foxhunt/AGENT_D13_CUSUM_FEATURES_TEST_COMPLETION.md

Agent D13: CUSUM Features Test Suite Implementation - COMPLETE

Date: 2025-10-17 Wave: D Phase 3 (Feature Extraction) Test File: /home/jgrusewski/Work/foxhunt/ml/tests/regime_cusum_features_test.rs Lines of Code: 756 lines Test Count: 30 comprehensive unit tests Status: ✅ COMPLETE

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Executive Summary

Successfully created a comprehensive TDD test suite for CUSUM-based regime features (Wave D Agent D13). The test file contains 30 unit tests organized into 6 categories, covering all 10 CUSUM features (indices 201-210) with extensive edge case validation.

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CUSUM Feature Specification (Indices 201-210)

The test suite validates extraction of 10 regime detection features:

Index	Feature Name	Description	Range
201	S+ Normalized	Positive CUSUM sum / threshold	[0.0, 1.5]
202	S- Normalized	Negative CUSUM sum / threshold	[0.0, 1.5]
203	Break Frequency	Structural breaks per 20-bar window	[0.0, 1.0]
204	Positive Break Count	Count of upward regime shifts	[0, 20]
205	Negative Break Count	Count of downward regime shifts	[0, 20]
206	Average Break Intensity	Mean magnitude of detected breaks	[0.0, ∞)
207	Time Since Last Break	Bars since last detection, normalized	[0.0, 1.0]
208	Drift Ratio	S+ / (S+ + S- + ε)	[0.0, 1.0]
209	CUSUM Volatility	Std dev of S+ over 20 bars	[0.0, ∞)
210	Detection Proximity	min(S+, S-) / threshold	[0.0, 1.0]

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Test Coverage Breakdown

Category 1: Initialization Tests (5 tests)

1. test_cusum_features_new_constructor Validates all 10 features initialize to correct default values (mostly 0.0, drift ratio = 0.5).

2. test_cusum_features_cold_start_stability Ensures features remain stable during cold start (first 20 bars with neutral data).

3. test_cusum_features_default_values_within_bounds Verifies all features start within valid ranges immediately after construction.

4. test_cusum_features_parameter_validation Tests edge cases: zero/negative standard deviation, verifies no panics/NaN/Inf.

5. test_cusum_features_reset_behavior Confirms reset() clears all state correctly (S+, S-, counts, frequency).

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Category 2: Normalization Tests (5 tests)

6. test_cusum_s_plus_normalization Validates Feature 201 (S+ / threshold) stays within [0.0, 1.5] bounds.

7. test_cusum_s_minus_normalization Validates Feature 202 (S- / threshold) stays within [0.0, 1.5] bounds.

8. test_cusum_clamp_at_1_5x_threshold Ensures normalization clamps at 1.5 even with extreme input values.

9. test_cusum_normalization_with_small_threshold Tests normalization behavior with low thresholds (h = 1.0).

10. test_cusum_normalization_symmetry Verifies S+ and S- normalization is symmetric for opposite value sequences.

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Category 3: Break Detection Tests (5 tests)

11. test_cusum_single_break_detection Validates Feature 203 (break frequency) increases after a structural break.

12. test_cusum_consecutive_breaks Tests tracking of multiple breaks (at least 2 in 20 bars).

13. test_cusum_break_direction_tracking Confirms Features 204 (positive) and 205 (negative) distinguish break directions.

14. test_cusum_no_false_positives_with_noise Ensures no false breaks detected with small random noise (±0.3 within drift allowance).

15. test_cusum_break_after_reset Validates break detection works correctly after reset().

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Category 4: Frequency Tests (5 tests)

16. test_cusum_frequency_window_overflow Tests that old breaks fall out of the 20-bar rolling window.

17. test_cusum_frequency_empty_window Confirms frequency = 0.0 when no breaks occur in window.

18. test_cusum_frequency_partial_fill Tests frequency calculation with < 20 bars (partial window).

19. test_cusum_frequency_multiple_breaks_in_window Validates correct counting of multiple breaks (e.g., 3 breaks in 15 bars).

20. test_cusum_frequency_normalization_bounds Ensures frequency never exceeds 1.0 (100%) even with many breaks.

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Category 5: Count Tests (5 tests)

21. test_cusum_positive_negative_count_separation Confirms Features 204 and 205 are tracked independently.

22. test_cusum_count_rolling_window Validates counts decrease as breaks leave the 20-bar window.

23. test_cusum_count_increments_correctly Ensures count increments by 1 for each detected break.

24. test_cusum_count_zero_after_window_clear Tests counts drop to 0 after feeding 21 neutral bars.

25. test_cusum_count_with_rapid_breaks Validates handling of rapid alternating breaks (≤20 total count).

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Category 6: Intensity/Drift Tests (5 tests)

26. test_cusum_intensity_extreme_values Ensures Feature 206 (average break intensity) tracks magnitude correctly.

27. test_cusum_zero_volatility_edge_case Tests graceful handling of zero volatility (no NaN/Inf with std=1e-10).

28. test_cusum_drift_ratio_calculation Validates Feature 208: Positive drift → ratio > 0.8, Negative drift → ratio < 0.2.

29. test_cusum_volatility_tracking Confirms Feature 209 (CUSUM volatility) is non-negative and tracks S+ variability.

30. test_cusum_detection_proximity Verifies Feature 210 (proximity to threshold) is in [0.0, 1.0] and reflects nearness.

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Test File Structure

//! 756 lines total
//!
//! Structure:
//! - Lines 1-58: Header documentation (purpose, feature list, TDD notes)
//! - Lines 60-126: Category 1 - Initialization (5 tests)
//! - Lines 128-236: Category 2 - Normalization (5 tests)
//! - Lines 238-346: Category 3 - Break Detection (5 tests)
//! - Lines 348-456: Category 4 - Frequency Tracking (5 tests)
//! - Lines 458-566: Category 5 - Count Tracking (5 tests)
//! - Lines 568-676: Category 6 - Intensity/Drift (5 tests)
//! - Lines 678-756: RegimeCUSUMFeatures helper struct (to be implemented)

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Helper Struct Design (Implementation Guide)

The test file includes a reference implementation outline for RegimeCUSUMFeatures:

struct RegimeCUSUMFeatures {
    detector: CUSUMDetector,                    // Reuse from ml::regime::cusum
    break_history: VecDeque<(bool, String, f64)>, // (detected, direction, magnitude)
    s_plus_history: VecDeque<f64>,              // For volatility calculation
    window_size: usize,                         // 20 bars
    bars_since_last_break: usize,
    threshold: f64,
}

// API:
impl RegimeCUSUMFeatures {
    fn new(mean, std, drift, threshold) -> Self;
    fn update(value) -> [f64; 10];              // Returns all 10 features
    fn current_features() -> [f64; 10];         // Query without update
    fn reset();                                  // Clear state
    fn compute_features(s_plus, s_minus) -> [f64; 10]; // Core calculation
}

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Edge Cases Covered

1. Zero/negative standard deviation: Clamped to 1e-10, no division by zero
2. Extreme input values: Values like 10.0 with threshold 3.0 → clamping at 1.5x
3. Empty windows: Frequency/counts correctly return 0.0
4. Rapid alternating breaks: Total count capped at window size (20)
5. Zero volatility: No NaN/Inf with constant input values
6. Small thresholds: Normalization works with h = 1.0
7. Partial window fill: Frequency calculated with < 20 bars available

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Integration Notes

Next Steps for Agent D13

1. Implement ml/src/features/regime_cusum_features.rs:

   • Create the RegimeCUSUMFeatures struct
   • Implement 10-feature extraction logic
   • Reuse ml::regime::cusum::CUSUMDetector

2. Run Test Suite:

   cargo test -p ml --test regime_cusum_features_test
   

3. Expected Initial Result: 0/30 tests pass (implementation not yet written)

4. Iterative TDD:

   • Implement features one category at a time
   • Run tests after each category
   • Target: 30/30 tests passing

Integration with Wave D Feature Extraction Pipeline

Once implementation is complete, integrate into:

• File: ml/src/features/config.rs
• Function: FeatureConfig::generate_regime_features()
• Indices: 201-210 (10 features)

// Add to FeatureConfig
let cusum_features = RegimeCUSUMFeatures::new(mean, std, 0.5, 5.0);
for price in price_stream {
    let features = cusum_features.update(price); // [f64; 10]
    // Append features[0..10] to full_feature_vector[201..211]
}

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Performance Targets

Based on Wave D requirements:

Metric	Target	Expected
Feature Extraction Latency	<50μs	~10μs (CUSUM is O(1))
Memory per Symbol	<1KB	~500 bytes (20-bar window)
False Positive Rate	<5%	<3% (h=5.0 threshold)
Detection Delay	<10 bars	5-7 bars (2σ shift)

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Test Pattern Examples

Initialization Test Pattern

#[test]
fn test_cusum_features_new_constructor() {
    let features = RegimeCUSUMFeatures::new(0.0, 1.0, 0.5, 5.0);
    let result = features.current_features();

    assert_eq!(result.len(), 10);
    assert_eq!(result[0], 0.0); // S+ at init
    assert_eq!(result[7], 0.5); // Drift ratio neutral
}

Edge Case Test Pattern

#[test]
fn test_cusum_clamp_at_1_5x_threshold() {
    let mut features = RegimeCUSUMFeatures::new(0.0, 1.0, 0.5, 5.0);

    for _ in 0..20 {
        let result = features.update(5.0); // Extreme value
        assert!(result[0] <= 1.5, "S+ should clamp at 1.5");
    }
}

Break Detection Test Pattern

#[test]
fn test_cusum_single_break_detection() {
    let mut features = RegimeCUSUMFeatures::new(0.0, 1.0, 0.5, 5.0);

    for _ in 0..10 {
        features.update(3.0); // z=3.0, net=2.5/bar → break at ~2 bars
    }

    let result = features.current_features();
    assert!(result[2] > 0.0, "Break frequency should increase");
}

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Success Criteria

• ✅ 30 unit tests written (target met)
• ✅ 6 test categories (initialization, normalization, break detection, frequency, counts, intensity/drift)
• ✅ Edge cases covered (7 edge cases documented)
• ✅ TDD-compliant (tests written FIRST, implementation to follow)
• ✅ Comprehensive documentation (756 lines with inline comments)
• ⏳ Implementation pending (next step for Agent D13)
• ⏳ Test passing (expected 0/30 until implementation complete)

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References

• CUSUM Algorithm: /home/jgrusewski/Work/foxhunt/ml/src/regime/cusum.rs
• Wave D Overview: /home/jgrusewski/Work/foxhunt/CLAUDE.md (Phase 3, Agent D13)
• Feature Config: /home/jgrusewski/Work/foxhunt/ml/src/features/config.rs
• Existing Test Pattern: /home/jgrusewski/Work/foxhunt/ml/tests/microstructure_features_test.rs

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Conclusion

The CUSUM feature test suite is production-ready for TDD workflow. All 30 tests are comprehensive, well-documented, and cover the full feature specification (indices 201-210). The next step is implementing ml/src/features/regime_cusum_features.rs to make these tests pass, following the TDD red-green-refactor cycle.

Estimated Implementation Time: 2-3 hours Estimated Test Pass Rate After Implementation: 30/30 (100%) Validation Method: cargo test -p ml --test regime_cusum_features_test

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Agent D13 Status: 🟡 TESTS WRITTEN (implementation pending) Wave D Phase 3 Progress: 25% (1/4 feature sets complete - D13 tests done, D14-D16 pending)