Brummel
a2959050a4
Adds optimize_deflated beside optimize in aura-registry: the in-sample walk-forward selection now records, on each OOS winner's manifest, how much the winner's metric is inflated by the size of the search it won — a deflated score and (R arm) an overfit probability — without changing which member wins (additive, C23; a regression test pins optimize_deflated's winner == optimize's). - R arm (sqn_normalized/expectancy_r/...): a centred moving-block reality-check. Each member's per-trade R series is mean-subtracted to impose the no-edge null, resampled via the r_bootstrap kernel (extracted to a shared resample_block, byte-identical), and the best-of-K null-max gives overfit_probability = (count(null >= raw)+1)/(n+1) and deflated_score = raw - p95(null). Deterministic given the seed (C1). - total_pips arm: a closed-form expected-max-of-K dispersion floor (inv_norm_cdf + expected_max_of_normals), no probability. The record (FamilySelection on RunManifest) rides the proven serde(default, skip_serializing_if) widening + a compat.rs mirror, so legacy runs.jsonl/families.jsonl lines load unchanged and unstamped sweep/mc/standalone manifests stay byte-identical (C14/C18). The SelectionMode enum reserves a Plateau slot for #145. CLI: walk-forward stamps both arms; runs family <id> rank surfaces a human-readable deflated/overfit line. Quality review (re-dispatched after the implement-loop's quality gate exhausted) caught a real defect: on the R arm with positive resamples but no member carrying trade_rs (a family loaded from disk — trade_rs is serde-skipped), the null was all-NEG_INFINITY, turning deflated_score into +inf. Fixed by collapsing "no usable null" (zero resamples OR no trade_rs) into one degenerate floor (deflated == raw, overfit == 1.0); pinned by optimize_deflated_no_trade_rs_floors_instead_of_infinity. Verified: cargo test --workspace and cargo clippy --workspace --all-targets -D warnings both green. Frictionless Stage-1 R; n_eff advisory and reload-time recompute deferred (spec 0076 Out of scope). closes #144
102 lines
4.5 KiB
Rust
102 lines
4.5 KiB
Rust
//! `aura-engine` — the headless, UI-agnostic reactive SoA engine.
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//!
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//! Delivered across cycles 0003-0004 — the harness and its deterministic run
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//! loop:
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//!
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//! - [`Harness`] — the closed root graph that runs (a flat node array + an index
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//! edge table, topologically ordered) and its deterministic `run` loop: a
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//! k-way merge of timestamped sources (C3/C4) driven through a wired DAG of
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//! nodes, cycle by cycle, with freshness-gated recompute and the two firing
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//! policies (C5/C6) deciding when each node re-evaluates and what it holds.
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//! - [`Edge`] / [`Target`] / [`SourceSpec`] — producer->consumer wiring,
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//! source->consumer wiring, and a declared source (its kind + target slots).
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//! - [`BootstrapError`] — wiring faults caught once, at bootstrap (kind
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//! mismatch, bad index, directed cycle).
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//!
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//! Delivered in cycle 0009 — the run report surface:
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//!
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//! - [`RunMetrics`] / [`RunManifest`] / [`RunReport`] — the `(manifest, metrics)`
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//! pair C18 mandates per run, with [`RunReport::to_json`] for the structured
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//! C14 face;
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//! - [`summarize`] — the post-run pure reduction over a run's recorded
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//! pip-equity + exposure streams into [`RunMetrics`]; [`f64_field`] bridges a
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//! recording sink's `Vec<Scalar>` rows to it.
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//!
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//! Orchestration families of the atomic sim unit
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//! (`(topology + params + data-window + seed)`) ship along three of C12's axes: the
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//! **grid** axis via [`sweep`] over a [`GridSpace`] into a [`SweepFamily`], the
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//! **window** axis via [`walk_forward`] over a [`WindowRoller`] into a
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//! [`WalkForwardResult`] (C12 axis 3: rolling in-sample/out-of-sample splits, the
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//! in-sample optimize closure-supplied), and
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//! the **seed** axis via [`monte_carlo`] over a seed set into an [`McFamily`]
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//! (C12 axis 4: Monte-Carlo *is* a sweep over seeds; both drive one shared
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//! disjoint-parallel executor). The **seed** input itself ships too:
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//! [`SyntheticSpec`] is a seeded `Source` producer (`Fn(u64) -> impl Source`,
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//! C12 seed-as-input) whose stream is fully seed-determined, making
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//! [`RunManifest`]'s seed a live captured input; the atomic unit's `-> metrics`
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//! reduction ships via [`summarize`].
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//!
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//! Still to come (subsequent cycles): the broker-independent position-event
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//! output and downstream broker nodes (C10), the random param-sweep
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//! orchestration axis, and registry lineage across a family.
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//!
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//! Visualization is never here: it is a downstream consumer node on the streams.
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mod blueprint;
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mod builder;
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mod graph_model;
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mod harness;
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mod mc;
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mod report;
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mod sweep;
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mod walkforward;
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pub use blueprint::{
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BindError, Binder, BlueprintNode, CompileError, Composite, OutField, RandomBinder,
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Role, SweepBinder,
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};
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pub use builder::{BuildError, GraphBuilder, InPort, NodeHandle, OutPort, RoleHandle};
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pub use graph_model::model_to_json;
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pub use harness::{
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window_of, BootstrapError, Edge, FlatGraph, Harness, Source, SourceSpec, SplitMix64,
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SyntheticSpec, Target, VecSource,
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};
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pub use report::{
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derive_position_events, expected_max_of_normals, f64_field, inv_norm_cdf, join_on_ts,
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r_metrics_from_rs, summarize, summarize_r, ColumnarTrace, FamilySelection, JoinedRow,
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PositionAction, PositionEvent, RMetrics, RunManifest, RunMetrics, RunReport, SelectionMode,
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};
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pub use sweep::{
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sweep, GridSpace, ParamRange, RandomSpace, Space, SweepError, SweepFamily, SweepPoint,
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};
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pub use mc::{
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monte_carlo, r_bootstrap, resample_block, McAggregate, McDraw, McFamily, MetricStats,
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RBootstrap,
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};
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pub use walkforward::{
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param_stability, walk_forward, RollMode, WalkForwardError, WalkForwardResult,
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WindowBounds, WindowOutcome, WindowRoller, WindowRun,
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};
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// #29: re-export the core scalar vocabulary a Blueprint builder needs
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// (SourceSpec.kind is a ScalarKind; sources/Recorder columns are Scalar /
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// Firing / Timestamp) so a graph builder has one import surface, not two.
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pub use aura_core::{Firing, NodeSchema, ParamSpec, PortSpec, Scalar, ScalarKind, Timestamp};
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#[cfg(test)]
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mod test_fixtures;
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#[cfg(test)]
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mod reexport_tests {
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// #29: the core scalar vocabulary a Blueprint builder needs is reachable
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// from aura-engine alone (crate::X == external aura_engine::X), so a
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// downstream author does not add a second aura-core import for ScalarKind.
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#[test]
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fn core_scalar_vocabulary_is_reexported_from_crate_root() {
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use crate::{Firing, Scalar, ScalarKind, Timestamp};
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let _k: ScalarKind = ScalarKind::F64;
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let _f: Firing = Firing::Any;
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let _s: Scalar = Scalar::f64(0.0);
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let _t: Timestamp = Timestamp(0);
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}
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}
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