Empirical trigger: Phase A as designed in v2 failed Gate 1 catastrophically
on both smoke vjmwc (commit 3d8f12deb) and lkrdf (commit fe2498769 with
amplification clamp). Both produced ~155k trades (62× baseline), 9100%
max-drawdown (175× baseline), and Sharpe -15.7. The clamp had effectively
zero impact on the outcome, confirming the bug is structural not formulaic.
Architectural finding: the v2 phase split (A: continuous control / B:
signal-driven position management) is artificial. They are the same
mechanism. A scalar EMA on max(|p-0.5|) cannot smooth direction jitter
between horizons; only the multi-horizon ISV-weighted conviction formula
(v2 §4.4, deferred to Phase B in v2) is structurally coherent.
User-validated mental model: signal vector at any moment IS a forward
prediction of the trade trajectory; optimal position = inventory implied
by current beliefs; trade actions are sparse because most events
produce only fractional adjustments to a stable optimum. Continuous
evaluation, discrete action.
v3 phase structure (replaces v2 A/B/C/D):
CRT.1 Unified Inventory Controller (was A+B merged)
CRT.2 Adaptive Risk Envelope (was Layer C, unchanged)
CRT.3 Online Weight Adaptation (was Layer D, unchanged)
CRT.1 components:
- forward_step every event (already shipped: A0.5)
- decision_stride deleted (already shipped: A1)
- Multi-horizon ISV-weighted conviction (§4.4 promoted from Phase B)
- Wiener-α EMA on multi-horizon conviction (§4.2 promoted)
- target_lots = direction × |conviction_ema| × envelope_max
- No-trade band in seed_inflight: skip if |delta| < delta_floor (NEW)
- open_trade_state 24→64 expansion (§7 promoted from Phase B)
- Conviction-degradation exit emergent from target→0; composite-signal
safety layer (§4.3) preserved as circuit-breaker
What survives from v2 commits on the branch:
a0e81fbdf forward_step incremental SSM (A0.5)
92f8b10ed forward_step_into eliminates GPU↔CPU round-trip
045850e8f delete decision_stride field (A1)
3d8f12deb buffer-level seed bit-identity test
What gets superseded in CRT.1 implementation:
1d889d2de A2 scalar conviction-EMA with aggregate rescale — replaced
by multi-horizon §4.4 formula
fe2498769 A2.1 clamp on broken rescale — same reason
The three conviction-EMA device slots (conviction_ema_d et al.) STAY
in LobSimCuda — the EMA mechanism is reused on the multi-horizon
conviction scalar. The `final_size *= scale` rescale step is deleted.
Gate restructure:
v2 Gate 1 (Layer A standalone) — REMOVED
v2 Gate 2 (Layer B) — PROMOTED as Gate CRT.1
v2 Gate 3/4 — unchanged as CRT.2/CRT.3
Status: Design v3 — awaiting plan rewrite before implementation.
Co-Authored-By: Claude Opus 4.7 (1M context) <noreply@anthropic.com>
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