Gate 1 catastrophic failure (smoke vjmwc, commit 3d8f12deb):
- 62× hyperactivity (157,470 trades vs 2,511 baseline)
- 9,347% max-drawdown ($327M loss on $3.5M base)
- Sharpe -15.63 (2.4× worse than baseline)
Root cause: A2's formula
final_size *= (conv_ema / raw_max_conv)
amplified weak signals because EMA tracks the MEAN of raw_max_conv, NOT a
running max as the author's comment claimed. When raw_max_conv < conv_ema
(normal during quiet periods between strong signals), the multiplier was
> 1, blowing up small-signal positions:
raw=0.05, ema=0.3 → 6× amplification
raw=0.01, ema=0.3 → 30× amplification
Fix: clamp scale ∈ [0, 1] in BOTH decision_policy_default and
decision_policy_program (OP_WRITE_ORDER). Only damp when raw is stronger
than EMA (scale < 1); never amplify when raw is weaker (scale capped at 1).
Math:
scale = conv_ema / raw_max_conv // can be 0..∞
scale_clamped = min(scale, 1.0) // can only be 0..1
final_size *= scale_clamped
Test: conviction_ema_rescale_never_amplifies_weak_signal validates
target_lots stays ≤ 1 when alpha=0.51 (raw_conv=0.02) after EMA warmup
at alpha=0.7 (ema~=0.4). Without the clamp the broken multiplier is 20×.
Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>
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