Brummel
90c1de841d
Public-API research deep-dive driving the just-shipped GER40 real-data
session-breakout demo (5b5f034) through the escalating sequence a serious
researcher attempts next: scale to multi-year, walk-forward, structural-param
sweep, multi-instrument compare. Standalone consumer crate (path-deps only;
public interface = ledger + glossary + example corpus + cargo doc; no
crates/*/src read). All runs against the real /mnt/tickdata/Pepperstone archive.
Findings: 3 bugs, 1 friction, 3 spec_gap, 1 working. Triaged to the tracker:
- spec_gap: the flagship breakout ships as a raw FlatGraph the World API cannot
consume (sweep / walk_forward / compare all forced a hand re-author to a
Composite, which reproduced the FlatGraph numbers EXACTLY) — refs #94.
- bug: process residency is O(window) (6->173 MiB across 1mo->10y) despite the
documented O(one-chunk) claim; the aura ring stays <=1024 but data-server
retention scales, and streaming_seam.rs only measures the ring — refs #95.
- bug: the bar-period is one knob split across Resample (tunable param) and
Session (baked) and desyncs silently to 0.0 pips; Delay.lag leaks into the
default param_space (the C34 deform-vs-tune discriminator) — refs #96.
- spec_gap: the walk_forward empty-space idiom for param-free strategies is
undefined — refs #97.
- spec_gap (no per-instrument pip registry) and friction (one-directional
ns->ms conversion) re-confirm the known #22 and #80.
- working: C1 determinism over 7y / 148k bars, the lazy streaming source, and
the sweep/WFO cores held under real multi-year load; the Composite re-author
was behaviour-preserving (C23).
Scratch consumer crate + run transcripts committed under fieldtests/ per the
fieldtest convention (matching cycle-0049). The crate path-deps the engine and
reads the real archive; its bins are the repros cited in the issues above.
33 lines
3.0 KiB
Plaintext
33 lines
3.0 KiB
Plaintext
=== Task 2: walk-forward the shipped GER40 breakout (2018..2024) ===
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walk-forward produced 24 windows
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window 0: is=[1514764800000..1545868799999] oos=[1545868800000..1553644799999] oos_pips= 182.4 oos_dd= 56.0
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window 1: is=[1522540800000..1553644799999] oos=[1553644800000..1561420799999] oos_pips= 66.1 oos_dd= 36.8
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window 2: is=[1530316800000..1561420799999] oos=[1561420800000..1569196799999] oos_pips= 94.2 oos_dd= 31.2
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window 3: is=[1538092800000..1569196799999] oos=[1569196800000..1576972799999] oos_pips= 33.4 oos_dd= 72.2
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window 4: is=[1545868800000..1576972799999] oos=[1576972800000..1584748799999] oos_pips= -37.5 oos_dd= 164.7
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window 5: is=[1553644800000..1584748799999] oos=[1584748800000..1592524799999] oos_pips= -35.4 oos_dd= 84.8
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window 6: is=[1561420800000..1592524799999] oos=[1592524800000..1600300799999] oos_pips= -237.1 oos_dd= 424.8
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window 7: is=[1569196800000..1600300799999] oos=[1600300800000..1608076799999] oos_pips= 137.2 oos_dd= 61.0
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window 8: is=[1576972800000..1608076799999] oos=[1608076800000..1615852799999] oos_pips= -203.0 oos_dd= 222.4
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window 9: is=[1584748800000..1615852799999] oos=[1615852800000..1623628799999] oos_pips= -217.8 oos_dd= 228.3
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window 10: is=[1592524800000..1623628799999] oos=[1623628800000..1631404799999] oos_pips= -17.2 oos_dd= 103.0
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window 11: is=[1600300800000..1631404799999] oos=[1631404800000..1639180799999] oos_pips= 30.8 oos_dd= 65.2
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window 12: is=[1608076800000..1639180799999] oos=[1639180800000..1646956799999] oos_pips= 39.5 oos_dd= 93.7
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window 13: is=[1615852800000..1646956799999] oos=[1646956800000..1654732799999] oos_pips= 53.9 oos_dd= 64.9
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window 14: is=[1623628800000..1654732799999] oos=[1654732800000..1662508799999] oos_pips= 156.2 oos_dd= 32.1
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window 15: is=[1631404800000..1662508799999] oos=[1662508800000..1670284799999] oos_pips= 87.1 oos_dd= 155.7
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window 16: is=[1639180800000..1670284799999] oos=[1670284800000..1678060799999] oos_pips= -19.8 oos_dd= 113.1
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window 17: is=[1646956800000..1678060799999] oos=[1678060800000..1685836799999] oos_pips= 127.8 oos_dd= 57.8
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window 18: is=[1654732800000..1685836799999] oos=[1685836800000..1693612799999] oos_pips= 156.8 oos_dd= 71.3
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window 19: is=[1662508800000..1693612799999] oos=[1693612800000..1701388799999] oos_pips= -15.6 oos_dd= 119.1
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window 20: is=[1670284800000..1701388799999] oos=[1701388800000..1709164799999] oos_pips= -64.5 oos_dd= 116.7
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window 21: is=[1678060800000..1709164799999] oos=[1709164800000..1716940799999] oos_pips= 66.2 oos_dd= 34.3
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window 22: is=[1685836800000..1716940799999] oos=[1716940800000..1724716799999] oos_pips= 240.1 oos_dd= 54.5
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window 23: is=[1693612800000..1724716799999] oos=[1724716800000..1732492799999] oos_pips= -5.0 oos_dd= 153.5
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stitched OOS curve: 131508 points, final cumulative = 618.8 pips
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OK: fixed-param OOS walk-forward over the shipped breakout FlatGraph.
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