jgrusewski
d0b70b6c8a
spec: OOS Performance Enhancement — 8 components for closing val/OOS gap
1. CVaR objective (risk-sensitive Bellman target, adaptive α)
2. Adaptive DSR (training Sharpe EMA drives w_dsr weight)
3. Ensemble heads (3 heads, epistemic uncertainty for exploration)
4. Mamba2 temporal scan (K=8 bar context, O(K) selective scan)
5. Multi-horizon prediction (1/5/20 bar value heads, regime-blended)
6. Adaptive atom positions (learned C51 spacing via softmax — NOVEL)
7. Regime-conditioned branch gating (ADX/CUSUM → branch importance — NOVEL)
Designed from live H100 analysis: val_Sharpe=45 but training_Sharpe=-1..+1.
Co-Authored-By: Claude Opus 4.6 (1M context) <noreply@anthropic.com>