d1e01efebf2ca35fdfc22b08a1cdfe5629ad69ac
5 Commits
| Author | SHA1 | Message | Date | |
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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 |
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Brummel
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47e0e605e1 |
feat(aura): surface bind-bound params in the graph model + viewer signature
A node built with `.bind(slot, value)` fixes a declared param to a structural
constant: the slot correctly leaves the tunable surface (param_space / sweep axes),
but it also vanished from the RENDERED signature, because prim_record emitted only
schema.params. The cycle-0036 `blend` (a LinComb(3) with weights[2] bound to 0.5)
rendered `LinComb[weights[0], weights[1]]` — a 2-arity signature over a 3-port box,
with the fixed 0.5 invisible. The signature misrepresented the node.
bind now ANNOTATES instead of erasing. All slots are shown; the bound one renders
`name=value`, dimmed. The blend renders:
blend: LinComb[weights[0], weights[1], weights[2]=0.5]
Structurally a twin of cycle 0035's instance-name thread (commit
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Brummel
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94af4c788c |
feat(aura-cli): enrich the graph sample into a trend+momentum blend showcase
The built-in sample that `aura graph` renders and `aura sweep` runs is now a
"trend + momentum, weighted blend" strategy that exercises four authoring/viewer
capabilities the single-level sample left dark:
- multiply-nested composites: root -> signals -> {trend = sma_cross, momentum = macd};
- a multi-param node inside a composite: blend = LinComb(3) (weights[0]/[1] shown);
- a multi-output node: momentum (the macd composite) re-exports macd/signal/histogram,
two of which the blend consumes;
- bind(): blend.weights[2] is fixed as a structural constant, so it drops out of the
sweepable param surface (and renders absent).
The new `signals` composite reuses the existing sma_cross/macd builders unchanged; the
sweep re-paths its axes to the eight free params (still a 4-point grid) and runs an
18-tick warm-up stream (showcase_prices) so the MACD EMA-of-EMA chain and the all-Any
LinComb join warm up. The render fixture (sample-model.json) is re-captured, and a new
headless guard (viewer_nested_depth) pins that the viewer renders the nesting to depth 2
with valid Graphviz ids. Pure authoring over already-shipped primitives — no engine or
graph-viewer.js change.
The flat run_sample, run_macd/macd(), the inline model_golden test, and the viewer are
untouched. A third sweep-param pin in tests/cli_run.rs (the aura sweep E2E) was re-pathed
in lockstep with its in-crate twin.
closes #62
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Brummel
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0ae8320d14 |
feat(aura): surface explicit node instance name in the graph viewer
A leaf primitive built with `.named("fast")` now renders its `aura graph` viewer
box head as `fast: SMA[length]` — the instance name as a `:` declaration prefix.
An unnamed leaf keeps the bare `SMA[length]`.
Engine half: a new raw `PrimitiveBuilder::instance_name() -> Option<&str>` (the
explicit name, default not resolved) feeds a conditional leading `"name"` field
in prim_record, present only for an explicitly-named node; both golden twins
(inline model_golden + sample-model.json) re-captured. Viewer half: adaptNodes
carries `name`, the genDot leaf-emit forwards it, and cellLabel prepends the
`name: ` prefix when present (composites stay bare). `named()`'s non-empty
debug_assert is unchanged, its doc re-grounded to the now load-bearing Some/None
invariant (knob-address segment + prefix switch).
The name is a render/model-only debug symbol — dropped at lowering (C23), and the
model stays deterministic (C14). Parameter ganging (one knob, several nodes) was
considered and spun off as an explicit composite-shared-param idea (#61), not via
name collision (param_space is injective, C12/C19).
closes #58
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Brummel
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776bd5432a |
fix(aura-cli): emit valid DOT identifiers for inline-expanded composites
Observed bug in the graph viewer shipped in
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