fef5939556
The threshold-tuning smoke at 81decf40f produced n_trades=0 despite
74.6% of decisions having max_conv ≥ 0.30 — the linear-weighted-mean
aggregator in decision_policy_default is structurally dilution-bound
at cold-start (per spec §1).
Q1 stopgap: when sim_variants[i].use_cold_start_stopgap = true, the
harness uploads a max-confidence Strategy bytecode program for that
backtest, routing decisions through decision_policy_program with
OP_AGG_MAX_CONFIDENCE. Existing kernel; zero CUDA changes.
Field additions (atomically across BatchedSimConfig + UniformSimParams
+ ResolvedSimVariant + SweepBase.SimVariant) — every UniformSimParams
literal migrated to include use_cold_start_stopgap: false (default).
The sweep YAML's sim_variants entry sets it to true only for the
validation run; production deployability uses Q2's kernel fix instead.
Sweep YAML (config/ml/sweep_smoke.yaml) flipped to use_cold_start_stopgap=true
at threshold=0.0, cost=0.125 — same anchor as the threshold-tuning
smoke that produced n_trades=0, for direct comparison.
This is a VALIDATION step. Cluster smoke at this commit MUST produce
n_trades > 100 + finite metrics. Q2's kernel CBSW immediately follows
and deletes this entire stopgap atomically (field, harness branch,
YAML setting, every literal).
Co-Authored-By: Claude Opus 4.7 (1M context) <noreply@anthropic.com>
55 lines
2.1 KiB
Rust
55 lines
2.1 KiB
Rust
//! P1 regression test: per-backtest sim parameter arrays. With uniform
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//! config across N backtests, all N must produce the same market_target
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//! decision (proves the per-backtest indexing reduces correctly to the
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//! pre-refactor scalar-broadcast semantics).
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//!
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//! Pair: the independence test (proving DIFFERENT per-backtest configs
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//! produce different outputs) lands alongside the P2 inflight-limits
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//! kernel where the read_first_inflight_arrival_ts helper exists.
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use anyhow::Result;
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use ml_backtesting::sim::{BatchedSimConfig, LobSimCuda, UniformSimParams};
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use ml_core::device::MlDevice;
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#[test]
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#[ignore = "requires CUDA"]
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fn parallel_sim_equivalence_with_uniform_config() -> Result<()> {
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let dev = match MlDevice::cuda(0) {
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Ok(d) => d,
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Err(e) => {
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eprintln!("skipping: cuda device unavailable ({e})");
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return Ok(());
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}
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};
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let mut sim = LobSimCuda::new(8, &dev)?;
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sim.broadcast_alpha(&[0.8, 0.8, 0.8, 0.8, 0.8])?;
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let cfg = BatchedSimConfig::from_uniform(
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8,
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&UniformSimParams {
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target_annual_vol_units: 50.0,
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annualisation_factor: 825.0,
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max_lots: 5,
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latency_ns: 0,
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kelly_frac_floor: 0.20,
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sharpe_weight_floor: 0.10,
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threshold: 0.0,
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cost_per_lot_per_side: 0.0,
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use_cold_start_stopgap: false,
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},
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);
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sim.step_decision_with_latency(0, &cfg)?;
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let first = sim.read_market_target(0)?;
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for b in 1..8 {
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let got = sim.read_market_target(b)?;
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assert_eq!(
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got, first,
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"backtest {b} differs from backtest 0 under uniform config: {got:?} vs {first:?}"
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);
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}
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// And the uniform-config result must equal the result we'd get from
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// a single-backtest sim (preserves pre-refactor behaviour).
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assert_eq!(first.0, 0, "uniform config with p_h=0.8 should produce a buy; got side={}", first.0);
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assert!(first.1 >= 1, "uniform-config size {} < 1", first.1);
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Ok(())
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}
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