claude
221c408ac7
Scaffold -> run -> sweep -> walkforward -> mc -> generalize -> reproduce, all over real recorded data (GER40/US500/EURUSD/XAUUSD, 2018-2026 m1). Zero engine friction; reproduce re-derived 6/6 sweep members bit-identically. Engine: aura @ 1ebb94c.
90 lines
3.9 KiB
Markdown
90 lines
3.9 KiB
Markdown
# Arc 0 — baseline through the full research loop
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**Date:** 2026-07-13
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**Engine:** aura @ `1ebb94c` (release build)
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**Project commit at run time:** `bc95526` (the `aura new` scaffold, untouched)
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## Purpose
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Prove that an external, data-only project carries the entire research loop —
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scaffold → run → sweep → walkforward → mc → generalize → reproduce — on real
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recorded data. Arc 0 is explicitly *not* edge-finding: the starter blueprint
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(SMA 2/4 cross → bias) on minute bars is expected to be noise, and it is.
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Every friction found here is an engine finding; Arc 0 found none.
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## Universe and window
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| instrument | pip (sidecar) | coverage used |
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|---|---|---|
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| GER40 | 1 | 2018-01-01 .. 2026-06-30 |
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| US500 | 1 | 2018-01-01 .. 2026-06-30 |
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| EURUSD | 0.0001 | 2018-01-01 .. 2026-06-30 |
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| XAUUSD | 0.1 | 2018-01-01 .. 2026-06-30 |
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Window flags: `--from 1514764800000 --to 1782863999999` (Unix ms). Data root
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is the built-in archive default; `Aura.toml` needs no `data` entry.
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## What ran (all from this project directory)
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```bash
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aura sweep blueprints/signal.json --list-axes
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# aura_quadriga_signal.fast.length:I64 default=2
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# aura_quadriga_signal.slow.length:I64 default=4
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# aura_quadriga_signal.bias.scale:F64 default=0.5
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# baseline run, all four instruments (~3 s each, 8.5 y of m1 bars)
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aura run blueprints/signal.json --real GER40 --from 1514764800000 --to 1782863999999
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# sweep: bound-default overrides, 3x2 grid (1.9 s wall, 6 members)
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aura sweep blueprints/signal.json --real GER40 --from ... --to ... \
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--axis aura_quadriga_signal.fast.length=2,4,8 \
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--axis aura_quadriga_signal.slow.length=16,32 --name arc0-sweep-ger40
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# walkforward: 100 windows x 3 IS trials, deflation per window (5.8 s wall)
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aura walkforward blueprints/signal.json --real GER40 --from ... --to ... \
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--axis aura_quadriga_signal.fast.length=2,4,8 --name arc0-wf-ger40
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# mc R-bootstrap: 1000 resamples over the OOS R-sequence (7.8 s wall)
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aura mc blueprints/signal.json --real GER40 --from ... --to ... \
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--axis aura_quadriga_signal.fast.length=2,4,8 --resamples 1000
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# generalize: one candidate graded across the universe (5.3 s wall)
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aura generalize blueprints/signal.json --real GER40,US500,EURUSD,XAUUSD \
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--axis aura_quadriga_signal.fast.length=8 --from ... --to ... --name arc0-generalize
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# registry + determinism
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aura runs families # lists the recorded content ids
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aura reproduce 6c20bf8d-0-GER40-w0-r0-s0-0 # 6/6 members bit-identical
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```
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## Headline results (noise, as expected)
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- Baseline expectancy_r per instrument: GER40 +0.0016, US500 −0.0164,
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EURUSD −0.0143, XAUUSD −0.0149 (700–840k trades each — the m1 SMA cross
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churns; conviction terciles and sqn_normalized ≈ 0).
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- Walkforward stitched OOS: expectancy_r +0.0016 over 490k trades,
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param_stability shows the IS winner wandering (fast.length mean 4.58,
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p5=2, p95=8) — a textbook no-edge picture.
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- MC R-bootstrap: P(E[R] ≤ 0) = 0.253 — indistinguishable from zero.
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- Generalize (fast.length=8): sign_agreement 3/4, worst_case −0.0024 —
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no candidate survives the floor, correctly.
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## Engine verdicts
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- Manifests are self-describing: swept axes + stop regime in `params`,
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untouched bound values in `defaults`, per-instrument sidecar pip in the
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broker label, engine and project commits stamped.
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- Determinism holds from an external project: `reproduce` re-derived all
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6 sweep members bit-identically.
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- Throughput: every verb over 8.5 years of m1 data finishes in single-digit
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seconds on this box (sweep 527 % CPU, walkforward 1288 % — parallelism
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across disjoint sims).
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- Friction found: none. (One near-miss: the raw `runs/families.jsonl`
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`family` field is a storage key, not the reproduce handle — the public
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path is `aura runs families` → `aura reproduce <family_id>`.)
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## Next
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Arc 1+ is real research over this universe (orthogonal confirm/refute
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components, conditional R-curve shapes) — direction to be set per arc.
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