foxhunt

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jgrusewski f707c86df2 feat(rl): amplify surfer reward shape — fewer-but-bigger trades

User explicit request: restore surfer philosophy. Previous wr=0.30 trend-
follower pattern was profitable but takes ~22k trades/run on lots of
small tail wins. Per surfer philosophy (pearl_surfer_philosophy_trading):
wait for the wave, ride it out, accept wipeouts.

Bootstrap changes (architectural fixes from prior commits preserved):
- ENTRY_COST: 15 → 40  (discourage low-conviction entries)
- SHORT_HOLD_MIN_STEPS: 100 → 200  (true wave timescale)
- SHORT_HOLD_PENALTY: 0.5 → 0.3  (harder penalty for quick exits)
- HOLD_BONUS: 2.0 → 4.0  (amplify sustained-ride rewards)
- MIN_HOLD_STEPS: 138 (γ-derived) → 300  (multi-minute holds)
- CONF_GATE_MAX_HOLD_FRAC: 0.85 → 0.95  (95% Hold = patient)
- THOMPSON_FLOOR: 0.05 → 0.02  (less random, more Q-driven)

Local smoke 1000 steps (b=128):
- wr peaked 0.61 at step 200 (vs 0.30 before)
- dones per step dropped to 1-7 (vs 17-40 before)
- PnL stays positive: $285k cumulative
- avg_hold growing toward 200+

Expected at scale: fewer trades, higher wr, dollar-positive after
realistic $0.82/side costs because each trade is bigger.

Co-Authored-By: Claude Opus 4.7 <noreply@anthropic.com>

2026-05-28 18:30:40 +02:00

backtesting

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common

plan5(task2): A.4 regression-detection hard-stop on 2N consecutive error-band

2026-04-26 11:49:14 +02:00

config

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ctrader-openapi

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data

fix(loader): soft-validate FrontMonth symbol when no streaming SymbolMapping