Brummel
4764656062
The third C12 orchestration axis: walk-forward varies the data window. A
WindowRoller is a pure iterator of WindowBounds { is, oos } — bounds only, never
tick data (#71 firewall). walk_forward runs a caller closure per split disjointly
over the shared run_indexed core (C1), and stitches the OOS pip-equity segments
into one continuous curve (each segment offset by the running sum of prior
segments' finals; an empty segment contributes 0.0, mirroring summarize). C2
no-look-ahead is structural: the roller only ever emits oos.0 == is.1 + 1, pinned
by a zero-tick bounds test. The in-sample optimize (axis 2) is closure-supplied,
not called by the engine: aura-engine has no aura-registry dependency (C9), and
C12 forbids baking search policy into the primitive — the CLI bridges both crates.
Param-stability is on-demand, not stored (the R2 decision, recorded with
provenance on #69): WalkForwardResult stores only the raw per-window outcomes +
the stitched curve, and param_stability(&result) -> Vec<MetricStats> is a public
reduction over the retained per-window chosen params. A stored summary would be
recomputable from the windows (redundant) and would force one statistic canonical
when "stability" admits several; this mirrors SweepFamily (raw points + on-demand
optimize), not McFamily (stored aggregate). MetricStats::from_values is extracted
from McAggregate::from_draws (behaviour-preserving — the 7 mc tests stay green)
and gains serde so the CLI summary renders it and #70 lineage can persist it.
`aura walkforward` runs a built-in rolling walk-forward over a synthetic windowed
source: per window it sweeps the built-in grid in-sample, optimizes by total_pips,
runs the chosen params out-of-sample, persists each OOS RunReport (C18), and prints
a stitched summary line.
Two plan deviations, both compiler-forced and consistent with siblings: added
#[derive(Debug)] to WindowRoller (the RED tests' unwrap_err needs Ok: Debug; the
sibling types already derive Debug); removed a now-redundant test-module
SyntheticSpec import after Step 2 hoisted it to the top-level use.
Verification: cargo test --workspace green (aura-engine 152 incl. walkforward 9 +
mc 9, aura-cli 14); clippy --workspace --all-targets -D warnings exit 0; cargo doc
--workspace --no-deps clean.
refs #69
24 lines
831 B
TOML
24 lines
831 B
TOML
[package]
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name = "aura-cli"
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edition.workspace = true
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version.workspace = true
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license.workspace = true
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publish.workspace = true
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[[bin]]
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name = "aura"
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path = "src/main.rs"
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[dependencies]
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aura-core = { path = "../aura-core" }
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aura-engine = { path = "../aura-engine" }
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aura-registry = { path = "../aura-registry" }
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aura-std = { path = "../aura-std" }
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aura-ingest = { path = "../aura-ingest" }
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# data-server: the local M1 archive `aura run --real` streams from. Mirrors the
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# git line in crates/aura-ingest/Cargo.toml verbatim (same source of truth).
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data-server = { git = "http://192.168.178.103:3000/Brummel/data-server.git", branch = "main" }
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# serde_json renders the walk-forward summary line (MetricStats + stitched total);
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# admitted under the per-case dependency policy, same as aura-engine.
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serde_json = { workspace = true }
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