Make `aura walkforward --strategy stage1-r [--real <SYM>]` roll IS->OOS
windows, sweep the stage1-r grid in-sample, pick the winner by an R metric
(sqn_normalized), run it out-of-sample, and report per-window + pooled OOS
R-metrics. The bare SMA walkforward path is byte-identical (its dispatch arm
is verbatim today's body; the pooled `oos_r` block is emitted only when a
window carries an `r` block).
Engine:
- RMetrics gains an in-memory `trade_rs: Vec<f64>` (realised R per closed
trade), excluded from serde (`#[serde(skip)]`) and from a hand-written
PartialEq, so the C18 wire shape and every existing equality assertion /
round-trip stay unchanged. summarize_r now retains the per-trade R vector
it used to drop.
- New `r_metrics_from_rs(&[f64])` reduces a flat (pooled across-window) R
series to RMetrics. Its R-distribution arithmetic is copied verbatim from
summarize_r (the byte-pinned floats must not be algebraically refactored);
the two copies are guarded in lockstep by a cross-reducer equality test.
net_expectancy_r = expectancy_r (exact at the Stage-1 cost=0 invariant);
conviction_terciles_r = [0,0,0] (per-trade conviction is not pooled).
CLI:
- walkforward gains --strategy + the four stage1-r grid flags (reusing
parse_csv_list / Stage1RGrid); walkforward_family is strategy-dispatched.
- Windowed stage1-r helpers: stage1_r_sweep_over (reduce-mode folded IS
sweep, O(trades)/member) and run_oos_r (non-reduce OOS run, for the
stitched pip-equity curve), plus stage1_r_space.
Frictionless Stage-1 R (costs are Stage-2). Verified: cargo build clean,
full `cargo test --workspace` green (SMA walkforward, synthetic mc,
stage1_r_single_run_output_golden, and the C18 round-trips all preserved),
clippy -D warnings clean. Monte-Carlo R-bootstrap is iter 2.
refs #139
Brummel
f286bb85f7