aeb0366aed095851e250e2cafbe0d51d7d253b6f
6 Commits
| Author | SHA1 | Message | Date | |
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 Brummel
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4de6d5cbad |
rename: retire the stage1-* family for the r-family (r-sma / r-breakout / r-meanrev)
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 |
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Brummel
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4e6b1d9b53 |
audit(stage1-r): cycle-0065 close — ledger records the Stage-1 R signal-quality layer
Architect drift review of cycle 0065 (Stage-1 R: the exposure->bias rename, the
stop-rule + vol_stop, PositionManagement's dense R-record, the Sizer, summarize_r,
the public RiskExecutor, and the CLI surface): code is drift-clean - C10 fidelity
holds (bias->stop->Sizer->PositionManagement, flat-1R feed-forward, R stop-defined
and size-invariant, guarded by the cross-crate layout lockstep test), C9/C23
acyclic, the --harness selector is a compile-time match (no runtime registry/DSL,
C17). The milestone fieldtest is green after the tiny-pip tolerance fix (
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Brummel
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2ee0d74a8c |
fix(stage1-r): scale-robust tolerance for the R-record redundancy guard
The PositionManagement redundancy `debug_assert` (position_management.rs:229) re-derives realized_r from the dense-record columns as dir*(exit-entry)/|entry-stop| and compared it to the stored value with an ABSOLUTE < 1e-9 tolerance. At tiny-pip price scale (EURUSD/GBPUSD entry ~1.1, vol-stop distance ~1e-6) the denominator reconstruction `entry - stop` is a catastrophic-cancellation subtraction that loses ~6 significant digits; with a deep gap-through-stop realising a large |R|, the recomputed R drifts from the (correct) stored realized_r by more than 1e-9 - so a debug build PANICS (exit 101) while a release build (assert compiled out) returns the correct R. GER40 (large pip) never trips it. Found by the Stage-1 R milestone fieldtest: `aura run --harness stage1-r --real EURUSD` crashed the headline "score real FX in R" use case on the default (debug) build, and the debug/release disagreement made the R numbers' validity unknowable from the public surface. Root cause (via debug): the stored realized_r uses the cancellation-free FROZEN latched_dist and is exact - only the guard's tolerance was wrong for small price scales. Fix: a scale-robust relative tolerance `< 1e-9 * realized.abs().max(1.0)` (floored at the historical 1e-9 for |R| <= 1, so no change for normal-scale runs). RED-first: the hermetic synthetic-tiny-pip test `tiny_pip_gap_stop_does_not_trip_the_redundancy_guard` reproduces the panic and is pinned here. Verified end-to-end: `aura run --harness stage1-r --real EURUSD` now returns the R block (exit 0) on a debug build. cargo test --workspace green; clippy --workspace --all-targets -D warnings clean. refs #117 |
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Brummel
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92591e5dc0 |
refactor(stage1-r): name the conviction column conviction_at_entry
Rename the dense PositionManagement record's column 9 from `bias_at_entry_abs` to `conviction_at_entry` (FIELD_NAMES, the `r_col`/test index constants, the cross-crate layout guard, and the doc comments). Why: the column holds |bias| at entry, which C10 defines AS conviction (bias = direction + conviction magnitude; ledger INDEX.md ~458). The record already names the other half of that decomposition by its domain concept (`direction` = sign, not `bias_sign`), so naming the magnitude half mechanically (`bias_at_entry_abs`) was an inconsistency; `conviction_at_entry` speaks the ledger's ubiquitous language and parallels `direction`, while `_at_entry` preserves the frozen-snapshot precision. Considered and rejected: collapsing `(direction, bias_at_entry_abs)` into one signed `bias_at_entry` and dropping `direction` as redundant — it is not redundant. On a reversal row col 4 (`direction`) tracks the reopened leg while col 9 tracks the closed trade's entry conviction, so the two describe different trades and cannot be losslessly merged; they are also distinct semantic axes (current-position direction vs per-trade entry conviction). Scope: domain name at the data boundary, mechanical name internally — the internal `bias.abs()` variables (`Open.bias_abs`, the fold's `Trade.bias_abs`) keep their computation-faithful names, exactly the raw-internal / domain-external split the record uses elsewhere. Behaviour-preserving: cargo build --workspace clean; cargo test --workspace 500 passed, 0 failed (unchanged); clippy --all-targets -D warnings clean. The layout guard (`r_col_indices_match_producer_field_layout`) confirms the renamed string. refs #117 |
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Brummel
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b4e84335c4 |
feat(stage1-r): Sizer + RiskExecutor + R-metric enrichment (iter 2)
Iteration 2 of cycle 0065 (Stage-1 R signal quality) — the node + metric layer. Builds on iter-1's PositionManagement dense R-record + core summarize_r. What ships: - PositionManagement gains a 4th `size` input (slot 3 -> col 10), fed by the Sizer. R is computed size-INVARIANTLY (pure stop-distance ratio), so size never touches realized_r — pinned by a RED test (scaling size leaves every realized_r unchanged) at the node and again end-to-end through the executor. - Sizer (aura-std): `size = risk_budget / stop_distance` — flat-1R (risk_budget 1.0 => one risk unit per trade, size inversely proportional to the stop, not a constant). Reads bias (firing/presence) + stop_distance; the Stage-2 fixed-fractional sizer slots in unchanged (swap risk_budget for risk_fraction*equity, same node shape). - summarize_r enrichment: SQN (sqrt(n)*mean_R/sample-stdev_R; n<2 or zero-variance -> 0), conviction_terciles_r (E[R] by |bias_at_entry| tercile), net_expectancy_r (gross minus one round-trip cost per trade, charged in R via the latched_dist recovered from the entry_price/stop_price columns). summarize_r gains a `round_trip_cost` param (price units). The net-of-cost recovery is tested through the real producer->consumer seam, not just hand-built rows. - RunMetrics.r: Option<RMetrics> with #[serde(default, skip_serializing_if = "Option::is_none")] — legacy runs.jsonl (no `r` key) deserialise to None and a pip-only run's on-disk shape stays byte-unchanged (C14/C18 back-compat). Every RunMetrics literal threaded (report.rs, aura-registry, aura-engine/mc). - RiskExecutor (aura-engine integration-test fixture, sibling of vol_stop_composite): FixedStop -> Sizer -> PositionManagement behind open bias+price input roles, price fanned to both the stop and PM, the Sizer's size into PM. Bias is produced in-graph from the single price source (a second bias *source* would k-way-merge into separate cycles and mark stale prices). The Veto is a DOCUMENTED SEAM, not a runtime node (a pass-through identity is what C19/C23 DCE deletes). Tests: the composite bootstraps + runs + folds to the documented hand value; R invariant under risk_budget while the size column scales; a live-folded RMetrics survives the RunMetrics serde round-trip. The dense-record size column (10) is brought under the cross-crate layout guard (stage1_r_e2e r_col_indices_match_producer_field_layout) so the executor fixture's size-invariance read is drift-protected like the others. Scope: the CLI/recording surface (#129) is sub-split into a separate iteration 3 and is NOT in this commit. Verified: cargo build --workspace clean; cargo test --workspace 500 passed, 0 failed; cargo clippy --workspace --all-targets -D warnings clean. refs #117 #127 #128 #129 |
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Brummel
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2c43296c2c |
feat(stage1-r): bias rename + stop-rule + position-management + summarize_r (iter 1)
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 |