The old approach used pre-clamp reward tail maxes (neg_ema/pos_ema ≈
0.07) → LOSS hit floor at 1.0 → no loss aversion → wr dropped to 0.44.
New approach: the clamp controller loops over done-step rewards,
separates wins from losses, maintains two ISV EMAs:
- RL_DONE_WIN_MAGNITUDE_EMA_INDEX (585) — avg winning trade magnitude
- RL_DONE_LOSS_MAGNITUDE_EMA_INDEX (586) — avg losing trade magnitude
LOSS = clamp(1.0, loss_ema/win_ema × 1.1, 3.0). With observed L/W
ratio of 1.32, LOSS should settle at ~1.45 — preserves loss aversion
while preventing the 3× tolerance that caused massive losses.
On top of dd049d9a4 baseline (wr=0.567). Only this one change.
Co-Authored-By: Claude Opus 4.7 <noreply@anthropic.com>
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