632296021c
Per spec §4.4 + plan C1.2. Replaces v2 A2 (1d889d2de) + A2.1 (fe2498769) scalar approach that failed Gate 1 catastrophically on smokes vjmwc and lkrdf (155k trades, 9100% drawdown, Sharpe -15.7). The structural fix: direction comes from per-horizon SIGNED sum, so disagreeing horizons cancel. The scalar EMA on max(|p-0.5|) could only smooth magnitude — it could not smooth direction jitter. Only this multi-horizon weighted formula can. Formula (spec §4.4): weight_h = max(isv[h].net_edge, ε) / (isv[h].var + cost²) weighted_h = magnitude_h × weight_h × direction_h conviction_signed = sum(weighted_h) / sum(|weight_h|) conviction_ema = Wiener-α EMA(|conviction_signed|) (reuses A2 slots) target_lots = round(sign(conviction_signed) × conviction_ema × max_lots) Pearl conformance: - pearl_controller_anchors_isv_driven: weights from ISV state - pearl_one_unbounded_signal_per_reward: net_edge/(var+cost²) is the single unbounded factor; magnitude × direction is bounded in [-1,1] - pearl_zscore_normalization_for_magnitude_asymmetric_signals: divide by total_abs_weight for scale invariance - pearl_trade_level_vol_for_stop_distance: cost² is variance bootstrap - pearl_blend_formulas_must_have_permanent_floor: ε = cost · 0.01 on net_edge — no cold-start regime switch - pearl_audit_unboundedness_for_implicit_asymmetry: net_edge is one-sided positive (losing-edge horizons drop out, not flip sign) - pearl_wiener_alpha_floor_for_nonstationary: α floor at 0.4 (unchanged EMA mechanism, repointed at the multi-horizon scalar) DELETED: - The `final_size *= (conv_ema/raw_max_conv)` aggregate rescale step (the v2 bug that amplified weak signals) - The per-horizon `signed_sizes[h]` Kelly + Sharpe-weight aggregation loop in decision_policy_default (replaced by direct §4.4 formula) - Three obsolete tests asserting on the old scalar path: * conviction_ema_smooths_micro_oscillations * conviction_ema_does_not_lag_reversals * conviction_ema_rescale_never_amplifies_weak_signal * cfg_high_kelly_floor helper (only used by deleted tests) - cold_start_with_zero_floor_reproduces_old_bug (tested OLD kelly_floor semantics that v3 doesn't expose) - cold_start_persistent_bullish_now_closes (was passing under v2 via target oscillation from integer rounding; v3 produces stable target on stable signal — closes need price movement) - alpha_noop_side_2_preserved (anchored on the v2 kelly_frac_floor integer-truncation path that doesn't exist under v3) Applied to BOTH decision_policy_default and decision_policy_program (bytecode VM at OP_WRITE_ORDER). Per feedback_no_partial_refactor — both consumers migrate atomically. The VM's per-horizon emit + aggregate opcodes still execute but their stack `final_size` is unused at OP_WRITE_ORDER (the §4.4 conviction-driven target replaces it). The stack's attribution mask is still consumed for entry crediting. The three conviction-EMA device slots (conviction_ema_d, _diff_var, _sample_var) STAY in LobSimCuda. The Wiener-α EMA mechanism is reused on the multi-horizon conviction scalar; the device-helper signature changed from taking alpha_probs[] to taking the precomputed scalar |conviction_signed|. Kernel ABI change: decision_policy_default no longer takes target_annual_vol_units / annualisation_factor / kelly_frac_floor / sharpe_weight_floor (the §4.4 formula doesn't use them). Removed from both the CUDA signature and the launch builder in sim/mod.rs. The bytecode VM (decision_policy_program) still consumes those params for its OP_EMIT_PER_HORIZON_SIZE / OP_AGG_WEIGHTED_SHARPE opcodes — their device slots remain allocated. Test: multi_horizon_conviction_cancels_on_disagreement verifies the structural fix — bullish [0.7,0.3,0.7,0.3,0.5] horizons cancel to no-trade output (side=2/3, size=0, conv_ema≈0). Existing tests rebased: cfgs that used cost_per_lot_per_side=0.0 now use 1.0 (the §4.4 formula's eps_edge floor requires cost > 0). Each affected test file documents the rebase inline. Tests that were anchored on observed v2-kernel values (per pearl_tests_must_prove_not_lock_observations) are deleted; tests with genuine invariants (boundedness, direction-sanity, stop-controller behavior) are preserved. Hot-path discipline: no memcpy_htod/dtoh/dtov/synchronize introduced. Only kernel-internal computation; one launch arg removed from the default decision kernel. Co-Authored-By: Claude Opus 4.7 (1M context) <noreply@anthropic.com>
60 lines
2.3 KiB
Rust
60 lines
2.3 KiB
Rust
//! P1 regression test: per-backtest sim parameter arrays. With uniform
|
|
//! config across N backtests, all N must produce the same market_target
|
|
//! decision (proves the per-backtest indexing reduces correctly to the
|
|
//! pre-refactor scalar-broadcast semantics).
|
|
//!
|
|
//! Pair: the independence test (proving DIFFERENT per-backtest configs
|
|
//! produce different outputs) lands alongside the P2 inflight-limits
|
|
//! kernel where the read_first_inflight_arrival_ts helper exists.
|
|
|
|
use anyhow::Result;
|
|
use ml_backtesting::sim::{BatchedSimConfig, LobSimCuda, UniformSimParams};
|
|
use ml_core::device::MlDevice;
|
|
|
|
#[test]
|
|
#[ignore = "requires CUDA"]
|
|
fn parallel_sim_equivalence_with_uniform_config() -> Result<()> {
|
|
let dev = match MlDevice::cuda(0) {
|
|
Ok(d) => d,
|
|
Err(e) => {
|
|
eprintln!("skipping: cuda device unavailable ({e})");
|
|
return Ok(());
|
|
}
|
|
};
|
|
let mut sim = LobSimCuda::new(8, &dev)?;
|
|
sim.broadcast_alpha(&[0.8, 0.8, 0.8, 0.8, 0.8])?;
|
|
let cfg = BatchedSimConfig::from_uniform(
|
|
8,
|
|
&UniformSimParams {
|
|
target_annual_vol_units: 50.0,
|
|
annualisation_factor: 825.0,
|
|
max_lots: 5,
|
|
latency_ns: 0,
|
|
kelly_frac_floor: 0.20,
|
|
sharpe_weight_floor: 0.10,
|
|
threshold: 0.0,
|
|
// CRT.1 C1.2: cost > 0 is required for the §4.4 conviction
|
|
// formula's eps_edge floor; 1.0 is a typical futures
|
|
// round-trip cost.
|
|
cost_per_lot_per_side: 1.0,
|
|
max_hold_ns: 0,
|
|
min_reasonable_px: 0.0,
|
|
max_reasonable_px: f32::INFINITY,
|
|
},
|
|
);
|
|
sim.step_decision_with_latency(0, &cfg)?;
|
|
let first = sim.read_market_target(0)?;
|
|
for b in 1..8 {
|
|
let got = sim.read_market_target(b)?;
|
|
assert_eq!(
|
|
got, first,
|
|
"backtest {b} differs from backtest 0 under uniform config: {got:?} vs {first:?}"
|
|
);
|
|
}
|
|
// And the uniform-config result must equal the result we'd get from
|
|
// a single-backtest sim (preserves pre-refactor behaviour).
|
|
assert_eq!(first.0, 0, "uniform config with p_h=0.8 should produce a buy; got side={}", first.0);
|
|
assert!(first.1 >= 1, "uniform-config size {} < 1", first.1);
|
|
Ok(())
|
|
}
|