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>
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