Five reward computation fixes in experience_env_step CUDA kernel:
1. Replace CUSUM vol proxy with ATR(14): CUSUM at feature[41] is a binary
direction indicator [-1,1,0], NOT volatility. When CUSUM≈0, vol_proxy
became 0.0001 causing 10000x reward amplification. ATR(14) at feature[9]
is actual realized volatility — reverse the safe_normalize encoding
(ln(atr)+7)/16 to recover atr_pct = exp(norm*16-7) / price.
2. Move loss aversion BEFORE squash: previously applied after hard clamp,
creating asymmetric [-15, +10] range making expected reward negative
even for fair strategies. Now applied pre-squash for smooth asymmetry.
3. Replace hard clamp with tanh soft squash: fmaxf(-10, fminf(10, reward))
destroyed tail information (1% and 5% wins both → 10.0). tanh preserves
that larger wins produce proportionally larger rewards.
4. Remove turnover penalty: the 0.05*|delta|/max_position penalty double-
counted transaction costs already deducted from cash via Almgren-Chriss
impact model at line ~679, over-penalizing necessary rebalancing.
5. Clarify CUSUM spread_scale usage: CUSUM at feature[41] is correctly used
as market-stress proxy for spread widening in tx cost computation — this
is distinct from the (now-fixed) vol proxy for reward normalization.
Also: annotate min_hold_bars=5 as hyperopt candidate.
Co-Authored-By: Claude Opus 4.6 (1M context) <noreply@anthropic.com>
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