jgrusewski
b5f7074907
feat: trade-level reward attribution + learned risk management spec
REWARD: Replace per-bar noise (SNR~0.01) with trade-level P&L attribution.
Trade closes → reward = realized segment P&L (already computed).
Holding → reward = -0.0001 * |position| (tiny holding cost).
Flat → reward = 0. Removed dense OFI/inventory/DSR per-bar noise.
SPEC: Learned Risk Management — 5th branch risk_budget [0,1] gates
all protection mechanisms per-sample. Model learns WHEN to take risk.
CVaR alpha, commitment lambda, magnitude ceiling all scaled by R.
Co-Authored-By: Claude Opus 4.6 (1M context) <noreply@anthropic.com>