jgrusewski d7fcdae711 feat: raw portfolio returns buffer for accurate Sharpe/MaxDD + multiplicative equity curve ...

- Added raw_returns_out GPU buffer alongside rewards_out in experience kernel
- Portfolio return = (equity_t - equity_{t-1}) / equity_{t-1} per bar (no shaping)
- collect_trade_stats() downloads raw returns (not RL rewards) for financials
- MaxDD now uses multiplicative compounding: equity *= (1 + r_t)
- total_return computed from compounded equity curve

Before: MaxDD 94-2213% (using shaped rewards). After: MaxDD 17-32% (honest).
The model shows -15% return per epoch with PF 0.7-0.9 — no edge yet, needs H100 hyperopt.

Co-Authored-By: Claude Opus 4.6 (1M context) <noreply@anthropic.com>

2026-03-25 01:05:03 +01:00

..

backtesting

fix(clippy): resolve all clippy warnings across entire workspace (--all-targets)

2026-03-13 10:18:35 +01:00

common

Merge branch 'worktree-branching-dqn-plan'

2026-03-11 08:46:58 +01:00

config

fix(ci): clippy test-gate uses --lib, fix pre-existing lint errors

2026-03-12 19:10:18 +01:00

ctrader-openapi

fix: tune log levels across workspace — demote noisy warn to debug/trace

2026-03-14 11:35:15 +01:00

data

fix(clippy): resolve all clippy warnings across entire workspace (--all-targets)

2026-03-13 10:18:35 +01:00

database

fix(clippy): resolve all clippy warnings across entire workspace (--all-targets)

2026-03-13 10:18:35 +01:00

market-data

docs: create/update README.md for all 17 crates

2026-03-01 22:47:39 +01:00

ml

feat: raw portfolio returns buffer for accurate Sharpe/MaxDD + multiplicative equity curve

2026-03-25 01:05:03 +01:00

ml-asset-selection

fix(clippy): resolve all clippy warnings across entire workspace (--all-targets)

2026-03-13 10:18:35 +01:00

ml-backtesting

fix(clippy): resolve all clippy warnings across entire workspace (--all-targets)

2026-03-13 10:18:35 +01:00

ml-checkpoint

fix(clippy): resolve all clippy warnings across entire workspace (--all-targets)

2026-03-13 10:18:35 +01:00

ml-core

feat: ExposureLevel 5→9 variants (Short75/Short25/Long25/Long75)

2026-03-23 09:21:58 +01:00

ml-data

docs: create/update README.md for all 17 crates

2026-03-01 22:47:39 +01:00

ml-data-validation

fix(clippy): resolve all clippy warnings across entire workspace (--all-targets)

2026-03-13 10:18:35 +01:00

ml-dqn

feat: comprehensive DQN training pipeline overhaul — 16 bug fixes, MSE warmup, financial metrics

2026-03-24 21:48:38 +01:00

ml-ensemble

feat: ZERO unannotated GPU→CPU downloads — every memcpy_dtoh accounted for

2026-03-18 20:09:37 +01:00

ml-explainability

refactor(cuda): eliminate candle from ml-core, ml-ppo, and 4 thin crates

2026-03-17 22:27:56 +01:00

ml-features

fix(ml): BF16/F32 boundary alignment, GPU-resident ops across all ML crates

2026-03-15 11:59:31 +01:00

ml-hyperopt

fix: TPE evaluate_point catches training errors as penalty, not abort

2026-03-22 14:48:40 +01:00

ml-labeling

fix(clippy): ml-supervised + ml-core + thin crates — 34 errors fixed

2026-03-19 00:39:03 +01:00

ml-observability

fix(clippy): resolve all clippy warnings across entire workspace (--all-targets)

2026-03-13 10:18:35 +01:00

ml-paper-trading

fix(clippy): resolve all clippy warnings across entire workspace (--all-targets)

2026-03-13 10:18:35 +01:00

ml-ppo

fix: wire real GPU backprop + SPSA gradients, fix checkpoint loading, eliminate candle from examples

2026-03-20 15:41:42 +01:00

ml-regime

refactor(cuda): eliminate all CPU fallbacks — CUDA mandatory across ML stack

2026-03-16 21:01:28 +01:00

ml-regime-detection

fix(clippy): resolve all clippy warnings across entire workspace (--all-targets)

2026-03-13 10:18:35 +01:00

ml-risk

fix(clippy): resolve all clippy warnings across entire workspace (--all-targets)

2026-03-13 10:18:35 +01:00

ml-security

fix(clippy): resolve all clippy warnings across entire workspace (--all-targets)

2026-03-13 10:18:35 +01:00

ml-stress-testing

fix(clippy): achieve zero warnings across entire workspace

2026-03-10 13:18:57 +01:00

ml-supervised

fix: wire real GPU backprop + SPSA gradients, fix checkpoint loading, eliminate candle from examples

2026-03-20 15:41:42 +01:00

ml-universe

fix(clippy): resolve all clippy warnings across entire workspace (--all-targets)

2026-03-13 10:18:35 +01:00

ml-validation

fix(clippy): resolve all clippy warnings across entire workspace (--all-targets)

2026-03-13 10:18:35 +01:00

model_loader

fix(clippy): resolve all clippy warnings across entire workspace (--all-targets)

2026-03-13 10:18:35 +01:00

risk

refactor: eliminate candle from entire workspace — tests, examples, Cargo.toml

2026-03-18 00:53:47 +01:00

risk-data

fix: tune log levels across workspace — demote noisy warn to debug/trace

2026-03-14 11:35:15 +01:00

storage

docs: create/update README.md for all 17 crates

2026-03-01 22:47:39 +01:00

trading_engine

fix(ml): BF16/F32 boundary alignment, GPU-resident ops across all ML crates

2026-03-15 11:59:31 +01:00

trading-data

docs: create/update README.md for all 17 crates

2026-03-01 22:47:39 +01:00

training_uploader

feat: implement all 15 fxt CLI commands with real gRPC calls

2026-03-03 22:16:35 +01:00