Brummel
3fe4684190
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
4528 lines
218 KiB
Rust
4528 lines
218 KiB
Rust
//! `aura` — the programmatic / CLI face of the engine (the surface the LLM and
|
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//! automation drive: author a node, run a sim/sweep, emit structured metrics).
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//!
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//! The walking skeleton's closing seam: `aura run` bootstraps a built-in sample
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//! signal-quality harness (synthetic source → SMA-cross → Bias → SimBroker →
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//! recording sinks), runs it deterministically (C1), and prints the run's
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//! metrics + manifest (#6) as canonical JSON to stdout (the headline C14 move).
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//!
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//! `aura run --real <SYMBOL> [--from <ms>] [--to <ms>]` feeds that same harness
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//! real M1 close bars, streamed lazily from the local data-server archive through
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//! the #71 Source seam (`M1FieldSource`) instead of the synthetic stream — the
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//! first real-data backtest from the CLI.
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mod render;
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use render::{ChartData, ChartMeta, ChartMode, ReduceKind, Series};
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use aura_core::{zip_params, Cell, Firing, ParamSpec, Scalar, ScalarKind, Timestamp};
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use aura_composites::{risk_executor, risk_executor_vol_open, StopRule};
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use aura_engine::{
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f64_field, join_on_ts, monte_carlo, param_stability, r_bootstrap, r_metrics_from_rs, summarize,
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summarize_r, walk_forward, window_of, ColumnarTrace, Composite, Edge, FamilySelection, FlatGraph,
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GraphBuilder, Harness, JoinedRow, McAggregate, McFamily, RBootstrap, RollMode, RunManifest,
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RunMetrics, RunReport, SelectionMode, SourceSpec, SweepFamily, SweepPoint, SyntheticSpec, Target,
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VecSource, WalkForwardResult, WindowBounds, WindowRoller, WindowRun,
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};
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use aura_registry::{
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check_r_metric, generalization, group_families, mc_member_reports, optimize_deflated,
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optimize_plateau, rank_by, sweep_member_reports, walkforward_member_reports, FamilyKind,
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FamilyMember, Generalization, NameKind, PlateauMode, Registry, RunTraces, TraceStore, WriteKind,
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};
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use aura_std::{
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Add, Bias, ConstantCost, Delay, Ema, GatedRecorder, Gt, Latch, LinComb, LongOnly, Mul, Recorder,
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RollingMax, RollingMin, SeriesReducer, SimBroker, Sma, Sqrt, Sub, PM_FIELD_NAMES,
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PM_RECORD_KINDS,
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};
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use std::sync::mpsc::{self, Receiver};
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use std::sync::LazyLock;
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use std::collections::HashSet;
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/// The pip size the built-in *synthetic* harnesses run at: a 5-decimal FX major
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/// (`EURUSD`-shaped). The synthetic streams carry no instrument, so there is no
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/// recorded geometry sidecar to thread; a single named source keeps the broker's
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/// divisor (`sample_harness` / `SimBroker::builder`) and the recorded broker label
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/// (`sim_optimal_manifest`) in lockstep, so they cannot silently drift apart.
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/// The real path threads the sidecar's looked-up `pip_size` instead.
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const SYNTHETIC_PIP_SIZE: f64 = 0.0001;
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/// Real walk-forward roller sizes (Fork D/F). `WindowRoller` takes sizes in the
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/// stream's epoch-unit; for real M1 that is nanoseconds. A classic 3-month
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/// in-sample / 1-month out-of-sample / 1-month step (contiguous OOS tiling).
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const WF_DAY_NS: i64 = 86_400_000_000_000;
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const WF_REAL_IS_NS: i64 = 90 * WF_DAY_NS;
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const WF_REAL_OOS_NS: i64 = 30 * WF_DAY_NS;
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const WF_REAL_STEP_NS: i64 = 30 * WF_DAY_NS;
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/// Trials-deflation resampling budget for walk-forward winner selection. Recorded
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/// on each winner's manifest (so `overfit_probability` is reproducible by re-run);
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/// CLI flags for these are a deferred refinement.
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const DEFLATION_N_RESAMPLES: usize = 1000;
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const DEFLATION_BLOCK_LEN: usize = 5;
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const DEFLATION_SEED: u64 = 0xDEF1_A7ED;
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/// The built-in synthetic price stream: rises through t=4 then reverses, so the
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/// demo trace carries one exposure sign flip and a real drawdown (C22 populated
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/// trace). Deterministic and fixed (C1).
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fn synthetic_prices() -> Vec<(Timestamp, Scalar)> {
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[
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(1_i64, 1.0000_f64),
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(2, 1.0010),
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(3, 1.0030),
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(4, 1.0060),
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(5, 1.0040),
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(6, 1.0010),
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(7, 0.9990),
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]
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.iter()
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.map(|&(t, p)| (Timestamp(t), Scalar::f64(p)))
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.collect()
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}
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/// A warm-up-adequate synthetic stream for the enriched sample/sweep: ~18 ticks
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/// rising, falling, then rising again so the trend SMA spread and the MACD
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/// EMA-of-EMA histogram both warm up and flip sign. It shares the proven warm-up
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/// profile of `macd_prices` (the enriched sample embeds the same `macd` composite,
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/// so it needs the same warm-up length); the flat `run_sample` keeps the shorter
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/// `synthetic_prices`. Deterministic and fixed (C1).
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fn showcase_prices() -> Vec<(Timestamp, Scalar)> {
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[
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1.0000_f64, 1.0008, 1.0021, 1.0039, 1.0062, 1.0090, 1.0083, 1.0061, 1.0034,
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1.0012, 0.9998, 1.0006, 1.0024, 1.0047, 1.0069, 1.0086, 1.0097, 1.0092,
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]
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.iter()
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.enumerate()
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.map(|(i, &p)| (Timestamp(i as i64 + 1), Scalar::f64(p)))
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.collect()
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}
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/// Bootstrap the sample signal-quality harness with two recording sinks (equity
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/// tapped on the SimBroker, exposure tapped on the Bias node). Rust-authored
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/// wiring (C17/C20) over the raw bootstrap API — no builder DSL this cycle. The
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/// price taps both SMAs and the broker's price slot (slot 1); exposure feeds the
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/// broker's slot 0 (slot order is load-bearing — both are f64).
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// The harness-plus-two-drained-sink-receivers tuple has exactly one call site
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// (`run_sample`); a named type would be speculative abstraction this cycle.
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#[allow(clippy::type_complexity)]
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fn sample_harness(pip_size: f64) -> (
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Harness,
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Receiver<(Timestamp, Vec<Scalar>)>,
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Receiver<(Timestamp, Vec<Scalar>)>,
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) {
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let (tx_eq, rx_eq) = mpsc::channel();
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let (tx_ex, rx_ex) = mpsc::channel();
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let f64_recorder_sig = || aura_engine::NodeSchema {
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inputs: vec![aura_engine::PortSpec { kind: ScalarKind::F64, firing: Firing::Any, name: "in".into() }],
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output: vec![],
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params: vec![],
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};
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let h = Harness::bootstrap(FlatGraph {
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nodes: vec![
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Box::new(Sma::new(2)), // 0 fast SMA
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Box::new(Sma::new(4)), // 1 slow SMA
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Box::new(Sub::new()), // 2 spread
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Box::new(Bias::new(0.5)), // 3 bias
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Box::new(SimBroker::new(pip_size)), // 4 sim-optimal broker
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Box::new(Recorder::new(&[ScalarKind::F64], Firing::Any, tx_eq)), // 5 equity sink
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Box::new(Recorder::new(&[ScalarKind::F64], Firing::Any, tx_ex)), // 6 exposure sink
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],
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signatures: vec![
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Sma::builder().schema().clone(),
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Sma::builder().schema().clone(),
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Sub::builder().schema().clone(),
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Bias::builder().schema().clone(),
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SimBroker::builder(pip_size).schema().clone(),
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f64_recorder_sig(),
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f64_recorder_sig(),
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],
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sources: vec![SourceSpec {
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kind: ScalarKind::F64,
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targets: vec![
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Target { node: 0, slot: 0 },
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Target { node: 1, slot: 0 },
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Target { node: 4, slot: 1 }, // price into the broker's price slot
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],
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}],
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edges: vec![
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Edge { from: 0, to: 2, slot: 0, from_field: 0 },
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Edge { from: 1, to: 2, slot: 1, from_field: 0 },
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Edge { from: 2, to: 3, slot: 0, from_field: 0 },
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Edge { from: 3, to: 4, slot: 0, from_field: 0 }, // exposure into broker slot 0
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Edge { from: 4, to: 5, slot: 0, from_field: 0 }, // equity -> sink 5
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Edge { from: 3, to: 6, slot: 0, from_field: 0 }, // exposure -> sink 6
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],
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})
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.expect("valid sample signal-quality DAG");
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(h, rx_eq, rx_ex)
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}
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/// Build the sim-optimal `RunManifest`: the engine-external descriptor fields
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/// (commit, seed-free synthetic run, broker label) are constant across the CLI's
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/// built-in harnesses — only `params` and `window` vary. Centralizing the broker
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/// label keeps it a single source (and a single edit point for per-asset pip
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/// work): the `pip_size` it renders is the one its caller ran the broker at.
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fn sim_optimal_manifest(
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params: Vec<(String, Scalar)>,
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window: (Timestamp, Timestamp),
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seed: u64,
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pip_size: f64,
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) -> RunManifest {
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// Typed params pass straight through: the manifest carries self-describing
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// Scalars, so a length stays `i64` and a scale `f64` in the record.
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RunManifest {
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commit: option_env!("AURA_COMMIT").unwrap_or("unknown").to_string(),
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params,
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window,
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seed,
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broker: format!("sim-optimal(pip_size={pip_size})"),
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selection: None,
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instrument: None,
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}
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}
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/// Persist a run's drained taps to the on-disk trace store under `runs/traces/<name>/`
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/// (beside the run registry's `runs/`). Shared by every run form — all drain the same
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/// two f64 taps (equity off the broker, exposure off the strategy) and carry a
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/// `RunManifest`. Pure wiring over `ColumnarTrace` + `TraceStore`; the engine is
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/// untouched. An I/O failure is a usage-level error (stderr + exit 2), per the spec.
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fn persist_traces(
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name: &str,
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manifest: &RunManifest,
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eq_rows: &[(Timestamp, Vec<Scalar>)],
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ex_rows: &[(Timestamp, Vec<Scalar>)],
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) {
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let taps = vec![
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ColumnarTrace::from_rows("equity", &[ScalarKind::F64], eq_rows),
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ColumnarTrace::from_rows("exposure", &[ScalarKind::F64], ex_rows),
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];
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if let Err(e) = TraceStore::open("runs").write(name, manifest, &taps) {
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eprintln!("aura: trace persist failed: {e}");
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std::process::exit(2);
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}
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}
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/// The maximum length (bytes) of an on-disk member-key path component. Comfortably
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/// under the 255-byte POSIX `NAME_MAX` and inside Windows' 260-char `MAX_PATH`
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/// once the `runs/traces/<name>/` prefix and `/<tap>.json` suffix are added.
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const MAX_KEY: usize = 200;
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/// Map any byte outside the portable directory-name charset `[A-Za-z0-9._-]` to
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/// `_`. The single source of filesystem-portability for an on-disk path component
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/// (valid on Linux / Windows / macOS, also URL-path- and cloud-sync-safe).
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fn sanitize_component(s: &str) -> String {
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s.chars()
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.map(|c| if c.is_ascii_alphanumeric() || matches!(c, '.' | '_' | '-') { c } else { '_' })
|
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.collect()
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}
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|
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/// Render a scalar value case-lessly: integers/timestamps as decimal digits, bool
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/// as `true`/`false`, f64 via Rust's `Display` (decimal, shortest round-trip, NO
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/// scientific notation). Case-less rendering is what keeps two members of one
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/// family from ever differing only by letter case (case-insensitive-FS safety).
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fn render_value(v: &Scalar) -> String {
|
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match v {
|
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Scalar::I64(n) => n.to_string(),
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Scalar::F64(x) => x.to_string(),
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||
Scalar::Bool(b) => b.to_string(),
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Scalar::Timestamp(t) => t.0.to_string(),
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}
|
||
}
|
||
|
||
/// FNV-1a-64 over `bytes` — a fixed, version-stable, non-cryptographic hash used
|
||
/// only as the over-cap member-key disambiguator (`std`'s `DefaultHasher` is
|
||
/// explicitly unstable across releases, so it cannot name an on-disk artefact).
|
||
fn fnv1a64(bytes: &[u8]) -> u64 {
|
||
let mut h: u64 = 0xcbf2_9ce4_8422_2325;
|
||
for &b in bytes {
|
||
h ^= b as u64;
|
||
h = h.wrapping_mul(0x0000_0100_0000_01b3);
|
||
}
|
||
h
|
||
}
|
||
|
||
/// The portable, collision-free member key for a swept grid point: one `name-value`
|
||
/// token per *varying* axis (in `named`'s param-space slot order), joined by `_`,
|
||
/// every token sanitised to the portable charset. Pinned (singleton) axes carry no
|
||
/// information and are omitted. A 1-point grid (no varying axis) keys as `"m"`. A
|
||
/// key over `MAX_KEY` degrades to a conformant `h-<16-hex>` FNV fallback so the
|
||
/// key is one valid path component for ANY grid (the #105 generalisation).
|
||
fn member_key(named: &[(String, Scalar)], varying: &HashSet<String>) -> String {
|
||
let key: String = named
|
||
.iter()
|
||
.filter(|(n, _)| varying.contains(n))
|
||
.map(|(n, v)| format!("{}-{}", sanitize_component(n), sanitize_component(&render_value(v))))
|
||
.collect::<Vec<_>>()
|
||
.join("_");
|
||
let key = if key.is_empty() { "m".to_string() } else { key };
|
||
if key.len() <= MAX_KEY { key } else { format!("h-{:016x}", fnv1a64(key.as_bytes())) }
|
||
}
|
||
|
||
/// Default decimation budget: target horizontal buckets. ~2000 buckets ⇒ ≤ ~4000
|
||
/// spine slots (min+max per bucket) — a few-thousand-point page regardless of the
|
||
/// underlying multi-year M1 point count.
|
||
const CHART_DECIMATE_BUCKETS: usize = 2000;
|
||
|
||
/// Per-tap decimation kind (#111): the bounded exposure stream (C10, f64 ∈ [-1,+1])
|
||
/// reduces by per-bucket mean, so its net/duty-cycle level survives decimation
|
||
/// instead of collapsing to a -1..+1 band (every bucket of a multi-year exposure
|
||
/// straddles many sign flips, so min/max would be ±1 everywhere). An unbounded
|
||
/// cumulative curve (equity) keeps the min/max envelope so drawdowns survive. Keyed
|
||
/// on the tap name — `exposure` is the only bounded level tap today.
|
||
fn reduce_for_tap(tap: &str) -> ReduceKind {
|
||
if tap == "exposure" {
|
||
ReduceKind::Mean
|
||
} else {
|
||
ReduceKind::MinMax
|
||
}
|
||
}
|
||
|
||
/// Serve-time decimation on the aligned `ChartData` (#108). Partition the shared
|
||
/// `xs` into at most `buckets` contiguous index ranges; per non-empty bucket emit the
|
||
/// bucket's first (and, if it spans >1 index, last) timestamp as shared spine slots,
|
||
/// and reduce each series per its [`ReduceKind`] (#111): a `MinMax` series emits min
|
||
/// then max (the envelope — equity drawdowns survive), a `Mean` series emits the
|
||
/// per-bucket mean in both slots (the net level — a bounded exposure shows its
|
||
/// duty-cycle instead of a -1..+1 band). An all-null bucket emits null. `meta` passes
|
||
/// through unchanged. Deterministic (C1). Full data stays on disk; only the served
|
||
/// page is thinned. No-op when `xs.len() <= 2 * buckets`.
|
||
fn decimate(data: ChartData, buckets: usize) -> ChartData {
|
||
let buckets = buckets.max(1);
|
||
let n = data.xs.len();
|
||
if n <= 2 * buckets {
|
||
return data;
|
||
}
|
||
let ChartData { xs, series, meta } = data;
|
||
|
||
// Bucket index bounds (lo, hi_exclusive, two_slots) + the decimated shared spine.
|
||
// xs is sorted+deduped (strictly increasing) -> boundary timestamps are strictly
|
||
// increasing across and within buckets, so the spine stays monotonic for uPlot.
|
||
let mut bounds: Vec<(usize, usize, bool)> = Vec::with_capacity(buckets);
|
||
let mut out_xs: Vec<i64> = Vec::with_capacity(2 * buckets);
|
||
for b in 0..buckets {
|
||
let lo = b * n / buckets;
|
||
let hi = (b + 1) * n / buckets;
|
||
if lo >= hi {
|
||
continue;
|
||
}
|
||
let two = hi - lo > 1;
|
||
out_xs.push(xs[lo]);
|
||
if two {
|
||
out_xs.push(xs[hi - 1]);
|
||
}
|
||
bounds.push((lo, hi, two));
|
||
}
|
||
|
||
let out_series: Vec<Series> = series
|
||
.into_iter()
|
||
.map(|s| {
|
||
let mut points: Vec<Option<f64>> = Vec::with_capacity(out_xs.len());
|
||
for &(lo, hi, two) in &bounds {
|
||
let (first, second) = match s.reduce {
|
||
ReduceKind::MinMax => {
|
||
// envelope: min at the first slot, max at the second.
|
||
let mut mn = f64::INFINITY;
|
||
let mut mx = f64::NEG_INFINITY;
|
||
let mut any = false;
|
||
for v in s.points[lo..hi].iter().flatten() {
|
||
any = true;
|
||
if *v < mn {
|
||
mn = *v;
|
||
}
|
||
if *v > mx {
|
||
mx = *v;
|
||
}
|
||
}
|
||
if any { (Some(mn), Some(mx)) } else { (None, None) }
|
||
}
|
||
ReduceKind::Mean => {
|
||
// net level: the per-bucket mean written to both slots (a flat
|
||
// step), so a bounded high-flip series shows its duty-cycle
|
||
// instead of a -1..+1 band (#111).
|
||
let mut sum = 0.0;
|
||
let mut cnt = 0u32;
|
||
for v in s.points[lo..hi].iter().flatten() {
|
||
sum += *v;
|
||
cnt += 1;
|
||
}
|
||
let m = if cnt > 0 { Some(sum / cnt as f64) } else { None };
|
||
(m, m)
|
||
}
|
||
};
|
||
points.push(first);
|
||
if two {
|
||
points.push(second);
|
||
}
|
||
}
|
||
Series { name: s.name, y_scale_id: s.y_scale_id, points, reduce: s.reduce }
|
||
})
|
||
.collect();
|
||
|
||
ChartData { xs: out_xs, series: out_series, meta }
|
||
}
|
||
|
||
/// Build the serve-ready `ChartData` from a run's read-back traces by the spec-§6
|
||
/// 3-step union-spine alignment — no tap privileged, no point dropped:
|
||
/// (1) xs = the sorted, deduped union of every tap's timestamps;
|
||
/// (2) synthesize an empty-payload spine over xs and pass ALL taps (via
|
||
/// `ColumnarTrace::to_rows`, which yields uniformly-f64 rows) as symmetric sides
|
||
/// of `join_on_ts`, so no side row is dropped and none occupies the privileged
|
||
/// `JoinedRow.spine`;
|
||
/// (3) flatten each (tap, column) to a `Series` of `Option<f64>` over xs.
|
||
fn build_chart_data(name: &str, traces: RunTraces) -> ChartData {
|
||
let mut xs: Vec<i64> = traces.taps.iter().flat_map(|t| t.ts.iter().copied()).collect();
|
||
xs.sort_unstable();
|
||
xs.dedup();
|
||
|
||
let spine: Vec<(Timestamp, Vec<Scalar>)> = xs.iter().map(|&t| (Timestamp(t), Vec::new())).collect();
|
||
let tap_rows: Vec<Vec<(Timestamp, Vec<Scalar>)>> = traces.taps.iter().map(|t| t.to_rows()).collect();
|
||
let sides: Vec<&[(Timestamp, Vec<Scalar>)]> = tap_rows.iter().map(|r| r.as_slice()).collect();
|
||
let joined: Vec<JoinedRow> = join_on_ts(&spine, &sides);
|
||
|
||
let mut series: Vec<Series> = Vec::new();
|
||
for (i, tap) in traces.taps.iter().enumerate() {
|
||
for c in 0..tap.columns.len() {
|
||
let name = if tap.columns.len() == 1 { tap.tap.clone() } else { format!("{}[{c}]", tap.tap) };
|
||
let y_scale_id = format!("y_{}", series.len());
|
||
let points: Vec<Option<f64>> =
|
||
joined.iter().map(|r| r.sides[i].as_ref().map(|row| row[c].as_f64())).collect();
|
||
series.push(Series { name, y_scale_id, points, reduce: reduce_for_tap(&tap.tap) });
|
||
}
|
||
}
|
||
|
||
let m = &traces.manifest;
|
||
let meta = ChartMeta {
|
||
kind: "run".to_string(),
|
||
name: name.to_string(),
|
||
commit: m.commit.clone(),
|
||
window: (m.window.0.0, m.window.1.0),
|
||
broker: m.broker.clone(),
|
||
seed: m.seed,
|
||
taps: traces.taps.iter().map(|t| t.tap.clone()).collect(),
|
||
members: None,
|
||
params: m.params.iter().map(|(k, v)| (k.clone(), render_value(v))).collect(),
|
||
};
|
||
ChartData { xs, series, meta }
|
||
}
|
||
|
||
/// One member's contribution to the comparison build: its key (the future series
|
||
/// name) paired with the chosen tap's drained `(ts, row)` pairs.
|
||
type MemberRows = (String, Vec<(Timestamp, Vec<Scalar>)>);
|
||
|
||
/// Build the comparison `ChartData` for a family: one `Series` per member (the
|
||
/// chosen `tap`'s column), labelled by `member.key`, ALL sharing ONE `y_scale_id`
|
||
/// (the members measure one identical quantity, so a shared scale is what makes
|
||
/// them comparable — unlike the single-run overlay, whose series are different
|
||
/// taps). Aligned on the union-ts spine via the same `join_on_ts` build_chart_data
|
||
/// uses. `Err` if NO member carries `tap` (refuse-don't-guess).
|
||
fn build_comparison_chart_data(
|
||
name: &str,
|
||
members: &[FamilyMember],
|
||
tap: &str,
|
||
) -> Result<ChartData, String> {
|
||
let mut member_rows: Vec<MemberRows> = Vec::new();
|
||
for m in members {
|
||
if let Some(t) = m.traces.taps.iter().find(|t| t.tap == tap) {
|
||
member_rows.push((m.key.clone(), t.to_rows()));
|
||
}
|
||
}
|
||
if member_rows.is_empty() {
|
||
return Err(format!("no family member has a tap named '{tap}'"));
|
||
}
|
||
|
||
let mut xs: Vec<i64> =
|
||
member_rows.iter().flat_map(|(_, r)| r.iter().map(|(t, _)| t.0)).collect();
|
||
xs.sort_unstable();
|
||
xs.dedup();
|
||
|
||
let spine: Vec<(Timestamp, Vec<Scalar>)> =
|
||
xs.iter().map(|&t| (Timestamp(t), Vec::new())).collect();
|
||
let sides: Vec<&[(Timestamp, Vec<Scalar>)]> =
|
||
member_rows.iter().map(|(_, r)| r.as_slice()).collect();
|
||
let joined: Vec<JoinedRow> = join_on_ts(&spine, &sides);
|
||
|
||
// One shared y-scale across all member series (same quantity).
|
||
let y_scale_id = format!("y_cmp_{tap}");
|
||
let mut series: Vec<Series> = Vec::new();
|
||
for (i, (key, _)) in member_rows.iter().enumerate() {
|
||
// Project column 0 — the doc's "chosen tap's column" (singular). The
|
||
// comparison taps in scope (equity / exposure) are single-column `f64`.
|
||
// A future multi-column tap selection would need a column index here.
|
||
let points: Vec<Option<f64>> =
|
||
joined.iter().map(|r| r.sides[i].as_ref().map(|row| row[0].as_f64())).collect();
|
||
series.push(Series { name: key.clone(), y_scale_id: y_scale_id.clone(), points, reduce: reduce_for_tap(tap) });
|
||
}
|
||
// member_rows is non-empty here (checked above) => members is non-empty, so
|
||
// members[0] is safe. commit/broker ARE shared across a family (one frozen
|
||
// artifact, one broker profile), but the window is NOT: a walk-forward family's
|
||
// members are disjoint OOS windows (commit 4c64feb), so the family window is the
|
||
// SPAN across all members — (min from, max to). For sweep/MC, whose members
|
||
// share one window, the span collapses to that shared window, so this is the one
|
||
// correct reading for all three kinds.
|
||
let m = &members[0].traces.manifest;
|
||
let window = (
|
||
members.iter().map(|fm| fm.traces.manifest.window.0.0).min().unwrap(),
|
||
members.iter().map(|fm| fm.traces.manifest.window.1.0).max().unwrap(),
|
||
);
|
||
let meta = ChartMeta {
|
||
kind: "family".to_string(),
|
||
name: name.to_string(),
|
||
commit: m.commit.clone(),
|
||
window,
|
||
broker: m.broker.clone(),
|
||
seed: m.seed,
|
||
taps: vec![tap.to_string()],
|
||
members: Some(members.len()),
|
||
params: Vec::new(),
|
||
};
|
||
Ok(ChartData { xs, series, meta })
|
||
}
|
||
|
||
/// Restrict a single-run `ChartData` to the one series named `tap`. `Err` if the
|
||
/// run has no such tap (refuse-don't-guess). Used by the `--tap` flag on the
|
||
/// single-run chart path; without `--tap` the single-run page is unchanged.
|
||
fn filter_to_tap(data: ChartData, tap: &str) -> Result<ChartData, String> {
|
||
if !data.series.iter().any(|s| s.name == tap) {
|
||
// List the valid taps so the user can correct a typo (#131) — refuse, but help.
|
||
let available: Vec<&str> = data.series.iter().map(|s| s.name.as_str()).collect();
|
||
return Err(format!("run has no tap named '{tap}' (available: {})", available.join(", ")));
|
||
}
|
||
let series: Vec<Series> = data.series.into_iter().filter(|s| s.name == tap).collect();
|
||
let mut meta = data.meta;
|
||
meta.taps = vec![tap.to_string()];
|
||
Ok(ChartData { xs: data.xs, series, meta })
|
||
}
|
||
|
||
/// `aura chart <name> [--tap <t>] [--panels]`: classify the name and render. A
|
||
/// single run charts all its taps (or the one `--tap` selects); a family overlays
|
||
/// one tap (default `equity`) across its members; an unknown name is a usage error
|
||
/// (stderr + exit 2), never a panic.
|
||
fn emit_chart(name: &str, tap: Option<&str>, mode: ChartMode) {
|
||
let store = TraceStore::open("runs");
|
||
match store.name_kind(name) {
|
||
NameKind::Run => {
|
||
let traces = match store.read(name) {
|
||
Ok(t) => t,
|
||
Err(e) => {
|
||
eprintln!("aura: {e}");
|
||
std::process::exit(2);
|
||
}
|
||
};
|
||
let mut data = build_chart_data(name, traces);
|
||
if let Some(t) = tap {
|
||
data = match filter_to_tap(data, t) {
|
||
Ok(d) => d,
|
||
Err(e) => {
|
||
eprintln!("aura: {e}");
|
||
std::process::exit(2);
|
||
}
|
||
};
|
||
}
|
||
let data = decimate(data, CHART_DECIMATE_BUCKETS);
|
||
print!("{}", render::render_chart_html(&data, mode));
|
||
}
|
||
NameKind::Family => {
|
||
let members = match store.read_family(name) {
|
||
Ok(m) => m,
|
||
Err(e) => {
|
||
eprintln!("aura: {e}");
|
||
std::process::exit(2);
|
||
}
|
||
};
|
||
let data = match build_comparison_chart_data(name, &members, tap.unwrap_or("equity")) {
|
||
Ok(d) => d,
|
||
Err(e) => {
|
||
eprintln!("aura: {e}");
|
||
std::process::exit(2);
|
||
}
|
||
};
|
||
let data = decimate(data, CHART_DECIMATE_BUCKETS);
|
||
print!("{}", render::render_chart_html(&data, mode));
|
||
}
|
||
NameKind::NotFound => {
|
||
eprintln!(
|
||
"aura: no recorded run or family '{name}' under runs/traces \
|
||
(run `aura run --trace {name}` or `aura sweep --trace {name}` first)"
|
||
);
|
||
std::process::exit(2);
|
||
}
|
||
}
|
||
}
|
||
|
||
/// Run the sample harness and fold it into a `RunReport` (drain both sinks →
|
||
/// `f64_field` → `summarize` → pair with a `RunManifest`). Pure and deterministic
|
||
/// (C1): the same build yields the same report.
|
||
fn run_sample(trace: Option<&str>) -> RunReport {
|
||
if let Some(n) = trace
|
||
&& let Err(e) = TraceStore::open("runs").ensure_name_free(n, WriteKind::Run)
|
||
{
|
||
eprintln!("aura: {e}");
|
||
std::process::exit(2);
|
||
}
|
||
let (mut h, rx_eq, rx_ex) = sample_harness(SYNTHETIC_PIP_SIZE);
|
||
let sources: Vec<Box<dyn aura_engine::Source>> =
|
||
vec![Box::new(VecSource::new(synthetic_prices()))];
|
||
let window = window_of(&sources).expect("non-empty synthetic stream");
|
||
h.run(sources);
|
||
|
||
let eq_rows: Vec<(Timestamp, Vec<Scalar>)> = rx_eq.try_iter().collect();
|
||
let ex_rows: Vec<(Timestamp, Vec<Scalar>)> = rx_ex.try_iter().collect();
|
||
let manifest = sim_optimal_manifest(
|
||
vec![
|
||
("sma_fast".to_string(), Scalar::i64(2)),
|
||
("sma_slow".to_string(), Scalar::i64(4)),
|
||
("bias_scale".to_string(), Scalar::f64(0.5)),
|
||
],
|
||
window,
|
||
0,
|
||
SYNTHETIC_PIP_SIZE,
|
||
);
|
||
if let Some(name) = trace {
|
||
persist_traces(name, &manifest, &eq_rows, &ex_rows);
|
||
}
|
||
let metrics = summarize(&f64_field(&eq_rows, 0), &f64_field(&ex_rows, 0));
|
||
RunReport { manifest, metrics }
|
||
}
|
||
|
||
/// `aura run --real <SYMBOL>`: run the built-in sample harness over real M1 close
|
||
/// bars streamed lazily from the local data-server archive through the #71 Source
|
||
/// seam (`M1FieldSource`, a `Box<dyn Source>`), not the synthetic `VecSource`. Same
|
||
/// fold as `run_sample`. The manifest window is read from a *separate* probe source
|
||
/// (a Source is single-pass), so the run source streams the window untouched.
|
||
/// A no-local-data condition (unknown symbol, or a window overlapping no file / no
|
||
/// bars) is a usage error: stderr + exit(2), not a panic.
|
||
fn run_sample_real(symbol: &str, from_ms: Option<i64>, to_ms: Option<i64>, trace: Option<&str>) -> RunReport {
|
||
if let Some(n) = trace
|
||
&& let Err(e) = TraceStore::open("runs").ensure_name_free(n, WriteKind::Run)
|
||
{
|
||
eprintln!("aura: {e}");
|
||
std::process::exit(2);
|
||
}
|
||
let (source, window, pip_size) = open_real_source(symbol, from_ms, to_ms);
|
||
let (mut h, rx_eq, rx_ex) = sample_harness(pip_size);
|
||
h.run(vec![source]);
|
||
|
||
let eq_rows: Vec<(Timestamp, Vec<Scalar>)> = rx_eq.try_iter().collect();
|
||
let ex_rows: Vec<(Timestamp, Vec<Scalar>)> = rx_ex.try_iter().collect();
|
||
let manifest = sim_optimal_manifest(
|
||
vec![
|
||
("sma_fast".to_string(), Scalar::i64(2)),
|
||
("sma_slow".to_string(), Scalar::i64(4)),
|
||
("bias_scale".to_string(), Scalar::f64(0.5)),
|
||
],
|
||
window,
|
||
0,
|
||
pip_size,
|
||
);
|
||
if let Some(name) = trace {
|
||
persist_traces(name, &manifest, &eq_rows, &ex_rows);
|
||
}
|
||
let metrics = summarize(&f64_field(&eq_rows, 0), &f64_field(&ex_rows, 0));
|
||
RunReport { manifest, metrics }
|
||
}
|
||
|
||
/// Parse `aura chart` args: `<name> [--tap <t>] [--panels]` in any order.
|
||
fn parse_chart_args(rest: &[&str]) -> Result<(String, Option<String>, ChartMode), String> {
|
||
let mut name: Option<String> = None;
|
||
let mut tap: Option<String> = None;
|
||
let mut mode = ChartMode::Overlay;
|
||
let mut i = 0;
|
||
while i < rest.len() {
|
||
match rest[i] {
|
||
"--panels" => {
|
||
mode = ChartMode::Panels;
|
||
i += 1;
|
||
}
|
||
"--tap" => {
|
||
let t = rest.get(i + 1).ok_or("--tap needs a value")?;
|
||
tap = Some((*t).to_string());
|
||
i += 2;
|
||
}
|
||
other if !other.starts_with("--") && name.is_none() => {
|
||
name = Some(other.to_string());
|
||
i += 1;
|
||
}
|
||
other => return Err(format!("unexpected chart argument '{other}'")),
|
||
}
|
||
}
|
||
let name = name.ok_or("chart needs a <name>")?;
|
||
Ok((name, tap, mode))
|
||
}
|
||
|
||
/// The shared `--real <SYMBOL> [--from <ms>] [--to <ms>]` accumulator for the
|
||
/// family parsers (`parse_sweep_args` / `parse_walkforward_args`). It holds the
|
||
/// one home of the real/window grammar — flag-repeat strictness, the empty-symbol
|
||
/// rejection, and the "window flags require `--real`" rule — so the two siblings
|
||
/// agree with each other (the `run` parser inlines the same strictness rather than
|
||
/// sharing this accumulator). Each parser owns its other
|
||
/// flags (strategy / name / trace); on a `--real`/`--from`/`--to` token it calls
|
||
/// `accept`, and at the end calls `finish` to validate and build the `DataChoice`.
|
||
#[derive(Default)]
|
||
struct RealWindowGrammar {
|
||
symbol: Option<String>,
|
||
from_ms: Option<i64>,
|
||
to_ms: Option<i64>,
|
||
}
|
||
|
||
impl RealWindowGrammar {
|
||
/// Consume one `--real`/`--from`/`--to` flag and its already-split value.
|
||
/// Returns `Ok(true)` if the flag was a real/window flag (consumed),
|
||
/// `Ok(false)` if it is not ours (the caller handles it), `Err` on a malformed
|
||
/// real/window flag: a repeated flag (the `if from.is_none()` strictness) or
|
||
/// an empty `--real` symbol.
|
||
fn accept(&mut self, flag: &str, value: &str, usage: &impl Fn() -> String) -> Result<bool, String> {
|
||
match flag {
|
||
"--real" if self.symbol.is_none() && !value.is_empty() => {
|
||
self.symbol = Some(value.to_string());
|
||
}
|
||
"--from" if self.from_ms.is_none() => {
|
||
self.from_ms = Some(value.parse().map_err(|_| usage())?);
|
||
}
|
||
"--to" if self.to_ms.is_none() => {
|
||
self.to_ms = Some(value.parse().map_err(|_| usage())?);
|
||
}
|
||
"--real" | "--from" | "--to" => return Err(usage()), // repeated / empty symbol
|
||
_ => return Ok(false),
|
||
}
|
||
Ok(true)
|
||
}
|
||
|
||
/// Validate (window flags require `--real`) and assemble the `DataChoice`.
|
||
fn finish(self, usage: &impl Fn() -> String) -> Result<DataChoice, String> {
|
||
match self.symbol {
|
||
Some(symbol) => Ok(DataChoice::Real { symbol, from_ms: self.from_ms, to_ms: self.to_ms }),
|
||
None if self.from_ms.is_some() || self.to_ms.is_some() => Err(usage()),
|
||
None => Ok(DataChoice::Synthetic),
|
||
}
|
||
}
|
||
}
|
||
|
||
/// What `--real` parsing yields: the synthetic default, or a real symbol + an
|
||
/// optional window (parsed, not yet opened). Pure, so the grammar is unit-testable.
|
||
#[derive(Debug, Clone, PartialEq)]
|
||
enum DataChoice {
|
||
Synthetic,
|
||
Real { symbol: String, from_ms: Option<i64>, to_ms: Option<i64> },
|
||
}
|
||
|
||
/// The source provider threaded into the family builders: synthetic built-in
|
||
/// streams, or real M1 close bars from the data-server archive. Replaces the
|
||
/// hardcoded `VecSource` so a member's source, pip, window, and roller sizes come
|
||
/// from one place (Fork B/D/F).
|
||
///
|
||
/// `Synthetic` denotes a *consumer-dependent* built-in stream, not one fixed
|
||
/// series: the full-window consumers (`full_window` / `run_sources`, used by
|
||
/// sweep / MC) draw the 18-bar `showcase_prices()`, while the windowed consumers
|
||
/// (`windowed_sources` / `wf_window_sizes`, used by walk-forward) draw the 60-bar
|
||
/// `walkforward_prices()` so the `(24,12,12)`-bar roller fits its span. The two
|
||
/// faces never reach one consumer (a family is either full-window or windowed), so
|
||
/// the split is invisible per call site but real across the type — read both
|
||
/// family builders to see it whole.
|
||
enum DataSource {
|
||
Synthetic,
|
||
Real {
|
||
server: std::sync::Arc<data_server::DataServer>,
|
||
symbol: String,
|
||
from_ms: Option<i64>,
|
||
to_ms: Option<i64>,
|
||
pip: f64,
|
||
},
|
||
}
|
||
|
||
/// No-local-data refusal — stderr + exit(2), mirroring `run_sample_real`.
|
||
fn no_real_data(symbol: &str) -> ! {
|
||
eprintln!("aura: no local data for symbol '{symbol}' at {}", data_server::DEFAULT_DATA_PATH);
|
||
std::process::exit(2)
|
||
}
|
||
|
||
/// Resolve the per-instrument pip from the recorded geometry sidecar, or refuse
|
||
/// (stderr + exit 2) when the symbol has no recorded geometry — the single home of
|
||
/// the guessed-pip refusal, shared by `open_real_source` and `from_choice`. Reads
|
||
/// the symbol's geometry metadata (not bar data) before the run source opens, so an
|
||
/// instrument with no recorded geometry refuses without a guessed pip; the pip is
|
||
/// the provider's recorded value, honest by construction.
|
||
fn pip_or_refuse(server: &std::sync::Arc<data_server::DataServer>, symbol: &str) -> f64 {
|
||
match aura_ingest::instrument_geometry(server, symbol) {
|
||
Some(geo) => geo.pip_size,
|
||
None => {
|
||
eprintln!(
|
||
"aura: no recorded geometry for symbol '{symbol}' at {} — \
|
||
refusing to run a real instrument with a guessed pip",
|
||
data_server::DEFAULT_DATA_PATH
|
||
);
|
||
std::process::exit(2);
|
||
}
|
||
}
|
||
}
|
||
|
||
/// Probe the full data window: open a single-pass probe `M1FieldSource`, drain it
|
||
/// for the first/last timestamp, and return `(first, last)`. Refuses (via
|
||
/// `no_real_data`) when the symbol/window yields no source or no bars. Shared by
|
||
/// `run_sample_real` (which needs the manifest window from a probe separate from
|
||
/// the run source) and `DataSource::full_window`.
|
||
fn probe_window(
|
||
server: &std::sync::Arc<data_server::DataServer>,
|
||
symbol: &str,
|
||
from_ms: Option<i64>,
|
||
to_ms: Option<i64>,
|
||
) -> (Timestamp, Timestamp) {
|
||
let mut probe = aura_ingest::M1FieldSource::open(server, symbol, from_ms, to_ms, aura_ingest::M1Field::Close)
|
||
.unwrap_or_else(|| no_real_data(symbol));
|
||
let first = aura_engine::Source::peek(&probe).unwrap_or_else(|| no_real_data(symbol));
|
||
let mut last = first;
|
||
while let Some((t, _)) = aura_engine::Source::next(&mut probe) {
|
||
last = t;
|
||
}
|
||
(first, last)
|
||
}
|
||
|
||
/// Open a real M1-close source for a recorded symbol over an optional window, returning
|
||
/// the run source paired with its manifest `window` and per-instrument `pip_size`.
|
||
/// Single home of the real-source construction the single-run handlers share — the
|
||
/// sidecar-pip lookup, the `DataServer` `has_symbol` refusal, the probe-window pass, and
|
||
/// the run-source `open` (each refusal an stderr + exit 2). Pre-data refusals keep the
|
||
/// pip honest by construction. Shared by `run_sample_real` and `run_stage1_r`.
|
||
fn open_real_source(
|
||
symbol: &str,
|
||
from_ms: Option<i64>,
|
||
to_ms: Option<i64>,
|
||
) -> (Box<dyn aura_engine::Source>, (Timestamp, Timestamp), f64) {
|
||
// Per-instrument pip from the recorded sidecar; resolved BEFORE bar-data access
|
||
// so an instrument with no geometry refuses without touching the archive.
|
||
let server = std::sync::Arc::new(data_server::DataServer::new(data_server::DEFAULT_DATA_PATH));
|
||
let pip = pip_or_refuse(&server, symbol);
|
||
if !server.has_symbol(symbol) {
|
||
no_real_data(symbol);
|
||
}
|
||
// Manifest window: drain a separate probe (single-pass Source) for first/last ts.
|
||
let window = probe_window(&server, symbol, from_ms, to_ms);
|
||
let source: Box<dyn aura_engine::Source> =
|
||
match aura_ingest::M1FieldSource::open(&server, symbol, from_ms, to_ms, aura_ingest::M1Field::Close) {
|
||
Some(s) => Box::new(s),
|
||
None => no_real_data(symbol),
|
||
};
|
||
(source, window, pip)
|
||
}
|
||
|
||
impl DataSource {
|
||
/// Build a provider from a parsed choice, or refuse (stderr + exit 2) on a symbol
|
||
/// with no recorded geometry / absent data — both BEFORE any member runs (Fork C/G),
|
||
/// via the same `pip_or_refuse` / `no_real_data` helpers as
|
||
/// `run_sample_real`.
|
||
fn from_choice(choice: DataChoice) -> DataSource {
|
||
match choice {
|
||
DataChoice::Synthetic => DataSource::Synthetic,
|
||
DataChoice::Real { symbol, from_ms, to_ms } => {
|
||
let server = std::sync::Arc::new(data_server::DataServer::new(data_server::DEFAULT_DATA_PATH));
|
||
let pip = pip_or_refuse(&server, &symbol);
|
||
if !server.has_symbol(&symbol) {
|
||
no_real_data(&symbol);
|
||
}
|
||
DataSource::Real { server, symbol, from_ms, to_ms, pip }
|
||
}
|
||
}
|
||
}
|
||
|
||
fn pip_size(&self) -> f64 {
|
||
match self {
|
||
DataSource::Synthetic => SYNTHETIC_PIP_SIZE,
|
||
DataSource::Real { pip, .. } => *pip,
|
||
}
|
||
}
|
||
|
||
/// The full run window, probed once. Synthetic: the showcase span. Real:
|
||
/// `probe_window` drains a separate single-pass probe source for first/last ts
|
||
/// (the same helper `run_sample_real` uses for its manifest window).
|
||
fn full_window(&self) -> (Timestamp, Timestamp) {
|
||
match self {
|
||
DataSource::Synthetic => {
|
||
let s: Vec<Box<dyn aura_engine::Source>> = vec![Box::new(VecSource::new(showcase_prices()))];
|
||
window_of(&s).expect("non-empty showcase stream")
|
||
}
|
||
DataSource::Real { server, symbol, from_ms, to_ms, .. } => {
|
||
probe_window(server, symbol, *from_ms, *to_ms)
|
||
}
|
||
}
|
||
}
|
||
|
||
/// The full walk-forward span. Synthetic draws the 60-bar `walkforward_prices`
|
||
/// span — NOT `showcase_prices` (which `full_window` uses): walk-forward is a
|
||
/// *windowed* consumer whose roller `(24,12,12)` needs 36 bars, so it uses the
|
||
/// longer built-in stream (byte-unchanged from the pre-`DataSource`
|
||
/// `walkforward_family`, which derived its span the same way). Real: the same
|
||
/// probed `--from..--to` window as `full_window`.
|
||
fn wf_full_span(&self) -> (Timestamp, Timestamp) {
|
||
match self {
|
||
DataSource::Synthetic => {
|
||
let s: Vec<Box<dyn aura_engine::Source>> = vec![Box::new(VecSource::new(walkforward_prices()))];
|
||
window_of(&s).expect("non-empty walkforward stream")
|
||
}
|
||
DataSource::Real { server, symbol, from_ms, to_ms, .. } => {
|
||
probe_window(server, symbol, *from_ms, *to_ms)
|
||
}
|
||
}
|
||
}
|
||
|
||
/// A fresh full-window source per member (single-pass). Synthetic: showcase.
|
||
fn run_sources(&self) -> Vec<Box<dyn aura_engine::Source>> {
|
||
match self {
|
||
DataSource::Synthetic => vec![Box::new(VecSource::new(showcase_prices()))],
|
||
DataSource::Real { server, symbol, from_ms, to_ms, .. } => vec![Box::new(
|
||
aura_ingest::M1FieldSource::open(server, symbol, *from_ms, *to_ms, aura_ingest::M1Field::Close)
|
||
.unwrap_or_else(|| no_real_data(symbol)),
|
||
)],
|
||
}
|
||
}
|
||
|
||
/// A fresh windowed source for an IS/OOS sub-window (walk-forward). Synthetic:
|
||
/// `walkforward_window_source`. Real: `open_window` (ns-native `Timestamp`).
|
||
fn windowed_sources(&self, from: Timestamp, to: Timestamp) -> Vec<Box<dyn aura_engine::Source>> {
|
||
match self {
|
||
DataSource::Synthetic => vec![Box::new(walkforward_window_source(from, to))],
|
||
DataSource::Real { server, symbol, .. } => vec![Box::new(
|
||
aura_ingest::M1FieldSource::open_window(server, symbol, Some(from), Some(to), aura_ingest::M1Field::Close)
|
||
.unwrap_or_else(|| no_real_data(symbol)),
|
||
)],
|
||
}
|
||
}
|
||
|
||
/// WindowRoller sizes per data kind (Fork F): bar-index for synthetic (24/12/12
|
||
/// over the 60-bar span), calendar-ns for real.
|
||
fn wf_window_sizes(&self) -> (i64, i64, i64) {
|
||
match self {
|
||
DataSource::Synthetic => (24, 12, 12),
|
||
DataSource::Real { .. } => (WF_REAL_IS_NS, WF_REAL_OOS_NS, WF_REAL_STEP_NS),
|
||
}
|
||
}
|
||
|
||
/// The built-in strategy's length grid, **per data kind**. Synthetic keeps the
|
||
/// short lengths that fit the 18/60-bar demo streams (a 200-bar MA would never
|
||
/// warm on a 60-bar stream); real uses realistic M1 lengths so the SMA-cross +
|
||
/// MACD signal is a real trend cross over tens of thousands of bars, not noise.
|
||
/// Returns `(trend_fast grid, trend_slow grid, (macd_fast, macd_slow, macd_signal))`;
|
||
/// only the two trend axes vary (a 2×2 sweep), the MACD lengths are pinned.
|
||
fn strategy_lengths(&self) -> ([i64; 2], [i64; 2], (i64, i64, i64)) {
|
||
match self {
|
||
DataSource::Synthetic => ([2, 3], [4, 5], (2, 4, 3)),
|
||
// 50/200-style intraday crosses on M1 (minutes), standard 12/26/9 MACD.
|
||
DataSource::Real { .. } => ([50, 100], [200, 400], (12, 26, 9)),
|
||
}
|
||
}
|
||
}
|
||
|
||
/// The SMA-cross signal as a named composite (price -> fast/slow SMA -> spread).
|
||
/// CLI-local sample builder; the engine ships no sample (the duplication with
|
||
/// `blueprint.rs`'s test helper is the dedup tracked in #14). Value-empty: the SMA
|
||
/// lengths are injected at compile, not baked here.
|
||
fn sma_cross(name: &str) -> Composite {
|
||
let mut g = GraphBuilder::new(name);
|
||
let fast = g.add(Sma::builder().named("fast")); // fast SMA leg
|
||
let slow = g.add(Sma::builder().named("slow")); // slow SMA leg
|
||
let sub = g.add(Sub::builder());
|
||
let price = g.input_role("price");
|
||
g.feed(price, [fast.input("series"), slow.input("series")]);
|
||
g.connect(fast.output("value"), sub.input("lhs"));
|
||
g.connect(slow.output("value"), sub.input("rhs"));
|
||
g.expose(sub.output("value"), "cross");
|
||
g.build().expect("sample sma_cross wiring resolves")
|
||
}
|
||
|
||
/// The blended signal: a trend leg (SMA-cross) and a momentum leg (MACD), combined
|
||
/// by a weighted sum. A multiply-nested composite (root → signals → {trend,
|
||
/// momentum}); the blend is a multi-param node living inside it, with one weight
|
||
/// bound as a structural constant (so it drops out of the sweepable surface).
|
||
fn signals(name: &str) -> Composite {
|
||
let mut g = GraphBuilder::new(name);
|
||
let trend = g.add(sma_cross("trend")); // trend leg (one f64 "cross")
|
||
let momentum = g.add(macd("momentum")); // momentum leg (3 outputs)
|
||
// blend: Σ wᵢ·termᵢ over [trend.cross, momentum.histogram, momentum.signal].
|
||
// weights[2] is bound (a fixed signal-line weight) → removed from param_space;
|
||
// weights[0]/[1] stay tunable. `.named("blend")` makes the path signals.blend.*
|
||
// (and renders the `blend:` prefix).
|
||
let blend = g.add(
|
||
LinComb::builder(3)
|
||
.named("blend")
|
||
.bind("weights[2]", Scalar::f64(0.5)),
|
||
);
|
||
let price = g.input_role("price");
|
||
g.feed(price, [trend.input("price"), momentum.input("price")]);
|
||
g.connect(trend.output("cross"), blend.input("term[0]")); // trend.cross → blend.term[0]
|
||
g.connect(momentum.output("histogram"), blend.input("term[1]")); // momentum.histogram → blend.term[1]
|
||
g.connect(momentum.output("signal"), blend.input("term[2]")); // momentum.signal → blend.term[2]
|
||
g.expose(blend.output("value"), "signal");
|
||
g.build().expect("sample signals wiring resolves")
|
||
}
|
||
|
||
/// The sample signal-quality blueprint (value-empty) **with its two recording
|
||
/// sinks reachable**: returns the equity + exposure receivers a per-point sweep
|
||
/// run drains (the eight free params — the trend SMA lengths, the momentum EMA
|
||
/// lengths, the two open blend weights, and the exposure scale — are injected at
|
||
/// compile via the point vector). The root harness of the sample topology, whose
|
||
/// signal is built by the nested `signals` composite; `build_sample` (the `aura
|
||
/// graph` entry) is expressed on top of it.
|
||
#[allow(clippy::type_complexity)]
|
||
fn sample_blueprint_with_sinks(pip_size: f64) -> (
|
||
Composite,
|
||
Receiver<(Timestamp, Vec<Scalar>)>,
|
||
Receiver<(Timestamp, Vec<Scalar>)>,
|
||
) {
|
||
let (tx_eq, rx_eq) = mpsc::channel();
|
||
let (tx_ex, rx_ex) = mpsc::channel();
|
||
let mut g = GraphBuilder::new("sample");
|
||
let sig = g.add(signals("signals"));
|
||
let exposure = g.add(Bias::builder().named("bias"));
|
||
let broker = g.add(SimBroker::builder(pip_size));
|
||
let eq = g.add(Recorder::builder(vec![ScalarKind::F64], Firing::Any, tx_eq));
|
||
let ex = g.add(Recorder::builder(vec![ScalarKind::F64], Firing::Any, tx_ex));
|
||
let price = g.source_role("price", ScalarKind::F64);
|
||
g.feed(price, [sig.input("price"), broker.input("price")]);
|
||
g.connect(sig.output("signal"), exposure.input("signal")); // blended signal -> Bias
|
||
g.connect(exposure.output("bias"), broker.input("exposure")); // bias -> broker slot 0
|
||
g.connect(broker.output("equity"), eq.input("col[0]")); // equity -> sink
|
||
g.connect(exposure.output("bias"), ex.input("col[0]")); // bias -> sink
|
||
let bp = g.build().expect("sample blueprint wiring resolves");
|
||
(bp, rx_eq, rx_ex)
|
||
}
|
||
|
||
/// The sample blueprint without its sink receivers — the `aura graph` render
|
||
/// entry, which never runs the graph (so the receivers are dropped).
|
||
fn build_sample() -> Composite {
|
||
sample_blueprint_with_sinks(SYNTHETIC_PIP_SIZE).0
|
||
}
|
||
|
||
/// The built-in sample rendered by `aura graph`.
|
||
fn sample_blueprint() -> Composite {
|
||
build_sample()
|
||
}
|
||
|
||
/// Run the built-in sample over a small built-in grid (fast ∈ {2,3},
|
||
/// slow ∈ {4,5}, scale ∈ {0.5} — 4 points) and render one JSON line per point in
|
||
/// enumeration (odometer) order. Pure + deterministic (C1): the same build yields
|
||
/// the same report. Each point builds a fresh blueprint (fresh sink channels),
|
||
/// bootstraps it under the point vector, runs it, and folds the drained sinks to
|
||
/// metrics — the per-point closure the engine `sweep` drives disjointly.
|
||
fn sweep_family(trace: Option<&str>, data: &DataSource) -> SweepFamily {
|
||
let pip = data.pip_size();
|
||
let window = data.full_window();
|
||
let bp = sample_blueprint_with_sinks(pip).0;
|
||
let space = bp.param_space();
|
||
let (tf, ts, (mf, ms, msig)) = data.strategy_lengths();
|
||
let binder = bp
|
||
.axis("signals.trend.fast.length", tf)
|
||
.axis("signals.trend.slow.length", ts)
|
||
.axis("signals.momentum.fast.length", [mf])
|
||
.axis("signals.momentum.slow.length", [ms])
|
||
.axis("signals.momentum.signal.length", [msig])
|
||
.axis("signals.blend.weights[0]", [1.0])
|
||
.axis("signals.blend.weights[1]", [1.0])
|
||
.axis("bias.scale", [0.5]);
|
||
let varying: HashSet<String> = binder.varying_axes().into_iter().collect();
|
||
binder
|
||
.sweep(|point| {
|
||
let (bp, rx_eq, rx_ex) = sample_blueprint_with_sinks(pip);
|
||
let mut h = bp
|
||
.bootstrap_with_cells(point)
|
||
.expect("grid points are kind-checked against param_space");
|
||
let sources = data.run_sources();
|
||
h.run(sources);
|
||
let eq_rows = rx_eq.try_iter().collect::<Vec<_>>();
|
||
let ex_rows = rx_ex.try_iter().collect::<Vec<_>>();
|
||
let named = zip_params(&space, point);
|
||
let key = member_key(&named, &varying);
|
||
let manifest = sim_optimal_manifest(named, window, 0, pip);
|
||
if let Some(name) = trace {
|
||
persist_traces(&format!("{name}/{key}"), &manifest, &eq_rows, &ex_rows);
|
||
}
|
||
let equity = f64_field(&eq_rows, 0);
|
||
let exposure = f64_field(&ex_rows, 0);
|
||
RunReport { manifest, metrics: summarize(&equity, &exposure) }
|
||
})
|
||
.expect("the built-in named grid matches the sample param-space")
|
||
}
|
||
|
||
/// The EMA-distance momentum demo strategy with its two recording sinks reachable.
|
||
/// The signal is how far price sits above/below its own EMA (`price - ema`), bounded
|
||
/// into a directional (unsized) bias by `Bias`, then passed through the long-only
|
||
/// `LongOnly` gate. Three swept
|
||
/// knobs of three kinds — `ema.length` (i64), `bias.scale` (f64),
|
||
/// `longonly.enabled` (bool) — with nothing in common with the SMA-cross demo: the
|
||
/// generic-sweep proof. The exposure sink taps the FINAL (gated) exposure so the
|
||
/// bool's effect is visible in the trace.
|
||
#[allow(clippy::type_complexity)]
|
||
fn momentum_blueprint_with_sinks(pip_size: f64) -> (
|
||
Composite,
|
||
Receiver<(Timestamp, Vec<Scalar>)>,
|
||
Receiver<(Timestamp, Vec<Scalar>)>,
|
||
) {
|
||
let (tx_eq, rx_eq) = mpsc::channel();
|
||
let (tx_ex, rx_ex) = mpsc::channel();
|
||
let mut g = GraphBuilder::new("momentum");
|
||
// Name the param-bearing nodes explicitly so the swept paths are guaranteed
|
||
// ema.length / bias.scale / longonly.enabled regardless of default-name
|
||
// derivation (the member-key examples + the param-space test depend on these).
|
||
let ema = g.add(Ema::builder().named("ema")); // ema.length
|
||
let dist = g.add(Sub::builder()); // momentum = price - ema
|
||
let expo = g.add(Bias::builder().named("bias")); // bias.scale
|
||
let gate = g.add(LongOnly::builder().named("longonly")); // longonly.enabled (the bool param)
|
||
let broker = g.add(SimBroker::builder(pip_size));
|
||
let eq = g.add(Recorder::builder(vec![ScalarKind::F64], Firing::Any, tx_eq));
|
||
let ex = g.add(Recorder::builder(vec![ScalarKind::F64], Firing::Any, tx_ex));
|
||
let price = g.source_role("price", ScalarKind::F64);
|
||
g.feed(price, [ema.input("series"), dist.input("lhs"), broker.input("price")]);
|
||
g.connect(ema.output("value"), dist.input("rhs")); // momentum = price - ema
|
||
g.connect(dist.output("value"), expo.input("signal"));
|
||
g.connect(expo.output("bias"), gate.input("exposure"));
|
||
g.connect(gate.output("exposure"), broker.input("exposure")); // gated exposure -> broker
|
||
g.connect(broker.output("equity"), eq.input("col[0]")); // equity -> sink
|
||
g.connect(gate.output("exposure"), ex.input("col[0]")); // gated exposure -> sink
|
||
let bp = g.build().expect("momentum blueprint wiring resolves");
|
||
(bp, rx_eq, rx_ex)
|
||
}
|
||
|
||
/// Run the momentum strategy over its built-in grid — `ema.length ∈ {5,10}` ×
|
||
/// `bias.scale ∈ {0.5,1.0}` × `longonly.enabled ∈ {true,false}` = 8 points,
|
||
/// all three axes varying. Mirrors `sweep_family`: capture the binder's varying
|
||
/// axes, key each member via the generic portable `member_key`. With `--trace`,
|
||
/// persist each member under `runs/traces/<name>/<member_key>/`.
|
||
fn momentum_sweep_family(trace: Option<&str>, data: &DataSource) -> SweepFamily {
|
||
let pip = data.pip_size();
|
||
let window = data.full_window();
|
||
let bp = momentum_blueprint_with_sinks(pip).0;
|
||
let space = bp.param_space();
|
||
let binder = bp
|
||
.axis("ema.length", [5, 10])
|
||
.axis("bias.scale", [0.5, 1.0])
|
||
.axis("longonly.enabled", [true, false]);
|
||
let varying: HashSet<String> = binder.varying_axes().into_iter().collect();
|
||
binder
|
||
.sweep(|point| {
|
||
let (bp, rx_eq, rx_ex) = momentum_blueprint_with_sinks(pip);
|
||
let mut h = bp
|
||
.bootstrap_with_cells(point)
|
||
.expect("grid points are kind-checked against param_space");
|
||
let sources = data.run_sources();
|
||
h.run(sources);
|
||
let eq_rows = rx_eq.try_iter().collect::<Vec<_>>();
|
||
let ex_rows = rx_ex.try_iter().collect::<Vec<_>>();
|
||
let named = zip_params(&space, point);
|
||
let key = member_key(&named, &varying);
|
||
let manifest = sim_optimal_manifest(named, window, 0, pip);
|
||
if let Some(name) = trace {
|
||
persist_traces(&format!("{name}/{key}"), &manifest, &eq_rows, &ex_rows);
|
||
}
|
||
let equity = f64_field(&eq_rows, 0);
|
||
let exposure = f64_field(&ex_rows, 0);
|
||
RunReport { manifest, metrics: summarize(&equity, &exposure) }
|
||
})
|
||
.expect("the momentum named grid matches the momentum param-space")
|
||
}
|
||
|
||
/// The honest broker label for the dual-tap stage1-r harness: it runs a RiskExecutor
|
||
/// branch alongside the SimBroker, so the plain "sim-optimal" label would under-report
|
||
/// it (#132). Shared by the single run and the sweep so the two cannot drift.
|
||
fn stage1_r_broker_label(pip_size: f64) -> String {
|
||
format!("sim-optimal+risk-executor(pip_size={pip_size})")
|
||
}
|
||
|
||
/// `aura sweep --strategy stage1-r`: sweep the stage1-r harness over a fast×slow
|
||
/// SIGNAL grid (the stop + sizing stay fixed — see the cycle-0066 / #133 decision
|
||
/// log: risk_budget is R-invariant and bias.scale is sign-only under flat-1R, both
|
||
/// degenerate axes; the stop defines the R unit, so varying it would break
|
||
/// cross-member SQN comparability). Each member folds the dense R-record via
|
||
/// summarize_r, so its RunReport carries `r: Some(..)` and the family is rankable
|
||
/// by sqn / sqn_normalized / expectancy_r / net_expectancy_r. With `--trace`, each
|
||
/// member's equity / exposure / r_equity streams are persisted under
|
||
/// `runs/traces/<name>/<member_key>/` via `persist_traces_r` (mirroring
|
||
/// `momentum_sweep_family`), so a swept member is chartable.
|
||
/// The four griddable knobs of the stage1-r sweep as value lists (#137): the SMA fast
|
||
/// / slow lengths and the vol-stop length / `k`-multiplier. The family is the cartesian
|
||
/// product of the four lists; absent flags fall back to the historical defaults (fast
|
||
/// `{2,3}`, slow `{6,12}`, stop_length `{3}`, stop_k `{2.0}`) so a no-flags sweep is
|
||
/// byte-identical to the pre-#137 family.
|
||
#[derive(Clone, Debug, PartialEq)]
|
||
struct Stage1RGrid {
|
||
fast: Vec<i64>,
|
||
slow: Vec<i64>,
|
||
stop_length: Vec<i64>,
|
||
stop_k: Vec<f64>,
|
||
channel: Vec<i64>,
|
||
window: Vec<i64>,
|
||
band_k: Vec<f64>,
|
||
}
|
||
|
||
impl Default for Stage1RGrid {
|
||
fn default() -> Self {
|
||
Self {
|
||
fast: vec![2, 3],
|
||
slow: vec![6, 12],
|
||
stop_length: vec![STAGE1_R_STOP_LENGTH],
|
||
stop_k: vec![STAGE1_R_STOP_K],
|
||
channel: vec![1920],
|
||
window: vec![1920],
|
||
band_k: vec![2.0],
|
||
}
|
||
}
|
||
}
|
||
|
||
/// The path-qualified `param_space()` suffix of the open vol-stop's EWMA length knob
|
||
/// (the `Ema` named `stop_length` in `risk_executor_vol_open`). The full slot name is
|
||
/// resolved at runtime from the live param-space by this suffix, so the composite path
|
||
/// prefix is never hand-synced.
|
||
const STOP_LENGTH_SUFFIX: &str = ".vol_stop.stop_length.length";
|
||
|
||
/// The path-qualified `param_space()` suffix of the open vol-stop's `k`-multiplier knob
|
||
/// (the `LinComb` named `stop_k`, whose single weight is `weights[0]`).
|
||
const STOP_K_SUFFIX: &str = ".vol_stop.stop_k.weights[0]";
|
||
|
||
/// The friendly manifest name for an open vol-stop slot, given its path-qualified
|
||
/// `param_space()` name: the two stop knobs render as `stop_length` / `stop_k` (their
|
||
/// pre-#137 manual manifest names), every other slot unchanged. Decoupling the manifest
|
||
/// name from the deep param-space path keeps the family record auditable (C18) while the
|
||
/// values flow through the real `.axis(..)` grid.
|
||
fn stage1_r_friendly_name(space_name: &str) -> String {
|
||
if space_name.ends_with(STOP_LENGTH_SUFFIX) {
|
||
"stop_length".to_string()
|
||
} else if space_name.ends_with(STOP_K_SUFFIX) {
|
||
"stop_k".to_string()
|
||
} else {
|
||
space_name.to_string()
|
||
}
|
||
}
|
||
|
||
fn stage1_r_sweep_family(trace: Option<&str>, data: &DataSource, grid: &Stage1RGrid) -> SweepFamily {
|
||
let pip = data.pip_size();
|
||
let window = data.full_window();
|
||
// a single throwaway floated build, only to resolve param_space (borrow) then
|
||
// seed the named axes (move) — its taps are never drained, the per-point run_one
|
||
// rebuilds with live ones. Mirrors momentum_sweep_family: param_space takes &self,
|
||
// .axis() consumes self, so one build suffices. The vol-stop knobs are left OPEN
|
||
// (`stop_open = true`) so all four knobs — signal AND stop — grid through the one
|
||
// `.axis(..)` mechanism (#137).
|
||
let (tx_eq, _) = mpsc::channel();
|
||
let (tx_ex, _) = mpsc::channel();
|
||
let (tx_r, _) = mpsc::channel();
|
||
let (tx_req, _) = mpsc::channel();
|
||
let bp = stage1_r_graph(tx_eq, tx_ex, tx_r, tx_req, None, None, true, true, None);
|
||
let space = bp.param_space();
|
||
// resolve the open stop slots' exact path-qualified names from the live param-space
|
||
// (the composite prefix is never hand-synced — match by the stable suffix).
|
||
let stop_length_axis = space
|
||
.iter()
|
||
.map(|p| p.name.clone())
|
||
.find(|n| n.ends_with(STOP_LENGTH_SUFFIX))
|
||
.expect("open stage1-r vol-stop exposes a stop_length axis");
|
||
let stop_k_axis = space
|
||
.iter()
|
||
.map(|p| p.name.clone())
|
||
.find(|n| n.ends_with(STOP_K_SUFFIX))
|
||
.expect("open stage1-r vol-stop exposes a stop_k axis");
|
||
let binder = bp
|
||
.axis("fast.length", grid.fast.clone())
|
||
.axis("slow.length", grid.slow.clone())
|
||
.axis(&stop_length_axis, grid.stop_length.clone())
|
||
.axis(&stop_k_axis, grid.stop_k.clone());
|
||
// the varying axes drive the member key; translate the deep stop-axis names to the
|
||
// friendly `stop_length` / `stop_k` the manifest uses, so the key reads the same
|
||
// names whether a signal or a stop axis is what varies.
|
||
let varying: HashSet<String> = binder
|
||
.varying_axes()
|
||
.into_iter()
|
||
.map(|n| stage1_r_friendly_name(&n))
|
||
.collect();
|
||
binder
|
||
.sweep(|point| {
|
||
let (tx_eq, rx_eq) = mpsc::channel();
|
||
let (tx_ex, rx_ex) = mpsc::channel();
|
||
let (tx_r, rx_r) = mpsc::channel();
|
||
let (tx_req, rx_req) = mpsc::channel();
|
||
let reduce = trace.is_none();
|
||
let mut h = stage1_r_graph(tx_eq, tx_ex, tx_r, tx_req, None, None, true, reduce, None)
|
||
.bootstrap_with_cells(point)
|
||
.expect("stage1-r grid points are kind-checked against param_space");
|
||
h.run(data.run_sources());
|
||
// record the swept knobs PLUS the fixed R-defining bias scale, matching the
|
||
// single run: a family member must be reproducible from its own manifest
|
||
// (C18). The stop knobs are now real swept axes (they appear in `point`), so
|
||
// they reach the manifest via `zip_params` — under their friendly
|
||
// `stop_length` / `stop_k` names so cross-member SQN comparability (C10) is
|
||
// auditable from the family record by the same names as before.
|
||
let mut named: Vec<(String, Scalar)> = zip_params(&space, point)
|
||
.into_iter()
|
||
.map(|(n, v)| (stage1_r_friendly_name(&n), v))
|
||
.collect();
|
||
named.push(("bias_scale".to_string(), Scalar::f64(0.5)));
|
||
let key = member_key(&named, &varying);
|
||
let mut manifest = sim_optimal_manifest(named, window, 0, pip);
|
||
manifest.broker = stage1_r_broker_label(pip);
|
||
let metrics = if reduce {
|
||
// folded: GatedRecorder emits O(trades) R rows; each SeriesReducer
|
||
// emits one [last, max_drawdown, sign_flips] summary row.
|
||
let r_rows: Vec<(Timestamp, Vec<Scalar>)> = rx_r.try_iter().collect();
|
||
let (total_pips, max_drawdown) = rx_eq
|
||
.try_iter()
|
||
.next()
|
||
.map(|(_, row)| (row[0].as_f64(), row[1].as_f64()))
|
||
.unwrap_or((0.0, 0.0));
|
||
let bias_sign_flips =
|
||
rx_ex.try_iter().next().map(|(_, row)| row[2].as_i64() as u64).unwrap_or(0);
|
||
let mut m = RunMetrics { total_pips, max_drawdown, bias_sign_flips, r: None };
|
||
m.r = Some(summarize_r(&r_rows, &[]));
|
||
m
|
||
} else {
|
||
// trace path (--trace set): raw recorders, persist, summarize — today's code.
|
||
let eq_rows: Vec<(Timestamp, Vec<Scalar>)> = rx_eq.try_iter().collect();
|
||
let ex_rows: Vec<(Timestamp, Vec<Scalar>)> = rx_ex.try_iter().collect();
|
||
let r_rows: Vec<(Timestamp, Vec<Scalar>)> = rx_r.try_iter().collect();
|
||
let req_rows: Vec<(Timestamp, Vec<Scalar>)> = rx_req.try_iter().collect();
|
||
if let Some(name) = trace {
|
||
persist_traces_r(&format!("{name}/{key}"), &manifest, &eq_rows, &ex_rows, &req_rows, &[]);
|
||
}
|
||
let mut m = summarize(&f64_field(&eq_rows, 0), &f64_field(&ex_rows, 0));
|
||
m.r = Some(summarize_r(&r_rows, &[]));
|
||
m
|
||
};
|
||
RunReport { manifest, metrics }
|
||
})
|
||
.expect("the stage1-r named grid matches the stage1-r param-space")
|
||
}
|
||
|
||
/// The param-space of the OPEN stage1-r blueprint (all four knobs free) — the kinds
|
||
/// the per-window `WindowRun::chosen_params` are read against (C7). Mirrors the
|
||
/// throwaway-build param_space resolution inside `stage1_r_sweep_family`.
|
||
fn stage1_r_space() -> Vec<ParamSpec> {
|
||
let (tx_eq, _) = mpsc::channel();
|
||
let (tx_ex, _) = mpsc::channel();
|
||
let (tx_r, _) = mpsc::channel();
|
||
let (tx_req, _) = mpsc::channel();
|
||
stage1_r_graph(tx_eq, tx_ex, tx_r, tx_req, None, None, true, true, None).param_space()
|
||
}
|
||
|
||
/// Windowed reduce-mode stage1-r sweep over `[from, to]` — the in-sample leg of the
|
||
/// stage1-r walk-forward. Identical grid/axis/fold logic to `stage1_r_sweep_family`,
|
||
/// 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, Option<Vec<usize>>) {
|
||
let pip = data.pip_size();
|
||
let (tx_eq, _) = mpsc::channel();
|
||
let (tx_ex, _) = mpsc::channel();
|
||
let (tx_r, _) = mpsc::channel();
|
||
let (tx_req, _) = mpsc::channel();
|
||
let bp = stage1_r_graph(tx_eq, tx_ex, tx_r, tx_req, None, None, true, true, None);
|
||
let space = bp.param_space();
|
||
let stop_length_axis = space.iter().map(|p| p.name.clone())
|
||
.find(|n| n.ends_with(STOP_LENGTH_SUFFIX)).expect("open stage1-r vol-stop exposes a stop_length axis");
|
||
let stop_k_axis = space.iter().map(|p| p.name.clone())
|
||
.find(|n| n.ends_with(STOP_K_SUFFIX)).expect("open stage1-r vol-stop exposes a stop_k axis");
|
||
bp
|
||
.axis("fast.length", grid.fast.clone())
|
||
.axis("slow.length", grid.slow.clone())
|
||
.axis(&stop_length_axis, grid.stop_length.clone())
|
||
.axis(&stop_k_axis, grid.stop_k.clone())
|
||
.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();
|
||
let (tx_req, _rx_req) = mpsc::channel();
|
||
let mut h = stage1_r_graph(tx_eq, tx_ex, tx_r, tx_req, None, None, true, true, None)
|
||
.bootstrap_with_cells(point)
|
||
.expect("stage1-r grid points are kind-checked against param_space");
|
||
let sources = data.windowed_sources(from, to);
|
||
let window = window_of(&sources).expect("non-empty in-sample window");
|
||
h.run(sources);
|
||
let mut named: Vec<(String, Scalar)> = zip_params(&space, point).into_iter()
|
||
.map(|(n, v)| (stage1_r_friendly_name(&n), v)).collect();
|
||
named.push(("bias_scale".to_string(), Scalar::f64(0.5)));
|
||
let mut manifest = sim_optimal_manifest(named, window, 0, pip);
|
||
manifest.broker = stage1_r_broker_label(pip);
|
||
let r_rows: Vec<(Timestamp, Vec<Scalar>)> = rx_r.try_iter().collect();
|
||
let (total_pips, max_drawdown) = rx_eq.try_iter().next()
|
||
.map(|(_, row)| (row[0].as_f64(), row[1].as_f64())).unwrap_or((0.0, 0.0));
|
||
let bias_sign_flips = rx_ex.try_iter().next().map(|(_, row)| row[2].as_i64() as u64).unwrap_or(0);
|
||
let mut m = RunMetrics { total_pips, max_drawdown, bias_sign_flips, r: None };
|
||
m.r = Some(summarize_r(&r_rows, &[]));
|
||
RunReport { manifest, metrics: m }
|
||
})
|
||
.map(|(fam, lat)| (fam, Some(lat)))
|
||
.expect("the stage1-r named grid matches the stage1-r param-space")
|
||
}
|
||
|
||
/// Run the chosen stage1-r params over an OOS window; return the recorded pip-equity
|
||
/// segment (for stitching) and the OOS RunReport whose `metrics.r` carries both the
|
||
/// R metrics and the per-trade `trade_rs`. Non-reduce (raw recorders): one window's
|
||
/// curve is bounded, and `stitch` needs the full pip-equity series.
|
||
fn run_oos_r(
|
||
params: &[Cell], from: Timestamp, to: Timestamp, trace: Option<&str>, data: &DataSource,
|
||
) -> (Vec<(Timestamp, f64)>, RunReport) {
|
||
let pip = data.pip_size();
|
||
let (tx_eq, rx_eq) = mpsc::channel();
|
||
let (tx_ex, rx_ex) = mpsc::channel();
|
||
let (tx_r, rx_r) = mpsc::channel();
|
||
let (tx_req, rx_req) = mpsc::channel();
|
||
let bp = stage1_r_graph(tx_eq, tx_ex, tx_r, tx_req, None, None, true, false, None);
|
||
let space = bp.param_space();
|
||
let mut h = bp.bootstrap_with_cells(params)
|
||
.expect("chosen params pre-validated by the in-sample GridSpace::new");
|
||
let sources = data.windowed_sources(from, to);
|
||
let window = window_of(&sources).expect("non-empty out-of-sample window");
|
||
h.run(sources);
|
||
let eq_rows = rx_eq.try_iter().collect::<Vec<_>>();
|
||
let ex_rows = rx_ex.try_iter().collect::<Vec<_>>();
|
||
let r_rows: Vec<(Timestamp, Vec<Scalar>)> = rx_r.try_iter().collect();
|
||
let req_rows: Vec<(Timestamp, Vec<Scalar>)> = rx_req.try_iter().collect();
|
||
let mut named: Vec<(String, Scalar)> = zip_params(&space, params).into_iter()
|
||
.map(|(n, v)| (stage1_r_friendly_name(&n), v)).collect();
|
||
named.push(("bias_scale".to_string(), Scalar::f64(0.5)));
|
||
let mut manifest = sim_optimal_manifest(named, window, 0, pip);
|
||
manifest.broker = stage1_r_broker_label(pip);
|
||
if let Some(name) = trace {
|
||
persist_traces_r(&format!("{name}/oos{}", from.0), &manifest, &eq_rows, &ex_rows, &req_rows, &[]);
|
||
}
|
||
let equity = f64_field(&eq_rows, 0);
|
||
let exposure = f64_field(&ex_rows, 0);
|
||
let mut metrics = summarize(&equity, &exposure);
|
||
metrics.r = Some(summarize_r(&r_rows, &[]));
|
||
(equity, RunReport { manifest, metrics })
|
||
}
|
||
|
||
/// `aura sweep --strategy stage1-breakout`: sweep the breakout harness over a channel ×
|
||
/// stop grid. One `channel` length drives BOTH rolling nodes (parameter-ganging, #61),
|
||
/// so the family iterates the cartesian product MANUALLY with a fully-bound graph per
|
||
/// point (compile_with_params(&[]) + Harness::bootstrap, like run_stage1_r) rather than
|
||
/// the open .axis/bootstrap_with_cells path. Each member folds the dense R-record via
|
||
/// summarize_r, so the family is rankable by sqn / expectancy_r / ... (parity with
|
||
/// stage1-r). With --trace, raw recorders persist the per-cycle streams.
|
||
fn stage1_breakout_sweep_family(trace: Option<&str>, data: &DataSource, grid: &Stage1RGrid) -> SweepFamily {
|
||
let pip = data.pip_size();
|
||
let window = data.full_window();
|
||
let mut varying: HashSet<String> = HashSet::new();
|
||
if grid.channel.len() > 1 {
|
||
varying.insert("channel".to_string());
|
||
}
|
||
if grid.stop_length.len() > 1 {
|
||
varying.insert("stop_length".to_string());
|
||
}
|
||
if grid.stop_k.len() > 1 {
|
||
varying.insert("stop_k".to_string());
|
||
}
|
||
let mut points = Vec::new();
|
||
for &c in &grid.channel {
|
||
for &sl in &grid.stop_length {
|
||
for &sk in &grid.stop_k {
|
||
let (tx_eq, rx_eq) = mpsc::channel();
|
||
let (tx_ex, rx_ex) = mpsc::channel();
|
||
let (tx_r, rx_r) = mpsc::channel();
|
||
let (tx_req, rx_req) = mpsc::channel();
|
||
let reduce = trace.is_none();
|
||
let flat = stage1_breakout_graph(tx_eq, tx_ex, tx_r, tx_req, Some(c), sl, sk, reduce)
|
||
.compile_with_params(&[])
|
||
.expect("valid stage1-breakout blueprint");
|
||
let mut h = Harness::bootstrap(flat).expect("valid stage1-breakout harness");
|
||
h.run(data.run_sources());
|
||
let named: Vec<(String, Scalar)> = vec![
|
||
("channel".to_string(), Scalar::i64(c)),
|
||
("stop_length".to_string(), Scalar::i64(sl)),
|
||
("stop_k".to_string(), Scalar::f64(sk)),
|
||
];
|
||
let key = member_key(&named, &varying);
|
||
let mut manifest = sim_optimal_manifest(named, window, 0, pip);
|
||
manifest.broker = stage1_r_broker_label(pip);
|
||
let metrics = if reduce {
|
||
let r_rows: Vec<(Timestamp, Vec<Scalar>)> = rx_r.try_iter().collect();
|
||
let (total_pips, max_drawdown) = rx_eq
|
||
.try_iter()
|
||
.next()
|
||
.map(|(_, row)| (row[0].as_f64(), row[1].as_f64()))
|
||
.unwrap_or((0.0, 0.0));
|
||
let bias_sign_flips =
|
||
rx_ex.try_iter().next().map(|(_, row)| row[2].as_i64() as u64).unwrap_or(0);
|
||
let mut m = RunMetrics { total_pips, max_drawdown, bias_sign_flips, r: None };
|
||
m.r = Some(summarize_r(&r_rows, &[]));
|
||
m
|
||
} else {
|
||
let eq_rows: Vec<(Timestamp, Vec<Scalar>)> = rx_eq.try_iter().collect();
|
||
let ex_rows: Vec<(Timestamp, Vec<Scalar>)> = rx_ex.try_iter().collect();
|
||
let r_rows: Vec<(Timestamp, Vec<Scalar>)> = rx_r.try_iter().collect();
|
||
let req_rows: Vec<(Timestamp, Vec<Scalar>)> = rx_req.try_iter().collect();
|
||
if let Some(name) = trace {
|
||
persist_traces_r(&format!("{name}/{key}"), &manifest, &eq_rows, &ex_rows, &req_rows, &[]);
|
||
}
|
||
let mut m = summarize(&f64_field(&eq_rows, 0), &f64_field(&ex_rows, 0));
|
||
m.r = Some(summarize_r(&r_rows, &[]));
|
||
m
|
||
};
|
||
points.push(SweepPoint { params: vec![], report: RunReport { manifest, metrics } });
|
||
}
|
||
}
|
||
}
|
||
SweepFamily { space: vec![], points }
|
||
}
|
||
|
||
fn stage1_meanrev_sweep_family(trace: Option<&str>, data: &DataSource, grid: &Stage1RGrid) -> SweepFamily {
|
||
let pip = data.pip_size();
|
||
let window = data.full_window();
|
||
let mut varying: HashSet<String> = HashSet::new();
|
||
if grid.window.len() > 1 {
|
||
varying.insert("window".to_string());
|
||
}
|
||
if grid.band_k.len() > 1 {
|
||
varying.insert("band_k".to_string());
|
||
}
|
||
if grid.stop_length.len() > 1 {
|
||
varying.insert("stop_length".to_string());
|
||
}
|
||
if grid.stop_k.len() > 1 {
|
||
varying.insert("stop_k".to_string());
|
||
}
|
||
let mut points = Vec::new();
|
||
for &n in &grid.window {
|
||
for &bk in &grid.band_k {
|
||
for &sl in &grid.stop_length {
|
||
for &sk in &grid.stop_k {
|
||
let (tx_eq, rx_eq) = mpsc::channel();
|
||
let (tx_ex, rx_ex) = mpsc::channel();
|
||
let (tx_r, rx_r) = mpsc::channel();
|
||
let (tx_req, rx_req) = mpsc::channel();
|
||
let reduce = trace.is_none();
|
||
let flat =
|
||
stage1_meanrev_graph(tx_eq, tx_ex, tx_r, tx_req, Some(n), bk, sl, sk, reduce)
|
||
.compile_with_params(&[])
|
||
.expect("valid stage1-meanrev blueprint");
|
||
let mut h = Harness::bootstrap(flat).expect("valid stage1-meanrev harness");
|
||
h.run(data.run_sources());
|
||
let named: Vec<(String, Scalar)> = vec![
|
||
("window".to_string(), Scalar::i64(n)),
|
||
("band_k".to_string(), Scalar::f64(bk)),
|
||
("stop_length".to_string(), Scalar::i64(sl)),
|
||
("stop_k".to_string(), Scalar::f64(sk)),
|
||
];
|
||
let key = member_key(&named, &varying);
|
||
let mut manifest = sim_optimal_manifest(named, window, 0, pip);
|
||
manifest.broker = stage1_r_broker_label(pip);
|
||
let metrics = if reduce {
|
||
let r_rows: Vec<(Timestamp, Vec<Scalar>)> = rx_r.try_iter().collect();
|
||
let (total_pips, max_drawdown) = rx_eq
|
||
.try_iter()
|
||
.next()
|
||
.map(|(_, row)| (row[0].as_f64(), row[1].as_f64()))
|
||
.unwrap_or((0.0, 0.0));
|
||
let bias_sign_flips =
|
||
rx_ex.try_iter().next().map(|(_, row)| row[2].as_i64() as u64).unwrap_or(0);
|
||
let mut m = RunMetrics { total_pips, max_drawdown, bias_sign_flips, r: None };
|
||
m.r = Some(summarize_r(&r_rows, &[]));
|
||
m
|
||
} else {
|
||
let eq_rows: Vec<(Timestamp, Vec<Scalar>)> = rx_eq.try_iter().collect();
|
||
let ex_rows: Vec<(Timestamp, Vec<Scalar>)> = rx_ex.try_iter().collect();
|
||
let r_rows: Vec<(Timestamp, Vec<Scalar>)> = rx_r.try_iter().collect();
|
||
let req_rows: Vec<(Timestamp, Vec<Scalar>)> = rx_req.try_iter().collect();
|
||
if let Some(name) = trace {
|
||
persist_traces_r(&format!("{name}/{key}"), &manifest, &eq_rows, &ex_rows, &req_rows, &[]);
|
||
}
|
||
let mut m = summarize(&f64_field(&eq_rows, 0), &f64_field(&ex_rows, 0));
|
||
m.r = Some(summarize_r(&r_rows, &[]));
|
||
m
|
||
};
|
||
points.push(SweepPoint { params: vec![], report: RunReport { manifest, metrics } });
|
||
}
|
||
}
|
||
}
|
||
}
|
||
SweepFamily { space: vec![], points }
|
||
}
|
||
|
||
/// Render a sweep family as one `RunReport` JSON line per point. Test helper:
|
||
/// production (`run_sweep`) renders *and* persists per point.
|
||
#[cfg(test)]
|
||
fn sweep_report() -> String {
|
||
let mut out = String::new();
|
||
for pt in &sweep_family(None, &DataSource::Synthetic).points {
|
||
out.push_str(&pt.report.to_json());
|
||
out.push('\n');
|
||
}
|
||
out
|
||
}
|
||
|
||
/// The default run registry: an append-only JSONL store under the current
|
||
/// working directory. (A project-configured runs-dir via `Aura.toml` is a later
|
||
/// refinement.)
|
||
fn default_registry() -> Registry {
|
||
Registry::open("runs/runs.jsonl")
|
||
}
|
||
|
||
/// Which built-in strategy `aura sweep` runs. Default (today's behaviour) is the
|
||
/// SMA-cross sample; `momentum` is the bool-param demo.
|
||
#[derive(Clone, Copy, PartialEq, Debug)]
|
||
enum Strategy {
|
||
SmaCross,
|
||
Momentum,
|
||
Stage1R,
|
||
Stage1Breakout,
|
||
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
|
||
/// messages so they name the actual input.
|
||
fn cli_token(self) -> &'static str {
|
||
match self {
|
||
Strategy::SmaCross => "sma",
|
||
Strategy::Momentum => "momentum",
|
||
Strategy::Stage1R => "stage1-r",
|
||
Strategy::Stage1Breakout => "stage1-breakout",
|
||
Strategy::Stage1MeanRev => "stage1-meanrev",
|
||
}
|
||
}
|
||
}
|
||
|
||
/// Parse a comma-separated list of `T` (each item parsed via `FromStr`), rejecting
|
||
/// any item that fails to parse — the shared validator for the stage1-r grid flags
|
||
/// (#137). The caller folds the `Err` into the subcommand `usage()` so a malformed
|
||
/// `--fast 2,x` is the strict usage path, not a downstream panic. `str::split(',')`
|
||
/// always yields at least one item, and an empty item (`""`, or a trailing comma)
|
||
/// fails its per-item `parse`, so a non-empty result needs no separate empty-list
|
||
/// check — the empty/blank inputs are rejected by the per-item parse itself.
|
||
fn parse_csv_list<T: std::str::FromStr>(s: &str) -> Result<Vec<T>, ()> {
|
||
let items: Vec<&str> = s.split(',').collect();
|
||
let mut out = Vec::with_capacity(items.len());
|
||
for item in items {
|
||
out.push(item.parse::<T>().map_err(|_| ())?);
|
||
}
|
||
Ok(out)
|
||
}
|
||
|
||
/// Parse the `sweep` 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>] [--channel <csv>] [--window <csv>] [--band-k <csv>]`.
|
||
/// Defaults: SMA-cross, synthetic, name "sweep", no persist (today's bare `aura
|
||
/// sweep`). `--name` and `--trace` are mutually exclusive; `--from`/`--to` (ms,
|
||
/// `i64`) require `--real` (there is no synthetic window knob). The four optional grid
|
||
/// flags (#137) carry comma-separated value lists that become the stage1-r sweep's
|
||
/// grid axes (sma fast/slow length, vol-stop length/`k`); an absent flag keeps the
|
||
/// historical default list. Pure (no I/O / exit) so the grammar is unit-testable;
|
||
/// `main` does the side effects. An unknown token, a flag without its value, an
|
||
/// unknown strategy, both name flags, a window flag without `--real`, or a malformed
|
||
/// grid list rejects.
|
||
fn parse_sweep_args(
|
||
rest: &[&str],
|
||
) -> Result<(Strategy, String, bool, DataChoice, Stage1RGrid), String> {
|
||
let usage = || "sweep [--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>] [--channel <csv>] [--window <csv>] [--band-k <csv>]".to_string();
|
||
let mut strategy = Strategy::SmaCross;
|
||
let mut name: Option<(String, bool)> = None; // (name, persist)
|
||
let mut real = RealWindowGrammar::default();
|
||
let mut grid = Stage1RGrid::default();
|
||
let mut tail = rest;
|
||
while let Some((flag, t)) = tail.split_first() {
|
||
let (value, t) = t.split_first().ok_or_else(usage)?;
|
||
if real.accept(flag, value, &usage)? {
|
||
tail = t;
|
||
continue;
|
||
}
|
||
match *flag {
|
||
"--strategy" => {
|
||
strategy = match *value {
|
||
"sma" => Strategy::SmaCross,
|
||
"momentum" => Strategy::Momentum,
|
||
"stage1-r" => Strategy::Stage1R,
|
||
"stage1-breakout" => Strategy::Stage1Breakout,
|
||
"stage1-meanrev" => Strategy::Stage1MeanRev,
|
||
_ => return Err(usage()),
|
||
};
|
||
}
|
||
"--name" if name.is_none() => name = Some(((*value).to_string(), false)),
|
||
"--trace" if name.is_none() => name = Some(((*value).to_string(), true)),
|
||
"--fast" => grid.fast = parse_csv_list(value).map_err(|()| usage())?,
|
||
"--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())?,
|
||
"--channel" => grid.channel = parse_csv_list(value).map_err(|()| usage())?,
|
||
"--window" => grid.window = parse_csv_list(value).map_err(|()| usage())?,
|
||
"--band-k" => grid.band_k = parse_csv_list(value).map_err(|()| usage())?,
|
||
_ => return Err(usage()),
|
||
}
|
||
tail = t;
|
||
}
|
||
let (name, persist) = name.unwrap_or_else(|| ("sweep".to_string(), false));
|
||
Ok((strategy, name, persist, real.finish(&usage)?, grid))
|
||
}
|
||
|
||
/// Parse the `generalize` tail:
|
||
/// `[--strategy stage1-r] --real <SYM1,SYM2,...> --fast <n> --slow <n> --stop-length <n>
|
||
/// --stop-k <f> [--from <ms>] [--to <ms>] [--metric <r-metric>] [--name <n>]`.
|
||
/// The candidate is a single cell: each grid knob takes exactly one value and all
|
||
/// four are required. `--real` is a comma list of >= 2 distinct non-empty symbols.
|
||
/// Pure (no I/O / exit) so the grammar is unit-testable.
|
||
#[allow(clippy::type_complexity)]
|
||
fn parse_generalize_args(
|
||
rest: &[&str],
|
||
) -> Result<(String, Vec<String>, Stage1RGrid, String, Option<i64>, Option<i64>), String> {
|
||
let usage = || "generalize [--strategy stage1-r] --real <SYM1,SYM2,...> --fast <n> --slow <n> --stop-length <n> --stop-k <f> [--from <ms>] [--to <ms>] [--metric <r-metric>] [--name <n>]".to_string();
|
||
let mut symbols: Option<Vec<String>> = None;
|
||
let mut from_ms: Option<i64> = None;
|
||
let mut to_ms: Option<i64> = None;
|
||
let mut fast: Option<i64> = None;
|
||
let mut slow: Option<i64> = None;
|
||
let mut stop_length: Option<i64> = None;
|
||
let mut stop_k: Option<f64> = None;
|
||
let mut metric = "expectancy_r".to_string();
|
||
let mut name = "generalize".to_string();
|
||
// generalize validates ONE candidate cell, so each grid knob takes a single value;
|
||
// refuse a multi-value flag with a reason, not a bare usage dump (fieldtest friction).
|
||
let one = |value: &str| -> Result<(), String> {
|
||
let items: Vec<&str> = value.split(',').collect();
|
||
if items.len() != 1 || items[0].is_empty() {
|
||
return Err("generalize validates a single candidate: --fast / --slow / --stop-length / --stop-k each take exactly one value".to_string());
|
||
}
|
||
Ok(())
|
||
};
|
||
let knobs = || "generalize requires all four candidate knobs: --fast --slow --stop-length --stop-k, each a single value".to_string();
|
||
let mut tail = rest;
|
||
while let Some((flag, t)) = tail.split_first() {
|
||
let (value, t) = t.split_first().ok_or_else(usage)?;
|
||
match *flag {
|
||
"--strategy" => { if *value != "stage1-r" { return Err("generalize requires --strategy stage1-r (the candidate must produce R)".to_string()); } }
|
||
"--real" => {
|
||
let parts: Vec<String> = value.split(',').map(|s| s.to_string()).collect();
|
||
if parts.iter().any(|s| s.is_empty()) { return Err("generalize: --real takes a comma list of non-empty symbols (e.g. GER40,USDJPY)".to_string()); }
|
||
symbols = Some(parts);
|
||
}
|
||
"--from" => from_ms = Some(value.parse().map_err(|_| usage())?),
|
||
"--to" => to_ms = Some(value.parse().map_err(|_| usage())?),
|
||
"--fast" => { one(value)?; fast = Some(value.parse().map_err(|_| usage())?); }
|
||
"--slow" => { one(value)?; slow = Some(value.parse().map_err(|_| usage())?); }
|
||
"--stop-length" => { one(value)?; stop_length = Some(value.parse().map_err(|_| usage())?); }
|
||
"--stop-k" => { one(value)?; stop_k = Some(value.parse().map_err(|_| usage())?); }
|
||
"--metric" => metric = (*value).to_string(),
|
||
"--name" => name = (*value).to_string(),
|
||
_ => return Err(usage()),
|
||
}
|
||
tail = t;
|
||
}
|
||
let symbols = symbols
|
||
.ok_or_else(|| "generalize requires --real <SYM1,SYM2,...> — a comma list of two or more instruments".to_string())?;
|
||
if symbols.len() < 2 {
|
||
return Err(format!(
|
||
"generalize needs at least two instruments to compare across; got {} (--real takes a comma list of >=2 symbols)",
|
||
symbols.len()
|
||
));
|
||
}
|
||
// distinct: a duplicate would double-count one instrument in the floor / sign count
|
||
let mut seen = std::collections::HashSet::new();
|
||
if !symbols.iter().all(|s| seen.insert(s.clone())) {
|
||
return Err("generalize: each instrument may appear once; --real has a duplicate symbol".to_string());
|
||
}
|
||
let grid = Stage1RGrid {
|
||
fast: vec![fast.ok_or_else(knobs)?],
|
||
slow: vec![slow.ok_or_else(knobs)?],
|
||
stop_length: vec![stop_length.ok_or_else(knobs)?],
|
||
stop_k: vec![stop_k.ok_or_else(knobs)?],
|
||
..Stage1RGrid::default()
|
||
};
|
||
Ok((name, symbols, grid, metric, from_ms, to_ms))
|
||
}
|
||
|
||
/// 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>] [--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, 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)?;
|
||
if real.accept(flag, value, &usage)? {
|
||
tail = t;
|
||
continue;
|
||
}
|
||
match *flag {
|
||
"--strategy" => {
|
||
strategy = match *value {
|
||
"sma" => Strategy::SmaCross,
|
||
"momentum" => Strategy::Momentum,
|
||
"stage1-r" => Strategy::Stage1R,
|
||
"stage1-breakout" => Strategy::Stage1Breakout,
|
||
"stage1-meanrev" => Strategy::Stage1MeanRev,
|
||
_ => return Err(usage()),
|
||
};
|
||
}
|
||
"--name" if name.is_none() => name = Some(((*value).to_string(), false)),
|
||
"--trace" if name.is_none() => name = Some(((*value).to_string(), true)),
|
||
"--fast" => grid.fast = parse_csv_list(value).map_err(|()| usage())?,
|
||
"--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, select))
|
||
}
|
||
|
||
/// Render a family-member stdout line: the assigned `family_id` plus the embedded
|
||
/// `RunReport`. The report is emitted in its own declaration key order (manifest
|
||
/// leads with `commit`, C18) so the line is byte-identical to the stored
|
||
/// `families.jsonl`. `serde_json::json!` would route the report through a
|
||
/// `serde_json::Value` and re-alphabetize the manifest keys (broker-first),
|
||
/// diverging from the store — hence the report is spliced in pre-serialized (#99).
|
||
fn family_member_line(id: &str, report: &RunReport) -> String {
|
||
format!(
|
||
r#"{{"family_id":{},"report":{}}}"#,
|
||
serde_json::to_string(id).expect("a string id always serializes"),
|
||
report.to_json()
|
||
)
|
||
}
|
||
|
||
/// Monte-Carlo variant of [`family_member_line`]: the per-draw line also carries the
|
||
/// realization `seed` (between `family_id` and `report`), matching `run_mc`'s shape.
|
||
fn mc_member_line(id: &str, seed: u64, report: &RunReport) -> String {
|
||
format!(
|
||
r#"{{"family_id":{},"seed":{},"report":{}}}"#,
|
||
serde_json::to_string(id).expect("a string id always serializes"),
|
||
seed,
|
||
report.to_json()
|
||
)
|
||
}
|
||
|
||
/// `aura sweep [--strategy <sma|momentum|stage1-r|stage1-breakout|stage1-meanrev>] [--name <n>|--trace <n>]`: run the
|
||
/// selected built-in sweep, persist it as a *family* (related records sharing one
|
||
/// `family_id`, C18/C21) via `append_family`, and print each point's record line
|
||
/// carrying the assigned id. With `--trace`, every strategy
|
||
/// (`sma`/`momentum`/`stage1-r`) persists each member's streams under
|
||
/// `runs/traces/<n>/<member_key>/` (opt-in); the `stage1-r` member also carries
|
||
/// the `r_equity` tap (via `persist_traces_r`).
|
||
fn run_sweep(strategy: Strategy, name: &str, persist: bool, data: DataSource, grid: &Stage1RGrid) {
|
||
if persist
|
||
&& let Err(e) = TraceStore::open("runs").ensure_name_free(name, WriteKind::Family)
|
||
{
|
||
eprintln!("aura: {e}");
|
||
std::process::exit(2);
|
||
}
|
||
let reg = default_registry();
|
||
let family = match strategy {
|
||
Strategy::SmaCross => sweep_family(persist.then_some(name), &data),
|
||
Strategy::Momentum => momentum_sweep_family(persist.then_some(name), &data),
|
||
Strategy::Stage1R => stage1_r_sweep_family(persist.then_some(name), &data, grid),
|
||
Strategy::Stage1Breakout => stage1_breakout_sweep_family(persist.then_some(name), &data, grid),
|
||
Strategy::Stage1MeanRev => stage1_meanrev_sweep_family(persist.then_some(name), &data, grid),
|
||
};
|
||
let id = match reg.append_family(name, FamilyKind::Sweep, &sweep_member_reports(&family)) {
|
||
Ok(id) => id,
|
||
Err(e) => {
|
||
eprintln!("aura: {e}");
|
||
std::process::exit(2);
|
||
}
|
||
};
|
||
for pt in &family.points {
|
||
println!("{}", family_member_line(&id, &pt.report));
|
||
}
|
||
}
|
||
|
||
/// `aura generalize --real <SYM1,SYM2,...> --fast <n> --slow <n> --stop-length <n>
|
||
/// --stop-k <f>`: grade one stage1-r candidate (a single-cell grid) across an
|
||
/// instrument list. Pre-checks the R-metric data-free (refuse a non-R / unknown
|
||
/// metric before any run), runs the candidate per instrument (stamping each report's
|
||
/// manifest `instrument`), reduces to the worst-case floor + sign-agreement +
|
||
/// per-instrument breakdown (`generalization`, C9/C10), prints the aggregate, and
|
||
/// persists the per-instrument members as a `CrossInstrument` family (C12/C18).
|
||
fn run_generalize(
|
||
name: &str,
|
||
symbols: &[String],
|
||
grid: &Stage1RGrid,
|
||
metric: &str,
|
||
from_ms: Option<i64>,
|
||
to_ms: Option<i64>,
|
||
) {
|
||
// data-free metric pre-check: refuse a non-R / unknown metric before any run.
|
||
if let Err(e) = check_r_metric(metric) {
|
||
eprintln!("aura: {e}");
|
||
std::process::exit(2);
|
||
}
|
||
let mut members: Vec<RunReport> = Vec::new();
|
||
for symbol in symbols {
|
||
let choice = DataChoice::Real { symbol: symbol.clone(), from_ms, to_ms };
|
||
let data = DataSource::from_choice(choice); // per-instrument pip_or_refuse + has_symbol
|
||
let family = stage1_r_sweep_family(None, &data, grid); // single-cell grid -> 1 member
|
||
let mut report = family.points[0].report.clone();
|
||
report.manifest.instrument = Some(symbol.clone());
|
||
members.push(report);
|
||
}
|
||
let pairs: Vec<(String, &RunReport)> = symbols.iter().cloned().zip(members.iter()).collect();
|
||
let agg = match generalization(&pairs, metric) {
|
||
Ok(a) => a,
|
||
Err(e) => { eprintln!("aura: {e}"); std::process::exit(2); }
|
||
};
|
||
println!("{}", generalize_json(&agg));
|
||
let reg = default_registry();
|
||
match reg.append_family(name, FamilyKind::CrossInstrument, &members) {
|
||
Ok(id) => println!("{{\"family_id\":\"{id}\"}}"),
|
||
Err(e) => { eprintln!("aura: failed to persist family: {e}"); std::process::exit(1); }
|
||
}
|
||
}
|
||
|
||
/// `aura walkforward [--name <n>|--trace <n>]`: run a built-in rolling walk-forward
|
||
/// over the sample blueprint + a synthetic windowed source. Per window: sweep the
|
||
/// built-in grid on the in-sample slice, optimize by total_pips (axis 2 inside axis 3,
|
||
/// where aura-cli bridges engine + registry), run the chosen params out-of-sample.
|
||
/// Persist the per-window OOS reports as a *family* (C18/C21) via `append_family`,
|
||
/// 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, select: Selection) {
|
||
if persist
|
||
&& let Err(e) = TraceStore::open("runs").ensure_name_free(name, WriteKind::Family)
|
||
{
|
||
eprintln!("aura: {e}");
|
||
std::process::exit(2);
|
||
}
|
||
let reg = default_registry();
|
||
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))
|
||
{
|
||
Ok(id) => id,
|
||
Err(e) => {
|
||
eprintln!("aura: {e}");
|
||
std::process::exit(2);
|
||
}
|
||
};
|
||
for w in &result.windows {
|
||
println!("{}", family_member_line(&id, &w.run.oos_report));
|
||
}
|
||
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
|
||
/// the chosen params out-of-sample — both strategy-dispatched: the `SmaCross` arm
|
||
/// sweeps the SMA sample grid and optimizes by `total_pips` (axis 2); the
|
||
/// `Stage1R` arm sweeps the stage1-r grid and optimizes by `sqn_normalized`.
|
||
/// 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();
|
||
let roller = match WindowRoller::new(span, is_len, oos_len, step, RollMode::Rolling) {
|
||
Ok(r) => r,
|
||
Err(e) => {
|
||
eprintln!("aura: walk-forward window too short for one IS+OOS span: {e:?}");
|
||
std::process::exit(2);
|
||
}
|
||
};
|
||
match strategy {
|
||
Strategy::SmaCross => {
|
||
let space = sample_blueprint_with_sinks(data.pip_size()).0.param_space();
|
||
walk_forward(roller, space, |w: WindowBounds| {
|
||
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 {
|
||
// The tag-free sweep winner is the chosen point; its kinds live on
|
||
// WalkForwardResult.space (computed once above from the same blueprint).
|
||
chosen_params: best.params,
|
||
oos_equity,
|
||
oos_report,
|
||
}
|
||
})
|
||
}
|
||
Strategy::Stage1R => {
|
||
let space = stage1_r_space();
|
||
walk_forward(roller, space, |w: WindowBounds| {
|
||
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 }
|
||
})
|
||
}
|
||
other => {
|
||
eprintln!(
|
||
"aura: walkforward has no form for strategy '{}'",
|
||
other.cli_token()
|
||
);
|
||
std::process::exit(2);
|
||
}
|
||
}
|
||
}
|
||
|
||
/// 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, Option<Vec<usize>>) {
|
||
let pip = data.pip_size();
|
||
let bp = sample_blueprint_with_sinks(pip).0;
|
||
let space = bp.param_space();
|
||
let (tf, ts, (mf, ms, msig)) = data.strategy_lengths();
|
||
bp.axis("signals.trend.fast.length", tf)
|
||
.axis("signals.trend.slow.length", ts)
|
||
.axis("signals.momentum.fast.length", [mf])
|
||
.axis("signals.momentum.slow.length", [ms])
|
||
.axis("signals.momentum.signal.length", [msig])
|
||
.axis("signals.blend.weights[0]", [1.0])
|
||
.axis("signals.blend.weights[1]", [1.0])
|
||
.axis("bias.scale", [0.5])
|
||
.sweep_with_lattice(|point| {
|
||
let (bp, rx_eq, rx_ex) = sample_blueprint_with_sinks(pip);
|
||
let mut h = bp
|
||
.bootstrap_with_cells(point)
|
||
.expect("grid points are kind-checked against param_space");
|
||
let sources = data.windowed_sources(from, to);
|
||
let window = window_of(&sources).expect("non-empty in-sample window");
|
||
h.run(sources);
|
||
let equity = f64_field(&rx_eq.try_iter().collect::<Vec<_>>(), 0);
|
||
let exposure = f64_field(&rx_ex.try_iter().collect::<Vec<_>>(), 0);
|
||
RunReport {
|
||
manifest: sim_optimal_manifest(zip_params(&space, point), window, 0, pip),
|
||
metrics: summarize(&equity, &exposure),
|
||
}
|
||
})
|
||
.map(|(fam, lat)| (fam, Some(lat)))
|
||
.expect("the built-in named grid matches the sample param-space")
|
||
}
|
||
|
||
/// Run the chosen params over an out-of-sample window; return the recorded
|
||
/// pip-equity segment (for stitching) and the OOS RunReport (the C18 record).
|
||
fn run_oos(
|
||
params: &[Cell],
|
||
from: Timestamp,
|
||
to: Timestamp,
|
||
trace: Option<&str>,
|
||
data: &DataSource,
|
||
) -> (Vec<(Timestamp, f64)>, RunReport) {
|
||
let pip = data.pip_size();
|
||
let (bp, rx_eq, rx_ex) = sample_blueprint_with_sinks(pip);
|
||
let space = bp.param_space();
|
||
let mut h = bp
|
||
.bootstrap_with_cells(params)
|
||
.expect("chosen params pre-validated by the in-sample GridSpace::new");
|
||
let sources = data.windowed_sources(from, to);
|
||
let window = window_of(&sources).expect("non-empty out-of-sample window");
|
||
h.run(sources);
|
||
let eq_rows = rx_eq.try_iter().collect::<Vec<_>>();
|
||
let ex_rows = rx_ex.try_iter().collect::<Vec<_>>();
|
||
let manifest = sim_optimal_manifest(zip_params(&space, params), window, 0, pip);
|
||
if let Some(name) = trace {
|
||
persist_traces(&format!("{name}/oos{}", from.0), &manifest, &eq_rows, &ex_rows);
|
||
}
|
||
let equity = f64_field(&eq_rows, 0);
|
||
let exposure = f64_field(&ex_rows, 0);
|
||
let report = RunReport { manifest, metrics: summarize(&equity, &exposure) };
|
||
(equity, report)
|
||
}
|
||
|
||
/// Pool every OOS window's per-trade R series into one flat vector, in roll order
|
||
/// (window order, then within-window trade order). Windows with no `r` block
|
||
/// contribute nothing. The single home of the pooling-in-roll-order semantics —
|
||
/// both the walk-forward `oos_r` summary and the `mc` R-bootstrap reduce this.
|
||
fn pooled_oos_trade_rs(result: &WalkForwardResult) -> Vec<f64> {
|
||
result
|
||
.windows
|
||
.iter()
|
||
.flat_map(|w| w.run.oos_report.metrics.r.as_ref().map(|r| r.trade_rs.clone()).unwrap_or_default())
|
||
.collect()
|
||
}
|
||
|
||
/// The walk-forward summary line: window count, stitched OOS total pips (the last
|
||
/// stitched-curve value), and the on-demand per-param stability. Canonical JSON
|
||
/// (C14).
|
||
fn walkforward_summary_json(result: &WalkForwardResult) -> String {
|
||
let total = result.stitched_oos_equity.last().map(|&(_, v)| v).unwrap_or(0.0);
|
||
let pooled_rs = pooled_oos_trade_rs(result);
|
||
let mut obj = serde_json::json!({
|
||
"windows": result.windows.len(),
|
||
"stitched_total_pips": total,
|
||
"param_stability": param_stability(result),
|
||
});
|
||
if result.windows.iter().any(|w| w.run.oos_report.metrics.r.is_some()) {
|
||
// RMetrics serializes its scalar fields (trade_rs is serde-skipped, so the
|
||
// oos_r block is the clean R-metric summary of the pooled series).
|
||
obj["oos_r"] = serde_json::to_value(r_metrics_from_rs(&pooled_rs))
|
||
.expect("RMetrics serializes");
|
||
}
|
||
serde_json::json!({ "walkforward": obj }).to_string()
|
||
}
|
||
|
||
/// The cross-instrument generalization line: the chosen metric, instrument count,
|
||
/// worst-case floor, sign-agreement count, and the per-instrument breakdown. Canonical
|
||
/// JSON (C14), mirroring `walkforward_summary_json`'s `{"generalize": obj}` shape.
|
||
fn generalize_json(agg: &Generalization) -> String {
|
||
let per: Vec<serde_json::Value> = agg
|
||
.per_instrument
|
||
.iter()
|
||
.map(|(sym, v)| serde_json::json!([sym, v]))
|
||
.collect();
|
||
let obj = serde_json::json!({
|
||
"metric": agg.selection_metric,
|
||
"n_instruments": agg.n_instruments,
|
||
"worst_case": agg.worst_case,
|
||
"sign_agreement": agg.sign_agreement,
|
||
"per_instrument": per,
|
||
});
|
||
serde_json::json!({ "generalize": obj }).to_string()
|
||
}
|
||
|
||
/// A longer deterministic stream than `showcase_prices` — enough for several
|
||
/// IS/OOS windows with SMA warm-up. Seed-determined via `SyntheticSpec` (C1).
|
||
fn walkforward_prices() -> Vec<(Timestamp, Scalar)> {
|
||
let spec = SyntheticSpec { start: 1.0, len: 60, step: 1 };
|
||
let mut src = spec.source(7);
|
||
let mut out = Vec::new();
|
||
while let Some(item) = aura_engine::Source::next(&mut src) {
|
||
out.push(item);
|
||
}
|
||
out
|
||
}
|
||
|
||
/// The in-memory windowed source the built-in demo uses (the firewall mapping to
|
||
/// `DataServer::stream_m1_windowed` is the real-data path; the demo stays in-memory,
|
||
/// mirroring `run_sweep`'s `showcase_prices`). Inclusive `[from, to]`.
|
||
fn walkforward_window_source(from: Timestamp, to: Timestamp) -> VecSource {
|
||
VecSource::new(
|
||
walkforward_prices()
|
||
.into_iter()
|
||
.filter(|&(t, _)| t >= from && t <= to)
|
||
.collect(),
|
||
)
|
||
}
|
||
|
||
/// Render the built-in walk-forward as the per-window OOS RunReport lines plus the
|
||
/// summary line — the `run_walkforward` shape minus registry persistence. Test
|
||
/// helper (mirrors `sweep_report`).
|
||
#[cfg(test)]
|
||
fn walkforward_report() -> String {
|
||
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());
|
||
out.push('\n');
|
||
}
|
||
out.push_str(&walkforward_summary_json(&result));
|
||
out.push('\n');
|
||
out
|
||
}
|
||
|
||
/// The built-in Monte-Carlo family: the sample harness over a fixed (empty) base
|
||
/// point, re-seeded across a built-in seed set — each seed a disjoint C1
|
||
/// realization of a synthetic price walk (C12 axis 4). Mirrors `sweep_family`,
|
||
/// varying the *seed* rather than a tuning param. The seed -> `Source`
|
||
/// construction lives inside the per-draw closure (eager-agnostic, #71).
|
||
fn mc_family(trace: Option<&str>) -> McFamily {
|
||
let base_point: Vec<Scalar> = Vec::new();
|
||
monte_carlo(&base_point, &[1, 2, 3], |seed, _base| {
|
||
let (mut h, rx_eq, rx_ex) = sample_harness(SYNTHETIC_PIP_SIZE);
|
||
let spec = SyntheticSpec { start: 1.0, len: 32, step: 1 };
|
||
let sources: Vec<Box<dyn aura_engine::Source>> = vec![Box::new(spec.source(seed))];
|
||
let window = window_of(&sources).expect("non-empty synthetic stream");
|
||
h.run(sources);
|
||
let eq_rows = rx_eq.try_iter().collect::<Vec<_>>();
|
||
let ex_rows = rx_ex.try_iter().collect::<Vec<_>>();
|
||
let manifest = sim_optimal_manifest(
|
||
vec![
|
||
("sma_fast".to_string(), Scalar::i64(2)),
|
||
("sma_slow".to_string(), Scalar::i64(4)),
|
||
("bias_scale".to_string(), Scalar::f64(0.5)),
|
||
],
|
||
window,
|
||
seed,
|
||
SYNTHETIC_PIP_SIZE,
|
||
);
|
||
if let Some(name) = trace {
|
||
persist_traces(&format!("{name}/seed{seed}"), &manifest, &eq_rows, &ex_rows);
|
||
}
|
||
let equity = f64_field(&eq_rows, 0);
|
||
let exposure = f64_field(&ex_rows, 0);
|
||
RunReport { manifest, metrics: summarize(&equity, &exposure) }
|
||
})
|
||
}
|
||
|
||
/// Render an `McAggregate` as one canonical JSON line. `McAggregate` itself is not
|
||
/// `Serialize` (only its `MetricStats` fields are), so the line is built from the
|
||
/// three per-metric stat blocks.
|
||
fn mc_aggregate_json(agg: &McAggregate) -> String {
|
||
serde_json::json!({
|
||
"mc_aggregate": {
|
||
"total_pips": agg.total_pips,
|
||
"max_drawdown": agg.max_drawdown,
|
||
"bias_sign_flips": agg.bias_sign_flips,
|
||
}
|
||
})
|
||
.to_string()
|
||
}
|
||
|
||
/// `aura mc [--name <n>|--trace <n>]`: run the built-in Monte-Carlo family, persist
|
||
/// it to the family store via `append_family` (C18/C21), print each draw's record
|
||
/// line (carrying the assigned `family_id`) plus the aggregate line. With `--trace`,
|
||
/// also persist each draw's streams under `runs/traces/<n>/seed<seed>/` (opt-in).
|
||
fn run_mc(name: &str, persist: bool) {
|
||
if persist
|
||
&& let Err(e) = TraceStore::open("runs").ensure_name_free(name, WriteKind::Family)
|
||
{
|
||
eprintln!("aura: {e}");
|
||
std::process::exit(2);
|
||
}
|
||
let reg = default_registry();
|
||
let family = mc_family(persist.then_some(name));
|
||
let id = match reg.append_family(name, FamilyKind::MonteCarlo, &mc_member_reports(&family)) {
|
||
Ok(id) => id,
|
||
Err(e) => {
|
||
eprintln!("aura: {e}");
|
||
std::process::exit(2);
|
||
}
|
||
};
|
||
for draw in &family.draws {
|
||
println!("{}", mc_member_line(&id, draw.seed, &draw.report));
|
||
}
|
||
println!("{}", mc_aggregate_json(&family.aggregate));
|
||
}
|
||
|
||
/// Parsed form of the `mc` tail: either the synthetic seed-resweep (today's path,
|
||
/// preserved byte-for-byte) or the real-candidate R-bootstrap. The R path accepts
|
||
/// ONLY `--strategy stage1-r` (the sole R-reporting walk-forward strategy); a bare
|
||
/// `--real` without it is a usage error (the synthetic seed-resweep is undefined
|
||
/// over real bars).
|
||
// Parsed once at the dispatch boundary and immediately destructured into the run
|
||
// call; never stored or collected, so the inter-variant size gap is free here.
|
||
#[allow(clippy::large_enum_variant)]
|
||
#[derive(Clone, Debug, PartialEq)]
|
||
enum McArgs {
|
||
Synthetic { name: String, persist: bool },
|
||
RealR { choice: DataChoice, grid: Stage1RGrid, block_len: usize, n_resamples: usize, seed: u64 },
|
||
}
|
||
|
||
fn parse_mc_args(rest: &[&str]) -> Result<McArgs, String> {
|
||
let usage = || "usage: mc [--name <n>|--trace <n>] | mc --strategy stage1-r [--real <SYMBOL> [--from <ms>] [--to <ms>]] [--fast <csv>] [--slow <csv>] [--stop-length <csv>] [--stop-k <csv>] [--block-len <n>] [--resamples <n>] [--seed <n>]".to_string();
|
||
let mut strategy: Option<Strategy> = None;
|
||
let mut name: Option<(String, bool)> = None;
|
||
let mut real = RealWindowGrammar::default();
|
||
let mut grid = Stage1RGrid::default();
|
||
let mut block_len: usize = 1;
|
||
let mut n_resamples: usize = 1000;
|
||
let mut seed: u64 = 1;
|
||
let mut r_path = false;
|
||
let mut tail = rest;
|
||
while let Some((flag, t)) = tail.split_first() {
|
||
let (value, t) = t.split_first().ok_or_else(usage)?;
|
||
if real.accept(flag, value, &usage)? {
|
||
r_path = true;
|
||
tail = t;
|
||
continue;
|
||
}
|
||
match *flag {
|
||
"--strategy" => {
|
||
strategy = Some(match *value {
|
||
"stage1-r" => Strategy::Stage1R,
|
||
_ => return Err(usage()),
|
||
});
|
||
r_path = true;
|
||
}
|
||
"--name" if name.is_none() => name = Some(((*value).to_string(), false)),
|
||
"--trace" if name.is_none() => name = Some(((*value).to_string(), true)),
|
||
"--fast" => { grid.fast = parse_csv_list(value).map_err(|()| usage())?; r_path = true; }
|
||
"--slow" => { grid.slow = parse_csv_list(value).map_err(|()| usage())?; r_path = true; }
|
||
"--stop-length" => { grid.stop_length = parse_csv_list(value).map_err(|()| usage())?; r_path = true; }
|
||
"--stop-k" => { grid.stop_k = parse_csv_list(value).map_err(|()| usage())?; r_path = true; }
|
||
"--block-len" => { block_len = value.parse().map_err(|_| usage())?; r_path = true; }
|
||
"--resamples" => { n_resamples = value.parse().map_err(|_| usage())?; r_path = true; }
|
||
"--seed" => { seed = value.parse().map_err(|_| usage())?; r_path = true; }
|
||
_ => return Err(usage()),
|
||
}
|
||
tail = t;
|
||
}
|
||
if r_path {
|
||
if strategy != Some(Strategy::Stage1R) {
|
||
return Err(usage());
|
||
}
|
||
if name.is_some() {
|
||
return Err(usage());
|
||
}
|
||
let choice = real.finish(&usage)?;
|
||
Ok(McArgs::RealR { choice, grid, block_len, n_resamples, seed })
|
||
} else {
|
||
let (name, persist) = name.unwrap_or_else(|| ("mc".to_string(), false));
|
||
Ok(McArgs::Synthetic { name, persist })
|
||
}
|
||
}
|
||
|
||
/// `aura mc --strategy stage1-r [--real <SYM>]`: run the stage1-r walk-forward, pool
|
||
/// every OOS window's per-trade R series in roll order, and print one moving-block
|
||
/// bootstrap `mc_r_bootstrap` line (`E[R]` distribution + P(`E[R]` <= 0)). Frictionless
|
||
/// Stage-1 (no costs); deterministic given `seed` (C1).
|
||
fn run_mc_r_bootstrap(data: DataSource, grid: &Stage1RGrid, block_len: usize, n_resamples: usize, seed: u64) {
|
||
println!("{}", mc_r_bootstrap_report(&data, grid, block_len, n_resamples, seed));
|
||
}
|
||
|
||
/// Assemble the `mc` R-bootstrap line: run the stage1-r walk-forward, pool the OOS
|
||
/// per-trade R series in roll order, bootstrap `E[R]`, and render the `mc_r_bootstrap`
|
||
/// line. The body of `run_mc_r_bootstrap` minus the `println!`, so the full real-R
|
||
/// wiring (walk-forward -> non-empty pooling -> bootstrap -> render) is reachable
|
||
/// 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, Selection::Argmax);
|
||
let pooled = pooled_oos_trade_rs(&result);
|
||
let boot = r_bootstrap(&pooled, n_resamples, block_len, seed);
|
||
mc_r_bootstrap_json(&boot)
|
||
}
|
||
|
||
/// Render an `RBootstrap` as one canonical JSON line (`MetricStats` serializes; the
|
||
/// scalar fields are spliced in), mirroring `mc_aggregate_json`.
|
||
fn mc_r_bootstrap_json(b: &RBootstrap) -> String {
|
||
serde_json::json!({
|
||
"mc_r_bootstrap": {
|
||
"n_trades": b.n_trades,
|
||
"block_len": b.block_len,
|
||
"n_resamples": b.n_resamples,
|
||
"e_r": b.e_r,
|
||
"prob_le_zero": b.prob_le_zero,
|
||
}
|
||
})
|
||
.to_string()
|
||
}
|
||
|
||
/// Render the built-in Monte-Carlo family as the per-draw `RunReport` lines plus
|
||
/// the aggregate line — the `run_mc` shape minus registry persistence (no
|
||
/// `family_id`, which is store-assigned). Test helper, mirroring `sweep_report` /
|
||
/// `walkforward_report`: it carries the C1-determinism test of the family
|
||
/// computation, separate from the store-dependent id.
|
||
#[cfg(test)]
|
||
fn mc_report() -> String {
|
||
let family = mc_family(None);
|
||
let mut out = String::new();
|
||
for draw in &family.draws {
|
||
out.push_str(&draw.report.to_json());
|
||
out.push('\n');
|
||
}
|
||
out.push_str(&mc_aggregate_json(&family.aggregate));
|
||
out.push('\n');
|
||
out
|
||
}
|
||
|
||
/// `aura runs families`: one header line per stored family (id, kind, member
|
||
/// count), in first-seen store order.
|
||
fn runs_families() {
|
||
let reg = default_registry();
|
||
let members = match reg.load_family_members() {
|
||
Ok(m) => m,
|
||
Err(e) => {
|
||
eprintln!("aura: {e}");
|
||
std::process::exit(2);
|
||
}
|
||
};
|
||
for fam in group_families(members) {
|
||
println!(
|
||
"{}",
|
||
serde_json::json!({ "family_id": fam.id, "kind": fam.kind, "members": fam.members.len() })
|
||
);
|
||
}
|
||
}
|
||
|
||
/// `aura runs family <id> [rank <metric>]`: list one family's member reports in
|
||
/// ordinal order, or best-first by `metric`. An unknown id is an empty family
|
||
/// (prints nothing, exit 0); an unknown metric is a usage error (stderr + exit 2).
|
||
fn runs_family(id: &str, rank: Option<&str>) {
|
||
let reg = default_registry();
|
||
let members = match reg.load_family_members() {
|
||
Ok(m) => m,
|
||
Err(e) => {
|
||
eprintln!("aura: {e}");
|
||
std::process::exit(2);
|
||
}
|
||
};
|
||
let Some(family) = group_families(members).into_iter().find(|f| f.id == id) else {
|
||
return; // unknown family id: empty, exit 0
|
||
};
|
||
let reports: Vec<RunReport> = family.members.iter().map(|m| m.report.clone()).collect();
|
||
let ordered = match rank {
|
||
Some(metric) => match rank_by(reports, metric) {
|
||
Ok(r) => r,
|
||
Err(e) => {
|
||
eprintln!("aura: {e}");
|
||
std::process::exit(2);
|
||
}
|
||
},
|
||
None => reports,
|
||
};
|
||
for report in &ordered {
|
||
println!("{}", report.to_json());
|
||
if let Some(sel) = &report.manifest.selection {
|
||
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");
|
||
}
|
||
}
|
||
}
|
||
}
|
||
}
|
||
}
|
||
|
||
// --- MACD proof-of-concept (a richer, nested indicator + strategy) -----------
|
||
|
||
/// The MACD signal as a named composite: price → fast/slow `Ema` → the MACD line
|
||
/// (their spread) → a signal `Ema` of that line → the histogram (line − signal).
|
||
/// The composite exposes all **three MACD lines** as a named output record
|
||
/// (`macd`, `signal`, `histogram`); the strategy trades the histogram by reading
|
||
/// `from_field: 2`. A richer fixture than `sma_cross`: a nested EMA-of-EMA chain
|
||
/// with interior fan-out (the MACD line feeds *both* the signal EMA and the
|
||
/// histogram). Three `length` knobs (fast, slow, signal) are injected at compile
|
||
/// in node order; value-empty here.
|
||
fn macd(name: &str) -> Composite {
|
||
let mut g = GraphBuilder::new(name);
|
||
let fast = g.add(Ema::builder().named("fast")); // fast EMA
|
||
let slow = g.add(Ema::builder().named("slow")); // slow EMA
|
||
let line = g.add(Sub::builder()); // MACD line = fast − slow
|
||
let signal = g.add(Ema::builder().named("signal")); // signal EMA of the MACD line
|
||
let hist = g.add(Sub::builder()); // histogram = MACD line − signal
|
||
let price = g.input_role("price");
|
||
g.feed(price, [fast.input("series"), slow.input("series")]);
|
||
g.connect(fast.output("value"), line.input("lhs")); // fast → line
|
||
g.connect(slow.output("value"), line.input("rhs")); // slow → line
|
||
g.connect(line.output("value"), signal.input("series")); // line → signal EMA
|
||
g.connect(line.output("value"), hist.input("lhs")); // line → histogram
|
||
g.connect(signal.output("value"), hist.input("rhs")); // signal → histogram
|
||
g.expose(line.output("value"), "macd"); // the MACD line
|
||
g.expose(signal.output("value"), "signal"); // the signal line
|
||
g.expose(hist.output("value"), "histogram"); // the histogram
|
||
g.build().expect("sample macd wiring resolves")
|
||
}
|
||
|
||
/// The MACD strategy blueprint (value-empty): the `macd` histogram → `Bias` →
|
||
/// `SimBroker` → recording sinks. Channels are threaded so a run can drain the
|
||
/// sinks; `macd_blueprint` drops the receivers for the structural render.
|
||
fn macd_strategy_blueprint(
|
||
tx_eq: mpsc::Sender<(Timestamp, Vec<Scalar>)>,
|
||
tx_ex: mpsc::Sender<(Timestamp, Vec<Scalar>)>,
|
||
) -> Composite {
|
||
let mut g = GraphBuilder::new("macd_strategy");
|
||
let macd_node = g.add(macd("macd"));
|
||
let exposure = g.add(Bias::builder().named("bias"));
|
||
let broker = g.add(SimBroker::builder(SYNTHETIC_PIP_SIZE));
|
||
let eq = g.add(Recorder::builder(vec![ScalarKind::F64], Firing::Any, tx_eq));
|
||
let ex = g.add(Recorder::builder(vec![ScalarKind::F64], Firing::Any, tx_ex));
|
||
let price = g.source_role("price", ScalarKind::F64);
|
||
g.feed(price, [macd_node.input("price"), broker.input("price")]);
|
||
g.connect(macd_node.output("histogram"), exposure.input("signal")); // histogram → Bias
|
||
g.connect(exposure.output("bias"), broker.input("exposure")); // bias → broker slot 0
|
||
g.connect(broker.output("equity"), eq.input("col[0]")); // equity → sink
|
||
g.connect(exposure.output("bias"), ex.input("col[0]")); // bias → sink
|
||
g.build().expect("macd_strategy wiring resolves")
|
||
}
|
||
|
||
/// The MACD strategy blueprint as a param-space fixture (receivers dropped, since
|
||
/// `param_space()` reads structure only, never runs the graph).
|
||
#[cfg(test)]
|
||
fn macd_blueprint() -> Composite {
|
||
let (tx_eq, _rx_eq) = mpsc::channel();
|
||
let (tx_ex, _rx_ex) = mpsc::channel();
|
||
macd_strategy_blueprint(tx_eq, tx_ex)
|
||
}
|
||
|
||
/// The point vector for the MACD strategy, in `param_space()` slot order:
|
||
/// `[fast EMA length, slow EMA length, signal EMA length, exposure scale]`. Short
|
||
/// windows so the 7-tick synthetic stream still produces a non-trivial trace
|
||
/// (conventional MACD is 12/26/9, meaningless on 7 points).
|
||
fn macd_point() -> Vec<Scalar> {
|
||
vec![Scalar::i64(2), Scalar::i64(4), Scalar::i64(3), Scalar::f64(0.5)]
|
||
}
|
||
|
||
/// A longer synthetic stream than the SMA sample's 7 ticks: MACD's EMAs each warm
|
||
/// up over their `length`, so the stream rises, falls, then rises again to give the
|
||
/// histogram room to flip sign more than once *after* warm-up. Deterministic (C1).
|
||
fn macd_prices() -> Vec<(Timestamp, Scalar)> {
|
||
[
|
||
1.0000_f64, 1.0008, 1.0021, 1.0039, 1.0062, 1.0090, 1.0083, 1.0061, 1.0034,
|
||
1.0012, 0.9998, 1.0006, 1.0024, 1.0047, 1.0069, 1.0086, 1.0097, 1.0092,
|
||
]
|
||
.iter()
|
||
.enumerate()
|
||
.map(|(i, &p)| (Timestamp(i as i64 + 1), Scalar::f64(p)))
|
||
.collect()
|
||
}
|
||
|
||
/// Run the MACD strategy: compile the nested composite blueprint to a flat harness
|
||
/// (the same bootstrap path the SMA sample's compiled view uses), drive it on the
|
||
/// synthetic stream, and fold both sinks into a `RunReport`. Pure and
|
||
/// deterministic (C1).
|
||
fn run_macd(trace: Option<&str>) -> RunReport {
|
||
if let Some(n) = trace
|
||
&& let Err(e) = TraceStore::open("runs").ensure_name_free(n, WriteKind::Run)
|
||
{
|
||
eprintln!("aura: {e}");
|
||
std::process::exit(2);
|
||
}
|
||
let (tx_eq, rx_eq) = mpsc::channel();
|
||
let (tx_ex, rx_ex) = mpsc::channel();
|
||
let flat = macd_strategy_blueprint(tx_eq, tx_ex)
|
||
.compile_with_params(&macd_point())
|
||
.expect("valid macd blueprint");
|
||
let mut h = Harness::bootstrap(flat).expect("valid macd harness");
|
||
|
||
let sources: Vec<Box<dyn aura_engine::Source>> =
|
||
vec![Box::new(VecSource::new(macd_prices()))];
|
||
let window = window_of(&sources).expect("non-empty macd stream");
|
||
h.run(sources);
|
||
|
||
let eq_rows: Vec<(Timestamp, Vec<Scalar>)> = rx_eq.try_iter().collect();
|
||
let ex_rows: Vec<(Timestamp, Vec<Scalar>)> = rx_ex.try_iter().collect();
|
||
let manifest = sim_optimal_manifest(
|
||
vec![
|
||
("ema_fast".to_string(), Scalar::i64(2)),
|
||
("ema_slow".to_string(), Scalar::i64(4)),
|
||
("ema_signal".to_string(), Scalar::i64(3)),
|
||
("bias_scale".to_string(), Scalar::f64(0.5)),
|
||
],
|
||
window,
|
||
0,
|
||
SYNTHETIC_PIP_SIZE,
|
||
);
|
||
if let Some(name) = trace {
|
||
persist_traces(name, &manifest, &eq_rows, &ex_rows);
|
||
}
|
||
let metrics = summarize(&f64_field(&eq_rows, 0), &f64_field(&ex_rows, 0));
|
||
RunReport { manifest, metrics }
|
||
}
|
||
|
||
// --- Stage-1 R harness (the SMA-cross signal scored in R) --------------------
|
||
|
||
/// The stage1-r vol-stop EWMA length (cycles). Single source for the `StopRule::Vol`
|
||
/// the blueprint embeds and the `stop` param the manifest records — kept honest by one
|
||
/// constant instead of a hand-synced literal across the function boundary.
|
||
const STAGE1_R_STOP_LENGTH: i64 = 3;
|
||
|
||
/// The stage1-r vol-stop multiplier (1R = `k`·σ). Single source for the embedded
|
||
/// `StopRule::Vol` and its manifest record, like [`STAGE1_R_STOP_LENGTH`].
|
||
const STAGE1_R_STOP_K: f64 = 2.0;
|
||
|
||
/// Which data a `run` drives a harness on: the built-in synthetic stream, or real M1
|
||
/// close bars for a vetted symbol over an optional window.
|
||
enum RunData {
|
||
Synthetic,
|
||
Real { symbol: String, from: Option<i64>, to: Option<i64> },
|
||
}
|
||
|
||
/// A rise-fall-rise synthetic stream for the stage1-r smoke run: long enough to warm
|
||
/// the `vol_stop(length=3)` and flip the SMA(2)/SMA(4) cross at least once, so the
|
||
/// RiskExecutor opens and closes at least one trade. Deterministic (C1).
|
||
fn stage1_r_prices() -> Vec<(Timestamp, Scalar)> {
|
||
[
|
||
1.0000_f64, 1.0008, 1.0021, 1.0039, 1.0062, 1.0090, 1.0083, 1.0061, 1.0034,
|
||
1.0012, 0.9998, 1.0006, 1.0024, 1.0047, 1.0069, 1.0086, 1.0097, 1.0092,
|
||
]
|
||
.iter()
|
||
.enumerate()
|
||
.map(|(i, &p)| (Timestamp(i as i64 + 1), Scalar::f64(p)))
|
||
.collect()
|
||
}
|
||
|
||
/// Interned `col[i]` recorder-port names, built once. The `GraphBuilder::input` API
|
||
/// wants `&'static str`; interning here (instead of `format!(...).leak()` per field)
|
||
/// means reusing the stage1-r harness in a sweep / Monte-Carlo loop reuses these
|
||
/// strings rather than leaking 14 fresh ones per build (#132).
|
||
static COL_PORTS: LazyLock<Vec<String>> =
|
||
LazyLock::new(|| (0..PM_FIELD_NAMES.len()).map(|i| format!("col[{i}]")).collect());
|
||
|
||
/// The Stage-1 R harness topology, shared by the single run and the sweep. The two
|
||
/// signal knobs are bound when `Some` (single run — identical to the old
|
||
/// build-time bind, output byte-unchanged) and left free when `None` (sweep — they
|
||
/// land in `param_space` as `fast.length` / `slow.length`). The vol-stop knobs are
|
||
/// bound to the pinned constants when `stop_open` is `false` (single run + the
|
||
/// default sweep, output byte-unchanged) and left free when `true` (a gridded sweep
|
||
/// — they land in `param_space` under the `.vol_stop.stop_length.length` /
|
||
/// `.vol_stop.stop_k.weights[0]` suffixes). Four taps: equity (SimBroker), exposure
|
||
/// (Bias), the 14-column R-record (→ summarize_r), and r_equity = cum_realized_r +
|
||
/// unrealized_r.
|
||
///
|
||
/// The seven-arg signature is a conscious keep, not an oversight: the four `tx_*`
|
||
/// are the per-tap recorder channels (one Recorder edge each — equity, exposure,
|
||
/// the R-record, r_equity), `fast_len`/`slow_len` are the two floatable signal
|
||
/// knobs, and `stop_open` selects the bound-vs-open vol-stop arm. A sender bundle
|
||
/// would only rename the same four channels into one struct field without removing
|
||
/// an edge, trading the lint for indirection; the `too_many_arguments` allow is
|
||
/// preferred over that churn.
|
||
#[allow(clippy::type_complexity, clippy::too_many_arguments)]
|
||
fn stage1_r_graph(
|
||
tx_eq: mpsc::Sender<(Timestamp, Vec<Scalar>)>,
|
||
tx_ex: mpsc::Sender<(Timestamp, Vec<Scalar>)>,
|
||
tx_r: mpsc::Sender<(Timestamp, Vec<Scalar>)>,
|
||
tx_req: mpsc::Sender<(Timestamp, Vec<Scalar>)>,
|
||
fast_len: Option<i64>,
|
||
slow_len: Option<i64>,
|
||
stop_open: bool,
|
||
reduce: bool,
|
||
cost: Option<(f64, mpsc::Sender<(Timestamp, Vec<Scalar>)>, mpsc::Sender<(Timestamp, Vec<Scalar>)>)>,
|
||
) -> Composite {
|
||
let mut g = GraphBuilder::new("stage1_r");
|
||
// SMA-cross signal → Bias (the same signal the pip sample uses).
|
||
let mut fast_b = Sma::builder().named("fast");
|
||
if let Some(l) = fast_len {
|
||
fast_b = fast_b.bind("length", Scalar::i64(l));
|
||
}
|
||
let fast = g.add(fast_b);
|
||
let mut slow_b = Sma::builder().named("slow");
|
||
if let Some(l) = slow_len {
|
||
slow_b = slow_b.bind("length", Scalar::i64(l));
|
||
}
|
||
let slow = g.add(slow_b);
|
||
let spread = g.add(Sub::builder());
|
||
let exposure = g.add(Bias::builder().named("bias").bind("scale", Scalar::f64(0.5)));
|
||
// pip branch (verbatim from sample_blueprint_with_sinks).
|
||
let broker = g.add(SimBroker::builder(SYNTHETIC_PIP_SIZE));
|
||
// R branch: bias + price → RiskExecutor(vol_stop) → dense R-record. The stop knobs
|
||
// are bound to the pinned constants (default) or left open as sweep axes (`stop_open`).
|
||
// In `reduce` mode the per-cycle taps fold online: SeriesReducer folds the eq/ex
|
||
// f64 series to one summary row, GatedRecorder retains only the gated R rows — the
|
||
// O(cycles)→O(trades) memory win. The raw `Recorder`s (and the r_equity tap) are the
|
||
// `--trace` path, where the full per-cycle series is persisted.
|
||
let gate_col = PM_FIELD_NAMES
|
||
.iter()
|
||
.position(|&n| n == "closed_this_cycle")
|
||
.expect("PM record has a closed_this_cycle column");
|
||
let eq = if reduce {
|
||
g.add(SeriesReducer::builder(Firing::Any, tx_eq))
|
||
} else {
|
||
g.add(Recorder::builder(vec![ScalarKind::F64], Firing::Any, tx_eq))
|
||
};
|
||
let ex = if reduce {
|
||
g.add(SeriesReducer::builder(Firing::Any, tx_ex))
|
||
} else {
|
||
g.add(Recorder::builder(vec![ScalarKind::F64], Firing::Any, tx_ex))
|
||
};
|
||
let exec = g.add(if stop_open {
|
||
risk_executor_vol_open(1.0)
|
||
} else {
|
||
risk_executor(StopRule::Vol { length: STAGE1_R_STOP_LENGTH, k: STAGE1_R_STOP_K }, 1.0)
|
||
});
|
||
let rrec = if reduce {
|
||
g.add(GatedRecorder::builder(PM_RECORD_KINDS.to_vec(), gate_col, Firing::Any, tx_r))
|
||
} else {
|
||
g.add(Recorder::builder(PM_RECORD_KINDS.to_vec(), Firing::Any, tx_r))
|
||
};
|
||
let price = g.source_role("price", ScalarKind::F64);
|
||
g.feed(
|
||
price,
|
||
[fast.input("series"), slow.input("series"), broker.input("price"), exec.input("price")],
|
||
);
|
||
g.connect(fast.output("value"), spread.input("lhs"));
|
||
g.connect(slow.output("value"), spread.input("rhs"));
|
||
g.connect(spread.output("value"), exposure.input("signal"));
|
||
g.connect(exposure.output("bias"), broker.input("exposure"));
|
||
g.connect(exposure.output("bias"), ex.input("col[0]"));
|
||
g.connect(exposure.output("bias"), exec.input("bias"));
|
||
g.connect(broker.output("equity"), eq.input("col[0]"));
|
||
for (i, field) in PM_FIELD_NAMES.iter().enumerate() {
|
||
g.connect(exec.output(field), rrec.input(COL_PORTS[i].as_str()));
|
||
}
|
||
if !reduce {
|
||
// r_equity = cum_realized_r + unrealized_r — one tapped series for charting.
|
||
let r_equity = g.add(
|
||
LinComb::builder(2)
|
||
.bind("weights[0]", Scalar::f64(1.0))
|
||
.bind("weights[1]", Scalar::f64(1.0)),
|
||
);
|
||
let req = g.add(Recorder::builder(vec![ScalarKind::F64], Firing::Any, tx_req));
|
||
g.connect(exec.output("cum_realized_r"), r_equity.input("term[0]"));
|
||
g.connect(exec.output("unrealized_r"), r_equity.input("term[1]"));
|
||
g.connect(r_equity.output("value"), req.input("col[0]"));
|
||
if let Some((cost_per_trade, tx_net, tx_cost)) = cost {
|
||
let cost_node = g.add(
|
||
ConstantCost::builder().bind("cost_per_trade", Scalar::f64(cost_per_trade)),
|
||
);
|
||
g.connect(exec.output("closed_this_cycle"), cost_node.input("closed"));
|
||
g.connect(exec.output("open"), cost_node.input("open"));
|
||
g.connect(exec.output("entry_price"), cost_node.input("entry_price"));
|
||
g.connect(exec.output("stop_price"), cost_node.input("stop_price"));
|
||
// net_r_equity = cum_realized_r + unrealized_r - cum_cost_in_r - open_cost_in_r
|
||
let net_eq = g.add(
|
||
LinComb::builder(4)
|
||
.bind("weights[0]", Scalar::f64(1.0))
|
||
.bind("weights[1]", Scalar::f64(1.0))
|
||
.bind("weights[2]", Scalar::f64(-1.0))
|
||
.bind("weights[3]", Scalar::f64(-1.0)),
|
||
);
|
||
g.connect(exec.output("cum_realized_r"), net_eq.input("term[0]"));
|
||
g.connect(exec.output("unrealized_r"), net_eq.input("term[1]"));
|
||
g.connect(cost_node.output("cum_cost_in_r"), net_eq.input("term[2]"));
|
||
g.connect(cost_node.output("open_cost_in_r"), net_eq.input("term[3]"));
|
||
let net_rec = g.add(Recorder::builder(vec![ScalarKind::F64], Firing::Any, tx_net));
|
||
g.connect(net_eq.output("value"), net_rec.input("col[0]"));
|
||
// The cost stream `summarize_r` folds: the `ConstantCost` node's full
|
||
// [cost_in_r, cum_cost_in_r, open_cost_in_r] schema. `summarize_r`'s `cost_col`
|
||
// reads col 0 (per-close) and col 2 (window-end open) — the lockstep contract
|
||
// with aura-std's ConstantCost output — so the stream is recorded 3-wide.
|
||
let cost_rec = g.add(Recorder::builder(
|
||
vec![ScalarKind::F64, ScalarKind::F64, ScalarKind::F64],
|
||
Firing::Any,
|
||
tx_cost,
|
||
));
|
||
g.connect(cost_node.output("cost_in_r"), cost_rec.input("col[0]"));
|
||
g.connect(cost_node.output("cum_cost_in_r"), cost_rec.input("col[1]"));
|
||
g.connect(cost_node.output("open_cost_in_r"), cost_rec.input("col[2]"));
|
||
}
|
||
}
|
||
g.build().expect("stage1_r wiring resolves")
|
||
}
|
||
|
||
/// The stage1-r harness with its signal leg swapped for a Donchian channel breakout:
|
||
/// `close -> Delay(1) -> {RollingMax,RollingMin}(channel) -> {Gt,Gt} -> {Latch,Latch}
|
||
/// -> Sub = bias in {-1,0,+1}`. The one Delay(1) on close feeds both rolling nodes, so
|
||
/// each channel covers `close[t-N..t-1]` (the C2 guard: the current bar is excluded).
|
||
/// `channel = None` leaves the lengths open (unused today; the family binds them); the
|
||
/// stop is bound (defines R), identical downstream to stage1_r_graph.
|
||
#[allow(clippy::type_complexity, clippy::too_many_arguments)]
|
||
fn stage1_breakout_graph(
|
||
tx_eq: mpsc::Sender<(Timestamp, Vec<Scalar>)>,
|
||
tx_ex: mpsc::Sender<(Timestamp, Vec<Scalar>)>,
|
||
tx_r: mpsc::Sender<(Timestamp, Vec<Scalar>)>,
|
||
tx_req: mpsc::Sender<(Timestamp, Vec<Scalar>)>,
|
||
channel: Option<i64>,
|
||
stop_length: i64,
|
||
stop_k: f64,
|
||
reduce: bool,
|
||
) -> Composite {
|
||
let mut g = GraphBuilder::new("stage1_breakout");
|
||
// Donchian breakout signal leg.
|
||
let delay = g.add(Delay::builder().bind("lag", Scalar::i64(1)));
|
||
let mut mx_b = RollingMax::builder().named("channel_hi");
|
||
let mut mn_b = RollingMin::builder().named("channel_lo");
|
||
if let Some(n) = channel {
|
||
mx_b = mx_b.bind("length", Scalar::i64(n));
|
||
mn_b = mn_b.bind("length", Scalar::i64(n));
|
||
}
|
||
let mx = g.add(mx_b);
|
||
let mn = g.add(mn_b);
|
||
let gt_up = g.add(Gt::builder());
|
||
let gt_down = g.add(Gt::builder());
|
||
let up_latch = g.add(Latch::builder());
|
||
let down_latch = g.add(Latch::builder());
|
||
let exposure = g.add(Sub::builder()); // up_latch - down_latch -> bias in {-1,0,+1}
|
||
// pip branch (verbatim from stage1_r_graph).
|
||
let broker = g.add(SimBroker::builder(SYNTHETIC_PIP_SIZE));
|
||
let gate_col = PM_FIELD_NAMES
|
||
.iter()
|
||
.position(|&n| n == "closed_this_cycle")
|
||
.expect("PM record has a closed_this_cycle column");
|
||
let eq = if reduce {
|
||
g.add(SeriesReducer::builder(Firing::Any, tx_eq))
|
||
} else {
|
||
g.add(Recorder::builder(vec![ScalarKind::F64], Firing::Any, tx_eq))
|
||
};
|
||
let ex = if reduce {
|
||
g.add(SeriesReducer::builder(Firing::Any, tx_ex))
|
||
} else {
|
||
g.add(Recorder::builder(vec![ScalarKind::F64], Firing::Any, tx_ex))
|
||
};
|
||
let exec = g.add(risk_executor(StopRule::Vol { length: stop_length, k: stop_k }, 1.0));
|
||
let rrec = if reduce {
|
||
g.add(GatedRecorder::builder(PM_RECORD_KINDS.to_vec(), gate_col, Firing::Any, tx_r))
|
||
} else {
|
||
g.add(Recorder::builder(PM_RECORD_KINDS.to_vec(), Firing::Any, tx_r))
|
||
};
|
||
let price = g.source_role("price", ScalarKind::F64);
|
||
g.feed(
|
||
price,
|
||
[
|
||
delay.input("series"),
|
||
gt_up.input("a"),
|
||
gt_down.input("b"),
|
||
broker.input("price"),
|
||
exec.input("price"),
|
||
],
|
||
);
|
||
g.connect(delay.output("value"), mx.input("series"));
|
||
g.connect(delay.output("value"), mn.input("series"));
|
||
g.connect(mx.output("value"), gt_up.input("b"));
|
||
g.connect(mn.output("value"), gt_down.input("a"));
|
||
g.connect(gt_up.output("value"), up_latch.input("set"));
|
||
g.connect(gt_down.output("value"), up_latch.input("reset"));
|
||
g.connect(gt_down.output("value"), down_latch.input("set"));
|
||
g.connect(gt_up.output("value"), down_latch.input("reset"));
|
||
g.connect(up_latch.output("value"), exposure.input("lhs"));
|
||
g.connect(down_latch.output("value"), exposure.input("rhs"));
|
||
g.connect(exposure.output("value"), broker.input("exposure"));
|
||
g.connect(exposure.output("value"), ex.input("col[0]"));
|
||
g.connect(exposure.output("value"), exec.input("bias"));
|
||
g.connect(broker.output("equity"), eq.input("col[0]"));
|
||
for (i, field) in PM_FIELD_NAMES.iter().enumerate() {
|
||
g.connect(exec.output(field), rrec.input(COL_PORTS[i].as_str()));
|
||
}
|
||
if !reduce {
|
||
let r_equity = g.add(
|
||
LinComb::builder(2)
|
||
.bind("weights[0]", Scalar::f64(1.0))
|
||
.bind("weights[1]", Scalar::f64(1.0)),
|
||
);
|
||
let req = g.add(Recorder::builder(vec![ScalarKind::F64], Firing::Any, tx_req));
|
||
g.connect(exec.output("cum_realized_r"), r_equity.input("term[0]"));
|
||
g.connect(exec.output("unrealized_r"), r_equity.input("term[1]"));
|
||
g.connect(r_equity.output("value"), req.input("col[0]"));
|
||
}
|
||
g.build().expect("stage1_breakout wiring resolves")
|
||
}
|
||
|
||
/// The Stage-1 EWMA Bollinger-band mean-reversion candidate, mirroring
|
||
/// `stage1_breakout_graph` but swapping the signal leg: fade deviation from a
|
||
/// rolling mean (price above `mean + k*sigma` -> short; below `mean - k*sigma` ->
|
||
/// long), latched +-1. sigma = `Sqrt(Ema((price-mean)^2))` (deviation squared
|
||
/// then smoothed, the vol_stop shape — no catastrophic cancellation, no NaN).
|
||
/// No Delay: the current bar legitimately belongs to its own band (causal, C2).
|
||
/// `window` gangs the mean Ema and the variance Ema (one Bollinger window);
|
||
/// `band_k` is the band half-width in sigma. Everything below the signal leg is
|
||
/// byte-identical to `stage1_breakout_graph`.
|
||
#[allow(clippy::type_complexity, clippy::too_many_arguments)]
|
||
fn stage1_meanrev_graph(
|
||
tx_eq: mpsc::Sender<(Timestamp, Vec<Scalar>)>,
|
||
tx_ex: mpsc::Sender<(Timestamp, Vec<Scalar>)>,
|
||
tx_r: mpsc::Sender<(Timestamp, Vec<Scalar>)>,
|
||
tx_req: mpsc::Sender<(Timestamp, Vec<Scalar>)>,
|
||
window: Option<i64>,
|
||
band_k: f64,
|
||
stop_length: i64,
|
||
stop_k: f64,
|
||
reduce: bool,
|
||
) -> Composite {
|
||
let mut g = GraphBuilder::new("stage1_meanrev");
|
||
// EWMA Bollinger-band mean-reversion signal leg (the ONLY change vs breakout).
|
||
let (mut mean_b, mut var_b) =
|
||
(Ema::builder().named("mean_window"), Ema::builder().named("var_window"));
|
||
if let Some(n) = window {
|
||
mean_b = mean_b.bind("length", Scalar::i64(n));
|
||
var_b = var_b.bind("length", Scalar::i64(n));
|
||
}
|
||
let mean = g.add(mean_b);
|
||
let dev = g.add(Sub::builder()); // price - mean
|
||
let sq = g.add(Mul::builder()); // dev * dev
|
||
let var = g.add(var_b); // EWMA variance
|
||
let sigma = g.add(Sqrt::builder()); // sigma (price units)
|
||
let band = g.add(LinComb::builder(1).bind("weights[0]", Scalar::f64(band_k))); // k*sigma
|
||
let upper = g.add(Add::builder()); // mean + k*sigma
|
||
let lower = g.add(Sub::builder()); // mean - k*sigma
|
||
let gt_hi = g.add(Gt::builder()); // price > upper -> overextended up -> fade short
|
||
let gt_lo = g.add(Gt::builder()); // lower > price -> overextended down -> fade long
|
||
let short_latch = g.add(Latch::builder());
|
||
let long_latch = g.add(Latch::builder());
|
||
let exposure = g.add(Sub::builder()); // long_latch - short_latch -> bias in {-1,0,+1}
|
||
// pip branch (VERBATIM from stage1_breakout_graph).
|
||
let broker = g.add(SimBroker::builder(SYNTHETIC_PIP_SIZE));
|
||
let gate_col = PM_FIELD_NAMES
|
||
.iter()
|
||
.position(|&n| n == "closed_this_cycle")
|
||
.expect("PM record has a closed_this_cycle column");
|
||
let eq = if reduce {
|
||
g.add(SeriesReducer::builder(Firing::Any, tx_eq))
|
||
} else {
|
||
g.add(Recorder::builder(vec![ScalarKind::F64], Firing::Any, tx_eq))
|
||
};
|
||
let ex = if reduce {
|
||
g.add(SeriesReducer::builder(Firing::Any, tx_ex))
|
||
} else {
|
||
g.add(Recorder::builder(vec![ScalarKind::F64], Firing::Any, tx_ex))
|
||
};
|
||
let exec = g.add(risk_executor(StopRule::Vol { length: stop_length, k: stop_k }, 1.0));
|
||
let rrec = if reduce {
|
||
g.add(GatedRecorder::builder(PM_RECORD_KINDS.to_vec(), gate_col, Firing::Any, tx_r))
|
||
} else {
|
||
g.add(Recorder::builder(PM_RECORD_KINDS.to_vec(), Firing::Any, tx_r))
|
||
};
|
||
let price = g.source_role("price", ScalarKind::F64);
|
||
g.feed(
|
||
price,
|
||
[
|
||
mean.input("series"),
|
||
dev.input("lhs"),
|
||
gt_hi.input("a"),
|
||
gt_lo.input("b"),
|
||
broker.input("price"),
|
||
exec.input("price"),
|
||
],
|
||
);
|
||
g.connect(mean.output("value"), dev.input("rhs"));
|
||
g.connect(dev.output("value"), sq.input("lhs"));
|
||
g.connect(dev.output("value"), sq.input("rhs")); // square: feed dev to both legs
|
||
g.connect(sq.output("value"), var.input("series"));
|
||
g.connect(var.output("value"), sigma.input("value"));
|
||
g.connect(sigma.output("value"), band.input("term[0]"));
|
||
g.connect(mean.output("value"), upper.input("lhs"));
|
||
g.connect(band.output("value"), upper.input("rhs")); // upper = mean + k*sigma
|
||
g.connect(mean.output("value"), lower.input("lhs"));
|
||
g.connect(band.output("value"), lower.input("rhs")); // lower = mean - k*sigma
|
||
g.connect(upper.output("value"), gt_hi.input("b"));
|
||
g.connect(lower.output("value"), gt_lo.input("a"));
|
||
g.connect(gt_hi.output("value"), short_latch.input("set"));
|
||
g.connect(gt_lo.output("value"), short_latch.input("reset"));
|
||
g.connect(gt_lo.output("value"), long_latch.input("set"));
|
||
g.connect(gt_hi.output("value"), long_latch.input("reset"));
|
||
g.connect(long_latch.output("value"), exposure.input("lhs"));
|
||
g.connect(short_latch.output("value"), exposure.input("rhs"));
|
||
g.connect(exposure.output("value"), broker.input("exposure"));
|
||
g.connect(exposure.output("value"), ex.input("col[0]"));
|
||
g.connect(exposure.output("value"), exec.input("bias"));
|
||
g.connect(broker.output("equity"), eq.input("col[0]"));
|
||
for (i, field) in PM_FIELD_NAMES.iter().enumerate() {
|
||
g.connect(exec.output(field), rrec.input(COL_PORTS[i].as_str()));
|
||
}
|
||
if !reduce {
|
||
let r_equity = g.add(
|
||
LinComb::builder(2)
|
||
.bind("weights[0]", Scalar::f64(1.0))
|
||
.bind("weights[1]", Scalar::f64(1.0)),
|
||
);
|
||
let req = g.add(Recorder::builder(vec![ScalarKind::F64], Firing::Any, tx_req));
|
||
g.connect(exec.output("cum_realized_r"), r_equity.input("term[0]"));
|
||
g.connect(exec.output("unrealized_r"), r_equity.input("term[1]"));
|
||
g.connect(r_equity.output("value"), req.input("col[0]"));
|
||
}
|
||
g.build().expect("stage1_meanrev wiring resolves")
|
||
}
|
||
|
||
/// `aura run --harness stage1-r [--real <SYM> [--from][--to]] [--trace <n>]`: build the
|
||
/// dual-tap stage1-r harness, run it on synthetic or real M1 data, fold the pip taps via
|
||
/// `summarize` and the dense R-record via `summarize_r`, and attach the R block as
|
||
/// `RunMetrics.r = Some(..)`. Pure/deterministic (C1). `cost` is the optional flat
|
||
/// round-trip cost per trade (price units): `Some(c)` wires the `ConstantCost` node and
|
||
/// the `net_r_equity` tap and folds the cost stream into `net_expectancy_r`; `None` is the
|
||
/// frictionless gross-R baseline (net == gross, no extra tap, byte-unchanged).
|
||
fn run_stage1_r(data: RunData, trace: Option<&str>, cost: Option<f64>) -> RunReport {
|
||
if let Some(n) = trace
|
||
&& let Err(e) = TraceStore::open("runs").ensure_name_free(n, WriteKind::Run)
|
||
{
|
||
eprintln!("aura: {e}");
|
||
std::process::exit(2);
|
||
}
|
||
let (tx_eq, rx_eq) = mpsc::channel();
|
||
let (tx_ex, rx_ex) = mpsc::channel();
|
||
let (tx_r, rx_r) = mpsc::channel();
|
||
let (tx_req, rx_req) = mpsc::channel();
|
||
let (tx_net, rx_net) = mpsc::channel();
|
||
let (tx_cost, rx_cost) = mpsc::channel();
|
||
let cost_bundle = cost.map(|c| (c, tx_net, tx_cost));
|
||
let flat = stage1_r_graph(tx_eq, tx_ex, tx_r, tx_req, Some(2), Some(4), false, false, cost_bundle)
|
||
.compile_with_params(&[])
|
||
.expect("valid stage1-r blueprint");
|
||
let mut h = Harness::bootstrap(flat).expect("valid stage1-r harness");
|
||
|
||
let (sources, window, pip_size): (Vec<Box<dyn aura_engine::Source>>, _, f64) = match &data {
|
||
RunData::Synthetic => {
|
||
let sources: Vec<Box<dyn aura_engine::Source>> =
|
||
vec![Box::new(VecSource::new(stage1_r_prices()))];
|
||
let window = window_of(&sources).expect("non-empty synthetic stream");
|
||
(sources, window, SYNTHETIC_PIP_SIZE)
|
||
}
|
||
RunData::Real { symbol, from, to } => {
|
||
let (source, window, pip_size) = open_real_source(symbol, *from, *to);
|
||
(vec![source], window, pip_size)
|
||
}
|
||
};
|
||
h.run(sources);
|
||
|
||
let eq_rows: Vec<(Timestamp, Vec<Scalar>)> = rx_eq.try_iter().collect();
|
||
let ex_rows: Vec<(Timestamp, Vec<Scalar>)> = rx_ex.try_iter().collect();
|
||
let r_rows: Vec<(Timestamp, Vec<Scalar>)> = rx_r.try_iter().collect();
|
||
let req_rows: Vec<(Timestamp, Vec<Scalar>)> = rx_req.try_iter().collect();
|
||
// The cost taps drain empty when `cost` is `None` (no cost node wired): an empty
|
||
// `net_rows` suppresses the `net_r_equity` trace and an empty `cost_rows` folds to
|
||
// net == gross — the byte-unchanged frictionless baseline.
|
||
let net_rows: Vec<(Timestamp, Vec<Scalar>)> = rx_net.try_iter().collect();
|
||
let cost_rows: Vec<(Timestamp, Vec<Scalar>)> = rx_cost.try_iter().collect();
|
||
|
||
let mut manifest = sim_optimal_manifest(
|
||
vec![
|
||
("sma_fast".to_string(), Scalar::i64(2)),
|
||
("sma_slow".to_string(), Scalar::i64(4)),
|
||
("bias_scale".to_string(), Scalar::f64(0.5)),
|
||
("stop_length".to_string(), Scalar::i64(STAGE1_R_STOP_LENGTH)), // vol_stop EWMA length
|
||
("stop_k".to_string(), Scalar::f64(STAGE1_R_STOP_K)), // vol_stop multiplier (1R = k·σ)
|
||
],
|
||
window,
|
||
0,
|
||
pip_size,
|
||
);
|
||
manifest.broker = stage1_r_broker_label(pip_size);
|
||
if let Some(name) = trace {
|
||
persist_traces_r(name, &manifest, &eq_rows, &ex_rows, &req_rows, &net_rows);
|
||
}
|
||
let mut metrics = summarize(&f64_field(&eq_rows, 0), &f64_field(&ex_rows, 0));
|
||
metrics.r = Some(summarize_r(&r_rows, &cost_rows));
|
||
RunReport { manifest, metrics }
|
||
}
|
||
|
||
/// Persist a stage1-r run's taps: equity (off the SimBroker), exposure (off the Bias),
|
||
/// r_equity = cum_realized_r + unrealized_r (off the RiskExecutor), and — only on a cost
|
||
/// run — net_r_equity (gross r_equity minus the cost-in-R taps). Separate from the two-tap
|
||
/// `persist_traces` so the pip handlers stay byte-unchanged on disk; the `net_r_equity` tap
|
||
/// is emitted only when `net_rows` is non-empty, so a no-cost run's on-disk trace set is
|
||
/// byte-unchanged too.
|
||
fn persist_traces_r(
|
||
name: &str,
|
||
manifest: &RunManifest,
|
||
eq_rows: &[(Timestamp, Vec<Scalar>)],
|
||
ex_rows: &[(Timestamp, Vec<Scalar>)],
|
||
req_rows: &[(Timestamp, Vec<Scalar>)],
|
||
net_rows: &[(Timestamp, Vec<Scalar>)],
|
||
) {
|
||
let mut taps = vec![
|
||
ColumnarTrace::from_rows("equity", &[ScalarKind::F64], eq_rows),
|
||
ColumnarTrace::from_rows("exposure", &[ScalarKind::F64], ex_rows),
|
||
ColumnarTrace::from_rows("r_equity", &[ScalarKind::F64], req_rows),
|
||
];
|
||
if !net_rows.is_empty() {
|
||
taps.push(ColumnarTrace::from_rows("net_r_equity", &[ScalarKind::F64], net_rows));
|
||
}
|
||
if let Err(e) = TraceStore::open("runs").write(name, manifest, &taps) {
|
||
eprintln!("aura: trace persist failed: {e}");
|
||
std::process::exit(2);
|
||
}
|
||
}
|
||
|
||
/// Which built-in harness `aura run` drives. A fixed compile-time enumeration over
|
||
/// Rust-authored harnesses — NOT a runtime node registry and NOT a DSL (C9/C17): the
|
||
/// CLI *runs* an authored harness, it does not wire one.
|
||
enum HarnessKind {
|
||
Sma,
|
||
Macd,
|
||
Stage1R,
|
||
}
|
||
|
||
/// The parsed `aura run` invocation: a harness, a data source, an optional trace name, and
|
||
/// an optional flat round-trip cost per trade (`--cost-per-trade`, stage1-r only this cycle).
|
||
struct RunArgs {
|
||
harness: HarnessKind,
|
||
data: RunData,
|
||
trace: Option<String>,
|
||
cost: Option<f64>,
|
||
}
|
||
|
||
/// Parse the `run` tail: `[--harness <name>] [--real <SYM> [--from <ms>] [--to <ms>]]
|
||
/// [--trace <name>] [--cost-per-trade <f64>]` in any order, each flag at most once.
|
||
/// `--harness sma` is the default (`--harness macd` / `--harness stage1-r` select the
|
||
/// others); `--from`/`--to` are legal only with `--real`. Pure (no I/O, no exit) so the
|
||
/// grammar is unit-testable; `main` does the side effects.
|
||
fn parse_run_args(rest: &[&str]) -> Result<RunArgs, String> {
|
||
let usage = || {
|
||
"usage: aura run [--harness <sma|macd|stage1-r>] [--real <SYMBOL> [--from <ms>] [--to <ms>]] [--trace <name>] [--cost-per-trade <f64>]"
|
||
.to_string()
|
||
};
|
||
let mut harness: Option<HarnessKind> = None;
|
||
let mut symbol: Option<String> = None;
|
||
let mut from: Option<i64> = None;
|
||
let mut to: Option<i64> = None;
|
||
let mut trace: Option<String> = None;
|
||
let mut cost: Option<f64> = None;
|
||
let mut tail = rest;
|
||
while let Some((flag, t)) = tail.split_first() {
|
||
match *flag {
|
||
"--harness" if harness.is_none() => {
|
||
let (value, t) = t.split_first().ok_or_else(usage)?;
|
||
harness = Some(match *value {
|
||
"sma" => HarnessKind::Sma,
|
||
"macd" => HarnessKind::Macd,
|
||
"stage1-r" => HarnessKind::Stage1R,
|
||
_ => return Err(usage()),
|
||
});
|
||
tail = t;
|
||
}
|
||
"--real" if symbol.is_none() => {
|
||
let (value, t) = t.split_first().ok_or_else(usage)?;
|
||
if value.is_empty() {
|
||
return Err(usage());
|
||
}
|
||
symbol = Some((*value).to_string());
|
||
tail = t;
|
||
}
|
||
"--from" if from.is_none() => {
|
||
let (value, t) = t.split_first().ok_or_else(usage)?;
|
||
from = Some(value.parse().map_err(|_| usage())?);
|
||
tail = t;
|
||
}
|
||
"--to" if to.is_none() => {
|
||
let (value, t) = t.split_first().ok_or_else(usage)?;
|
||
to = Some(value.parse().map_err(|_| usage())?);
|
||
tail = t;
|
||
}
|
||
"--trace" if trace.is_none() => {
|
||
let (value, t) = t.split_first().ok_or_else(usage)?;
|
||
trace = Some((*value).to_string());
|
||
tail = t;
|
||
}
|
||
"--cost-per-trade" if cost.is_none() => {
|
||
let (value, t) = t.split_first().ok_or_else(usage)?;
|
||
cost = Some(value.parse().map_err(|_| usage())?);
|
||
tail = t;
|
||
}
|
||
_ => return Err(usage()),
|
||
}
|
||
}
|
||
let harness = harness.unwrap_or(HarnessKind::Sma);
|
||
// --from/--to require --real.
|
||
if symbol.is_none() && (from.is_some() || to.is_some()) {
|
||
return Err(usage());
|
||
}
|
||
let data = match symbol {
|
||
Some(s) => RunData::Real { symbol: s, from, to },
|
||
None => RunData::Synthetic,
|
||
};
|
||
Ok(RunArgs { harness, data, trace, cost })
|
||
}
|
||
|
||
/// Route a parsed `run` invocation to its harness handler. The compile-time `match` IS
|
||
/// the selector — the harnesses are Rust-authored built-ins, picked by name (C9/C17).
|
||
fn run_dispatch(args: RunArgs) -> Result<RunReport, String> {
|
||
let trace = args.trace.as_deref();
|
||
Ok(match (args.harness, args.data) {
|
||
(HarnessKind::Sma, RunData::Synthetic) => run_sample(trace),
|
||
(HarnessKind::Macd, RunData::Synthetic) => run_macd(trace),
|
||
(HarnessKind::Stage1R, data) => run_stage1_r(data, trace, args.cost),
|
||
(HarnessKind::Sma, RunData::Real { symbol, from, to }) => {
|
||
run_sample_real(&symbol, from, to, trace)
|
||
}
|
||
(HarnessKind::Macd, RunData::Real { .. }) => {
|
||
return Err("the macd harness has no --real form".to_string())
|
||
}
|
||
})
|
||
}
|
||
|
||
const USAGE: &str =
|
||
"usage: aura run [--harness <sma|macd|stage1-r>] [--real <SYMBOL> [--from <ms>] [--to <ms>]] [--trace <name>] [--cost-per-trade <f64>] | aura chart <name> [--tap <t>] [--panels] | aura graph | aura sweep [--strategy <sma|momentum|stage1-r|stage1-breakout|stage1-meanrev>] [--real <SYMBOL> [--from <ms>] [--to <ms>]] [--name <n>|--trace <n>] | aura mc [--name <n>|--trace <n>] | aura mc --strategy stage1-r [--real <SYMBOL> [--from <ms>] [--to <ms>]] [--fast <csv>] [--slow <csv>] [--stop-length <csv>] [--stop-k <csv>] [--block-len <n>] [--resamples <n>] [--seed <n>] | aura 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>] | aura generalize [--strategy stage1-r] --real <SYM1,SYM2,...> --fast <n> --slow <n> --stop-length <n> --stop-k <f> [--from <ms>] [--to <ms>] [--metric <r-metric>] [--name <n>] | aura runs families | aura runs family <id> [rank <metric>]";
|
||
|
||
fn main() {
|
||
// Restore the default SIGPIPE disposition. Rust's runtime sets SIGPIPE to SIG_IGN
|
||
// at startup, so a write to a closed stdout pipe (`aura sweep | head`, a closed UI
|
||
// pane) returns EPIPE and panics in `println!` instead of terminating quietly on
|
||
// SIGPIPE — the conventional Unix CLI behaviour. One reset covers every
|
||
// family-emitting subcommand at once.
|
||
#[cfg(unix)]
|
||
unsafe {
|
||
libc::signal(libc::SIGPIPE, libc::SIG_DFL);
|
||
}
|
||
// Collect argv and match the whole vector: every accepted form is exhaustive,
|
||
// so an unexpected trailing token falls through to the usage-error path rather
|
||
// than masquerading as a successful run (#16 strict reading).
|
||
let args: Vec<String> = std::env::args().skip(1).collect();
|
||
// A `--help` / `-h` anywhere prints usage to stdout and exits 0, uniformly across
|
||
// subcommands (#131): `aura chart --help` shows usage instead of erroring
|
||
// "unexpected argument", and the bare `aura --help` is the same affordance.
|
||
if args.iter().any(|a| a == "--help" || a == "-h") {
|
||
println!("{USAGE}");
|
||
return;
|
||
}
|
||
match args.iter().map(String::as_str).collect::<Vec<_>>().as_slice() {
|
||
["run", rest @ ..] => match parse_run_args(rest) {
|
||
Ok(args) => match run_dispatch(args) {
|
||
Ok(report) => println!("{}", report.to_json()),
|
||
Err(msg) => {
|
||
eprintln!("aura: {msg}");
|
||
std::process::exit(2);
|
||
}
|
||
},
|
||
Err(msg) => {
|
||
eprintln!("aura: {msg}");
|
||
std::process::exit(2);
|
||
}
|
||
},
|
||
["chart", rest @ ..] => match parse_chart_args(rest) {
|
||
Ok((name, tap, mode)) => emit_chart(&name, tap.as_deref(), mode),
|
||
Err(msg) => {
|
||
eprintln!("aura: {msg}");
|
||
std::process::exit(2);
|
||
}
|
||
},
|
||
["graph"] => print!("{}", render::render_html(&sample_blueprint())),
|
||
["sweep", rest @ ..] => match parse_sweep_args(rest) {
|
||
Ok((strategy, name, persist, choice, grid)) => {
|
||
run_sweep(strategy, &name, persist, DataSource::from_choice(choice), &grid)
|
||
}
|
||
Err(msg) => {
|
||
eprintln!("aura: {msg}");
|
||
std::process::exit(2);
|
||
}
|
||
},
|
||
["walkforward", rest @ ..] => match parse_walkforward_args(rest) {
|
||
Ok((strategy, name, persist, choice, grid, select)) => {
|
||
run_walkforward(strategy, &name, persist, DataSource::from_choice(choice), &grid, select)
|
||
}
|
||
Err(msg) => {
|
||
eprintln!("aura: {msg}");
|
||
std::process::exit(2);
|
||
}
|
||
},
|
||
["generalize", rest @ ..] => match parse_generalize_args(rest) {
|
||
Ok((name, symbols, grid, metric, from_ms, to_ms)) => {
|
||
run_generalize(&name, &symbols, &grid, &metric, from_ms, to_ms)
|
||
}
|
||
Err(msg) => {
|
||
eprintln!("aura: {msg}");
|
||
std::process::exit(2);
|
||
}
|
||
},
|
||
["mc", rest @ ..] => match parse_mc_args(rest) {
|
||
Ok(McArgs::Synthetic { name, persist }) => run_mc(&name, persist),
|
||
Ok(McArgs::RealR { choice, grid, block_len, n_resamples, seed }) => {
|
||
run_mc_r_bootstrap(DataSource::from_choice(choice), &grid, block_len, n_resamples, seed)
|
||
}
|
||
Err(msg) => {
|
||
eprintln!("aura: {msg}");
|
||
std::process::exit(2);
|
||
}
|
||
},
|
||
["runs", "families"] => runs_families(),
|
||
["runs", "family", id] => runs_family(id, None),
|
||
["runs", "family", id, "rank", metric] => runs_family(id, Some(metric)),
|
||
_ => {
|
||
eprintln!("aura: {USAGE}");
|
||
std::process::exit(2);
|
||
}
|
||
}
|
||
}
|
||
|
||
#[cfg(test)]
|
||
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))
|
||
}
|
||
|
||
/// Like [`cmp_member`] but with an explicit manifest `window` so a test can
|
||
/// model walk-forward members (disjoint per-member OOS windows) and assert the
|
||
/// family window spans them.
|
||
fn cmp_member_win(key: &str, ts: &[i64], vals: &[f64], window: (i64, i64)) -> FamilyMember {
|
||
let rows: Vec<(Timestamp, Vec<Scalar>)> =
|
||
ts.iter().zip(vals).map(|(&t, &v)| (Timestamp(t), vec![Scalar::f64(v)])).collect();
|
||
let tap = ColumnarTrace::from_rows("equity", &[ScalarKind::F64], &rows);
|
||
FamilyMember {
|
||
key: key.to_string(),
|
||
traces: RunTraces {
|
||
manifest: sim_optimal_manifest(
|
||
vec![],
|
||
(Timestamp(window.0), Timestamp(window.1)),
|
||
0,
|
||
1.0,
|
||
),
|
||
taps: vec![tap],
|
||
},
|
||
}
|
||
}
|
||
|
||
#[test]
|
||
fn comparison_overlays_one_shared_scale_series_per_member() {
|
||
let members = vec![
|
||
cmp_member("a", &[1, 2, 3], &[10.0, 11.0, 12.0]),
|
||
cmp_member("b", &[1, 2, 3], &[20.0, 21.0, 22.0]),
|
||
];
|
||
let data = build_comparison_chart_data("fam", &members, "equity").expect("builds");
|
||
assert_eq!(data.xs, vec![1, 2, 3]);
|
||
assert_eq!(data.series.len(), 2);
|
||
assert_eq!(data.series[0].name, "a");
|
||
assert_eq!(data.series[1].name, "b");
|
||
// ONE shared y-scale across members (same quantity).
|
||
assert_eq!(data.series[0].y_scale_id, data.series[1].y_scale_id);
|
||
// shared ts -> dense, no nulls.
|
||
assert!(data.series[0].points.iter().all(Option::is_some));
|
||
// #102 meta wiring: a family carries kind/name/member-count + the one
|
||
// compared tap, and never the per-member params (those are the labels).
|
||
assert_eq!(data.meta.kind, "family");
|
||
assert_eq!(data.meta.name, "fam");
|
||
assert_eq!(data.meta.members, Some(2));
|
||
assert_eq!(data.meta.taps, vec!["equity".to_string()]);
|
||
assert!(data.meta.params.is_empty(), "family meta must not repeat per-member params");
|
||
}
|
||
|
||
#[test]
|
||
fn comparison_disjoint_members_are_null_complementary() {
|
||
let members = vec![
|
||
cmp_member("oos1", &[1, 2], &[10.0, 11.0]),
|
||
cmp_member("oos2", &[3, 4], &[20.0, 21.0]),
|
||
];
|
||
let data = build_comparison_chart_data("fam", &members, "equity").expect("builds");
|
||
assert_eq!(data.xs, vec![1, 2, 3, 4]);
|
||
assert_eq!(data.series[0].points, vec![Some(10.0), Some(11.0), None, None]);
|
||
assert_eq!(data.series[1].points, vec![None, None, Some(20.0), Some(21.0)]);
|
||
}
|
||
|
||
/// #102 family-window semantics: the header's `window` for a family is the
|
||
/// SPAN across all members — `(min member.from, max member.to)` — not the first
|
||
/// member's window. The distinction is load-bearing for a walk-forward family,
|
||
/// whose members are DISJOINT OOS windows (commit 4c64feb): labelling such a
|
||
/// family with `members[0]`'s window mislabels the family's true coverage. The
|
||
/// span reading is correct for all three kinds (sweep/MC members share a window,
|
||
/// so their span collapses to that shared window).
|
||
#[test]
|
||
fn comparison_window_spans_disjoint_walk_forward_members() {
|
||
let members = vec![
|
||
cmp_member_win("oos1", &[10, 20], &[1.0, 2.0], (10, 20)),
|
||
cmp_member_win("oos2", &[30, 40], &[3.0, 4.0], (30, 40)),
|
||
cmp_member_win("oos3", &[50, 60], &[5.0, 6.0], (50, 60)),
|
||
];
|
||
let data = build_comparison_chart_data("wf", &members, "equity").expect("builds");
|
||
// SPAN of all OOS windows (10..60), NOT members[0]'s window (10..20).
|
||
assert_eq!(data.meta.window, (10, 60));
|
||
}
|
||
|
||
#[test]
|
||
fn comparison_errors_when_no_member_has_the_tap() {
|
||
let members = vec![cmp_member("a", &[1], &[1.0])];
|
||
assert!(build_comparison_chart_data("fam", &members, "nosuch").is_err());
|
||
}
|
||
|
||
#[test]
|
||
fn decimate_bounds_the_spine_to_twice_the_bucket_count() {
|
||
let n = 10_000usize;
|
||
let xs: Vec<i64> = (0..n as i64).collect();
|
||
let points: Vec<Option<f64>> = (0..n).map(|i| Some(i as f64)).collect();
|
||
let data = ChartData {
|
||
xs,
|
||
series: vec![Series { name: "equity".into(), y_scale_id: "y_0".into(), points, reduce: ReduceKind::MinMax }],
|
||
meta: ChartMeta::default(),
|
||
};
|
||
let out = decimate(data, 2000);
|
||
assert!(out.xs.len() <= 4000, "spine not bounded: {}", out.xs.len());
|
||
assert_eq!(out.xs.len(), out.series[0].points.len(), "xs and points must stay aligned");
|
||
}
|
||
|
||
#[test]
|
||
fn decimate_preserves_per_bucket_min_and_max() {
|
||
// 10 points, 2 buckets -> bucket 0 = idx 0..5 (a spike), bucket 1 = idx 5..10 (a trough).
|
||
let xs: Vec<i64> = (0..10).collect();
|
||
let mut pv = vec![1.0_f64; 10];
|
||
pv[3] = 999.0;
|
||
pv[7] = -50.0;
|
||
let points: Vec<Option<f64>> = pv.into_iter().map(Some).collect();
|
||
let data = ChartData {
|
||
xs,
|
||
series: vec![Series { name: "equity".into(), y_scale_id: "y_0".into(), points, reduce: ReduceKind::MinMax }],
|
||
meta: ChartMeta::default(),
|
||
};
|
||
let out = decimate(data, 2);
|
||
let got = out.series[0].points.clone();
|
||
assert!(got.contains(&Some(999.0)), "bucket max (spike) dropped: {got:?}");
|
||
assert!(got.contains(&Some(-50.0)), "bucket min (trough) dropped: {got:?}");
|
||
}
|
||
|
||
#[test]
|
||
fn decimate_keeps_an_all_null_bucket_null() {
|
||
let xs: Vec<i64> = (0..10).collect();
|
||
let mut points: Vec<Option<f64>> = (0..5).map(|i| Some(i as f64)).collect();
|
||
points.extend(std::iter::repeat_n(None, 5));
|
||
let data = ChartData {
|
||
xs,
|
||
series: vec![Series { name: "equity".into(), y_scale_id: "y_0".into(), points, reduce: ReduceKind::MinMax }],
|
||
meta: ChartMeta::default(),
|
||
};
|
||
let out = decimate(data, 2);
|
||
assert_eq!(*out.series[0].points.last().unwrap(), None, "all-null bucket must stay null");
|
||
}
|
||
|
||
#[test]
|
||
fn decimate_is_a_noop_within_budget() {
|
||
let data = ChartData {
|
||
xs: vec![1, 2, 3],
|
||
series: vec![Series { name: "equity".into(), y_scale_id: "y_0".into(), points: vec![Some(1.0), Some(2.0), Some(3.0)], reduce: ReduceKind::MinMax }],
|
||
meta: ChartMeta::default(),
|
||
};
|
||
let out = decimate(data, 2000);
|
||
assert_eq!(out.xs, vec![1, 2, 3], "within-budget data must pass through unchanged");
|
||
assert_eq!(out.series[0].points, vec![Some(1.0), Some(2.0), Some(3.0)]);
|
||
}
|
||
|
||
#[test]
|
||
fn decimate_passes_meta_through_and_keeps_xs_monotonic() {
|
||
let n = 10_000usize;
|
||
let xs: Vec<i64> = (0..n as i64).collect();
|
||
let points: Vec<Option<f64>> = (0..n).map(|i| Some(i as f64)).collect();
|
||
let meta = ChartMeta { name: "keep-me".into(), ..Default::default() };
|
||
let data = ChartData { xs, series: vec![Series { name: "equity".into(), y_scale_id: "y_0".into(), points, reduce: ReduceKind::MinMax }], meta };
|
||
let out = decimate(data, 2000);
|
||
assert_eq!(out.meta.name, "keep-me", "meta must pass through decimation");
|
||
assert!(out.xs.windows(2).all(|w| w[0] < w[1]), "decimated spine must stay strictly increasing");
|
||
}
|
||
|
||
/// #111: a bounded *level* series with `reduce = Mean` decimates to each bucket's
|
||
/// MEAN, not its min/max envelope — so a high-flip bipolar exposure shows its
|
||
/// net/duty-cycle level instead of collapsing to a -1..+1 band. RED under the
|
||
/// shipped min/max-only decimation (any bucket holding a +1 emits +1); GREEN once
|
||
/// `decimate` honours `ReduceKind::Mean`.
|
||
#[test]
|
||
fn decimate_mean_reduces_a_bipolar_series_to_its_bucket_level() {
|
||
// 10 points, 2 buckets. Bucket 0 (idx 0..5) = [+1,+1,-1,+1,+1] -> mean +0.6;
|
||
// bucket 1 (idx 5..10) = all -1 -> mean -1.0.
|
||
let xs: Vec<i64> = (0..10).collect();
|
||
let pv = vec![1.0, 1.0, -1.0, 1.0, 1.0, -1.0, -1.0, -1.0, -1.0, -1.0];
|
||
let points: Vec<Option<f64>> = pv.into_iter().map(Some).collect();
|
||
let data = ChartData {
|
||
xs,
|
||
series: vec![Series { name: "exposure".into(), y_scale_id: "y_0".into(), points, reduce: ReduceKind::Mean }],
|
||
meta: ChartMeta::default(),
|
||
};
|
||
let out = decimate(data, 2);
|
||
let got = out.series[0].points.clone();
|
||
// No -1..+1 envelope: bucket 0 is its mean (+0.6), not a min/max pair.
|
||
assert!(!got.contains(&Some(1.0)), "mean reduce must not emit a +1 envelope point: {got:?}");
|
||
assert!(got.contains(&Some(0.6)), "bucket-0 duty-cycle mean (+0.6) missing: {got:?}");
|
||
// bucket 0 spans two slots, both = the mean (a flat step, not a -1->+1 ramp).
|
||
assert_eq!(got[0], Some(0.6), "first slot must be the bucket mean");
|
||
assert_eq!(got[1], Some(0.6), "second slot must also be the bucket mean");
|
||
}
|
||
|
||
/// #102 single-run meta wiring: `build_chart_data` maps the `RunManifest` into
|
||
/// `ChartData.meta` — kind "run", the name arg, the manifest window/broker, the
|
||
/// charted taps, and the bound params stringified (each typed `Scalar` rendered
|
||
/// via `render_value`, preserving its lexical form: `i64` decimal, `f64`
|
||
/// shortest round-trip). A single run carries no member count.
|
||
#[test]
|
||
fn build_chart_data_threads_run_manifest_into_meta() {
|
||
let eq_rows: Vec<(Timestamp, Vec<Scalar>)> =
|
||
[1i64, 2, 3].iter().map(|&t| (Timestamp(t), vec![Scalar::f64(t as f64)])).collect();
|
||
let traces = RunTraces {
|
||
manifest: sim_optimal_manifest(
|
||
vec![("len".into(), Scalar::i64(10)), ("scale".into(), Scalar::f64(0.5))],
|
||
(Timestamp(1), Timestamp(3)),
|
||
7,
|
||
1.0,
|
||
),
|
||
taps: vec![ColumnarTrace::from_rows("equity", &[ScalarKind::F64], &eq_rows)],
|
||
};
|
||
let data = build_chart_data("demo", traces);
|
||
let meta = &data.meta;
|
||
assert_eq!(meta.kind, "run");
|
||
assert_eq!(meta.name, "demo");
|
||
assert_eq!(meta.window, (1, 3));
|
||
assert_eq!(meta.broker, "sim-optimal(pip_size=1)");
|
||
assert_eq!(meta.seed, 7);
|
||
assert_eq!(meta.taps, vec!["equity".to_string()]);
|
||
assert_eq!(meta.members, None);
|
||
// params stringified via render_value: typed Scalars keep their lexical form.
|
||
assert_eq!(
|
||
meta.params,
|
||
vec![("len".to_string(), "10".to_string()), ("scale".to_string(), "0.5".to_string())]
|
||
);
|
||
}
|
||
|
||
/// #99: a sweep/walk-forward family-member stdout line embeds the `RunReport` in
|
||
/// its own declaration key order (manifest leads with `commit`), byte-matching the
|
||
/// stored `families.jsonl` — never `serde_json::Value`'s alphabetical order (which
|
||
/// would lead the manifest with `broker`).
|
||
#[test]
|
||
fn family_member_line_keeps_report_in_store_key_order() {
|
||
let report = RunReport {
|
||
manifest: sim_optimal_manifest(vec![], (Timestamp(0), Timestamp(0)), 0, 1.0),
|
||
metrics: summarize(&[], &[]),
|
||
};
|
||
let line = family_member_line("demo-1", &report);
|
||
assert!(
|
||
line.starts_with(r#"{"family_id":"demo-1","report":{"manifest":{"commit":"#),
|
||
"got: {line}"
|
||
);
|
||
assert!(
|
||
!line.contains(r#""manifest":{"broker":"#),
|
||
"manifest re-alphabetized (broker-first), should be commit-first: {line}"
|
||
);
|
||
}
|
||
|
||
/// #99: the Monte-Carlo per-draw line carries the `seed` between `family_id` and
|
||
/// `report`, and the embedded report stays in store (commit-first) key order.
|
||
#[test]
|
||
fn mc_member_line_keeps_report_in_store_key_order_with_seed() {
|
||
let report = RunReport {
|
||
manifest: sim_optimal_manifest(vec![], (Timestamp(0), Timestamp(0)), 7, 1.0),
|
||
metrics: summarize(&[], &[]),
|
||
};
|
||
let line = mc_member_line("mc-1", 7, &report);
|
||
assert!(
|
||
line.starts_with(r#"{"family_id":"mc-1","seed":7,"report":{"manifest":{"commit":"#),
|
||
"got: {line}"
|
||
);
|
||
assert!(
|
||
!line.contains(r#""manifest":{"broker":"#),
|
||
"manifest re-alphabetized (broker-first), should be commit-first: {line}"
|
||
);
|
||
}
|
||
|
||
// The vetted GER40 real-data window: the whole of September 2024 (UTC,
|
||
// inclusive), the same calendar month the gated ingest `ger40_breakout_real`
|
||
// test drives. Expressed in Unix-ms (`run_sample_real`'s window currency):
|
||
// `[2024-09-01T00:00:00Z, 2024-10-01T00:00:00Z - 1ms]`. Both gated GER40
|
||
// tests bound their runs to this window so the C1-determinism check stays
|
||
// fast — an unbounded `None, None` run drains the full archive every call.
|
||
const GER40_SEP2024_FROM_MS: i64 = 1_725_148_800_000;
|
||
const GER40_SEP2024_TO_MS: i64 = 1_727_740_799_999;
|
||
|
||
#[test]
|
||
fn data_source_synthetic_pip_and_window_match_the_built_ins() {
|
||
let d = DataSource::Synthetic;
|
||
assert_eq!(d.pip_size(), SYNTHETIC_PIP_SIZE);
|
||
assert!(!d.run_sources().is_empty());
|
||
assert_eq!(d.wf_window_sizes(), (24, 12, 12));
|
||
// full_window equals window_of over the showcase stream (byte-unchanged source)
|
||
let s: Vec<Box<dyn aura_engine::Source>> = vec![Box::new(VecSource::new(showcase_prices()))];
|
||
assert_eq!(d.full_window(), window_of(&s).unwrap());
|
||
}
|
||
|
||
#[test]
|
||
fn wf_real_roller_sizes_are_90_30_30_days_in_ns() {
|
||
// Independent expected value: a day reconstructed from its time units
|
||
// (24 h * 60 min * 60 s * 1e9 ns), not the constant's own `86_400_000_000_000`
|
||
// literal — so the test fails if either the literal or the day-count is wrong.
|
||
let day_ns: i64 = 24 * 60 * 60 * 1_000_000_000;
|
||
assert_eq!(WF_REAL_IS_NS, 90 * day_ns);
|
||
assert_eq!(WF_REAL_OOS_NS, 30 * day_ns);
|
||
assert_eq!(WF_REAL_STEP_NS, 30 * day_ns);
|
||
}
|
||
|
||
#[test]
|
||
fn strategy_lengths_are_short_for_synthetic_realistic_for_real() {
|
||
// Synthetic keeps the demo-stream lengths (byte-unchanged: the 18/60-bar
|
||
// built-in streams cannot warm a long MA).
|
||
assert_eq!(DataSource::Synthetic.strategy_lengths(), ([2, 3], [4, 5], (2, 4, 3)));
|
||
// Real uses realistic M1 lengths — no 2-5-bar noise over tens of thousands
|
||
// of bars. Constructing Real needs a server, but strategy_lengths matches on
|
||
// the variant only (no data access).
|
||
let real = DataSource::Real {
|
||
server: std::sync::Arc::new(data_server::DataServer::new(data_server::DEFAULT_DATA_PATH)),
|
||
symbol: "EURUSD".into(),
|
||
from_ms: None,
|
||
to_ms: None,
|
||
pip: 0.0001,
|
||
};
|
||
let (tf, ts, macd) = real.strategy_lengths();
|
||
assert_eq!((tf, ts, macd), ([50, 100], [200, 400], (12, 26, 9)));
|
||
// every trend-fast < every trend-slow (a valid SMA cross, both variants).
|
||
assert!(tf.iter().max().unwrap() < ts.iter().min().unwrap());
|
||
let (stf, sts, _) = DataSource::Synthetic.strategy_lengths();
|
||
assert!(stf.iter().max().unwrap() < sts.iter().min().unwrap());
|
||
}
|
||
|
||
#[test]
|
||
fn walkforward_report_is_deterministic() {
|
||
// The built-in WFO render is byte-identical across two
|
||
// calls (C1).
|
||
assert_eq!(walkforward_report(), walkforward_report());
|
||
}
|
||
|
||
#[test]
|
||
fn walkforward_report_has_one_oos_line_per_window_plus_summary() {
|
||
// N per-window OOS RunReport lines + one summary line.
|
||
let out = walkforward_report();
|
||
let lines: Vec<&str> = out.lines().collect();
|
||
assert_eq!(lines.len(), 4); // built-in roll = 3 windows + 1 summary
|
||
assert!(lines[3].contains(r#""walkforward""#), "summary line: {}", lines[3]);
|
||
for line in &lines[..3] {
|
||
assert!(
|
||
line.contains(r#""manifest""#) && line.contains(r#""metrics""#),
|
||
"expected an OOS RunReport line, got: {line}",
|
||
);
|
||
}
|
||
}
|
||
|
||
/// The drained sink trace of a seeded run — the recorded rows of the equity
|
||
/// and exposure sinks. Compared row-for-row so the C1 seed-determinism
|
||
/// property is tested at the trace level (strictly stronger than the folded
|
||
/// 3-field metrics). `PartialEq` not `Eq`: `Scalar` carries `f64`.
|
||
#[derive(Debug, PartialEq)]
|
||
struct SeededTrace {
|
||
equity: Vec<(Timestamp, Vec<Scalar>)>,
|
||
exposure: Vec<(Timestamp, Vec<Scalar>)>,
|
||
}
|
||
|
||
/// A seeded run of the sample harness: the synthetic stream is generated
|
||
/// from `seed`, that same seed is recorded into the manifest, and the
|
||
/// drained sink trace is returned alongside the report. Every byte of both
|
||
/// is a function of `seed`.
|
||
fn run_sample_seeded(seed: u64) -> (RunReport, SeededTrace) {
|
||
let (mut h, rx_eq, rx_ex) = sample_harness(SYNTHETIC_PIP_SIZE);
|
||
let spec = SyntheticSpec { start: 1.0, len: 64, step: 1 };
|
||
let window = (Timestamp(1), Timestamp((spec.len as i64 - 1) * spec.step + 1));
|
||
h.run(vec![Box::new(spec.source(seed))]);
|
||
let eq_rows: Vec<(Timestamp, Vec<Scalar>)> = rx_eq.try_iter().collect();
|
||
let ex_rows: Vec<(Timestamp, Vec<Scalar>)> = rx_ex.try_iter().collect();
|
||
let metrics = summarize(&f64_field(&eq_rows, 0), &f64_field(&ex_rows, 0));
|
||
let report = RunReport {
|
||
manifest: sim_optimal_manifest(
|
||
vec![
|
||
("sma_fast".to_string(), Scalar::i64(2)),
|
||
("sma_slow".to_string(), Scalar::i64(4)),
|
||
("bias_scale".to_string(), Scalar::f64(0.5)),
|
||
],
|
||
window,
|
||
seed,
|
||
SYNTHETIC_PIP_SIZE,
|
||
),
|
||
metrics,
|
||
};
|
||
(report, SeededTrace { equity: eq_rows, exposure: ex_rows })
|
||
}
|
||
|
||
#[test]
|
||
fn same_seed_bit_identical_trace() {
|
||
// Bit-identical sink trace for a fixed seed (acceptance bullet 1, C1).
|
||
let (_, trace_a) = run_sample_seeded(42);
|
||
let (_, trace_b) = run_sample_seeded(42);
|
||
assert_eq!(trace_a, trace_b);
|
||
}
|
||
|
||
#[test]
|
||
fn different_seed_different_trace() {
|
||
// Different seeds perturb the trace (acceptance bullet 2).
|
||
let (a, _) = run_sample_seeded(1);
|
||
let (b, _) = run_sample_seeded(2);
|
||
assert_ne!(a.metrics, b.metrics);
|
||
}
|
||
|
||
#[test]
|
||
fn seed_recorded_in_manifest() {
|
||
// The seed that drove the run is recorded (acceptance bullet 3).
|
||
let (report, _) = run_sample_seeded(7);
|
||
assert_eq!(report.manifest.seed, 7);
|
||
}
|
||
|
||
#[test]
|
||
fn sample_blueprint_with_sinks_bootstraps_runs_and_drains() {
|
||
// the factory returns the two Recorder receivers (build_sample drops them),
|
||
// so a caller can bootstrap one point, run it, and drain both sinks.
|
||
let (bp, rx_eq, rx_ex) = sample_blueprint_with_sinks(SYNTHETIC_PIP_SIZE);
|
||
let mut h = bp
|
||
.with("signals.trend.fast.length", 2)
|
||
.with("signals.trend.slow.length", 4)
|
||
.with("signals.momentum.fast.length", 2)
|
||
.with("signals.momentum.slow.length", 4)
|
||
.with("signals.momentum.signal.length", 3)
|
||
.with("signals.blend.weights[0]", 1.0)
|
||
.with("signals.blend.weights[1]", 1.0)
|
||
.with("bias.scale", 0.5)
|
||
.bootstrap()
|
||
.expect("sample blueprint compiles under a valid point");
|
||
h.run(vec![Box::new(VecSource::new(showcase_prices()))]);
|
||
assert!(!rx_eq.try_iter().collect::<Vec<_>>().is_empty(), "equity sink drained empty");
|
||
assert!(!rx_ex.try_iter().collect::<Vec<_>>().is_empty(), "exposure sink drained empty");
|
||
}
|
||
|
||
#[test]
|
||
fn sweep_report_renders_four_points_in_odometer_order() {
|
||
let out = sweep_report();
|
||
let lines: Vec<&str> = out.lines().collect();
|
||
assert_eq!(lines.len(), 4, "one JSON line per grid point; got: {out:?}");
|
||
// each line is a full RunReport; the commit is the real git HEAD
|
||
// (volatile), so pin the per-point manifest params (odometer order, last
|
||
// axis fastest) + the metric keys, not the commit value.
|
||
for line in &lines {
|
||
assert!(line.starts_with(r#"{"manifest":{"commit":""#), "not a RunReport: {line}");
|
||
}
|
||
assert!(lines[0].contains(r#""params":[["signals.trend.fast.length",{"I64":2}],["signals.trend.slow.length",{"I64":4}],["signals.momentum.fast.length",{"I64":2}],["signals.momentum.slow.length",{"I64":4}],["signals.momentum.signal.length",{"I64":3}],["signals.blend.weights[0]",{"F64":1.0}],["signals.blend.weights[1]",{"F64":1.0}],["bias.scale",{"F64":0.5}]]"#), "line0: {}", lines[0]);
|
||
assert!(lines[1].contains(r#""params":[["signals.trend.fast.length",{"I64":2}],["signals.trend.slow.length",{"I64":5}],["signals.momentum.fast.length",{"I64":2}],["signals.momentum.slow.length",{"I64":4}],["signals.momentum.signal.length",{"I64":3}],["signals.blend.weights[0]",{"F64":1.0}],["signals.blend.weights[1]",{"F64":1.0}],["bias.scale",{"F64":0.5}]]"#), "line1: {}", lines[1]);
|
||
assert!(lines[2].contains(r#""params":[["signals.trend.fast.length",{"I64":3}],["signals.trend.slow.length",{"I64":4}],["signals.momentum.fast.length",{"I64":2}],["signals.momentum.slow.length",{"I64":4}],["signals.momentum.signal.length",{"I64":3}],["signals.blend.weights[0]",{"F64":1.0}],["signals.blend.weights[1]",{"F64":1.0}],["bias.scale",{"F64":0.5}]]"#), "line2: {}", lines[2]);
|
||
assert!(lines[3].contains(r#""params":[["signals.trend.fast.length",{"I64":3}],["signals.trend.slow.length",{"I64":5}],["signals.momentum.fast.length",{"I64":2}],["signals.momentum.slow.length",{"I64":4}],["signals.momentum.signal.length",{"I64":3}],["signals.blend.weights[0]",{"F64":1.0}],["signals.blend.weights[1]",{"F64":1.0}],["bias.scale",{"F64":0.5}]]"#), "line3: {}", lines[3]);
|
||
for line in &lines {
|
||
assert!(line.contains(r#""total_pips":"#), "missing total_pips: {line}");
|
||
assert!(line.contains(r#""max_drawdown":"#), "missing max_drawdown: {line}");
|
||
assert!(line.contains(r#""bias_sign_flips":"#), "missing flips: {line}");
|
||
assert!(line.ends_with('}'), "line not closed: {line}");
|
||
}
|
||
}
|
||
|
||
#[test]
|
||
fn sweep_report_is_deterministic() {
|
||
// C1 at the CLI edge: the same build yields a bit-identical report.
|
||
assert_eq!(sweep_report(), sweep_report());
|
||
}
|
||
|
||
#[test]
|
||
fn mc_report_is_deterministic_and_one_line_per_seed() {
|
||
// C1 at the CLI edge: the family computation renders bit-identically.
|
||
assert_eq!(mc_report(), mc_report());
|
||
let out = mc_report();
|
||
let lines: Vec<&str> = out.lines().collect();
|
||
// three seeds -> three member lines + one aggregate line
|
||
assert_eq!(lines.len(), 4, "expected 3 members + 1 aggregate: {out}");
|
||
for line in &lines[..3] {
|
||
assert!(line.contains(r#""total_pips":"#), "member line missing metrics: {line}");
|
||
}
|
||
assert!(lines[3].contains(r#""mc_aggregate":"#), "missing aggregate line: {}", lines[3]);
|
||
}
|
||
|
||
#[test]
|
||
fn cli_families_persist_and_round_trip_per_kind() {
|
||
use aura_registry::{
|
||
group_families, mc_member_reports, sweep_member_reports, walkforward_member_reports,
|
||
FamilyKind, Registry,
|
||
};
|
||
let dir = std::env::temp_dir().join(format!("aura-cli-fam-{}", std::process::id()));
|
||
let _ = std::fs::remove_dir_all(&dir);
|
||
std::fs::create_dir_all(&dir).expect("temp dir");
|
||
let reg = Registry::open(dir.join("runs.jsonl"));
|
||
|
||
// the exact persist chain `run_sweep`/`run_mc`/`run_walkforward` use, against
|
||
// a fresh temp store (the run_* fns themselves bind `default_registry()`):
|
||
// engine family -> per-kind extractor -> append_family.
|
||
let sid = reg
|
||
.append_family(
|
||
"sweep",
|
||
FamilyKind::Sweep,
|
||
&sweep_member_reports(&sweep_family(None, &DataSource::Synthetic)),
|
||
)
|
||
.expect("sweep family");
|
||
let mid = reg
|
||
.append_family("mc", FamilyKind::MonteCarlo, &mc_member_reports(&mc_family(None)))
|
||
.expect("mc family");
|
||
let wid = reg
|
||
.append_family(
|
||
"walkforward",
|
||
FamilyKind::WalkForward,
|
||
&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"));
|
||
|
||
let families = group_families(reg.load_family_members().expect("load"));
|
||
assert_eq!(families.len(), 3);
|
||
let by_id = |id: &str| families.iter().find(|f| f.id == id).expect("family present");
|
||
assert_eq!(by_id("sweep-0").kind, FamilyKind::Sweep);
|
||
assert_eq!(by_id("mc-0").kind, FamilyKind::MonteCarlo);
|
||
assert_eq!(by_id("mc-0").members.len(), 3); // 3 seeds
|
||
assert_eq!(by_id("walkforward-0").kind, FamilyKind::WalkForward);
|
||
assert_eq!(by_id("walkforward-0").members.len(), 3); // 3 windows
|
||
let _ = std::fs::remove_dir_all(&dir);
|
||
}
|
||
|
||
#[test]
|
||
fn run_macd_compiles_from_nested_composite_and_is_deterministic() {
|
||
// the MACD strategy authors a nested EMA-of-EMA composite, compiles it to a
|
||
// flat runnable harness (the call not panicking proves the compile+bootstrap
|
||
// path), and runs it. C1 determinism: two runs are bit-identical.
|
||
let r1 = run_macd(None);
|
||
let r2 = run_macd(None);
|
||
assert_eq!(r1.metrics, r2.metrics);
|
||
assert_eq!(r1.to_json(), r2.to_json());
|
||
|
||
// the synthetic stream is carried end-to-end and the trace is well-formed.
|
||
let (from, to) = r1.manifest.window;
|
||
assert_eq!((from.0, to.0), (1, 18));
|
||
assert!(r1.metrics.total_pips.is_finite(), "macd pips must be finite: {:?}", r1.metrics);
|
||
assert!(r1.metrics.max_drawdown >= 0.0, "drawdown is non-negative: {:?}", r1.metrics);
|
||
// after warm-up the EMA-of-EMA histogram crosses zero, so the strategy
|
||
// reverses exposure at least once — a genuinely non-trivial trace.
|
||
assert!(
|
||
r1.metrics.bias_sign_flips >= 1,
|
||
"macd trace should flip exposure: {:?}",
|
||
r1.metrics
|
||
);
|
||
}
|
||
|
||
/// E2E acceptance (#41, the worked example): the real MACD strategy
|
||
/// blueprint's swept param surface qualifies the three otherwise-indistinguishable
|
||
/// EMA `length` slots by node name to `macd.fast.length` / `macd.slow.length` /
|
||
/// `macd.signal.length` — the named composite boundary visible end-to-end through
|
||
/// `param_space()`, with the slot count and order unchanged (C23 — node names are
|
||
/// non-load-bearing: every interior slot stays sweepable, the `bias.scale`
|
||
/// knob is unaffected).
|
||
#[test]
|
||
fn macd_param_space_surfaces_the_three_named_legs() {
|
||
let names: Vec<String> =
|
||
macd_blueprint().param_space().into_iter().map(|p| p.name).collect();
|
||
// three named composite-interior slots, in declared (fast, slow, signal)
|
||
// order, then the strategy-level Bias `scale` (a root-level leaf).
|
||
assert_eq!(
|
||
names,
|
||
vec![
|
||
"macd.fast.length".to_string(),
|
||
"macd.slow.length".to_string(),
|
||
"macd.signal.length".to_string(),
|
||
"bias.scale".to_string(),
|
||
],
|
||
"MACD param surface must expose the three named EMA lengths + scale",
|
||
);
|
||
}
|
||
|
||
/// `aura run --real <SYMBOL>` dogfoods the #71 streaming Source seam: the same
|
||
/// built-in sample signal-quality harness, but fed real M1 **close** bars
|
||
/// streamed lazily through `aura_ingest::M1FieldSource` (a `Box<dyn Source>`),
|
||
/// not synthetic `VecSource` prices. The property: over the verified bounded
|
||
/// Sept-2024 GER40 window, `run_sample_real` yields a `RunReport` whose
|
||
/// `total_pips` is finite and is C1-deterministic — two runs of the same
|
||
/// window are bit-identical JSON. Bounding the window (vs the full unbounded
|
||
/// archive) keeps the determinism check fast.
|
||
///
|
||
/// Gated like the ingest `streaming_seam` test: skip (early return) when the
|
||
/// local Pepperstone archive is absent, so the test never fails on a machine
|
||
/// without the data. Uses `GER40` — a *vetted* symbol (pip 1.0): the
|
||
/// per-instrument-pip refusal makes `run_sample_real` reject an un-specced
|
||
/// symbol before any data access (`std::process::exit(2)`), so this CLI-level
|
||
/// test must drive a symbol in the instrument table. The bounded-window AAPL.US
|
||
/// streaming property still lives in the ingest `streaming_seam` test, which
|
||
/// builds its source literally without the spec lookup.
|
||
#[test]
|
||
fn run_sample_real_streams_real_close_bars_deterministically() {
|
||
// GER40 is in the vetted instrument table (index pip 1.0); the un-specced
|
||
// AAPL.US would now refuse at the spec lookup before any data access.
|
||
const SYMBOL: &str = "GER40";
|
||
|
||
// Mirror skip_if_no_data: never fail where the local archive is absent.
|
||
let server = std::sync::Arc::new(data_server::DataServer::new(
|
||
data_server::DEFAULT_DATA_PATH,
|
||
));
|
||
if !server.has_symbol(SYMBOL) {
|
||
eprintln!(
|
||
"skip: no local data at {} (symbol {SYMBOL} absent)",
|
||
data_server::DEFAULT_DATA_PATH
|
||
);
|
||
return;
|
||
}
|
||
|
||
// The headline: a real-data run over the bounded Sept-2024 window yields
|
||
// a finite, C1-deterministic RunReport.
|
||
let r1 = run_sample_real(SYMBOL, Some(GER40_SEP2024_FROM_MS), Some(GER40_SEP2024_TO_MS), None);
|
||
let r2 = run_sample_real(SYMBOL, Some(GER40_SEP2024_FROM_MS), Some(GER40_SEP2024_TO_MS), None);
|
||
|
||
assert!(
|
||
r1.metrics.total_pips.is_finite(),
|
||
"real-data run must yield finite pips: {:?}",
|
||
r1.metrics
|
||
);
|
||
// C1 at the CLI edge: the same real window streamed twice is bit-identical.
|
||
assert_eq!(
|
||
r1.to_json(),
|
||
r2.to_json(),
|
||
"two real-data runs of the same window must be bit-identical (C1)"
|
||
);
|
||
}
|
||
|
||
#[test]
|
||
fn sim_optimal_manifest_renders_per_instrument_pip() {
|
||
let m = sim_optimal_manifest(vec![], (Timestamp(1), Timestamp(2)), 0, 1.0);
|
||
assert_eq!(m.broker, "sim-optimal(pip_size=1)");
|
||
let m2 = sim_optimal_manifest(vec![], (Timestamp(1), Timestamp(2)), 0, 0.0001);
|
||
assert_eq!(m2.broker, "sim-optimal(pip_size=0.0001)");
|
||
}
|
||
|
||
#[test]
|
||
fn run_real_ger40_uses_index_pip() {
|
||
// Gated: needs local GER40 data. Mirrors the existing real-path test's skip.
|
||
let server = data_server::DataServer::new(data_server::DEFAULT_DATA_PATH);
|
||
if !server.has_symbol("GER40") {
|
||
eprintln!("skip: no local GER40 data at {}", data_server::DEFAULT_DATA_PATH);
|
||
return;
|
||
}
|
||
// Bounded to the vetted Sept-2024 window so the pip-label + determinism
|
||
// checks run fast (not the full unbounded archive).
|
||
let report =
|
||
run_sample_real("GER40", Some(GER40_SEP2024_FROM_MS), Some(GER40_SEP2024_TO_MS), None);
|
||
// The looked-up index pip (1.0) reaches the manifest — not the FX 0.0001.
|
||
assert_eq!(report.manifest.broker, "sim-optimal(pip_size=1)");
|
||
// Deterministic (C1): a second run yields the same report.
|
||
let again =
|
||
run_sample_real("GER40", Some(GER40_SEP2024_FROM_MS), Some(GER40_SEP2024_TO_MS), None);
|
||
assert_eq!(report.manifest.broker, again.manifest.broker);
|
||
assert_eq!(report.metrics.total_pips, again.metrics.total_pips);
|
||
}
|
||
|
||
/// `parse_chart_args` parses `<name>`, `--tap <t>`, and `--panels` in any order
|
||
/// (the loop grammar's reason for being — the name need not lead), and surfaces
|
||
/// each of its three distinct errors: `--tap` missing its value, an unexpected
|
||
/// extra argument, and a missing `<name>`. The any-order contract is the only
|
||
/// reason `main` runs a loop here instead of an exhaustive argv match, so it is
|
||
/// asserted as a property, not just exercised.
|
||
#[test]
|
||
fn parse_chart_args_accepts_any_order_and_rejects_three_ways() {
|
||
// bare name -> default tap (None) + Overlay mode
|
||
let (name, tap, mode) = parse_chart_args(&["fam"]).expect("bare name parses");
|
||
assert_eq!(name, "fam");
|
||
assert_eq!(tap, None);
|
||
assert!(matches!(mode, ChartMode::Overlay));
|
||
|
||
// name + --tap + --panels in canonical order
|
||
let (name, tap, mode) =
|
||
parse_chart_args(&["fam", "--tap", "equity", "--panels"]).expect("full parses");
|
||
assert_eq!(name, "fam");
|
||
assert_eq!(tap.as_deref(), Some("equity"));
|
||
assert!(matches!(mode, ChartMode::Panels));
|
||
|
||
// any order: flags before the name, and --panels between name and --tap
|
||
let (name, tap, mode) =
|
||
parse_chart_args(&["--tap", "equity", "fam"]).expect("flag-first parses");
|
||
assert_eq!(name, "fam");
|
||
assert_eq!(tap.as_deref(), Some("equity"));
|
||
assert!(matches!(mode, ChartMode::Overlay));
|
||
|
||
let (name, tap, mode) =
|
||
parse_chart_args(&["--panels", "fam", "--tap", "exposure"]).expect("interleaved parses");
|
||
assert_eq!(name, "fam");
|
||
assert_eq!(tap.as_deref(), Some("exposure"));
|
||
assert!(matches!(mode, ChartMode::Panels));
|
||
|
||
// three distinct error branches, by message (the Ok tuple holds a
|
||
// non-Debug ChartMode, so match the Err arm instead of unwrapping).
|
||
let err = |args: &[&str]| match parse_chart_args(args) {
|
||
Err(e) => e,
|
||
Ok(_) => panic!("expected an error for {args:?}"),
|
||
};
|
||
assert_eq!(err(&["fam", "--tap"]), "--tap needs a value");
|
||
assert_eq!(err(&["fam", "extra"]), "unexpected chart argument 'extra'");
|
||
assert_eq!(err(&["--panels"]), "chart needs a <name>");
|
||
}
|
||
|
||
#[test]
|
||
fn run_sample_is_deterministic_and_non_trivial() {
|
||
let r1 = run_sample(None);
|
||
let r2 = run_sample(None);
|
||
// C1 determinism: two runs are bit-identical (metrics + rendered JSON).
|
||
assert_eq!(r1.metrics, r2.metrics);
|
||
assert_eq!(r1.to_json(), r2.to_json());
|
||
|
||
let m = &r1.metrics;
|
||
// exactly one bias sign flip in the demo trace (rises then reverses).
|
||
assert_eq!(m.bias_sign_flips, 1);
|
||
// a non-trivial, populated trace: a real drawdown.
|
||
assert!(m.max_drawdown > 0.0);
|
||
// hand-computed magnitudes for the chosen stream (float tolerance; the
|
||
// computation's dust is ~1e-15).
|
||
assert!(
|
||
(m.max_drawdown - 0.17).abs() < 1e-9,
|
||
"max_drawdown = {}",
|
||
m.max_drawdown
|
||
);
|
||
assert!(
|
||
(m.total_pips - (-0.13)).abs() < 1e-9,
|
||
"total_pips = {}",
|
||
m.total_pips
|
||
);
|
||
|
||
// manifest carries the sample's known configuration.
|
||
let (from, to) = r1.manifest.window;
|
||
assert_eq!((from.0, to.0), (1, 7));
|
||
// commit is the build's git identity (or the no-git "unknown" fallback);
|
||
// either way it is non-empty and fixed at compile time, so it is stable
|
||
// across runs of the same build (C1 determinism, already asserted above
|
||
// via `to_json()`).
|
||
assert!(!r1.manifest.commit.is_empty());
|
||
assert_eq!(r1.manifest.commit, r2.manifest.commit);
|
||
}
|
||
|
||
fn pair(name: &str, v: Scalar) -> (String, Scalar) {
|
||
(name.to_string(), v)
|
||
}
|
||
|
||
#[test]
|
||
fn member_key_renders_varying_axes_portably() {
|
||
let named = vec![
|
||
pair("ema.length", Scalar::i64(5)),
|
||
pair("bias.scale", Scalar::f64(0.5)),
|
||
pair("longonly.enabled", Scalar::bool(true)),
|
||
];
|
||
let varying: std::collections::HashSet<String> =
|
||
named.iter().map(|(n, _)| n.clone()).collect();
|
||
let key = member_key(&named, &varying);
|
||
assert_eq!(key, "ema.length-5_bias.scale-0.5_longonly.enabled-true");
|
||
assert!(key.chars().all(|c| c.is_ascii_alphanumeric() || matches!(c, '.' | '_' | '-')));
|
||
}
|
||
|
||
#[test]
|
||
fn member_key_omits_pinned_axes() {
|
||
let named = vec![
|
||
pair("ema.length", Scalar::i64(5)),
|
||
pair("bias.scale", Scalar::f64(0.5)),
|
||
pair("longonly.enabled", Scalar::bool(false)),
|
||
];
|
||
let mut varying = std::collections::HashSet::new();
|
||
varying.insert("longonly.enabled".to_string());
|
||
assert_eq!(member_key(&named, &varying), "longonly.enabled-false");
|
||
}
|
||
|
||
#[test]
|
||
fn member_key_handles_negative_float_and_sanitises_names() {
|
||
let named = vec![pair("bias.scale", Scalar::f64(-0.5))];
|
||
let varying: std::collections::HashSet<String> =
|
||
["bias.scale".to_string()].into_iter().collect();
|
||
assert_eq!(member_key(&named, &varying), "bias.scale--0.5");
|
||
|
||
let named2 = vec![pair("weird key!", Scalar::f64(1.0))];
|
||
let varying2: std::collections::HashSet<String> =
|
||
["weird key!".to_string()].into_iter().collect();
|
||
assert_eq!(member_key(&named2, &varying2), "weird_key_-1");
|
||
}
|
||
|
||
#[test]
|
||
fn member_key_is_m_when_no_axis_varies() {
|
||
let named = vec![pair("bias.scale", Scalar::f64(0.5))];
|
||
let varying = std::collections::HashSet::new();
|
||
assert_eq!(member_key(&named, &varying), "m");
|
||
}
|
||
|
||
#[test]
|
||
fn member_key_caps_length_with_conformant_hash_fallback() {
|
||
let named: Vec<(String, Scalar)> = (0..40)
|
||
.map(|i| pair(&format!("some.long.axis.path.number.{i}"), Scalar::i64(i)))
|
||
.collect();
|
||
let varying: std::collections::HashSet<String> =
|
||
named.iter().map(|(n, _)| n.clone()).collect();
|
||
let key = member_key(&named, &varying);
|
||
assert!(key.len() <= MAX_KEY, "over-cap key not bounded: {} bytes", key.len());
|
||
assert!(key.chars().all(|c| c.is_ascii_alphanumeric() || matches!(c, '.' | '_' | '-')));
|
||
let mut named2 = named.clone();
|
||
named2[0].1 = Scalar::i64(999);
|
||
assert_ne!(key, member_key(&named2, &varying), "distinct over-cap inputs must differ");
|
||
}
|
||
|
||
#[test]
|
||
fn member_key_collision_free_over_a_non_trend_axis_set() {
|
||
// #105 regression: vary bias.scale + a bool (NOT the old hardcoded
|
||
// trend.fast/slow). Distinct points -> distinct keys; the old f…s… key
|
||
// would have collapsed them all to one dir.
|
||
let varying: std::collections::HashSet<String> =
|
||
["bias.scale".to_string(), "longonly.enabled".to_string()].into_iter().collect();
|
||
let p = |s: f64, b: bool| {
|
||
vec![
|
||
pair("ema.length", Scalar::i64(5)), // pinned -> omitted from key
|
||
pair("bias.scale", Scalar::f64(s)),
|
||
pair("longonly.enabled", Scalar::bool(b)),
|
||
]
|
||
};
|
||
let keys: Vec<String> = [(0.5, true), (0.5, false), (1.0, true), (1.0, false)]
|
||
.iter()
|
||
.map(|&(s, b)| member_key(&p(s, b), &varying))
|
||
.collect();
|
||
let unique: std::collections::HashSet<&String> = keys.iter().collect();
|
||
assert_eq!(unique.len(), 4, "distinct points must yield distinct keys: {keys:?}");
|
||
}
|
||
|
||
#[test]
|
||
fn momentum_param_space_is_ema_exposure_longonly() {
|
||
// pins the default node-name path segments (ema / exposure / longonly) and
|
||
// the param order/kinds the member key + sweep depend on.
|
||
let names: Vec<String> =
|
||
momentum_blueprint_with_sinks(SYNTHETIC_PIP_SIZE).0.param_space().into_iter().map(|p| p.name).collect();
|
||
assert_eq!(
|
||
names,
|
||
vec![
|
||
"ema.length".to_string(),
|
||
"bias.scale".to_string(),
|
||
"longonly.enabled".to_string(),
|
||
],
|
||
);
|
||
}
|
||
|
||
#[test]
|
||
fn momentum_sweep_is_deterministic_and_has_eight_points() {
|
||
let a = momentum_sweep_family(None, &DataSource::Synthetic);
|
||
let b = momentum_sweep_family(None, &DataSource::Synthetic);
|
||
assert_eq!(a.points.len(), 8, "2x2x2 grid = 8 points");
|
||
assert_eq!(a, b, "C1: the momentum family is a pure function of the build");
|
||
}
|
||
|
||
#[test]
|
||
fn parse_sweep_args_defaults_selects_and_rejects() {
|
||
let g = Stage1RGrid::default();
|
||
assert_eq!(
|
||
parse_sweep_args(&[]),
|
||
Ok((Strategy::SmaCross, "sweep".to_string(), false, DataChoice::Synthetic, g.clone()))
|
||
);
|
||
assert_eq!(
|
||
parse_sweep_args(&["--trace", "swp"]),
|
||
Ok((Strategy::SmaCross, "swp".to_string(), true, DataChoice::Synthetic, g.clone()))
|
||
);
|
||
assert_eq!(
|
||
parse_sweep_args(&["--name", "s"]),
|
||
Ok((Strategy::SmaCross, "s".to_string(), false, DataChoice::Synthetic, g.clone()))
|
||
);
|
||
assert_eq!(
|
||
parse_sweep_args(&["--strategy", "momentum", "--trace", "mom"]),
|
||
Ok((Strategy::Momentum, "mom".to_string(), true, DataChoice::Synthetic, g.clone()))
|
||
);
|
||
assert!(parse_sweep_args(&["--strategy", "bogus"]).is_err());
|
||
assert!(parse_sweep_args(&["--name", "a", "--trace", "b"]).is_err()); // mutually exclusive
|
||
assert!(parse_sweep_args(&["--trace"]).is_err()); // flag missing its value
|
||
}
|
||
|
||
/// #137: the four optional grid flags parse comma-separated lists onto the
|
||
/// stage1-r grid axes; an absent flag keeps the historical default list, and a
|
||
/// malformed list (empty / non-numeric item) is the strict usage error.
|
||
#[test]
|
||
fn parse_sweep_args_parses_the_four_grid_flags() {
|
||
let parsed = parse_sweep_args(&[
|
||
"--strategy", "stage1-r",
|
||
"--fast", "240",
|
||
"--slow", "960,1200",
|
||
"--stop-length", "240",
|
||
"--stop-k", "2.0,3.5",
|
||
])
|
||
.expect("the four grid flags parse");
|
||
let grid = parsed.4;
|
||
assert_eq!(grid.fast, vec![240]);
|
||
assert_eq!(grid.slow, vec![960, 1200]);
|
||
assert_eq!(grid.stop_length, vec![240]);
|
||
assert_eq!(grid.stop_k, vec![2.0, 3.5]);
|
||
// absent flags fall back to the historical defaults.
|
||
assert_eq!(parse_sweep_args(&[]).unwrap().4, Stage1RGrid::default());
|
||
// a malformed list is the strict usage error (not a downstream panic).
|
||
assert!(parse_sweep_args(&["--fast", "2,x"]).is_err()); // non-numeric item
|
||
assert!(parse_sweep_args(&["--fast", ""]).is_err()); // empty item
|
||
assert!(parse_sweep_args(&["--stop-k", "abc"]).is_err()); // non-float
|
||
}
|
||
|
||
/// Property: the breakout `--channel` flag parses a comma-separated list onto
|
||
/// `Stage1RGrid.channel` (the breakout family's sole signal axis), with the same
|
||
/// strictness as the stage1-r grid flags — an absent flag keeps the historical
|
||
/// default `[1920]`, a malformed list is the usage error (not a downstream panic).
|
||
/// Guards the new flag added alongside the breakout family; without it the
|
||
/// `--channel` arm could silently drift (e.g. last-write-wins, lenient parse).
|
||
#[test]
|
||
fn parse_sweep_args_parses_the_channel_grid_flag() {
|
||
let parsed = parse_sweep_args(&["--strategy", "stage1-breakout", "--channel", "20,55,100"])
|
||
.expect("the breakout channel flag parses");
|
||
assert_eq!(parsed.0, Strategy::Stage1Breakout);
|
||
assert_eq!(parsed.4.channel, vec![20, 55, 100]);
|
||
// absent --channel keeps the historical default list.
|
||
assert_eq!(parse_sweep_args(&[]).unwrap().4.channel, vec![1920]);
|
||
// a malformed list is the strict usage error.
|
||
assert!(parse_sweep_args(&["--channel", "20,x"]).is_err()); // non-numeric item
|
||
assert!(parse_sweep_args(&["--channel", ""]).is_err()); // empty item
|
||
}
|
||
|
||
#[test]
|
||
fn parse_generalize_requires_a_single_value_candidate() {
|
||
// a candidate is one cell: a multi-value grid flag is refused WITH A REASON,
|
||
// not a bare usage dump (fieldtest friction).
|
||
let err = parse_generalize_args(&[
|
||
"--real", "GER40,USDJPY", "--fast", "2,3", "--slow", "12",
|
||
"--stop-length", "14", "--stop-k", "2.0",
|
||
]).unwrap_err();
|
||
assert!(err.contains("single candidate"), "refusal must say why: {err}");
|
||
}
|
||
|
||
#[test]
|
||
fn parse_generalize_requires_all_four_knobs() {
|
||
// --slow absent -> refuse (no defaulting to the multi-value sweep grid)
|
||
assert!(parse_generalize_args(&[
|
||
"--real", "GER40,USDJPY", "--fast", "3",
|
||
"--stop-length", "14", "--stop-k", "2.0",
|
||
]).is_err());
|
||
}
|
||
|
||
#[test]
|
||
fn parse_generalize_refuses_fewer_than_two_instruments() {
|
||
// refused WITH A REASON naming the >=2 requirement (fieldtest friction).
|
||
let err = parse_generalize_args(&[
|
||
"--real", "GER40", "--fast", "3", "--slow", "12",
|
||
"--stop-length", "14", "--stop-k", "2.0",
|
||
]).unwrap_err();
|
||
assert!(err.contains("at least two instruments"), "refusal must say why: {err}");
|
||
}
|
||
|
||
#[test]
|
||
fn parse_generalize_refuses_a_duplicate_instrument() {
|
||
assert!(parse_generalize_args(&[
|
||
"--real", "GER40,GER40", "--fast", "3", "--slow", "12",
|
||
"--stop-length", "14", "--stop-k", "2.0",
|
||
]).is_err());
|
||
}
|
||
|
||
#[test]
|
||
fn parse_generalize_refuses_a_non_stage1r_strategy() {
|
||
assert!(parse_generalize_args(&[
|
||
"--strategy", "sma", "--real", "GER40,USDJPY", "--fast", "3", "--slow", "12",
|
||
"--stop-length", "14", "--stop-k", "2.0",
|
||
]).is_err());
|
||
}
|
||
|
||
#[test]
|
||
fn parse_generalize_defaults_name_and_metric() {
|
||
let (name, symbols, grid, metric, _from, _to) = parse_generalize_args(&[
|
||
"--real", "GER40,USDJPY", "--fast", "3", "--slow", "12",
|
||
"--stop-length", "14", "--stop-k", "2.0",
|
||
]).expect("valid generalize args");
|
||
assert_eq!(name, "generalize");
|
||
assert_eq!(metric, "expectancy_r");
|
||
assert_eq!(symbols, vec!["GER40".to_string(), "USDJPY".to_string()]);
|
||
assert_eq!(grid.fast, vec![3]);
|
||
assert_eq!(grid.slow, vec![12]);
|
||
assert_eq!(grid.stop_length, vec![14]);
|
||
assert_eq!(grid.stop_k, vec![2.0]);
|
||
}
|
||
|
||
/// Property: the meanrev `--window` / `--band-k` flags parse comma-separated
|
||
/// lists onto `Stage1RGrid.{window,band_k}` (the meanrev family's signal axes),
|
||
/// with the same strictness as the other grid flags — absent flags keep the
|
||
/// historical defaults, a malformed list is the usage error.
|
||
#[test]
|
||
fn parse_sweep_args_parses_the_meanrev_grid_flags() {
|
||
let parsed = parse_sweep_args(&[
|
||
"--strategy", "stage1-meanrev", "--window", "120,240,480", "--band-k", "1.5,2.5",
|
||
])
|
||
.expect("the meanrev grid flags parse");
|
||
assert_eq!(parsed.0, Strategy::Stage1MeanRev);
|
||
assert_eq!(parsed.4.window, vec![120, 240, 480]);
|
||
assert_eq!(parsed.4.band_k, vec![1.5, 2.5]);
|
||
// absent flags keep the historical defaults.
|
||
assert_eq!(parse_sweep_args(&[]).unwrap().4.window, vec![1920]);
|
||
assert_eq!(parse_sweep_args(&[]).unwrap().4.band_k, vec![2.0]);
|
||
// a malformed list is the strict usage error.
|
||
assert!(parse_sweep_args(&["--window", "120,x"]).is_err());
|
||
assert!(parse_sweep_args(&["--band-k", ""]).is_err());
|
||
}
|
||
|
||
/// Property: the *shipped* `stage1_meanrev_graph` (the CLI compile unit, not
|
||
/// the hand-rebuilt subgraph in `stage1_meanrev_e2e.rs`) FADES against the
|
||
/// move — its exposure tap reads short (-1) above the band and long (+1)
|
||
/// below, the sign-inverted-vs-breakout polarity that defines mean-reversion.
|
||
/// A latch-polarity copy-paste from `stage1_breakout_graph` (swapping the
|
||
/// `set`/`reset` legs) would leave the fold-vs-raw and window-grid CLI tests
|
||
/// green yet silently invert the signal; only an observable read of this
|
||
/// function's bias catches it. `k = 0` collapses the band to the lagging EWMA
|
||
/// mean, isolating direction + latch from the sigma threshold; window 3
|
||
/// (alpha = 0.5) lags the level clearly. The exposure Recorder (`tx_ex`,
|
||
/// `reduce = false`) carries the bias in col[0].
|
||
#[test]
|
||
fn stage1_meanrev_graph_fades_short_above_the_band_and_long_below() {
|
||
let (tx_eq, _rx_eq) = mpsc::channel();
|
||
let (tx_ex, rx_ex) = mpsc::channel();
|
||
let (tx_r, _rx_r) = mpsc::channel();
|
||
let (tx_req, _rx_req) = mpsc::channel();
|
||
let flat = stage1_meanrev_graph(tx_eq, tx_ex, tx_r, tx_req, Some(3), 0.0, 3, 2.0, false)
|
||
.compile_with_params(&[])
|
||
.expect("stage1-meanrev blueprint compiles");
|
||
let mut h = Harness::bootstrap(flat).expect("stage1-meanrev harness bootstraps");
|
||
// calm (price == lagging mean -> no fade) | sustained UP (price > mean ->
|
||
// fade SHORT) | sustained DOWN (price < mean -> fade LONG).
|
||
let closes = [
|
||
100.0, 100.0, 100.0, 100.0, 100.0, 100.0, 130.0, 130.0, 130.0, 70.0, 70.0, 70.0, 70.0,
|
||
];
|
||
let prices: Vec<(Timestamp, Scalar)> =
|
||
closes.iter().enumerate().map(|(i, &c)| (Timestamp(i as i64), Scalar::f64(c))).collect();
|
||
let src: Vec<Box<dyn aura_engine::Source>> = vec![Box::new(VecSource::new(prices))];
|
||
h.run(src);
|
||
let bias: Vec<f64> =
|
||
rx_ex.try_iter().map(|(_, row): (Timestamp, Vec<Scalar>)| row[0].as_f64()).collect();
|
||
assert!(!bias.is_empty(), "the meanrev exposure tap must emit once warmed up");
|
||
assert_eq!(*bias.first().unwrap(), 0.0, "calm bars (price == mean) must not fade: {bias:?}");
|
||
let first_short = bias.iter().position(|&b| b == -1.0).expect("an up-move must fade SHORT (-1)");
|
||
let first_long = bias.iter().position(|&b| b == 1.0).expect("a down-move must fade LONG (+1)");
|
||
assert!(first_short < first_long, "short (up-fade) must precede long (down-fade): {bias:?}");
|
||
assert_eq!(*bias.last().unwrap(), 1.0, "the down-fade long must hold to the end: {bias:?}");
|
||
}
|
||
|
||
/// `parse_sweep_args` admits a real symbol with an optional `--from`/`--to`
|
||
/// window (yielding `DataChoice::Real`), still honouring `--strategy`/`--trace`;
|
||
/// a `--real` without its symbol, or a window flag without `--real`, is rejected.
|
||
#[test]
|
||
fn parse_sweep_args_accepts_real_symbol_and_window() {
|
||
assert_eq!(
|
||
parse_sweep_args(&["--real", "EURUSD", "--from", "100", "--to", "200", "--trace", "s"]),
|
||
Ok((Strategy::SmaCross, "s".to_string(), true,
|
||
DataChoice::Real { symbol: "EURUSD".to_string(), from_ms: Some(100), to_ms: Some(200) },
|
||
Stage1RGrid::default()))
|
||
);
|
||
assert!(parse_sweep_args(&["--real"]).is_err()); // --real needs a symbol
|
||
assert!(parse_sweep_args(&["--from", "100"]).is_err()); // --from without --real
|
||
}
|
||
|
||
/// `parse_sweep_args` mirrors the shared `RealWindowGrammar` real/window strictness: an
|
||
/// empty `--real` symbol and a repeated `--real`/`--from`/`--to` are usage
|
||
/// errors (not last-write-wins, not a downstream refusal) — so sibling commands
|
||
/// reject the same malformed real-grammar the same way.
|
||
#[test]
|
||
fn parse_sweep_args_rejects_empty_symbol_and_repeated_real_window() {
|
||
assert!(parse_sweep_args(&["--real", ""]).is_err()); // empty symbol
|
||
assert!(parse_sweep_args(&["--real", "EURUSD", "--real", "GBPUSD"]).is_err()); // repeated --real
|
||
assert!(parse_sweep_args(&["--real", "EURUSD", "--from", "1", "--from", "2"]).is_err()); // repeated --from
|
||
assert!(parse_sweep_args(&["--real", "EURUSD", "--to", "1", "--to", "2"]).is_err()); // repeated --to
|
||
}
|
||
|
||
/// `parse_walkforward_args` defaults to synthetic / name "walkforward" / no
|
||
/// persist, admits `--real <SYMBOL>` (window-less here) yielding `DataChoice::Real`,
|
||
/// 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!(
|
||
(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!(
|
||
(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())
|
||
);
|
||
assert!(parse_walkforward_args(&["--name", "a", "--trace", "b"]).is_err());
|
||
assert!(parse_walkforward_args(&["--real"]).is_err());
|
||
}
|
||
|
||
#[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");
|
||
assert_eq!(strategy, Strategy::Stage1R);
|
||
assert_eq!(grid.fast, vec![5, 10]);
|
||
assert_eq!(grid.stop_k, vec![2.0, 3.0]);
|
||
assert!(parse_walkforward_args(&["--strategy", "bogus"]).is_err());
|
||
}
|
||
|
||
/// `parse_walkforward_args` mirrors the shared `RealWindowGrammar` real/window strictness:
|
||
/// an empty `--real` symbol and a repeated `--real`/`--from`/`--to` are usage
|
||
/// errors — the same real-grammar rejection its sibling `parse_sweep_args` gives.
|
||
#[test]
|
||
fn parse_walkforward_args_rejects_empty_symbol_and_repeated_real_window() {
|
||
assert!(parse_walkforward_args(&["--real", ""]).is_err()); // empty symbol
|
||
assert!(parse_walkforward_args(&["--real", "EURUSD", "--real", "GBPUSD"]).is_err());
|
||
assert!(parse_walkforward_args(&["--real", "EURUSD", "--from", "1", "--from", "2"]).is_err());
|
||
assert!(parse_walkforward_args(&["--real", "EURUSD", "--to", "1", "--to", "2"]).is_err());
|
||
}
|
||
|
||
#[test]
|
||
fn run_stage1_r_synthetic_folds_an_r_block() {
|
||
// the stage1-r harness scores the SMA-cross signal in R: one shell-callable run
|
||
// yields a RunReport whose metrics.r is Some with a finite SQN and >= 1 trade.
|
||
let report = run_stage1_r(RunData::Synthetic, None, None);
|
||
let r = report.metrics.r.as_ref().expect("stage1-r run must populate metrics.r");
|
||
assert!(r.n_trades >= 1, "expected >= 1 trade, got {}", r.n_trades);
|
||
assert!(r.sqn.is_finite(), "SQN must be finite, got {}", r.sqn);
|
||
assert!(r.expectancy_r.is_finite(), "E[R] must be finite, got {}", r.expectancy_r);
|
||
// #132: the dual-tap harness runs a RiskExecutor branch alongside the
|
||
// SimBroker, so its manifest carries a dedicated broker label.
|
||
assert!(
|
||
report.manifest.broker.contains("risk-executor"),
|
||
"stage1-r manifest should carry a dedicated broker label, got: {}",
|
||
report.manifest.broker
|
||
);
|
||
}
|
||
|
||
/// Property: a bare `aura run` parses to the default harness/data — `--harness sma`
|
||
/// over the synthetic stream, no trace. The grammar's identity element, so the
|
||
/// historic plain-`run` form keeps its meaning through the new tokenizer.
|
||
#[test]
|
||
fn parse_run_args_defaults_to_sma_synthetic() {
|
||
let a = parse_run_args(&[]).expect("bare run");
|
||
assert!(matches!(a.harness, HarnessKind::Sma));
|
||
assert!(matches!(a.data, RunData::Synthetic));
|
||
assert!(a.trace.is_none());
|
||
}
|
||
|
||
/// Property: `--harness`, `--real <SYM> [--from]` and `--trace` are orthogonal
|
||
/// modifiers — they compose in ANY order into one `RunArgs`, each captured into its
|
||
/// own field, so the tokenizer is order-independent (the historic literal arms were
|
||
/// not).
|
||
#[test]
|
||
fn parse_run_args_composes_harness_real_and_trace_in_any_order() {
|
||
let a = parse_run_args(&["--trace", "q1", "--harness", "stage1-r", "--real", "GER40", "--from", "100"])
|
||
.expect("composed flags");
|
||
assert!(matches!(a.harness, HarnessKind::Stage1R));
|
||
match a.data {
|
||
RunData::Real { symbol, from, to } => {
|
||
assert_eq!(symbol, "GER40");
|
||
assert_eq!(from, Some(100));
|
||
assert_eq!(to, None);
|
||
}
|
||
_ => panic!("expected real data"),
|
||
}
|
||
assert_eq!(a.trace.as_deref(), Some("q1"));
|
||
}
|
||
|
||
/// Property: `--harness macd` selects the MACD harness — the sole selector now that the
|
||
/// `--macd` back-compat flag is removed, so `--macd` is rejected as an unknown token; an
|
||
/// unknown harness name is rejected, and a window flag (`--from`) without `--real` is
|
||
/// rejected — the grammar's refusal edges.
|
||
#[test]
|
||
fn parse_run_args_harness_macd_selects_macd_and_rejects_removed_flag() {
|
||
assert!(matches!(parse_run_args(&["--harness", "macd"]).unwrap().harness, HarnessKind::Macd));
|
||
assert!(parse_run_args(&["--macd"]).is_err()); // the removed flag is now an unknown token
|
||
assert!(parse_run_args(&["--harness", "nope"]).is_err());
|
||
assert!(parse_run_args(&["--from", "1"]).is_err()); // --from without --real
|
||
}
|
||
|
||
/// Property: the run-arg parser preserves every strictness branch the removed
|
||
/// `parse_real_args` unit test pinned — empty symbol, non-i64 window ms, a repeated
|
||
/// flag, and a flag missing its value all reject, so the `run` path stays exit-2 strict.
|
||
#[test]
|
||
fn parse_run_args_rejects_malformed_real_and_repeated_flags() {
|
||
assert!(parse_run_args(&["--real", ""]).is_err()); // empty symbol
|
||
assert!(parse_run_args(&["--real", "GER40", "--from", "x"]).is_err()); // non-i64 from
|
||
assert!(parse_run_args(&["--real", "GER40", "--to", "1.5"]).is_err()); // non-i64 to
|
||
assert!(parse_run_args(&["--harness", "sma", "--harness", "macd"]).is_err()); // repeated --harness
|
||
assert!(parse_run_args(&["--real", "GER40", "--trace", "a", "--trace", "b"]).is_err()); // repeated --trace
|
||
assert!(parse_run_args(&["--harness"]).is_err()); // flag missing its value
|
||
assert!(parse_run_args(&["--real", "GER40", "--from"]).is_err()); // flag missing its value
|
||
assert!(parse_run_args(&["bogus"]).is_err()); // unknown trailing token
|
||
}
|
||
|
||
#[test]
|
||
fn parse_mc_args_bare_and_name_route_to_synthetic() {
|
||
assert_eq!(parse_mc_args(&[]), Ok(McArgs::Synthetic { name: "mc".to_string(), persist: false }));
|
||
assert_eq!(parse_mc_args(&["--name", "m"]), Ok(McArgs::Synthetic { name: "m".to_string(), persist: false }));
|
||
assert_eq!(parse_mc_args(&["--trace", "m"]), Ok(McArgs::Synthetic { name: "m".to_string(), persist: true }));
|
||
}
|
||
|
||
#[test]
|
||
fn parse_mc_args_stage1_r_routes_to_real_r_with_defaults_and_overrides() {
|
||
assert_eq!(
|
||
parse_mc_args(&["--strategy", "stage1-r"]),
|
||
Ok(McArgs::RealR {
|
||
choice: DataChoice::Synthetic, grid: Stage1RGrid::default(),
|
||
block_len: 1, n_resamples: 1000, seed: 1,
|
||
})
|
||
);
|
||
let r = parse_mc_args(&["--strategy", "stage1-r", "--real", "USDJPY",
|
||
"--block-len", "5", "--resamples", "200", "--seed", "9", "--fast", "5,10"]);
|
||
let McArgs::RealR { choice, grid, block_len, n_resamples, seed } = r.expect("valid real-R mc args")
|
||
else { panic!("expected RealR") };
|
||
assert_eq!(choice, DataChoice::Real { symbol: "USDJPY".to_string(), from_ms: None, to_ms: None });
|
||
assert_eq!((block_len, n_resamples, seed), (5, 200, 9));
|
||
assert_eq!(grid.fast, vec![5, 10]);
|
||
}
|
||
|
||
#[test]
|
||
fn parse_mc_args_real_without_stage1_r_is_usage_error() {
|
||
// a bare --real (no R candidate) is still rejected — the synthetic seed-resweep
|
||
// is undefined over real bars; the R path needs --strategy stage1-r.
|
||
assert!(parse_mc_args(&["--real", "EURUSD"]).is_err());
|
||
assert!(parse_mc_args(&["--strategy", "sma"]).is_err());
|
||
assert!(parse_mc_args(&["--strategy", "stage1-r", "--name", "x"]).is_err()); // name invalid on R path
|
||
}
|
||
|
||
#[test]
|
||
fn mc_r_bootstrap_json_carries_every_bootstrap_field_under_the_mc_r_bootstrap_key() {
|
||
// Property: the `mc_r_bootstrap` output line is the full RBootstrap shape —
|
||
// each field is named and value-faithful, so a renamed/dropped field here
|
||
// breaks a test instead of silently shipping. Pins the user-visible wire
|
||
// shape of the mc R-bootstrap render (the parser + engine primitive are
|
||
// covered elsewhere; this is the output-shape layer).
|
||
let boot = r_bootstrap(&[1.0, -0.5, 2.0, -1.0], 64, 2, 7);
|
||
let line = mc_r_bootstrap_json(&boot);
|
||
let v: serde_json::Value = serde_json::from_str(&line).expect("canonical json line");
|
||
let obj = &v["mc_r_bootstrap"];
|
||
assert_eq!(obj["n_trades"], serde_json::json!(boot.n_trades));
|
||
assert_eq!(obj["block_len"], serde_json::json!(boot.block_len));
|
||
assert_eq!(obj["n_resamples"], serde_json::json!(boot.n_resamples));
|
||
assert_eq!(obj["prob_le_zero"], serde_json::json!(boot.prob_le_zero));
|
||
// e_r is the nested MetricStats block (mean + quantiles), not a flat scalar.
|
||
assert_eq!(obj["e_r"], serde_json::to_value(&boot.e_r).expect("MetricStats serializes"));
|
||
assert!(obj["e_r"]["mean"].is_number(), "e_r should nest the MetricStats block: {line}");
|
||
}
|
||
|
||
#[test]
|
||
fn mc_r_bootstrap_report_pools_a_non_empty_oos_r_series_over_synthetic() {
|
||
// Property: the full real-R assembly path — walkforward_family(Stage1R) ->
|
||
// pooled_oos_trade_rs -> r_bootstrap -> mc_r_bootstrap_json — wires up and
|
||
// reduces a NON-EMPTY pooled OOS R series (the synthetic stage1-r walk-forward
|
||
// 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(), Selection::Argmax);
|
||
let pooled = pooled_oos_trade_rs(&result);
|
||
assert!(!pooled.is_empty(), "synthetic stage1-r walk-forward must pool >= 1 OOS trade R");
|
||
|
||
let line = mc_r_bootstrap_report(&DataSource::Synthetic, &Stage1RGrid::default(), 1, 256, 1);
|
||
let v: serde_json::Value = serde_json::from_str(&line).expect("canonical json line");
|
||
let obj = &v["mc_r_bootstrap"];
|
||
// n_trades is the pooled-series length the bootstrap actually saw — non-zero
|
||
// proves the assembled pooling fed the primitive, not an empty fallback.
|
||
assert_eq!(obj["n_trades"], serde_json::json!(pooled.len()));
|
||
assert!(obj["n_trades"].as_u64().expect("n_trades is an integer") >= 1);
|
||
assert_eq!(obj["n_resamples"], serde_json::json!(256));
|
||
assert!(obj["e_r"]["mean"].as_f64().expect("e_r.mean is a number").is_finite());
|
||
|
||
// C1 at the CLI edge: the assembled real-R line is byte-identical on re-run.
|
||
assert_eq!(
|
||
line,
|
||
mc_r_bootstrap_report(&DataSource::Synthetic, &Stage1RGrid::default(), 1, 256, 1),
|
||
);
|
||
}
|
||
}
|