Brummel
dff99c93e4
Milestone-close gate for "Cost-model graph (in R)" (#148). The fieldtester exercised the milestone capability end-to-end from the public CLI only (no implementation source), on the stage1-r harness, against ledger C10 + the glossary. Roll-up: friction_found — 0 capability bugs; the milestone promise is empirically delivered: - bare gross-R run is clean (net == gross, no cost forced); - per-trade cost: gross pinned, net drops strictly/monotonically, net_r_equity tap persists; - the capstone per-held-cycle carry BLEEDS the net-R curve continuously over a hold (the gross-net gap grows 0.367 -> 0.734 -> 1.101 -> 1.468 across one hold, vs the per-trade run's flat 0.367) — the holding-cost shape change, observable end-to-end; - composition is exact-additive (the composed drag equals the sum of the single-cost drags to the last ULP) and `aura chart` renders the real net_r_equity series. Evidence under fieldtests/milestone-cost-model-graph/ (run_scenarios.sh + captured_outputs.txt + traces/ + the charted bleed + FINDINGS.md). Non-blocking findings filed forward (none gates the close): - cost-flag CLI ergonomics — units hint, negative-rate diagnostic, non-R-harness no-op + a C10 spec_gap -> #153; - docs/project-layout.md describes the retired `aura backtest --broker` path and omits the cost flags -> folded into #151. refs #148
54 lines
3.0 KiB
Bash
Executable File
54 lines
3.0 KiB
Bash
Executable File
#!/usr/bin/env bash
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# Milestone fieldtest — "Cost-model graph (in R)" (#148).
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#
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# Downstream-consumer reproduction: a research user with ONLY the public
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# interface (the `aura` CLI, the design ledger C10, the glossary) investigating
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# how much friction costs their edge on the stage1-r harness — and whether a
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# HOLDING cost changes the SHAPE of the net-R equity curve.
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#
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# Run from the repo root after `cargo build -p aura-cli`:
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# bash fieldtests/milestone-cost-model-graph/run_scenarios.sh
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#
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# net_expectancy_r is the headline net-R scalar; expectancy_r is gross R.
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# The full per-cycle net-R curve is the `net_r_equity` tap (persisted with --trace).
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set -u
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AURA=./target/debug/aura
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nr() { grep -oE '"(expectancy_r|net_expectancy_r)":[-0-9.e]+'; }
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echo "### Scenario 1 — bare gross-R, NO cost model (the zero-cost floor)"
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$AURA run --harness stage1-r | nr
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echo
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echo "### Scenario 2 — flat per-trade cost (ConstantCost, deduct AT CLOSE)"
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echo "# gross expectancy_r is fixed; net_expectancy_r drops monotonically with cost:"
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for c in 0.0001 0.001 0.01; do
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echo -n " --cost-per-trade $c -> "; $AURA run --harness stage1-r --cost-per-trade "$c" | nr | tr '\n' ' '; echo
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done
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$AURA run --harness stage1-r --cost-per-trade 0.001 --trace pertrade_cost >/dev/null
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echo
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echo "### Scenario 3 — per-HELD-CYCLE carry (CarryCost, ACCRUE over the hold) — the capstone"
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$AURA run --harness stage1-r --carry-per-cycle 0.001 --trace carry_cost | nr
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# The contrast lives in the net_r_equity gap during a hold (cycles ts4..ts7):
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# per-trade gap = FLAT 0.367 (would-be-close offset, steps only at close)
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# carry gap = GROWING 0.367 -> 0.734 -> 1.101 -> 1.468 (continuous bleed)
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echo
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echo "### Scenario 4 — compose all three costs into ONE net-R curve"
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echo -n " slip-vol-mult 0.5 alone -> "; $AURA run --harness stage1-r --slip-vol-mult 0.5 | nr | tr '\n' ' '; echo
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echo -n " cost-per-trade 0.001 alone -> "; $AURA run --harness stage1-r --cost-per-trade 0.001 | nr | tr '\n' ' '; echo
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echo -n " carry-per-cycle 0.001 alone -> "; $AURA run --harness stage1-r --carry-per-cycle 0.001 | nr | tr '\n' ' '; echo
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echo -n " ALL THREE composed -> "; $AURA run --harness stage1-r --cost-per-trade 0.001 --slip-vol-mult 0.5 --carry-per-cycle 0.001 --trace composed_cost | nr | tr '\n' ' '; echo
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# The composed net-R drag equals the EXACT sum of the three single-cost drags
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# (gross - composed == drag_pertrade + drag_slip + drag_carry), and composed net
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# is strictly below every single cost alone.
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echo
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echo "### Chart the bleed (self-contained HTML, series baked in):"
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echo " $AURA chart carry_cost --tap net_r_equity > chart_carry_net_r_equity.html"
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echo
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echo "### Probes (robustness + foot-guns)"
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echo -n " negative carry rate -> "; $AURA run --harness stage1-r --carry-per-cycle -0.001 >/dev/null 2>&1; echo "exit=$? (guard: refused)"
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echo -n " cost flag on --harness sma (no R block) -> "; $AURA run --harness sma --cost-per-trade 0.001 | grep -oE '"total_pips":[-0-9.e]+'; echo " ^ exit=0, cost flag SILENTLY IGNORED (no net block, no warning)"
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