claude
a9d36ddd70
Give a measurement run a standalone post-run quality score: the Information
Coefficient (IC), corr(signal_t, forward_return_{t+h}), with a permutation
null model. Before this a measurement run persisted only tap names and series
(MeasurementReport) — inspectable but not rankable or deflatable. IC is the
first metric measurement supplies: the tap-to-scalar reduction the C28
process-column / metric-interface seam anticipates ("a named metric vocabulary
supplied by measurement and backtest instead of baked in R-only").
Surface: `aura measure ic <run> --signal <tap> --price <tap> [--horizon]
[--permutations] [--seed]`. It reads the run's two recorded tap traces, builds
the forward-return series offline over the recorded price spine, aligns
signal -> return by exact timestamp, computes the IC, and prints it with a
one-sided permutation-null overfit probability (Laplace-smoothed, mirroring the
R deflation arm's formula in optimize_deflated).
Placement follows the C28 ladder: the generic pieces — pearson_corr and a
Fisher-Yates permute over SplitMix64 — land in aura-analysis (the domain-free
statistics foundation, beside resample_block); the IC semantics (forward-return
horizon, the offline join) and the CLI verb land in aura-cli (the shell). The
run path (run_measurement), MeasurementReport, the trace store, and the registry
metric vocabulary are untouched — existing `aura run` output stays byte-identical
(the C18 golden run_prints_json_and_exits_zero stays green).
Causality (C2): the forward-return read close_{t+h} is over a completed run's
recorded trace, not an in-graph node. A look-ahead signal is structurally
impossible in a causal run, so the engineered-vs-noise acceptance property is
unit-tested over hand-built offline series (perfect signal -> IC ~= 1, p < 0.05;
a varying but exactly-uncorrelated signal -> IC = 0, not significant;
constant/degenerate -> the (0.0, 1.0) floor), while the E2E validates the CLI
wiring, report well-formedness, determinism, and the error paths over a real run.
This lands the second, structurally distinct null-model computation (permutation,
beside the moving-block bootstrap behind R). That makes the deferred registry
deflation-vocabulary abstraction (#147 item 2) demand-driven rather than
speculative — the next cycle.
Verified: cargo test --workspace green (incl. the new aura-analysis unit tests,
the aura-cli ic_* unit tests, and the measure_ic E2E); cargo clippy --workspace
--all-targets -D warnings clean; the C18 byte-identity golden unchanged.
closes #290
refs #147
67 lines
3.1 KiB
TOML
67 lines
3.1 KiB
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-composites: the RiskExecutor / vol_stop composite-builders the
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# r-sma harness wires (kept out of aura-engine so the engine stays domain-free).
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aura-composites = { path = "../aura-composites" }
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aura-registry = { path = "../aura-registry" }
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aura-research = { path = "../aura-research" }
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# aura-campaign: campaign-execution semantics (preflight, cell loop, stage
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# sequencing, realization record); the CLI implements its MemberRunner seam
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# and renders its outcome (#198).
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aura-campaign = { path = "../aura-campaign" }
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aura-std = { path = "../aura-std" }
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aura-strategy = { path = "../aura-strategy" }
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aura-backtest = { path = "../aura-backtest" }
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aura-analysis = { path = "../aura-analysis" }
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aura-vocabulary = { path = "../aura-vocabulary" }
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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 derives Serialize on the chart-trace payload (Series) so render_chart_html
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# can embed it via serde_json::json!; admitted under the per-case dependency policy,
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# same as aura-engine.
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serde = { workspace = true }
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# serde_json renders the walk-forward summary line (MetricStats + stitched total)
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# and the injected chart traces (window.AURA_TRACES);
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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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# libc: restore the default SIGPIPE disposition at startup (see `fn main`) so a
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# closed stdout pipe (`aura sweep | head`, a closed UI pane) terminates the
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# process cleanly instead of panicking the runtime's SIG_IGN default into an
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# EPIPE. The standard vetted crate for signal disposition, already transitive in
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# Cargo.lock; admitted under the per-case dependency policy.
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libc = "0.2"
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# sha2: the run's topology_hash (#158) is the SHA256 of the canonical signal
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# blueprint serialization. A vetted RustCrypto crate (per-case C16 review,
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# SHA256 user-settled); lives in the research-side CLI, off the frozen engine
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# (invariant 8).
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sha2 = "0.10"
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libloading = "0.8"
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toml = "0.8"
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# clap: the vetted standard argument parser. Adopted (C16 per-case review) to
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# replace the hand-rolled argv parser + ten duplicated help surfaces with one
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# declarative source, giving scoped --help, --version, --flag=value, and
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# long-option abbreviation. Research-side CLI only (invariant 8): a dev-loop
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# compile tax, never a frozen-artifact tax.
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clap = { version = "4", features = ["derive"] }
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[dev-dependencies]
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# zip: hand-packs a tiny synthetic M1 archive (tests/common/mod.rs) in the
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# exact on-disk format data-server reads — already transitive via the
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# data-server dependency above; declared directly here so test code may
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# `use zip::...` (#250, no new dependency actually enters the build graph).
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zip = "2"
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