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feat(0077): prefer a robust parameter plateau over the in-sample peak

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Add an opt-in plateau selection objective for walk-forward, recorded on the
same RunManifest.selection carrier #144 introduced. Default argmax is
byte-identical (C23); plateau is reached only via a new --select flag.

What landed:
- FamilySelection / SelectionMode reshape (report.rs): the selection RULE
  (mode) and its ANNOTATION are orthogonal — deflation fields become Option
  (present iff Argmax), plus PlateauMean/PlateauWorst variants and
  neighbourhood_score/n_neighbours (present iff Plateau*). Legacy lines still
  load: the deflation scalars deserialize from bare values via serde default
  (C14/C18). compat.rs embeds FamilySelection by value — reshape flows through
  untouched.
- GridSpace::axis_lens() + SweepBinder::sweep_with_lattice (engine): the grid
  radixes in param_space()/odometer order. sweep() delegates to
  sweep_with_lattice with the lattice dropped, so every existing .sweep()
  caller is byte-unchanged.
- optimize_plateau + PlateauMode + closed_neighbourhood (aura-registry, C9):
  each member scores as the mean/worst of its closed mixed-radix grid
  neighbourhood's metric_value; the winner is the smoothed argmax by the
  metric's direction (earliest-odometer tie, as optimize). Pure, no RNG (C1);
  in-sample only (C2). A higher_is_better helper now sources the per-metric
  direction once, shared by metric_cmp and optimize_plateau.
- CLI --select <argmax|plateau:mean|plateau:worst> (default argmax; unknown
  token exits 2). walkforward_family dispatches via a select_winner helper;
  sweep_over/stage1_r_sweep_over carry the lattice as Option<Vec<usize>>.
  runs-family display gains a plateau(<mode>)=<score> over <n> cells line.

RandomSpace-refuse: walkforward has no --random producer, so the
plateau-without-lattice guard is structural — select_winner returns the
refuse on a None lattice (the caller prints the message and exits 2),
unit-tested at the helper, not via a --random E2E (decided + recorded on #145
comment 1974, with the lattice-seam fork).

Tests: plateau-picks-plateau-not-spike, mean-vs-worst, lower-is-better
direction-flip, closed-neighbourhood golden, single-member degeneracy, C1
determinism; CLI select-parse, select_winner refuse; E2E argmax-byte-identical
(C23), plateau:mean and plateau:worst provenance. Full workspace suite green;
clippy --all-targets -D warnings clean.

closes #145
This commit is contained in:
Brummel
2026-06-26 16:38:18 +02:00
parent fd221c81ec
commit cb32658fd1
6 changed files with 620 additions and 75 deletions
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crates/aura-cli/src/main.rs
+138 -40
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@@ -18,15 +18,15 @@ use aura_core::{zip_params, Cell, Firing, ParamSpec, Scalar, ScalarKind, Timesta
use aura_composites::{risk_executor, risk_executor_vol_open, StopRule};
use aura_engine::{
f64_field, join_on_ts, monte_carlo, param_stability, r_bootstrap, r_metrics_from_rs, summarize,
summarize_r, walk_forward, window_of, ColumnarTrace, Composite, Edge, FlatGraph, GraphBuilder,
Harness, JoinedRow, McAggregate, McFamily, RBootstrap, RollMode, RunManifest, RunMetrics,
RunReport, SourceSpec, SweepFamily, SweepPoint, SyntheticSpec, Target, VecSource,
WalkForwardResult, WindowBounds, WindowRoller, WindowRun,
summarize_r, walk_forward, window_of, ColumnarTrace, Composite, Edge, FamilySelection, FlatGraph,
GraphBuilder, Harness, JoinedRow, McAggregate, McFamily, RBootstrap, RollMode, RunManifest,
RunMetrics, RunReport, SelectionMode, SourceSpec, SweepFamily, SweepPoint, SyntheticSpec, Target,
VecSource, WalkForwardResult, WindowBounds, WindowRoller, WindowRun,
};
use aura_registry::{
group_families, mc_member_reports, optimize_deflated, rank_by, sweep_member_reports,
walkforward_member_reports, FamilyKind, FamilyMember, NameKind, Registry, RunTraces, TraceStore,
WriteKind,
group_families, mc_member_reports, optimize_deflated, optimize_plateau, rank_by,
sweep_member_reports, walkforward_member_reports, FamilyKind, FamilyMember, NameKind,
PlateauMode, Registry, RunTraces, TraceStore, WriteKind,
};
use aura_std::{
Add, Bias, Delay, Ema, GatedRecorder, Gt, Latch, LinComb, LongOnly, Mul, Recorder, RollingMax,
@@ -1298,7 +1298,7 @@ fn stage1_r_space() -> Vec<ParamSpec> {
/// but windowed (`windowed_sources`) and always folded (O(trades)/member): each
/// member's RunReport carries `metrics.r = Some(summarize_r(..))`, so the family is
/// rankable by an R metric.
fn stage1_r_sweep_over(from: Timestamp, to: Timestamp, data: &DataSource, grid: &Stage1RGrid) -> SweepFamily {
fn stage1_r_sweep_over(from: Timestamp, to: Timestamp, data: &DataSource, grid: &Stage1RGrid) -> (SweepFamily, Option<Vec<usize>>) {
let pip = data.pip_size();
let (tx_eq, _) = mpsc::channel();
let (tx_ex, _) = mpsc::channel();
@@ -1315,7 +1315,7 @@ fn stage1_r_sweep_over(from: Timestamp, to: Timestamp, data: &DataSource, grid:
.axis("slow.length", grid.slow.clone())
.axis(&stop_length_axis, grid.stop_length.clone())
.axis(&stop_k_axis, grid.stop_k.clone())
.sweep(|point| {
.sweep_with_lattice(|point| {
let (tx_eq, rx_eq) = mpsc::channel();
let (tx_ex, rx_ex) = mpsc::channel();
let (tx_r, rx_r) = mpsc::channel();
@@ -1339,6 +1339,7 @@ fn stage1_r_sweep_over(from: Timestamp, to: Timestamp, data: &DataSource, grid:
m.r = Some(summarize_r(&r_rows, 0.0));
RunReport { manifest, metrics: m }
})
.map(|(fam, lat)| (fam, Some(lat)))
.expect("the stage1-r named grid matches the stage1-r param-space")
}
@@ -1556,6 +1557,26 @@ enum Strategy {
Stage1MeanRev,
}
/// In-sample winner-selection objective for walk-forward (cycle 0077). `Argmax` is
/// the bare-best pick deflated for trials (#144, the default); `Plateau` argmaxes
/// the neighbourhood-smoothed surface instead (opt-in via `--select`).
#[derive(Clone, Copy)]
enum Selection {
Argmax,
Plateau(PlateauMode),
}
/// Parse a `--select` token: `argmax` | `plateau:mean` | `plateau:worst`. Unknown
/// tokens are a usage error (the caller maps `Err(())` to exit 2).
fn parse_select(s: &str) -> Result<Selection, ()> {
match s {
"argmax" => Ok(Selection::Argmax),
"plateau:mean" => Ok(Selection::Plateau(PlateauMode::Mean)),
"plateau:worst" => Ok(Selection::Plateau(PlateauMode::Worst)),
_ => Err(()),
}
}
impl Strategy {
/// The CLI `--strategy` token this variant parses from — the inverse of the
/// `parse_*_args` match arms. Used to echo the offending strategy in error
@@ -1642,17 +1663,18 @@ fn parse_sweep_args(
}
/// Parse the `walkforward` tail:
/// `[--strategy <sma|momentum|stage1-r|stage1-breakout|stage1-meanrev>] [--real <SYMBOL> [--from <ms>] [--to <ms>]] [--name <n> | --trace <n>] [--fast <csv>] [--slow <csv>] [--stop-length <csv>] [--stop-k <csv>]`.
/// `[--strategy <sma|momentum|stage1-r|stage1-breakout|stage1-meanrev>] [--real <SYMBOL> [--from <ms>] [--to <ms>]] [--name <n> | --trace <n>] [--fast <csv>] [--slow <csv>] [--stop-length <csv>] [--stop-k <csv>] [--select <argmax|plateau:mean|plateau:worst>]`.
/// Defaults: SMA-cross, synthetic, name "walkforward", no persist. `--name`/`--trace`
/// mutually exclusive; `--from`/`--to` require `--real`. Pure (no I/O / exit).
fn parse_walkforward_args(
rest: &[&str],
) -> Result<(Strategy, String, bool, DataChoice, Stage1RGrid), String> {
let usage = || "walkforward [--strategy <sma|momentum|stage1-r|stage1-breakout|stage1-meanrev>] [--real <SYMBOL> [--from <ms>] [--to <ms>]] [--name <n> | --trace <n>] [--fast <csv>] [--slow <csv>] [--stop-length <csv>] [--stop-k <csv>]".to_string();
) -> Result<(Strategy, String, bool, DataChoice, Stage1RGrid, Selection), String> {
let usage = || "walkforward [--strategy <sma|momentum|stage1-r|stage1-breakout|stage1-meanrev>] [--real <SYMBOL> [--from <ms>] [--to <ms>]] [--name <n> | --trace <n>] [--fast <csv>] [--slow <csv>] [--stop-length <csv>] [--stop-k <csv>] [--select <argmax|plateau:mean|plateau:worst>]".to_string();
let mut strategy = Strategy::SmaCross;
let mut name: Option<(String, bool)> = None;
let mut real = RealWindowGrammar::default();
let mut grid = Stage1RGrid::default();
let mut select = Selection::Argmax;
let mut tail = rest;
while let Some((flag, t)) = tail.split_first() {
let (value, t) = t.split_first().ok_or_else(usage)?;
@@ -1677,12 +1699,13 @@ fn parse_walkforward_args(
"--slow" => grid.slow = parse_csv_list(value).map_err(|()| usage())?,
"--stop-length" => grid.stop_length = parse_csv_list(value).map_err(|()| usage())?,
"--stop-k" => grid.stop_k = parse_csv_list(value).map_err(|()| usage())?,
"--select" => select = parse_select(value).map_err(|()| usage())?,
_ => return Err(usage()),
}
tail = t;
}
let (name, persist) = name.unwrap_or_else(|| ("walkforward".to_string(), false));
Ok((strategy, name, persist, real.finish(&usage)?, grid))
Ok((strategy, name, persist, real.finish(&usage)?, grid, select))
}
/// Render a family-member stdout line: the assigned `family_id` plus the embedded
@@ -1752,7 +1775,7 @@ fn run_sweep(strategy: Strategy, name: &str, persist: bool, data: DataSource, gr
/// print each carrying the assigned id, then the stitched summary line. With
/// `--trace`, also persist each OOS member's streams under
/// `runs/traces/<n>/oos<ns>/` (opt-in). Deterministic (C1).
fn run_walkforward(strategy: Strategy, name: &str, persist: bool, data: DataSource, grid: &Stage1RGrid) {
fn run_walkforward(strategy: Strategy, name: &str, persist: bool, data: DataSource, grid: &Stage1RGrid, select: Selection) {
if persist
&& let Err(e) = TraceStore::open("runs").ensure_name_free(name, WriteKind::Family)
{
@@ -1760,7 +1783,7 @@ fn run_walkforward(strategy: Strategy, name: &str, persist: bool, data: DataSour
std::process::exit(2);
}
let reg = default_registry();
let result = walkforward_family(strategy, persist.then_some(name), &data, grid);
let result = walkforward_family(strategy, persist.then_some(name), &data, grid, select);
let id =
match reg.append_family(name, FamilyKind::WalkForward, &walkforward_member_reports(&result))
{
@@ -1776,6 +1799,31 @@ fn run_walkforward(strategy: Strategy, name: &str, persist: bool, data: DataSour
println!("{}", walkforward_summary_json(&result));
}
/// Resolve the in-sample winner under the chosen selection objective. `Argmax`
/// defers to the trials-deflation pick (#144). `Plateau` argmaxes the smoothed grid
/// surface — it needs the grid lattice, so a sweep with no lattice (a future random
/// walk-forward producer) is refused rather than silently argmaxed. The metric is
/// always known at the call sites, so a metric error is unreachable (`expect`); the
/// only fallible outcome is the plateau-without-lattice refusal, returned as
/// `Err(message)` for the caller to print and exit 2.
fn select_winner(
family: &SweepFamily, metric: &str, select: Selection, lattice: Option<&[usize]>,
) -> Result<(SweepPoint, FamilySelection), String> {
match select {
Selection::Argmax => Ok(optimize_deflated(
family, metric, DEFLATION_N_RESAMPLES, DEFLATION_BLOCK_LEN, DEFLATION_SEED,
).expect("walk-forward metrics are known")),
Selection::Plateau(mode) => match lattice {
Some(lens) => Ok(optimize_plateau(family, lens, metric, mode)
.expect("walk-forward metrics are known")),
None => Err(
"--select plateau requires a grid sweep; a random sweep has no parameter lattice"
.to_string(),
),
},
}
}
/// The built-in rolling walk-forward: 24-bar in-sample, 12-bar out-of-sample,
/// stepping 12 (contiguous OOS tiling), over the 60-bar synthetic span -> 3
/// windows. Each window sweeps a grid in-sample, optimizes by a metric, and runs
@@ -1785,6 +1833,7 @@ fn run_walkforward(strategy: Strategy, name: &str, persist: bool, data: DataSour
/// Other strategies have no walk-forward form yet (exit 2).
fn walkforward_family(
strategy: Strategy, trace: Option<&str>, data: &DataSource, grid: &Stage1RGrid,
select: Selection,
) -> WalkForwardResult {
let span = data.wf_full_span();
let (is_len, oos_len, step) = data.wf_window_sizes();
@@ -1799,10 +1848,11 @@ fn walkforward_family(
Strategy::SmaCross => {
let space = sample_blueprint_with_sinks(data.pip_size()).0.param_space();
walk_forward(roller, space, |w: WindowBounds| {
let is_family = sweep_over(w.is.0, w.is.1, data);
let (best, selection) = optimize_deflated(
&is_family, "total_pips", DEFLATION_N_RESAMPLES, DEFLATION_BLOCK_LEN, DEFLATION_SEED,
).expect("total_pips is a known metric");
let (is_family, lattice) = sweep_over(w.is.0, w.is.1, data);
let (best, selection) = match select_winner(&is_family, "total_pips", select, lattice.as_deref()) {
Ok(v) => v,
Err(msg) => { eprintln!("aura: {msg}"); std::process::exit(2); }
};
let (oos_equity, mut oos_report) = run_oos(&best.params, w.oos.0, w.oos.1, trace, data);
oos_report.manifest.selection = Some(selection);
WindowRun {
@@ -1817,10 +1867,11 @@ fn walkforward_family(
Strategy::Stage1R => {
let space = stage1_r_space();
walk_forward(roller, space, |w: WindowBounds| {
let is_family = stage1_r_sweep_over(w.is.0, w.is.1, data, grid);
let (best, selection) = optimize_deflated(
&is_family, "sqn_normalized", DEFLATION_N_RESAMPLES, DEFLATION_BLOCK_LEN, DEFLATION_SEED,
).expect("sqn_normalized is a known metric");
let (is_family, lattice) = stage1_r_sweep_over(w.is.0, w.is.1, data, grid);
let (best, selection) = match select_winner(&is_family, "sqn_normalized", select, lattice.as_deref()) {
Ok(v) => v,
Err(msg) => { eprintln!("aura: {msg}"); std::process::exit(2); }
};
let (oos_equity, mut oos_report) = run_oos_r(&best.params, w.oos.0, w.oos.1, trace, data);
oos_report.manifest.selection = Some(selection);
WindowRun { chosen_params: best.params, oos_equity, oos_report }
@@ -1838,7 +1889,7 @@ fn walkforward_family(
/// Sweep the built-in named grid over an in-sample window, sourcing the in-memory
/// windowed stream. Mirrors `sweep_family`, but windowed by `[from, to]`.
fn sweep_over(from: Timestamp, to: Timestamp, data: &DataSource) -> SweepFamily {
fn sweep_over(from: Timestamp, to: Timestamp, data: &DataSource) -> (SweepFamily, Option<Vec<usize>>) {
let pip = data.pip_size();
let bp = sample_blueprint_with_sinks(pip).0;
let space = bp.param_space();
@@ -1851,7 +1902,7 @@ fn sweep_over(from: Timestamp, to: Timestamp, data: &DataSource) -> SweepFamily
.axis("signals.blend.weights[0]", [1.0])
.axis("signals.blend.weights[1]", [1.0])
.axis("bias.scale", [0.5])
.sweep(|point| {
.sweep_with_lattice(|point| {
let (bp, rx_eq, rx_ex) = sample_blueprint_with_sinks(pip);
let mut h = bp
.bootstrap_with_cells(point)
@@ -1866,6 +1917,7 @@ fn sweep_over(from: Timestamp, to: Timestamp, data: &DataSource) -> SweepFamily
metrics: summarize(&equity, &exposure),
}
})
.map(|(fam, lat)| (fam, Some(lat)))
.expect("the built-in named grid matches the sample param-space")
}
@@ -1960,7 +2012,7 @@ fn walkforward_window_source(from: Timestamp, to: Timestamp) -> VecSource {
/// helper (mirrors `sweep_report`).
#[cfg(test)]
fn walkforward_report() -> String {
let result = walkforward_family(Strategy::SmaCross, None, &DataSource::Synthetic, &Stage1RGrid::default());
let result = walkforward_family(Strategy::SmaCross, None, &DataSource::Synthetic, &Stage1RGrid::default(), Selection::Argmax);
let mut out = String::new();
for w in &result.windows {
out.push_str(&w.run.oos_report.to_json());
@@ -2128,7 +2180,7 @@ fn run_mc_r_bootstrap(data: DataSource, grid: &Stage1RGrid, block_len: usize, n_
/// over synthetic data in a `#[cfg(test)]` unit, mirroring `mc_report` /
/// `walkforward_report` / `sweep_report`.
fn mc_r_bootstrap_report(data: &DataSource, grid: &Stage1RGrid, block_len: usize, n_resamples: usize, seed: u64) -> String {
let result = walkforward_family(Strategy::Stage1R, None, data, grid);
let result = walkforward_family(Strategy::Stage1R, None, data, grid, Selection::Argmax);
let pooled = pooled_oos_trade_rs(&result);
let boot = r_bootstrap(&pooled, n_resamples, block_len, seed);
mc_r_bootstrap_json(&boot)
@@ -2215,9 +2267,24 @@ fn runs_family(id: &str, rank: Option<&str>) {
for report in &ordered {
println!("{}", report.to_json());
if let Some(sel) = &report.manifest.selection {
match sel.overfit_probability {
Some(p) => println!(" deflated={:.4} P(overfit)={:.4}", sel.deflated_score, p),
None => println!(" deflated={:.4}", sel.deflated_score),
match sel.mode {
// `deflated_score` is `None` only on an Argmax record with no
// deflation run (report.rs); guard it, symmetric with the
// plateau branch, so a from-disk record cannot panic here. When
// present (the sole producer always stamps it), the bytes are
// unchanged.
SelectionMode::Argmax => if let Some(deflated) = sel.deflated_score {
match sel.overfit_probability {
Some(p) => println!(" deflated={deflated:.4} P(overfit)={p:.4}"),
None => println!(" deflated={deflated:.4}"),
}
},
SelectionMode::PlateauMean | SelectionMode::PlateauWorst => {
let label = if matches!(sel.mode, SelectionMode::PlateauMean) { "mean" } else { "worst" };
if let (Some(score), Some(n)) = (sel.neighbourhood_score, sel.n_neighbours) {
println!(" plateau({label})={score:.4} over {n} cells");
}
}
}
}
}
@@ -2933,8 +3000,8 @@ fn main() {
}
},
["walkforward", rest @ ..] => match parse_walkforward_args(rest) {
Ok((strategy, name, persist, choice, grid)) => {
run_walkforward(strategy, &name, persist, DataSource::from_choice(choice), &grid)
Ok((strategy, name, persist, choice, grid, select)) => {
run_walkforward(strategy, &name, persist, DataSource::from_choice(choice), &grid, select)
}
Err(msg) => {
eprintln!("aura: {msg}");
@@ -2965,6 +3032,29 @@ fn main() {
mod tests {
use super::*;
#[test]
fn select_winner_refuses_plateau_without_a_lattice() {
// A plateau request with no lattice (a random sweep would yield None) is
// refused, never silently argmaxed. The refuse short-circuits before the
// family is read, so an empty family is fine here.
let fam = SweepFamily { space: vec![], points: vec![] };
let err = select_winner(&fam, "total_pips", Selection::Plateau(PlateauMode::Mean), None)
.unwrap_err();
assert!(err.contains("requires a grid sweep"), "refuse message: {err}");
}
#[test]
fn parse_walkforward_select_flag() {
let argmax = parse_walkforward_args(&["--strategy", "stage1-r"]).unwrap();
assert!(matches!(argmax.5, Selection::Argmax), "default is argmax");
let mean = parse_walkforward_args(&["--select", "plateau:mean"]).unwrap();
assert!(matches!(mean.5, Selection::Plateau(PlateauMode::Mean)));
let worst = parse_walkforward_args(&["--select", "plateau:worst"]).unwrap();
assert!(matches!(worst.5, Selection::Plateau(PlateauMode::Worst)));
assert!(parse_walkforward_args(&["--select", "bogus"]).is_err(),
"unknown --select token is a usage error");
}
fn cmp_member(key: &str, ts: &[i64], vals: &[f64]) -> FamilyMember {
cmp_member_win(key, ts, vals, (0, 0))
}
@@ -3453,7 +3543,7 @@ mod tests {
.append_family(
"walkforward",
FamilyKind::WalkForward,
&walkforward_member_reports(&walkforward_family(Strategy::SmaCross, None, &DataSource::Synthetic, &Stage1RGrid::default())),
&walkforward_member_reports(&walkforward_family(Strategy::SmaCross, None, &DataSource::Synthetic, &Stage1RGrid::default(), Selection::Argmax)),
)
.expect("walkforward family");
assert_eq!((sid.as_str(), mid.as_str(), wid.as_str()), ("sweep-0", "mc-0", "walkforward-0"));
@@ -3955,15 +4045,23 @@ mod tests {
/// and rejects two name flags or a `--real` missing its symbol.
#[test]
fn parse_walkforward_args_defaults_and_accepts_real() {
// Selection is not PartialEq/Debug (it carries the opaque PlateauMode), so
// the comparable fields are asserted via the 5-tuple prefix and `select`
// separately via `matches!`.
let (strategy, name, persist, choice, grid, select) =
parse_walkforward_args(&[]).expect("defaults parse");
assert_eq!(
parse_walkforward_args(&[]),
Ok((Strategy::SmaCross, "walkforward".to_string(), false, DataChoice::Synthetic, Stage1RGrid::default()))
(strategy, name, persist, choice, grid),
(Strategy::SmaCross, "walkforward".to_string(), false, DataChoice::Synthetic, Stage1RGrid::default())
);
assert!(matches!(select, Selection::Argmax), "default selection is argmax");
let (strategy, name, persist, choice, grid, _) =
parse_walkforward_args(&["--real", "EURUSD", "--trace", "w"]).expect("real/trace parse");
assert_eq!(
parse_walkforward_args(&["--real", "EURUSD", "--trace", "w"]),
Ok((Strategy::SmaCross, "w".to_string(), true,
(strategy, name, persist, choice, grid),
(Strategy::SmaCross, "w".to_string(), true,
DataChoice::Real { symbol: "EURUSD".to_string(), from_ms: None, to_ms: None },
Stage1RGrid::default()))
Stage1RGrid::default())
);
assert!(parse_walkforward_args(&["--name", "a", "--trace", "b"]).is_err());
assert!(parse_walkforward_args(&["--real"]).is_err());
@@ -3972,7 +4070,7 @@ mod tests {
#[test]
fn parse_walkforward_args_accepts_strategy_and_grid_flags() {
let r = parse_walkforward_args(&["--strategy", "stage1-r", "--fast", "5,10", "--stop-k", "2.0,3.0"]);
let (strategy, _, _, _, grid) = r.expect("valid stage1-r walkforward args");
let (strategy, _, _, _, grid, _) = r.expect("valid stage1-r walkforward args");
assert_eq!(strategy, Strategy::Stage1R);
assert_eq!(grid.fast, vec![5, 10]);
assert_eq!(grid.stop_k, vec![2.0, 3.0]);
@@ -4128,7 +4226,7 @@ mod tests {
// closes >= 1 trade across its windows). Guards the wiring + the non-empty
// pooling branch the parser/primitive unit tests cannot reach; mirrors
// `mc_report` / `walkforward_report`. Deterministic (C1).
let result = walkforward_family(Strategy::Stage1R, None, &DataSource::Synthetic, &Stage1RGrid::default());
let result = walkforward_family(Strategy::Stage1R, None, &DataSource::Synthetic, &Stage1RGrid::default(), Selection::Argmax);
let pooled = pooled_oos_trade_rs(&result);
assert!(!pooled.is_empty(), "synthetic stage1-r walk-forward must pool >= 1 OOS trade R");