ae99567362
CQL was effectively disabled (0.1 alpha × 0.15 budget = 1.5% of gradient). Now: alpha=1.0 × 0.25 budget = 25% of gradient enforces conservatism. C51 reduced from 70% to 60% to accommodate. CQL penalizes Q-values for actions not in the data — directly prevents the model from being "confident but wrong" on OOS state-action pairs. Hyperopt search range updated: [0.0, 1.0] → [0.5, 5.0]. Co-Authored-By: Claude Opus 4.6 (1M context) <noreply@anthropic.com>
136 lines
3.4 KiB
TOML
136 lines
3.4 KiB
TOML
# DQN Hyperopt Profile — PSO search space definition
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# All bounds are [min, max] ranges. The adapter reads these at runtime.
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# To constrain the search space, narrow the ranges here — no code changes needed.
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[search_space]
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# Base parameters
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learning_rate = [0.00001, 0.0003] # log scale in adapter
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batch_size = [64, 512]
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gamma = [0.90, 0.99] # wider range — v_range computed dynamically from gamma
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buffer_size = [50000, 100000] # log scale in adapter
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max_position_absolute = [1.0, 4.0]
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huber_delta = [10.0, 40.0] # log scale in adapter
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entropy_coefficient = [0.05, 0.5]
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transaction_cost_multiplier = [0.5, 2.0]
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per_alpha = [0.4, 0.8]
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per_beta_start = [0.2, 0.6]
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# Rainbow DQN extensions
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v_range = [1.0, 1.0] # IGNORED: v_range now computed dynamically from gamma
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noisy_sigma_init = [0.1, 1.0] # log scale in adapter
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dueling_hidden_dim = [128, 512]
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n_steps = [3, 5]
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num_atoms = [51, 101] # 51=C51 paper minimum, 101=higher resolution (2x slower but better signal)
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# Weight decay
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weight_decay = [0.0001, 0.01] # log scale in adapter
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# Kelly risk parameters
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kelly_fractional = [0.25, 0.75]
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kelly_max_fraction = [0.1, 0.5]
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# Volatility
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volatility_window = [10, 30]
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# Soft update
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tau = [0.005, 0.01] # log scale in adapter
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# Network sizing
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hidden_dim_base = [128, 256] # capped at production default: 512 is 4x slower for marginal benefit
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# CQL regularization
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cql_alpha = [0.5, 5.0]
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# Training dynamics
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lr_decay_type = [0, 2] # discrete: 0=constant, 1=linear, 2=cosine
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dsr_eta = [0.001, 0.05] # log scale in adapter
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minimum_profit_factor = [1.1, 2.0]
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# Exploration
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count_bonus_coefficient = [0.0, 0.3]
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# Risk-adjusted returns
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sharpe_weight = [0.0, 0.5]
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# Branching DQN
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branch_hidden_dim = [64, 256]
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# Gradient accumulation
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gradient_accumulation_steps = [1, 1] # fixed at 1 for now
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# IQN dual-head
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iqn_lambda = [0.0, 2.0]
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# Spectral normalization
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spectral_norm_sigma_max = [1.0, 10.0]
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# C51 warmup
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c51_warmup_epochs = [0, 10]
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# HER ratio
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her_ratio = [0.0, 0.8]
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# Composite reward weights
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w_dsr = [0.1, 2.0]
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w_pnl = [0.0, 1.0]
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w_dd = [0.0, 5.0]
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w_idle = [0.0, 0.1]
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dd_threshold = [0.005, 0.03] # HFT: tight drawdown tolerance (0.5%-3%)
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loss_aversion = [1.0, 3.0]
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time_decay_rate = [0.0001, 0.005]
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# Trade conviction filter
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q_gap_threshold = [0.0, 0.5] # 0.0=trade every bar, 0.5=high conviction only
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[experience]
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initial_capital = 100000.0
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[experience.fill_simulation]
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ioc_fill_prob = 0.85
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limit_fill_min = 0.30
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limit_fill_max = 0.80
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spread_cost_frac = 0.50
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spread_capture_frac = 0.50
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[risk]
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q_clip_min = -200.0
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q_clip_max = 200.0
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[reward]
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w_dsr = 1.0
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w_pnl = 0.3
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w_dd = 1.0
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w_idle = 0.01
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dd_threshold = 0.01
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loss_aversion = 1.5
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time_decay_rate = 0.0005
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q_gap_threshold = 0.1
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[fixed]
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[pso]
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swarm_size = 20
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max_iterations = 50
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inertia = 0.7
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cognitive = 1.5
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social = 1.5
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# Two-phase hyperopt: Phase 1 fixes architecture to small network,
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# searches only learning dynamics (~15D). Phase 2 fixes best dynamics
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# from Phase 1 JSON, searches architecture (~5D).
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# See: docs/superpowers/specs/2026-03-22-two-phase-hyperopt-design.md
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[phase_fast]
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hidden_dim_base = 128
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num_atoms = 101
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branch_hidden_dim = 64
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dueling_hidden_dim = 128
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v_range = 1.0
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w_dsr = 1.0
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w_pnl = 0.3
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w_dd = 1.0
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w_idle = 0.01
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dd_threshold = 0.01
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loss_aversion = 1.5
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time_decay_rate = 0.0005
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q_gap_threshold = 0.1
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