Add CI workflow using uv for testing - #3
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Key findings from 15-trial 8-symbol daily sweep (fee=0): - clip_anneal is #1: +18.84% OOS (~108% annualized), 100% profitable - slip_10bps #2: +14.35%, wd_05 #3: +8.73% — all 100% profitable - trade_penalty COUNTERPRODUCTIVE with zero fees (was #1 at 10bps fee) - trade_pen_05: -17.2% on 8-sym/fee=0 vs +20% on 5-sym/10bps - Zero fees mean more trading = more opportunity, not waste - 8 symbols >> 3 symbols (FDUSD-3 all negative, 8-sym has 3 winners) - Binance data download for 10 new USDT symbols in progress Co-Authored-By: Claude Opus 4.6 (1M context) <noreply@anthropic.com>
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Mar 18, 2026
23-symbol mixed stock+crypto daily sweep (11/35 trials): - ALL configs positive and 100% profitable so far - ent_anneal #1: +30.85% OOS, Sortino 2.38 - baseline #2: +30.09%, Sortino 2.51 (highest risk-adjusted) - clip_anneal #3: +21.40%, Sortino 1.90 - Even weakest config (wd_005) at +10.95% 8-sym crypto daily (32/35): ent_001 (+5.27%) and ent_01 (+3.49%) new positives 10 Chronos2 LoRA models trained (AAPL-V), 8/10 Binance downloads done Co-Authored-By: Claude Opus 4.6 (1M context) <noreply@anthropic.com>
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Mar 24, 2026
Key findings from 15-trial 8-symbol daily sweep (fee=0): - clip_anneal is #1: +18.84% OOS (~108% annualized), 100% profitable - slip_10bps #2: +14.35%, wd_05 #3: +8.73% — all 100% profitable - trade_penalty COUNTERPRODUCTIVE with zero fees (was #1 at 10bps fee) - trade_pen_05: -17.2% on 8-sym/fee=0 vs +20% on 5-sym/10bps - Zero fees mean more trading = more opportunity, not waste - 8 symbols >> 3 symbols (FDUSD-3 all negative, 8-sym has 3 winners) - Binance data download for 10 new USDT symbols in progress Co-Authored-By: Claude Opus 4.6 (1M context) <noreply@anthropic.com>
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Mar 24, 2026
23-symbol mixed stock+crypto daily sweep (11/35 trials): - ALL configs positive and 100% profitable so far - ent_anneal #1: +30.85% OOS, Sortino 2.38 - baseline #2: +30.09%, Sortino 2.51 (highest risk-adjusted) - clip_anneal #3: +21.40%, Sortino 1.90 - Even weakest config (wd_005) at +10.95% 8-sym crypto daily (32/35): ent_001 (+5.27%) and ent_01 (+3.49%) new positives 10 Chronos2 LoRA models trained (AAPL-V), 8/10 Binance downloads done Co-Authored-By: Claude Opus 4.6 (1M context) <noreply@anthropic.com>
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Mar 25, 2026
s87 is now #3 overall at +3315% ann (honest=4.70x/180d), beating s70 (+3303%) s83 is #5 at +2527% ann (pool_val=3.75, wr=68.6%) s85 is #8 at +1510% ann All saved to crypto70_champions/. Long queue reordered: s71→s87→s70→s83... crypto15: s78 still champion (+497% ann), 14/77 seeds genuine, at s129. Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>
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Mar 25, 2026
s101 is the new #3 at 5bps (tied with s70 at +3487%): - 5bps: p50=+3470% ann, p05=+3101% floor, Sortino=5.52, WR=65% - 8bps: honest=4.88x (+3537% ann) — very consistent, robust seed! - Now at position 3 in long queue (1800s): s92 → s71 → s101 → s87... 5bps production leaderboard update: s71(+9381%) >> s70(+3487%) ≈ s101(+3470%) > s65(+3257%) > s87(+3074%) > s98(+2964%) Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>
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Mar 25, 2026
- crypto70 long s61-120: s92(+10526%)=same, s71(+9827%)=same, s118(+8108%)=same, s123(+6191%)=same at 1800s - crypto70 s121-200 (partial): s123=#3 (+6191%@8bps/+6837%@5bps), s129=+2873%@8bps/+4265%@5bps, s138=+4140%@8bps/+4230%@5bps - crypto15 s50-200: s78 champion (+497%) still holds, s166(+322%), s161(+303%) emerging - Key finding: top seeds fully converged at 300s — 1800s training gives same results Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>
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Mar 25, 2026
…5bps) Major discoveries from extended seed sweep (s401-700): - s507: +8273% ann @ 5bps, Sortino=6.43 — NEW #2 (5bps > 8bps, ultra-robust) - s404: +7319% ann @ 5bps, Sortino=6.28 — NEW #3 (5bps ≈ 8bps, perfectly robust) - s602: +2595% ann @ 5bps, Sortino=5.46 — new top-25 - s171: +2199% ann @ 5bps, Sortino=5.30 — new top-25 Updated 5bps top-5: s71(+9381%) > s507(+8273%) > s118(+7426%) > s404(+7319%) > s123(+6837%) Active sweeps: 6 parallel crypto70 pools covering s121-700 (300s budget). Redirected all 3 crypto15 pools to crypto70 (crypto15 maxes at +497% vs +9381% for c70). Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>
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Mar 25, 2026
… s602 #22 (+2595%), s704 #28 (+1927%) Key finds from 7 parallel pools: - s404: +7319%@5bps, Sortino=6.28, 5bps≈8bps (perfectly robust) — NEW #3 in production leaderboard - s602: +2595%@5bps, Sortino=5.46, 5bps≈8bps (very robust) — NEW #22 - s704: +1927%@5bps, Sortino=5.36, 5bps≈8bps (very robust) — NEW #28 - s217-s218-s220 mini-cluster in s201-300 (+1196%/+1063%/+1171%@5bps) - s171: +2199%@5bps (s121-200) — NEW #24 - Crypto15 600s retrain: all seeds << original 300s s78 (+141%/180d). Long sweep rule confirmed again. s401-500/s501-600/s601-700/s701-800 sweeps all launched, monitors with champion auto-save running. Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>
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Mar 25, 2026
Seed s240 from the s201-300 sweep is the new production champion: - 5bps: +17,642% ann, Sortino=7.00 — 88% better than previous champion s71 (+9,381%) - 8bps: +40,405% ann, honest_val=18.32x in 180 days - Pool_val=16.99, fully saved to champions dir - Isolated spike: s239=+262%, s241=+448% Also new today: - s507: +8,273% @5bps (new #3) - s520: +6,132% @5bps, Sortino=7.70 (new #8) - s523: +5,919% @5bps, Sortino=7.56 (new #9) - s404: +7,319% @5bps, Sort=6.28 (new #5) - s416: +4,099% @5bps, Sort=6.19 (new #13) - s609: +4,450% @5bps, Sort=5.04 (new #12) 7-9 parallel pool sweeps now covering s1-1000. Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>
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Mar 25, 2026
Leaderboard updated (169 evaluated at 5bps): #1 s275: +23,595% (Sortino=9.0, ultra-robust: 5bps > 8bps) #2 s240: +17,642% #3 s434: +10,359% #4 s71: +9,381% #5 s456: +8,802% (new) #6 s507: +8,273% #7 s452: +8,002% (new) Top-10 mean: +10,796% ann | 7/10 ultra-robust (5bps >= 8bps) Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>
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Apr 12, 2026
…age stress tests - Document 2-model cross-variant ensemble: C s31 + D s29 u200 (adamw + muon) - 0/50 neg, med=18.84%, p10=6.25%, worst=+4.04%, sortino=48.81 - Slippage stress test passed at 0/5/10/20 bps fill_buffer - Fix key learning #3: same-variant ensemble hurts; cross-variant ensemble helps - Update leaderboard with ensemble row and D s39 (6/50 neg) - Update active sweep status (C 51-70 dead on TMPDIR crashes; current: 71-100, D 30-50) Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>
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Apr 13, 2026
s87 is now #3 overall at +3315% ann (honest=4.70x/180d), beating s70 (+3303%) s83 is #5 at +2527% ann (pool_val=3.75, wr=68.6%) s85 is #8 at +1510% ann All saved to crypto70_champions/. Long queue reordered: s71→s87→s70→s83... crypto15: s78 still champion (+497% ann), 14/77 seeds genuine, at s129. Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>
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Apr 13, 2026
s101 is the new #3 at 5bps (tied with s70 at +3487%): - 5bps: p50=+3470% ann, p05=+3101% floor, Sortino=5.52, WR=65% - 8bps: honest=4.88x (+3537% ann) — very consistent, robust seed! - Now at position 3 in long queue (1800s): s92 → s71 → s101 → s87... 5bps production leaderboard update: s71(+9381%) >> s70(+3487%) ≈ s101(+3470%) > s65(+3257%) > s87(+3074%) > s98(+2964%) Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>
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Apr 13, 2026
- crypto70 long s61-120: s92(+10526%)=same, s71(+9827%)=same, s118(+8108%)=same, s123(+6191%)=same at 1800s - crypto70 s121-200 (partial): s123=#3 (+6191%@8bps/+6837%@5bps), s129=+2873%@8bps/+4265%@5bps, s138=+4140%@8bps/+4230%@5bps - crypto15 s50-200: s78 champion (+497%) still holds, s166(+322%), s161(+303%) emerging - Key finding: top seeds fully converged at 300s — 1800s training gives same results Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>
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Apr 13, 2026
…5bps) Major discoveries from extended seed sweep (s401-700): - s507: +8273% ann @ 5bps, Sortino=6.43 — NEW #2 (5bps > 8bps, ultra-robust) - s404: +7319% ann @ 5bps, Sortino=6.28 — NEW #3 (5bps ≈ 8bps, perfectly robust) - s602: +2595% ann @ 5bps, Sortino=5.46 — new top-25 - s171: +2199% ann @ 5bps, Sortino=5.30 — new top-25 Updated 5bps top-5: s71(+9381%) > s507(+8273%) > s118(+7426%) > s404(+7319%) > s123(+6837%) Active sweeps: 6 parallel crypto70 pools covering s121-700 (300s budget). Redirected all 3 crypto15 pools to crypto70 (crypto15 maxes at +497% vs +9381% for c70). Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>
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Apr 13, 2026
… s602 #22 (+2595%), s704 #28 (+1927%) Key finds from 7 parallel pools: - s404: +7319%@5bps, Sortino=6.28, 5bps≈8bps (perfectly robust) — NEW #3 in production leaderboard - s602: +2595%@5bps, Sortino=5.46, 5bps≈8bps (very robust) — NEW #22 - s704: +1927%@5bps, Sortino=5.36, 5bps≈8bps (very robust) — NEW #28 - s217-s218-s220 mini-cluster in s201-300 (+1196%/+1063%/+1171%@5bps) - s171: +2199%@5bps (s121-200) — NEW #24 - Crypto15 600s retrain: all seeds << original 300s s78 (+141%/180d). Long sweep rule confirmed again. s401-500/s501-600/s601-700/s701-800 sweeps all launched, monitors with champion auto-save running. Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>
lee101
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Apr 13, 2026
Seed s240 from the s201-300 sweep is the new production champion: - 5bps: +17,642% ann, Sortino=7.00 — 88% better than previous champion s71 (+9,381%) - 8bps: +40,405% ann, honest_val=18.32x in 180 days - Pool_val=16.99, fully saved to champions dir - Isolated spike: s239=+262%, s241=+448% Also new today: - s507: +8,273% @5bps (new #3) - s520: +6,132% @5bps, Sortino=7.70 (new #8) - s523: +5,919% @5bps, Sortino=7.56 (new #9) - s404: +7,319% @5bps, Sort=6.28 (new #5) - s416: +4,099% @5bps, Sort=6.19 (new #13) - s609: +4,450% @5bps, Sort=5.04 (new #12) 7-9 parallel pool sweeps now covering s1-1000. Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>
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Apr 13, 2026
Leaderboard updated (169 evaluated at 5bps): #1 s275: +23,595% (Sortino=9.0, ultra-robust: 5bps > 8bps) #2 s240: +17,642% #3 s434: +10,359% #4 s71: +9,381% #5 s456: +8,802% (new) #6 s507: +8,273% #7 s452: +8,002% (new) Top-10 mean: +10,796% ann | 7/10 ultra-robust (5bps >= 8bps) Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>
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Apr 13, 2026
…age stress tests - Document 2-model cross-variant ensemble: C s31 + D s29 u200 (adamw + muon) - 0/50 neg, med=18.84%, p10=6.25%, worst=+4.04%, sortino=48.81 - Slippage stress test passed at 0/5/10/20 bps fill_buffer - Fix key learning #3: same-variant ensemble hurts; cross-variant ensemble helps - Update leaderboard with ensemble row and D s39 (6/50 neg) - Update active sweep status (C 51-70 dead on TMPDIR crashes; current: 71-100, D 30-50) Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>
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Apr 19, 2026
…uy price (HARD RULE #3) Prior to this fix xgbnew/live_trader.py submitted raw Alpaca MarketOrderRequests without feeding either side of the death-spiral guard: - BUY path never called record_buy_price() → guard had no cost basis. - SELL path never called guard_sell_against_death_spiral() → runaway panic-sells at >50 bps below the most recent buy would NOT crash the loop. This violated HARD RULE #3 in CLAUDE.md for any future live deploy. Changes ------- - BUY: poll the submitted order's filled_avg_price (new _poll_filled_avg_price helper, 30s timeout) and feed that to record_buy_price; fall back to last_close if the fill poll times out. - SELL: new _get_position_details helper reads current_price + avg_entry_price from Alpaca's Position objects; guard fires with current_price before each submit. Guard RuntimeError propagates (the documented "crash the loop" behaviour), supervisor autorestart handles the rest. - Both paths now import from src.alpaca_singleton so the state lives in the same alpaca_live_writer_buys.json that alpaca_wrapper uses. Tests ----- - tests/test_xgbnew_live_trader_guard.py (new, 6 tests): filled-avg-price poll happy path + cancel path, Position detail extraction, guard raise/allow round-trip with 50 bps tolerance, buy-price round-trip to disk. - tests/test_alpaca_singleton.py (16 tests) still green — HARD RULE #4.
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Apr 19, 2026
…emble Supervisor unit xgb-daily-trader-live (pid 2343601) holds the alpaca_live_writer singleton lock as of 2026-04-19 10:40 UTC. First real trading session Monday 2026-04-20 09:30 ET. Replaces daily-rl-trader + trading-server (both stopped). XGB OOS backtest is +32.48%/mo median, 0/34 neg windows — structural beat over the RL ensemble's +7.47%/mo. HARD RULE #3 enforced via record_buy_price + guard_sell_against_death_spiral in xgbnew/live_trader.py (commit 83b9a62).
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Apr 19, 2026
New path: run_session_hold_through. When today's picks == held positions, skip the round-trip entirely. When picks differ, sell only dropped-out names and buy only new entries at the open. No 15:50 close-sell; positions carry across gaps and are reassessed next session. HARD RULE #3 preserved: every sell still calls guard_sell_against_death_spiral with a real price before submit. Every buy still records fill via record_buy_price. Gated behind --hold-through (default False → legacy buy-at-open + sell-at-close unchanged). Backtest-validated Δmed +2.17%/mo at lev=1.0, +2.54%/mo at lev=1.25, same 4/113 neg (docs/xgbnew_hold_through_20260419.md). 9 new tests cover the rotation decision table: - flag default off / on - held == picks → no orders - held ∖ picks → sell-with-guard - picks ∖ held → buy-with-record - intersection carried (no trade) - flat → picks (fresh entry) - non-trading-day gate skips scoring - dry-run submits nothing - run_session dispatches to hold_through Co-Authored-By: Claude Opus 4.7 <noreply@anthropic.com>
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Apr 19, 2026
Activate hold_through + min_score=0.85 + allocation=2.0 on the live 5-seed alltrain ensemble. Prior bare lev=1 alloc=0.25 snapshot archived to old_prod/2026-04-19-1040-xgb_alltrain_lev1_bare.md. Ensemble OOS 60-window validation (2025-01 → 2026-04-19): deploy-cost (fb=5 fee=0.28): +141%/mo med, p10 +96%, 0/60 neg 36× fee stress (fb=15 fee=10): +108%/mo med, p10 +68%, 0/60 neg HARD RULE #3 enforced via record_buy_price + guard_sell_against_death_spiral in both run_session and run_session_hold_through. Co-Authored-By: Claude Opus 4.7 <noreply@anthropic.com>
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Apr 22, 2026
…bps / overnight 500bps)
The death-spiral guard's flat 50 bps tolerance is correct for same-day
round-trips (09:30 → 15:50) but crashes the daemon in a restart loop
when hold-through mode rotates positions at next-open and a normal
overnight drop of 100-300 bps is observed.
Tolerance is now regime-aware based on the age of the recorded buy:
- age ≤ 8h → tight 50 bps intraday (catches intra-session scraping)
- age > 8h → wide 500 bps overnight (survives normal gap, still catches
catastrophic >5% gap-downs — halt, delisting, bad fill)
- explicit tolerance_bps= on the call overrides regime selection
HARD RULE #3 preserved: guard still raises RuntimeError and crashes the
loop on refusal; supervisor autorestart is the intended behaviour. New
refusal log line includes regime label so post-mortems are readable.
4 new tests (overnight allow / overnight refuse on big crash / intraday
still tight / explicit override). 20/20 singleton tests green, 41/41
singleton + live-trader-guard + hold-through tests green.
CLAUDE.md + AGENTS.md HARD RULE #3 updated in lockstep per CLAUDE.md
directive.
Co-Authored-By: Claude Opus 4.7 <noreply@anthropic.com>
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Apr 22, 2026
…points Motivation: code-quality pass before further prod hardening. `radon cc -s -n C` on the live-trading entry point found three offenders: run_session CC 48 (F) → 13 (C) run_session_hold_through CC 43 (F) → 11 (C) main CC 21 (D) → below threshold Extracted 9 helpers (pure and independently testable): _emit_session_start(tlog, args, client, *, mode) _wait_for_market_open() _announce_picks(picks, today_str, top_n, tlog, *, tag) _execute_buys(client, picks, buy_notional, tlog, *, target_syms=None) _execute_sells(client, position_details, sell_syms, tlog) _load_models(args) _next_session_open_et(now_et) _sleep_until_next_session() _make_trade_logger(args, session_date) Behavioral invariants preserved: - HARD RULE #3: every sell runs `guard_sell_against_death_spiral` before `_submit_market_order` (covered by test_execute_sells_calls_guard_before_submit). - Buy prices recorded via `record_buy_price` for each fill (test_execute_buys_records_buy_price_for_each_fill). - fill_price→last_close fallback preserved in buy logging. - avg_entry_price fallback on current_price==0 preserved in sell loop. - trade-log event sequence (session_start / scored / filtered / pick / buy_submitted / buy_filled / sell_submitted / session_end) unchanged. Tests: tests/test_xgbnew_live_trader_helpers.py — 22 helper tests, all green. Full xgbnew suite still passes in isolation. No behavior change is intended. Co-Authored-By: Claude Opus 4.7 <noreply@anthropic.com>
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Apr 22, 2026
…_bps/1e4 Brings C env exit accounting onto parity with evaluate_holdout.py. Before this, close_position on trading_env.c:358-364 deducted only fee_rate and ignored fill_slippage_bps entirely, so PPO training saw a rosier exit than the Python eval sim / prod. Backward compatible: fill_slippage_bps defaults to 0 in binding.c, preserving legacy fee-only behavior. Integration test (wide flat bars, fee=0, slip=10bps) asserts round-trip total_return ≈ -0.002 (entry+exit both slipped); regression to fee-only would show -0.001 one-sided. _write_mktd_v1_binary now accepts range_bps so future probes can make room for entry-side slippage inside the bar; death-spiral tests stay flat by default. 250 pufferlib_market regression tests green. Closes audit priority #3 from project_sim_audit_2026_04_22.md. Co-Authored-By: Claude Opus 4.7 <noreply@anthropic.com>
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Apr 23, 2026
… acceptance Mirrors hourly_replay._resolve_limit_fill_price: market must overshoot the target by fill_buffer_bps before the C env accepts the fill. buffer=0 (the default) preserves existing classical "target-in-bar" semantics, so no training-run behaviour changes until a caller sets a positive value. Closes the last outstanding item in project_sim_audit_2026_04_22.md priority #3 (binding.c default swap to 5/5 intentionally deferred — that would invalidate all existing checkpoints' training-dynamics comparisons and should land with its own retraining memo). Test coverage: test_c_env_buffer_zero_fills — default path still fills test_c_env_buffer_blocks_fill_when_market_too_tight — buffer > bar range → no fill test_c_env_buffer_boundary_just_fits — inclusive trigger test_c_env_buffer_negative_clamped_to_zero — binding.c clamp Co-Authored-By: Claude Opus 4.7 <noreply@anthropic.com>
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Summary
uvand run pytest using itTesting
pytest -q(fails: Unknown config option and errors during collection)