Iteration 1 of the Stage-1 "R-based signal quality" cycle (spec 0065): a
strategy's signal quality, measured in R on its unsized bias stream, feed-forward.
New discrete-trade machinery, NOT a SimBroker extension.
What lands:
- exposure -> bias (refs #126): the Exposure node/type/file/output-field renamed to
Bias (computation unchanged: clamp(signal/scale,-1,+1); the SEMANTICS change — the
output is the unsized strategy bias, sizing leaves the strategy). Scoped to the
semantic core; behaviour-preserving cosmetics are deferred (see below).
- stop-rule nodes (refs #119): VolStop = k*EMA(|price - prev_price|) (one fused node;
the volatility that defines 1R, close-to-close — true-range ATR deferred, needs
OHLC) + FixedStop (constant, the test fixture / fixed-vs-vol structural-axis sibling).
- PositionManagement (refs #127): the stateful heart. Latches the entry-cycle stop
distance as the FROZEN R-denominator (never re-read), marks/exits no-look-ahead like
SimBroker (a position earns from the next cycle; an exit realises against the cycle's
close), and emits ONE dense per-cycle R-record (C8). Stop-outs are NOT capped at -1R
(a gap through the stop realises R < -1 — the honest loss tail); R is computed
size-invariantly (size = (exit-entry)*dir / latched_dist cancels). The trade ledger
is the rows where closed_this_cycle; the R-equity is cum_realized + unrealized; a
position open at window end is the last row (open=true) — explicit, never silent MtM.
- summarize_r + RMetrics (refs #129): the post-run fold (NOT an in-graph node —
recorders drain post-run). E[R], win-rate, profit-factor, avg win/loss R, by-trade
max R-drawdown, n_open_at_end (window-end force-close). SQN / conviction terciles /
net-of-cost / RunMetrics.r are iteration 2.
Design adversarially hardened before implementation (12-juror refute panel; decisions
on #117). Ratified implementer deviations from the plan snippet, verified by hand:
- col-4 `direction` tracks the OPEN position at cycle end (window-end synthesis; names
the reopened leg on a reversal), falling back to the closed trade's dir only when
flat. summarize_r does not read col 4; the R-metrics are unaffected.
- .named("exposure") kept on the 4 previously-unnamed Bias nodes so the auto-derived
param-path stays exposure.scale (no manifest/dir-name drift) — the unnamed nodes
would otherwise flip to bias.scale.
- intra-doc links [`Exposure`] -> [`Bias`] in sim_broker/latch + the sample-model test
pin (cosmetic, behaviour-neutral; broken intra-doc links fail cargo doc).
- the E2E drives a full bootstrapped Harness (stronger than the plan's direct-node
drive — exercises the real cross-crate producer->consumer seam).
Deferred (behaviour-preserving, separate cosmetic pass — NOT this iteration):
RunMetrics.exposure_sign_flips / Metric::ExposureSignFlips, SimBroker/LongOnly
"exposure" input ports, the "exposure" tap/trace names, and the .named("exposure")
instance labels. Iteration 2: the Sizer seam, the RiskExecutor composite (+ the Veto
documented-seam), summarize_r enrichment, RunMetrics.r, and the CLI/recording surface.
Verification (orchestrator-run, not agent-claimed):
- cargo build --workspace: clean.
- cargo test --workspace: all green, 0 failed (incl. the new bias/stop_rule/
position_management unit tests, the summarize_r arithmetic tests, and the
stage1_r_e2e capstone + layout guard).
- cargo clippy --workspace --all-targets -- -D warnings: clean (exit 0).
- Keystone RED tests pass: no_lookahead_bias_exit_realises_the_held_move,
stop_out_is_not_capped_at_minus_one_r, no_gap_stop_is_exactly_minus_one_r,
reversal_closes_one_leg_and_reopens, open_at_window_end_is_carried_on_the_last_row.
refs #117#119#126#127#129
docs/specs and docs/plans were retired (prior commit); the source/test
comments that cited them ("spec 0050 §4.1", "spec §Testing N", "per spec",
"the spec's ...") now point at nothing. Strip every such pointer while
preserving the technical substance, the design-ledger contract refs
(C1/C11/C20/C34/C12.1/...), and the Gitea issue refs (#41).
Comment/doc edits only across 20 files — no logic change; full workspace
suite green, clippy clean.
Level-sensitive SR latch: held -> 1.0 on set, -> 0.0 on reset (reset-dominant),
sample-and-held across quiet cycles; None while both legs are cold. Emits f64
directly (1.0 long / 0.0 flat) so it feeds SimBroker's exposure slot with no
cast — the resolution of the bool->f64 seam (no separate Exposure node in the
strategy DAG). State persisted in the struct across cycles, like SimBroker.
Build-step 5 of milestone 'Strategy node vocabulary I'.
closes#88
Brummel