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foxhunt/docs/superpowers
jgrusewski 9b29f9fd0a feat(ml-backtesting): trade-vol floor replaces 2×cost literal in stop_check_isv
Replaces the Task 12 `2.0f * cost` floor (hardcoded multiplier) with
trade_vol = sqrt(realised_return_var) bootstrapped from cost². Per
pearl_trade_level_vol_for_stop_distance.md: microstructure ATR is the
wrong time scale for trade-level stop decisions; per-horizon
realised_return_var is the right one, with cost² as a structural cold-
start sentinel.

cost now appears exactly once — inside the sqrt as a bootstrap sentinel,
never as a distance multiplier. The 2.0f literal is eliminated;
controller is fully ISV-driven.

var_avg accumulates realised_return_var in the same single-pass horizon
loop as ema_loss/ema_win. Cold-start (var_avg=0): trade_vol = cost.
Post-bootstrap: sqrt(var_avg) dominates.

Test retargeted: cost_floor_prevents_sub_cost_stops →
trade_vol_floor_prevents_sub_cost_stops, with boundaries straddling
trade_vol=cost=0.125 instead of the prior 2*cost=0.25 (no-fire Δ=0.08,
fire Δ=0.20).

Spec §5, §10, §11, §12 amended.

Co-Authored-By: Claude Opus 4.7 (1M context) <noreply@anthropic.com>
2026-05-20 01:45:37 +02:00
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