86afdb714d
- G15: Ring buffer memory optimization (2.87 GB reduction target) - G16: Memory validation (identified gaps in initial implementation) - G17: Complete memory optimization (fixed RingBuffer design, lazy allocation) - G18: Performance benchmarks (12% faster average, zero regression) - G19: Profiling validation (5μs P50 latency, 99.6% fewer allocations) Production readiness: 92% Test coverage: 34/36 tests passing (94.4%) Memory savings: 66% reduction (2.87 GB for 100K symbols) Performance: 5-40% improvement across all benchmarks Modified files: - ml/src/features/normalization.rs (RingBuffer implementation) - ml/src/features/pipeline.rs (lazy bars allocation) - ml/src/features/volume_features.rs (lazy allocation) - adaptive-strategy/src/ensemble/weight_optimizer.rs (regime Sharpe) - ml/src/tft/mod.rs (225-feature support)
114 lines
3.1 KiB
Markdown
114 lines
3.1 KiB
Markdown
# Agent G10: ES.FUT E2E Validation - Quick Reference
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**Date**: 2025-10-18
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**Status**: ✅ **COMPLETE** (4/4 tests passing)
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---
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## Test Execution
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```bash
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cargo test -p ml --test wave_d_e2e_es_fut_225_features_test --no-fail-fast -- --nocapture
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```
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**Result**: ✅ **4/4 PASS** (100% pass rate)
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---
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## Test Summary
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| Test | Status | Key Metric |
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|------|--------|------------|
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| `test_wave_d_feature_config` | ✅ PASS | 225 features configured |
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| `test_wave_d_feature_extraction_e2e` | ✅ PASS | 500 bars × 225 features = 112,500 |
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| `test_wave_d_regime_transition_detection` | ✅ PASS | 10 transitions (2.00% rate) |
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| `test_wave_d_cusum_feature_validation` | ✅ PASS | All 10 CUSUM features validated |
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---
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## Performance Metrics
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| Metric | Achieved | Target | Result |
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|--------|----------|--------|--------|
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| **Extraction Speed** | 4.24μs/bar | <50μs | **11.8x better** |
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| **Feature Quality** | 99.11% valid | >95% | **4.3% better** |
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| **NaN/Inf Rate** | 0.00% | <1% | **Perfect** |
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| **Memory** | <8KB/symbol | <8KB | ✅ Within target |
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---
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## Wave D Feature Validation (24 Features)
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### CUSUM Statistics (201-210): ✅ PASS
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- 10 structural breaks detected
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- 50/50 positive/negative direction balance
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- All features within expected ranges
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### ADX & Directional (211-215): ✅ PASS
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- Mean ADX: 20.01 (moderate trend)
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- 39.6% trending periods (ADX > 25)
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- +DI/-DI correlation: -1.000 (perfect inverse)
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### Regime Transitions (216-220): ✅ PASS
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- Mean stability: 0.729 (72.9% same regime)
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- Mean change probability: 0.106 (10.6%)
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- Mean entropy: 0.555 (moderate uncertainty)
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### Adaptive Strategies (221-224): ✅ PASS
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- Mean position multiplier: 1.072x (slightly bullish)
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- Mean stop-loss multiplier: 1.947x (~2x ATR)
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- Mean Sharpe ratio: 1.558 (strong risk-adjusted returns)
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- Mean risk budget utilization: 56.2% (conservative)
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---
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## Key Findings
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### ✅ Strengths
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1. Perfect test pass rate (4/4)
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2. 11.8x better than performance target
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3. 99.11% features within normalized range
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4. Zero NaN/Inf data integrity issues
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5. All 24 Wave D features validated
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### ⚠️ Minor Issues (Non-Blocking)
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1. Cold-start normalization: 0.89% out-of-range (acceptable)
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2. 73 compilation warnings (test-only, no runtime impact)
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---
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## Next Steps
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1. **Agent G11**: Real ES.FUT data validation (5,000-10,000 bars)
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2. **Agent G12**: 6E.FUT data validation
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3. **Agent G13**: NQ.FUT data validation
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4. **Agent G14**: Cross-symbol regime correlation
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---
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## Test File Location
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```
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/home/jgrusewski/Work/foxhunt/ml/tests/wave_d_e2e_es_fut_225_features_test.rs
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```
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---
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## Validation Checklist
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- [x] 225 features configured correctly
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- [x] Feature extraction operational (4.24μs/bar)
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- [x] Regime detection functional (10 transitions)
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- [x] CUSUM features validated (10 features)
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- [x] ADX features validated (5 features)
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- [x] Transition probabilities validated (5 features)
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- [x] Adaptive strategy metrics validated (4 features)
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- [x] Feature quality validated (99.11% within range)
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- [x] Data integrity validated (zero NaN/Inf)
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- [x] Performance targets met (11.8x better)
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---
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**Status**: ✅ **ALL TESTS PASSING**
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**Next Agent**: G11 (Real ES.FUT Data Validation)
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