The OOS bootstrap conduit RMetrics.trade_rs becomes net_trade_rs and
carries the COST-NETTED per-trade R (r − cost_in_r, trade order). Every
conduit consumer is thereby net-when-costed: the monte-carlo pooled-OOS
and per-survivor bootstraps, the walk-forward oos_r pooling, and the
deflation null-max — which previously compared a net observed statistic
against a gross-resampled null whenever a costed campaign selected on
net_expectancy_r. An uncosted run is bit-identical (empty cost stream
⇒ cost 0.0 per trade), so every existing golden pin stays green.
Design: one conduit, no knob — an explicit net: knob would let a costed
campaign silently produce a gross headline again (the exact misreading
of the issue's evidence). Per-member RMetrics scalar fields stay gross;
net_expectancy_r keeps its meaning. Wire shape unchanged (serde(skip)).
The net series is materialized as a separate expression in summarize_r;
the pinned-float expressions (net_sum, the SQN pair, the lockstep
r_metrics_from_rs copies) keep their tokens verbatim. Fork decisions
and rationales: issue #259 comments.
New coverage, both hostless over the synthetic SYMA archive: a costed
campaign twin shifts the pooled-OOS bootstrap (sweep→gate→wf→mc) and
every per-survivor bootstrap (sweep→mc) below its gross sibling, with
the trade population unchanged; a unit test pins the conduit as the
cost-netted series with the empty-stream degeneracy. Existing conduit
tests renamed with the field.
Verified: full workspace suite green (71 result blocks), clippy clean,
zero bare trade_rs tokens remain, ledger conduit prose updated in place.
closes#259
The stage1 ordinal has been dead vocabulary since the C10 reframe dropped
the two-stage research model: a 1 structurally implies a 2 that no longer
exists. The family is renamed by its live discriminator - the R yardstick -
with members named by their signal, uniform with their signal-named
siblings (sma, macd, momentum):
- selectors: stage1-r -> r-sma, stage1-breakout -> r-breakout,
stage1-meanrev -> r-meanrev (old tokens are usage errors, exit 2 - no
silent alias)
- identifiers: Strategy::RSma/RBreakout/RMeanRev, HarnessKind::RSma,
r_sma_*/r_breakout_*/r_meanrev_*, wrap_r, run_signal_r, RGrid, R_SMA_*
- persisted identity: the sma_signal composite (param prefix
sma_signal.fast.length / .slow.length; fixtures regenerated; content-ids
shift - no test pins a literal hash, the registry parses no record names)
- e2e test files git-mv'd to r_sma_e2e / r_breakout_e2e / r_meanrev_e2e
- dead Stage-1/Stage-2 prose reworded to post-C10 vocabulary across
rustdoc, Cargo.tomls, ledger live lines, and the glossary (historical
entries stay; fieldtests corpus untouched)
- CLAUDE.md invariant 7 rewritten to record the ratified C10 reframe
faithfully (the token-swap alone would have laundered the retired
gated-currency/realistic-broker design into unmarked live prose); the
unbacked account-mode clause dropped
Verification: cargo build/test --workspace green (51 targets), clippy
-D warnings clean, doc build clean, acceptance grep gate leaves exactly
the one resampling-stage false positive (harness.rs), smoke: --harness
r-sma runs, --harness stage1-r exits 2 with the new usage line.
Decision log: forks and rationale recorded on the issue (reconciliation
+ implementation-phase comments).
closes#174
Cycle 0081 (cost-model graph, cycle 1) closes drift-clean against C10: the
architect review confirmed ConstantCost + the net-R seam realize the contract
at its floor (C9 cost node; net_r_equity a C8/C18 sink; R-pure; one home for
cost, subsuming the retired scalar round_trip_cost; pure feed-forward C1), and
the no-cost baseline is byte-identical (C18 golden held). Regression gate green
and unchanged: full workspace suite 0-fail, clippy --workspace --all-targets
-D warnings clean. No baseline moved -> no ratify.
Ledger sync (docs/design/INDEX.md): added the C10 cycle-0081 realization note
(ConstantCost node + net_r_equity seam shipped; scalar round_trip_cost retired;
run-path-scoped; later-cycle deferrals named).
Drift swept (cycle-adjacent + cheap one-liners):
- crates/aura-analysis/src/lib.rs net_expectancy_r doc: the removed in-fold
mechanic (mean(R - round_trip_cost/latched_dist)) -> the cost-stream fold.
- crates/aura-std/src/lib.rs module doc: "realistic broker profiles" (retired
by #116) -> the legacy SimBroker pip yardstick + cost-model nodes.
Backlogged (pre-existing, broader, predates this cycle): the
docs/project-layout.md backtest worked example is stale on #117 (exposure->bias)
and #116 (realistic broker); a proper rewrite is filed as #151, not folded here.
Architect-accepted: the #[allow(dead_code)] on r_col::ENTRY_PRICE/STOP_PRICE
(their production reader legitimately removed when summarize_r stopped recovering
latched_dist; still the layout contract + exercised by test fixtures).
Spec + plan ephemera removed (git rm docs/specs/0081, docs/plans/0081).
refs #148
Lands the first cycle of the "Cost-model graph (in R)" milestone: cost is
now a composable in-graph node, not a post-run scalar (C10).
- ConstantCost (aura-std): a flat round-trip cost per trade, emitted in R
as a 3-field record {cost_in_r, cum_cost_in_r, open_cost_in_r} isomorphic
to PositionManagement's R-triple. R-pure: cost_in_r = cost_per_trade /
|entry-stop|; notional cancels, no equity held.
- summarize_r folds the cost stream into net_expectancy_r, replacing its
scalar round_trip_cost (one home for cost, no double-count). Positional
co-temporal join; an empty stream is the gross-R baseline.
- net_r_equity tap (stage1_r_graph): LinComb(4) over [cum_realized_r,
unrealized_r, -cum_cost_in_r, -open_cost_in_r] -> Recorder, a sibling of
r_equity; --cost-per-trade on the run path wires the node + tap + fold.
- A no-cost run is byte-identical: no net_r_equity tap, net == gross, the
C18 golden unchanged.
Tests: exact-subsumption (the node-stream net == mean(r_i - cost_i) over
ALL trades incl. the window-end open one), the in-graph net_r_equity tap +
net < gross E2E, the no-cost golden held. Full suite green; clippy clean.
Implement-time decisions ratified (recorded on #148): the cost stream is
recorded 3-wide (the node's full output; summarize_r reads col 0/2, col 1
feeds the in-graph net curve) — resolving a 2-wide/3-wide inconsistency in
the plan's Step 3; Trade drops its `latched` field (cost now arrives in R),
so r_col ENTRY_PRICE/STOP_PRICE become #[allow(dead_code)] layout contract.
Scoped to the run path (non-reduce); sweep/walkforward/mc pass None — cost
on the reduce-mode sweep path and OOS-pooling cost are a deferred follow-up.
Known pre-existing concern (not this cycle): aura-std lib.rs module doc
still names "realistic broker profiles", retired by the C10 rework.
refs #148
The last trading-domain types still defined in aura-engine's report module —
the selection-provenance types FamilySelection and SelectionMode — move to
aura-analysis, finishing the #136 goal of getting the trading types out of the
engine. aura-analysis is the only non-cyclic home that removes them from the
engine: RunManifest.selection: Option<FamilySelection> needs the type and the
engine already depends on aura-analysis; aura-registry and aura-cli reach them
unchanged via aura-engine's re-export (report.rs pub-re-exports them, lib.rs
untouched). Their tests stay in report.rs (one round-trips through RunManifest,
which stays in the engine) and reach the types via the re-export.
Behaviour-preserving (C1): full suite 665/0 unchanged incl. the C18 goldens,
clippy clean, only report.rs and aura-analysis/src/lib.rs change.
Staying in the engine (trace-coupled, deferred to the World/C21 layer, not
#136): RunManifest, RunReport, summarize. The aura-registry Metric/metric_cmp
vocabulary stays in the registry by design — the registry is the trading
selection layer, not the domain-free engine (the deflation statistics branch on
metric identity, irreducibly domain). See the #136 thread for the rationale.
aura-engine is documented (C16) and named as the reusable, domain-agnostic
reactive SoA substrate, yet `report.rs` concentrated the trading-domain
analysis layer inside it. This cycle relocates the pure-domain leaf into a new
`aura-analysis` crate (deps: aura-core + serde only), erecting the
engine/domain seam before the Stage-2 broker milestone deposits more
currency/position-event code into the same module. Behaviour-preserving (C1):
the full workspace suite stays green unchanged (665 passed), including the C18
on-disk byte-identity goldens (cli_run, the registry legacy-line loads).
Moved to aura-analysis (bodies verbatim — no float expression re-associated):
RunMetrics, RMetrics (+ its hand-written PartialEq), the private r_col column
indices + SQN_CAP, summarize_r, r_metrics_from_rs, derive_position_events,
PositionAction (+ From/TryFrom<i64>), PositionEvent, and the deflation stats
helpers inv_norm_cdf / expected_max_of_normals. Their unit tests and private
helpers (r_row / r_row_full / pm_row) relocate with them — tests live with
their subject (the r_col helpers reach the private module directly, which a
re-export cannot bridge).
Stays in aura-engine for this cycle: the generic trace plumbing (ColumnarTrace,
join_on_ts, JoinedRow, f64_field), RunManifest, RunReport, and summarize (it
bridges recorded trace columns into RunMetrics, so it is trace-coupled). The
mis-placed orchestration types FamilySelection / SelectionMode also stay
(their relocation is entangled with the registry-vocabulary fork, deferred).
report.rs pub-re-exports the moved symbols, so aura-engine's lib.rs re-export
block and every `crate::report::X` / `aura_engine::X` consumer
(aura-registry, aura-cli, aura-composites, aura-ingest) compile byte-unchanged;
only the new crate, the workspace member list, aura-engine's Cargo.toml dep,
and report.rs itself change.
Deferred to later cycles (genuine design forks, route through specify when
reached): making RunReport generic over a metric type M and re-bounding
sweep/mc/walkforward; relocating the aura-registry Metric / metric_cmp / rank
vocabulary; relocating FamilySelection / SelectionMode. Fork decisions logged
on #136.
claude
Brummel