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>
39 lines
1.6 KiB
JSON
39 lines
1.6 KiB
JSON
{
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"name": "decision_program_h4_only",
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"n_backtests": 1,
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"comment": "Uploads a custom Strategy bytecode program (single Leaf at horizon N_HORIZONS-1) that bypasses the hardcoded WeightedByRealizedSharpe default. Should produce equivalent end-state when only the last horizon is weighted.",
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"warm_start_isv_kelly": [
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[
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{ "pnl_ema_win": 0.0, "pnl_ema_loss": 0.0, "win_rate_ema": 0.0, "n_trades_seen": 0, "realised_return_var": 0.0, "recent_sharpe": 0.0 },
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{ "pnl_ema_win": 0.0, "pnl_ema_loss": 0.0, "win_rate_ema": 0.0, "n_trades_seen": 0, "realised_return_var": 0.0, "recent_sharpe": 0.0 },
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{ "pnl_ema_win": 2.0, "pnl_ema_loss": 0.5, "win_rate_ema": 0.8, "n_trades_seen": 50, "realised_return_var": 0.25, "recent_sharpe": 1.0 }
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]
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],
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"upload_h4_leaf_program": true,
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"events": [
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{
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"type": "snapshot",
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"bid_px": [5499.75, 5499.50, 5499.25, 5499.00, 5498.75, 5498.50, 5498.25, 5498.00, 5497.75, 5497.50],
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"bid_sz": [100.0, 100.0, 100.0, 100.0, 100.0, 100.0, 100.0, 100.0, 100.0, 100.0],
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"ask_px": [5500.00, 5500.25, 5500.50, 5500.75, 5501.00, 5501.25, 5501.50, 5501.75, 5502.00, 5502.25],
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"ask_sz": [100.0, 100.0, 100.0, 100.0, 100.0, 100.0, 100.0, 100.0, 100.0, 100.0]
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},
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{
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"type": "decision",
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"alpha_probs": [0.5, 0.5, 0.9],
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"target_annual_vol_units": 50.0,
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"annualisation_factor": 1.0,
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"max_lots": 5,
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"ts_ns": 1000000000
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}
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],
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"expected_pos": [
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{
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"position_lots": 3,
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"vwap_entry": 5500.00,
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"vwap_tol": 0.01,
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"realized_pnl_tol": 0.001
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}
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]
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}
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