||
#define STACK_CAP 32
|
||
|
||
struct Instruction {
|
||
unsigned char op;
|
||
unsigned char arg0;
|
||
unsigned short arg1;
|
||
unsigned int arg2;
|
||
};
|
||
|
||
extern "C" __global__ void decision_policy_program(
|
||
const float* __restrict__ alpha_probs,
|
||
const unsigned char* __restrict__ isv_kelly_base,
|
||
const Pos* __restrict__ positions,
|
||
const Instruction* __restrict__ programs, // [n_backtests * max_instructions]
|
||
const unsigned int* __restrict__ program_lens, // [n_backtests]
|
||
const unsigned int* __restrict__ regimes, // [n_backtests] — current regime id
|
||
int* __restrict__ market_targets, // [n_backtests * 2]
|
||
unsigned int* __restrict__ open_horizon_masks,
|
||
// P1: per-backtest sim parameter arrays. See decision_policy_default header for contract.
|
||
const float* __restrict__ target_annual_vol_units_per_b,
|
||
const float* __restrict__ annualisation_factor_per_b,
|
||
int max_instructions,
|
||
const int* __restrict__ max_lots_per_b,
|
||
const float* __restrict__ kelly_frac_floor_per_b,
|
||
const float* __restrict__ sharpe_weight_floor_per_b,
|
||
// P4: threshold gate (same as decision_policy_default).
|
||
const float* __restrict__ threshold_per_b,
|
||
const float* __restrict__ cost_per_lot_per_side_per_b, // [n_backtests] — round-trip cost floor for SL/trail
|
||
// Stop-controller state (ISV-driven stop controller spec §3 + §5).
|
||
const float* __restrict__ atr_mid_ema_per_b, // [n_backtests]
|
||
float* __restrict__ trail_hwm_per_b, // [n_backtests] — read + write
|
||
const Book* __restrict__ books_per_b, // [n_backtests * BOOK_LEVELS]
|
||
// S2.1: mh_kernel_calls diagnostic counter (non-zero-position entries).
|
||
unsigned int* __restrict__ mh_kernel_calls_per_b, // [n_backtests]
|
||
// Anti-calibration fix (2026-05-22): SIGNED conviction-EMA state.
|
||
// Mirrors decision_policy_default — see that kernel for the contract.
|
||
float* __restrict__ conv_signed_ema_per_b, // [n_backtests] — read + write
|
||
float* __restrict__ conv_signed_diff_var_ema_per_b, // [n_backtests] — read + write
|
||
float* __restrict__ conv_signed_sample_var_ema_per_b, // [n_backtests] — read + write
|
||
// CRT.1 C1.4: trajectory state + composite exit_signal circuit-breaker.
|
||
// Mirrors decision_policy_default — see that kernel for the contract.
|
||
unsigned char* __restrict__ open_trade_state_per_b, // [n_backtests * 64]
|
||
// CRT.diag Group A: per-horizon signal persistence counters (observe-only).
|
||
unsigned int* __restrict__ diag_flip_count, // [n_backtests * N_HORIZONS]
|
||
unsigned int* __restrict__ diag_current_run_length, // [n_backtests * N_HORIZONS]
|
||
unsigned long long* __restrict__ diag_sum_run_length, // [n_backtests * N_HORIZONS]
|
||
unsigned int* __restrict__ diag_run_length_hist, // [n_backtests * N_HORIZONS * 5]
|
||
signed char* __restrict__ diag_prev_dir_signed, // [n_backtests * N_HORIZONS]
|
||
// CRT.diag Group B: conviction-EMA histogram.
|
||
unsigned int* __restrict__ diag_conv_hist, // [n_backtests * 10]
|
||
// CRT.diag.2: per-horizon alpha-input EMA state.
|
||
float* __restrict__ alpha_ema_per_b_per_h, // [n_backtests * N_HORIZONS]
|
||
float* __restrict__ alpha_diff_var_per_b_per_h, // [n_backtests * N_HORIZONS]
|
||
float* __restrict__ alpha_sample_var_per_b_per_h, // [n_backtests * N_HORIZONS]
|
||
// CRT.diag.2 Group E: smoothed-direction-flip counters.
|
||
unsigned int* __restrict__ diag_smoothed_flip_count, // [n_backtests * N_HORIZONS]
|
||
unsigned int* __restrict__ diag_smoothed_current_run_length, // [n_backtests * N_HORIZONS]
|
||
unsigned long long* __restrict__ diag_smoothed_sum_run_length, // [n_backtests * N_HORIZONS]
|
||
signed char* __restrict__ diag_smoothed_prev_dir, // [n_backtests * N_HORIZONS]
|
||
int n_backtests
|
||
) {
|
||
int b = blockIdx.x;
|
||
if (b >= n_backtests || threadIdx.x != 0) return;
|
||
|
||
const unsigned int plen = program_lens[b];
|
||
if (plen == 0u) {
|
||
// Skip — this backtest uses the hardcoded default kernel separately.
|
||
return;
|
||
}
|
||
|
||
// Stop-check (spec §3).
|
||
if (stop_check_isv(b, positions, isv_kelly_base, open_horizon_masks,
|
||
atr_mid_ema_per_b, trail_hwm_per_b, books_per_b,
|
||
cost_per_lot_per_side_per_b,
|
||
market_targets,
|
||
mh_kernel_calls_per_b)) {
|
||
return;
|
||
}
|
||
|
||
// CRT.diag.2: smooth RAW alpha_probs[h] per-horizon BEFORE the §4.4
|
||
// conviction formula consumes it. Mirrors decision_policy_default.
|
||
float alpha_smoothed[N_HORIZONS];
|
||
compute_alpha_ema_per_horizon(
|
||
b, alpha_probs,
|
||
alpha_ema_per_b_per_h,
|
||
alpha_diff_var_per_b_per_h,
|
||
alpha_sample_var_per_b_per_h,
|
||
alpha_smoothed);
|
||
|
||
// CRT.1 C1.2: multi-horizon ISV-weighted conviction (spec §4.4).
|
||
// Mirrors decision_policy_default — see that kernel for the full
|
||
// rationale. The VM's per-horizon emit + aggregate opcodes still
|
||
// execute, but the terminal OP_WRITE_ORDER ignores the stack's
|
||
// signed `final_size` and uses the §4.4 conviction-driven target
|
||
// instead. The attribution mask from the stack IS still consumed
|
||
// at OP_WRITE_ORDER so the VM continues to credit horizons on entry.
|
||
//
|
||
// CRT.diag.2: feeds the §4.4 formula alpha_smoothed[] instead of
|
||
// alpha_probs[].
|
||
const Instruction* prog = programs + (size_t)b * max_instructions;
|
||
const IsvKellyState* isv = reinterpret_cast<const IsvKellyState*>(
|
||
isv_kelly_base + (size_t)b * N_HORIZONS * sizeof(IsvKellyState)
|
||
);
|
||
const unsigned int my_regime = regimes[b];
|
||
|
||
const float cost = cost_per_lot_per_side_per_b[b];
|
||
const float conviction_signed = compute_multi_horizon_conviction_smoothed(
|
||
alpha_smoothed, isv, cost);
|
||
|
||
// Anti-calibration fix (2026-05-22): SIGNED conviction EMA. Sign and
|
||
// magnitude both come from the same smoothed scalar — directions that
|
||
// disagree event-to-event cancel in the EMA → size collapses to zero
|
||
// naturally. See update_signed_conviction_ema header for the bug this
|
||
// resolves.
|
||
const float conv_signed_ema = update_signed_conviction_ema(
|
||
b, conviction_signed,
|
||
conv_signed_ema_per_b,
|
||
conv_signed_diff_var_ema_per_b,
|
||
conv_signed_sample_var_ema_per_b);
|
||
const float conv_ema_mag = fabsf(conv_signed_ema);
|
||
const float conviction_dir = (conv_signed_ema >= 0.0f) ? 1.0f : -1.0f;
|
||
|
||
// CRT.diag Group A: per-horizon direction-flip + run-length tracking.
|
||
// Mirrors decision_policy_default. Observe-only; single-writer-per-block.
|
||
// Reads RAW alpha_probs[h] — head-to-head comparison with Group E.
|
||
#pragma unroll
|
||
for (int h = 0; h < N_HORIZONS; ++h) {
|
||
const float p = alpha_probs[h];
|
||
const signed char new_dir = (p > 0.5f) ? (signed char)1
|
||
: ((p < 0.5f) ? (signed char)-1 : (signed char)0);
|
||
const signed char prev_dir = diag_prev_dir_signed[b * N_HORIZONS + h];
|
||
const unsigned int prev_run = diag_current_run_length[b * N_HORIZONS + h];
|
||
if (prev_dir != 0 && new_dir != 0 && prev_dir != new_dir) {
|
||
diag_flip_count[b * N_HORIZONS + h] += 1u;
|
||
diag_sum_run_length[b * N_HORIZONS + h] += (unsigned long long)prev_run;
|
||
int bk;
|
||
if (prev_run < 10u) bk = 0;
|
||
else if (prev_run < 100u) bk = 1;
|
||
else if (prev_run < 1000u) bk = 2;
|
||
else if (prev_run < 10000u) bk = 3;
|
||
else bk = 4;
|
||
diag_run_length_hist[(b * N_HORIZONS + h) * 5 + bk] += 1u;
|
||
diag_current_run_length[b * N_HORIZONS + h] = 1u;
|
||
} else {
|
||
diag_current_run_length[b * N_HORIZONS + h] = prev_run + 1u;
|
||
}
|
||
diag_prev_dir_signed[b * N_HORIZONS + h] = new_dir;
|
||
}
|
||
|
||
// CRT.diag.2 Group E: smoothed-direction-flip + mean-run-length.
|
||
update_smoothed_flip_counters(
|
||
b, alpha_smoothed,
|
||
diag_smoothed_flip_count,
|
||
diag_smoothed_current_run_length,
|
||
diag_smoothed_sum_run_length,
|
||
diag_smoothed_prev_dir);
|
||
|
||
// CRT.diag Group B: smoothed-conviction MAGNITUDE histogram.
|
||
{
|
||
float c = conv_ema_mag;
|
||
if (c < 0.0f) c = 0.0f;
|
||
if (c >= 1.0f) c = 0.999999f;
|
||
int bk = (int)(c * 10.0f);
|
||
if (bk < 0) bk = 0;
|
||
if (bk > 9) bk = 9;
|
||
diag_conv_hist[b * 10 + bk] += 1u;
|
||
}
|
||
|
||
// CRT.1 C1.4: refresh intra-trade trajectory state for composite exit.
|
||
// RAW alpha_probs kept here — disagreement signal is meant to be fast.
|
||
// Passes the magnitude of the signed EMA — composite_exit_check forms
|
||
// degradation ratios that only make sense between magnitudes.
|
||
update_open_trade_trajectory(b, positions, books_per_b, alpha_probs,
|
||
conv_ema_mag, open_trade_state_per_b);
|
||
|
||
// CRT.1 C1.4: composite exit_signal safety circuit-breaker (spec §4.3).
|
||
if (composite_exit_check(b, positions, open_trade_state_per_b, market_targets)) {
|
||
return;
|
||
}
|
||
|
||
// Threshold gate on the smoothed multi-horizon conviction MAGNITUDE
|
||
// (spec §5.2). Pre-registered percentile thresholds are sign-agnostic.
|
||
if (conv_ema_mag < threshold_per_b[b]) {
|
||
market_targets[b * 2 + 0] = 2;
|
||
market_targets[b * 2 + 1] = 0;
|
||
open_horizon_masks[b] = 0u;
|
||
return;
|
||
}
|
||
|
||
// Per-backtest scalar reads for VM opcodes (Kelly/Sharpe aggregations).
|
||
const float target_annual_vol_units = target_annual_vol_units_per_b[b];
|
||
const float annualisation_factor = annualisation_factor_per_b[b];
|
||
const int max_lots = max_lots_per_b[b];
|
||
const float kelly_frac_floor = kelly_frac_floor_per_b[b];
|
||
const float sharpe_weight_floor = sharpe_weight_floor_per_b[b];
|
||
|
||
float stack_val[STACK_CAP];
|
||
unsigned int stack_mask[STACK_CAP];
|
||
int sp = 0;
|
||
|
||
unsigned int pc = 0;
|
||
while (pc < plen && pc < (unsigned int)max_instructions) {
|
||
const Instruction ins = prog[pc];
|
||
pc += 1;
|
||
switch (ins.op) {
|
||
case OP_NOOP: break;
|
||
case OP_PUSH_SCALAR: {
|
||
if (sp >= STACK_CAP) break;
|
||
const float v = __int_as_float((int)ins.arg2);
|
||
stack_val[sp] = v;
|
||
stack_mask[sp] = 0u;
|
||
sp += 1;
|
||
break;
|
||
}
|
||
case OP_EVAL_REGIME: {
|
||
if (sp >= STACK_CAP) break;
|
||
stack_val[sp] = (my_regime == (unsigned int)ins.arg0) ? 1.0f : 0.0f;
|
||
stack_mask[sp] = 0u;
|
||
sp += 1;
|
||
break;
|
||
}
|
||
case OP_BRANCH_IF_REGIME: {
|
||
if (my_regime != (unsigned int)ins.arg0) {
|
||
pc = ins.arg2;
|
||
}
|
||
break;
|
||
}
|
||
case OP_EMIT_PER_HORIZON_SIZE: {
|
||
if (sp >= STACK_CAP) break;
|
||
const int h = (int)ins.arg0;
|
||
const int leaf_max_lots = (int)ins.arg1;
|
||
if (h < 0 || h >= N_HORIZONS) { stack_val[sp]=0.0f; stack_mask[sp]=0u; sp+=1; break; }
|
||
const float p_h = alpha_probs[h];
|
||
const IsvKellyState& s = isv[h];
|
||
const float sig_mag = fabsf(p_h - 0.5f) * 2.0f;
|
||
const float dir = (p_h > 0.5f) ? 1.0f : -1.0f;
|
||
float kelly_frac;
|
||
if (s.pnl_ema_win > 1e-9f) {
|
||
float kf = (s.win_rate_ema * s.pnl_ema_win
|
||
- (1.0f - s.win_rate_ema) * s.pnl_ema_loss)
|
||
/ s.pnl_ema_win;
|
||
kf = fmaxf(0.0f, fminf(1.0f, kf));
|
||
kelly_frac = fmaxf(kelly_frac_floor, kf);
|
||
} else {
|
||
kelly_frac = kelly_frac_floor;
|
||
}
|
||
const float effective_cap = fminf((float)leaf_max_lots, (float)max_lots);
|
||
// Same MIN_TRADES_FOR_VAR_CAP gate as decision_policy_default.
|
||
float cap_lots;
|
||
if (s.n_trades_seen >= MIN_TRADES_FOR_VAR_CAP
|
||
&& s.realised_return_var > 1e-9f)
|
||
{
|
||
const float cap_units = target_annual_vol_units
|
||
/ sqrtf(s.realised_return_var * annualisation_factor);
|
||
cap_lots = fminf(cap_units, effective_cap);
|
||
} else {
|
||
cap_lots = effective_cap;
|
||
}
|
||
const float ss = dir * sig_mag * kelly_frac * cap_lots;
|
||
stack_val[sp] = ss;
|
||
stack_mask[sp] = 1u << h;
|
||
sp += 1;
|
||
break;
|
||
}
|
||
case OP_AGG_MEAN: {
|
||
const int n = (int)ins.arg0;
|
||
if (n <= 0 || sp < n) break;
|
||
float sum = 0.0f;
|
||
unsigned int mask_or = 0u;
|
||
for (int i = sp - n; i < sp; ++i) {
|
||
sum += stack_val[i];
|
||
mask_or |= stack_mask[i];
|
||
}
|
||
sp -= n;
|
||
stack_val[sp] = sum / (float)n;
|
||
stack_mask[sp] = mask_or;
|
||
sp += 1;
|
||
break;
|
||
}
|
||
case OP_AGG_WEIGHTED_SHARPE: {
|
||
const int n = (int)ins.arg0;
|
||
if (n <= 0 || sp < n) break;
|
||
float w_sum = 0.0f, wx_sum = 0.0f;
|
||
unsigned int mask_or = 0u;
|
||
for (int i = sp - n; i < sp; ++i) {
|
||
const unsigned int m = stack_mask[i];
|
||
// Look up recent_sharpe for the single horizon this slot
|
||
// attributes to. If the mask has multiple bits set (a
|
||
// nested aggregator already merged horizons) we fall back
|
||
// to uniform weight 1.0 because per-horizon attribution
|
||
// collapsed.
|
||
float w;
|
||
if (m != 0u && (m & (m - 1u)) == 0u) {
|
||
// Single-bit mask — recover horizon index.
|
||
int h = 0;
|
||
unsigned int mm = m;
|
||
while ((mm & 1u) == 0u && h < N_HORIZONS) { mm >>= 1; h += 1; }
|
||
// Floor lets cold-start aggregate; matches the
|
||
// decision_policy_default weight pattern.
|
||
w = fmaxf(sharpe_weight_floor, isv[h].recent_sharpe);
|
||
} else {
|
||
w = 1.0f;
|
||
}
|
||
w_sum += w;
|
||
wx_sum += w * stack_val[i];
|
||
mask_or |= m;
|
||
}
|
||
sp -= n;
|
||
stack_val[sp] = (w_sum > 1e-9f) ? (wx_sum / w_sum) : 0.0f;
|
||
stack_mask[sp] = mask_or;
|
||
sp += 1;
|
||
break;
|
||
}
|
||
case OP_AGG_MAX_CONFIDENCE: {
|
||
const int n = (int)ins.arg0;
|
||
if (n <= 0 || sp < n) break;
|
||
int best = sp - n;
|
||
for (int i = sp - n + 1; i < sp; ++i) {
|
||
if (fabsf(stack_val[i]) > fabsf(stack_val[best])) best = i;
|
||
}
|
||
const float bv = stack_val[best];
|
||
const unsigned int bm = stack_mask[best];
|
||
sp -= n;
|
||
stack_val[sp] = bv;
|
||
stack_mask[sp] = bm;
|
||
sp += 1;
|
||
break;
|
||
}
|
||
case OP_APPLY_CONFLICT: {
|
||
// v1: no-op (mean of children already aggregated; conflict
|
||
// resolution only matters when multiple cells share state,
|
||
// which v1 doesn't). Preserved for v2 Portfolio mode.
|
||
break;
|
||
}
|
||
case OP_WRITE_ORDER: {
|
||
if (sp <= 0) break;
|
||
sp -= 1;
|
||
// Pop the VM stack's aggregated value (unused under v3 §4.4
|
||
// sizing) and keep the attribution mask for entry crediting.
|
||
const unsigned int attribution = stack_mask[sp];
|
||
// Anti-calibration fix (2026-05-22): target = SIGNED smoothed
|
||
// conviction × envelope_max. Sign AND magnitude both come from
|
||
// conv_signed_ema — eliminates the prior magnitude/sign mismatch
|
||
// where size stayed large while direction flipped on noise.
|
||
const float envelope_max = (float)max_lots;
|
||
const float target_lots_f = conv_signed_ema * envelope_max;
|
||
const int target_lots = (int)truncf(
|
||
target_lots_f + (target_lots_f >= 0.0f ? 0.5f : -0.5f));
|
||
if (target_lots == 0) {
|
||
const int code = (positions[b].position_lots == 0) ? 2 : 3;
|
||
market_targets[b * 2 + 0] = code;
|
||
market_targets[b * 2 + 1] = 0;
|
||
} else {
|
||
if (positions[b].position_lots == 0) {
|
||
open_horizon_masks[b] = attribution;
|
||
}
|
||
const int side = (target_lots > 0) ? 0 : 1;
|
||
const int abs_sz = (target_lots > 0) ? target_lots : -target_lots;
|
||
market_targets[b * 2 + 0] = side;
|
||
market_targets[b * 2 + 1] = abs_sz;
|
||
}
|
||
break;
|
||
}
|
||
default: break;
|
||
}
|
||
}
|
||
}
|
||
|
||
// Updates per-horizon IsvKellyState[h] for every horizon flagged in
|
||
// `closed_horizon_mask[b]`. Called by the host after pnl_track_step
|
||
// detects close transitions. `realised_return[b]` is the closed-trade
|
||
// per-lot return in price units (positive = win, negative = loss).
|
||
//
|
||
// Wiener-α floor 0.4 per pearl_wiener_alpha_floor_for_nonstationary.md.
|
||
// Welford variance updates a running estimate around mean 0 (simplified;
|
||
// v2 may switch to ema-centered).
|
||
//
|
||
// recent_sharpe composite re-computed from the freshly updated EMAs.
|
||
extern "C" __global__ void isv_kelly_update_on_close(
|
||
unsigned char* isv_kelly_base,
|
||
const unsigned int* closed_horizon_mask, // [n_backtests]
|
||
const float* realised_return, // [n_backtests]
|
||
int n_backtests
|
||
) {
|
||
int b = blockIdx.x;
|
||
if (b >= n_backtests || threadIdx.x != 0) return;
|
||
const unsigned int mask = closed_horizon_mask[b];
|
||
if (mask == 0u) return;
|
||
|
||
const float ret = realised_return[b];
|
||
IsvKellyState* isv = reinterpret_cast<IsvKellyState*>(
|
||
isv_kelly_base + (size_t)b * N_HORIZONS * sizeof(IsvKellyState)
|
||
);
|
||
|
||
const float alpha = 0.4f; // Wiener-α floor (non-stationary policy P&L)
|
||
|
||
#pragma unroll
|
||
for (int h = 0; h < N_HORIZONS; ++h) {
|
||
if (!(mask & (1u << h))) continue;
|
||
IsvKellyState& s = isv[h];
|
||
const bool win = ret > 0.0f;
|
||
|
||
if (s.n_trades_seen == 0u) {
|
||
// First-observation bootstrap: replace EMAs directly (no zero-bias warmup).
|
||
s.pnl_ema_win = win ? ret : 0.0f;
|
||
s.pnl_ema_loss = win ? 0.0f : -ret;
|
||
s.win_rate_ema = win ? 1.0f : 0.0f;
|
||
s.realised_return_var = ret * ret; // single-sample variance proxy
|
||
} else {
|
||
if (win) {
|
||
s.pnl_ema_win = (1.0f - alpha) * s.pnl_ema_win + alpha * ret;
|
||
s.win_rate_ema = (1.0f - alpha) * s.win_rate_ema + alpha * 1.0f;
|
||
} else {
|
||
s.pnl_ema_loss = (1.0f - alpha) * s.pnl_ema_loss + alpha * (-ret);
|
||
s.win_rate_ema = (1.0f - alpha) * s.win_rate_ema + alpha * 0.0f;
|
||
}
|
||
// Welford-ish running variance around 0.
|
||
const float prev_n = (float)s.n_trades_seen;
|
||
s.realised_return_var =
|
||
(prev_n * s.realised_return_var + ret * ret) / (prev_n + 1.0f);
|
||
}
|
||
s.n_trades_seen += 1u;
|
||
|
||
// Composite recent_sharpe = (mean_winning_contribution − mean_losing_contribution)
|
||
// / sqrt(realised_return_var)
|
||
const float numerator = s.pnl_ema_win * s.win_rate_ema
|
||
- s.pnl_ema_loss * (1.0f - s.win_rate_ema);
|
||
const float denom = sqrtf(fmaxf(s.realised_return_var, 1e-9f));
|
||
s.recent_sharpe = numerator / denom;
|
||
}
|
||
}
|