jgrusewski
be65d8e5fc
fix: hive findings — capital floor, dueling centering, metrics, CVaR objective
From 5-agent deep analysis:
Kernel fixes:
- Capital floor penalty: -1.0 → -10.0 (match reward range for C51)
- Add pre-trade capital floor check to training kernel (match backtest)
- Add tx cost to forced liquidation in both kernels
- Fix expected_q dueling centering: per-atom mean (was scalar mean)
- Fix Calmar: use exact full-window mean (was sampled for >4096 bars)
- Fix CVaR off-by-one: include VaR observation in Expected Shortfall
- Trailing stop: add vol_scale/trend_scale params to shared function
- Update reward v5 → v6 docstrings (12 occurrences)
- Fix annualization comment (sqrt(98280) not sqrt(252))
Rust fixes:
- CVaR penalty: additive → multiplicative discount on composite
(prevents CVaR from dominating objective for undertrained models)
- Fix dd_threshold default mismatch (0.01 → 0.02 matching Default)
- Fix action entropy max_entropy (log2(3) → log2(9) for 9 actions)
- Fix Sortino denominator in financials.rs (N_negative → N_total)
Co-Authored-By: Claude Opus 4.6 (1M context) <noreply@anthropic.com>
2026-03-27 07:56:50 +01:00
..
2026-02-23 11:19:58 +01:00
2026-03-11 22:00:13 +01:00
2026-03-27 07:56:50 +01:00