F-series investigations triangulated TWO real bugs that together
explained: aux BCE > ln(2) chance baseline, sub-chance dir_acc with
balanced labels, and bit-identical training across vastly different
POS_WEIGHT_MAX values.
BUG #1 (F2) — One-sided book contamination in mid_price_f32:
- crates/ml-alpha/src/data/loader.rs::mid_price_f32 blindly averaged
bid_px[0] + ask_px[0] without checking validity. MBP-10 snapshots
at session boundaries / halts / stale level-0 vacancies have
bid_px=0 or ask_px=0; result was mid = real_price/2 (~2750 for ES)
or mid = 0 (both sides empty).
- generate_outcome_labels_ab:218-220 only guarded is_finite() (NOT > 0).
Sister fn generate_labels:75 does check both — asymmetry between
parallel generators.
- Transitions like mid=0 → mid=5500 produced ΔP=5500, instantly
satisfying delta > 2×cost → spuriously triggering y_prof=1. Each
contaminated snapshot tainted up to 2K downstream labels (appears
as p_t for K positions and as p_kt for K positions).
- With ~10-20% one-sided books in real ES, ~35-45% of K=10 labels
spuriously positive — exactly matching the observed pos_fraction
(0.35, 0.39, 0.46 for long).
Fix (broader): mid_price_f32 returns NaN for one-sided/empty books
at the source. Cascades to ALL downstream consumers (regime features,
snap_features encoder, labels). Defensive guard also added in
multi_horizon_labels.rs:218 for direct-test callers bypassing the
loader.
BUG #2 (F1+F3) — dir_acc metric structural bias:
- perception.rs:3647 match condition for flat-true bucket required
float-EXACT equality on raw logits (`pred_diff == 0.0`) — essentially
unreachable for continuous-valued logits.
- On real ES, ~30-50% of samples are flat (neither direction
profitable at 2×cost threshold). ALL counted as misses → random
baseline depressed to ~0.35 (matching observed 0.32-0.45). BCE
can DROP while dir_acc DROPS — decoupled metrics.
- aux_lift_dir_acc_threshold=0.85 was structurally UNREACHABLE under
this metric regardless of model quality.
Fix: skip flat-true samples (`if true_diff == 0 { continue; }`).
Converts dir_acc into "given a directional outcome, did we get the
direction right?" with proper random baseline 0.5.
F3 + F4 confirmed: aux head wiring (8 head Adam optimizers, fwd/bwd
kernel arg order, BCE+sigmoid gradient sign, reduce_axis0 reduction)
is correct. The synthetic perception_overfit test stays in chance
regime because it constructs constant prof_long=1, prof_short=0 →
no zero-priced snapshots, no flat-true bucket. Production-data path
divergence is the canonical pattern in
pearl_canary_input_freshness_launch_order.
cargo check --workspace --all-targets: clean.
cargo test -p ml-alpha --lib multi_horizon_labels: 15 passed.
Co-Authored-By: Claude Opus 4.7 (1M context) <noreply@anthropic.com>
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