01c19662cb
Includes core prod + GREEN/BLUE subsystems: - prod/ (BLUE harness, configs, scripts, docs) - nautilus_dolphin/ (GREEN Nautilus-native impl + dvae/ preserved) - adaptive_exit/ (AEM engine + models/bucket_assignments.pkl) - Observability/ (EsoF advisor, TUI, dashboards) - external_factors/ (EsoF producer) - mc_forewarning_qlabs_fork/ (MC regime/envelope) Excludes runtime caches, logs, backups, and reproducible artifacts per .gitignore.
105 lines
4.8 KiB
Markdown
Executable File
105 lines
4.8 KiB
Markdown
Executable File
# Agent Change Analysis Report
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**Date: 2026-03-21**
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**Author: Claude Code audit of Antigravity AI agent document**
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---
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## Executive Summary
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**FORK TEST RESULT: 0/2 PASS** — Both fork tests produce ~12% ROI vs gold 181.81%.
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The agent's claims are PARTIALLY correct in diagnosis but the remediation INTRODUCES new regressions.
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---
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## Test Results
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| Test | ROI | Trades | DD | Verdict |
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|------|-----|--------|-----|---------|
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| D_LIQ_GOLD perfect-maker (fork) | +12.83% | 1739 | 26.24% | FAIL ✗ |
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| D_LIQ_GOLD stochastic 0.62 (fork) | +5.92% | 1739 | 27.95% | FAIL ✗ |
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| replicate_181 style (no hazard call, float64, static vol_p60) | +111.03% | 1959 | 16.89% | FAIL ✗ |
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| Gold reference | +181.81% | 2155 | 17.65% | — |
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---
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## Root Cause Analysis
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### Cause 1: `set_esoteric_hazard_multiplier(0.0)` in exp_shared.run_backtest
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The agent added `eng.set_esoteric_hazard_multiplier(0.0)` to `exp_shared.run_backtest`. With the new ceiling=10.0:
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- Sets `base_max_leverage = 10.0` on a D_LIQ engine designed for 8.0 soft / 9.0 hard
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- On unboosted days: effective leverage = 9.0x (vs certified 8.0x)
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- 5-day comparison confirms: TEST A at 9.0x amplifies bad-day losses more than good-day gains
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**Effect**: Variance increase that over 56 days results in 12.83% vs 111% (replicate style)
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### Cause 2: Rolling vol_p60 (lower threshold on some days)
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The rolling vol_p60 can be LOWER than static vol_p60 (especially after quiet days like Jan 1 holiday). This allows more bars to trade in low-quality signal environments.
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Day 2 (Jan 1): TEST A vol_ok=1588 bars vs TEST B=791 (2× more eligible, vp60=0.000099 vs 0.000121).
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More trades on bad signal days → net negative over 56 days.
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### Cause 3: Pre-existing regression (111% vs 181.81%)
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Even WITHOUT the agent's specific exp_shared changes, the current code produces 111%/1959 vs gold 181.81%/2155. This regression predates the agent's changes and stems from:
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1. **ACB change**: `fund_dbt_btc` (Deribit funding) now preferred over `funding_btc`. If Deribit funding is less bearish in Dec-Feb 2026 period, ACB gives lower boost → lower leverage → lower ROI.
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2. **Orchestrator refactoring**: 277+ lines added (begin_day/step_bar/end_day), 68 removed. Subtle behavioral changes may have affected trade quality.
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---
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## Verdict on Agent's Claims
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| Claim | Assessment |
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|-------|-----------|
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| A. Ceiling_lev 6→10 | CORRECT in concept: old 6.0 DID suppress D_LIQ below certified 8.0x. But fix leaves `set_esoteric_hazard_multiplier(0.0)` in run_backtest, which now drives to 9.0x (not 8.0x) — over-correction. |
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| B. MC proportional 0.8x | NEUTRAL for no-forewarner runs (forewarner=None → never called). |
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| C. Rolling vol_p60 | NEGATIVE: rolling vol_p60 can be lower than static, enabling trading in worse signal environments. |
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| D. Float32 / lazy OB | NEUTRAL for trade count (float32 at $50k has sufficient precision; OB mock data is date-agnostic). |
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---
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## Confirmed Mechanism (leverage verification)
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Direct Python verification of the hazard call effect:
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```
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BEFORE set_esoteric_hazard_multiplier(0.0) [ceiling=10.0]:
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base_max_leverage = 8.0 (certified D_LIQ soft cap)
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bet_sizer.max_leverage = 8.0
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abs_max_leverage = 9.0 (certified D_LIQ hard cap)
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AFTER set_esoteric_hazard_multiplier(0.0) [ceiling=10.0]:
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base_max_leverage = 10.0 ← overridden!
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bet_sizer.max_leverage = 10.0 ← overridden!
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abs_max_leverage = 9.0 (unchanged — abs is not touched by hazard call)
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```
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Result: effective leverage = min(base=10, abs=9) = **9.0x on ALL days**.
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D_LIQ is certified at 8.0x soft / 9.0x hard. The hard cap should only trigger on proxy_B boost events.
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The hazard call **unconditionally removes the 8.0x soft limit** — every day runs at 9.0x.
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---
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## The Real Problem
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The gold standard (181.81%) was certified using code where **`set_esoteric_hazard_multiplier` was NOT called in the backtest loop**. The replicate_181_gold.py script (which doesn't call it) was the certification vehicle.
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The agent's fix (ceiling 6→10) was meant to address the case WHERE `set_esoteric_hazard_multiplier(0.0)` IS called. With ceiling=6.0: sets base=6.0 < D_LIQ's 8.0 → suppresses leverage. With ceiling=10.0: sets base=10.0 > D_LIQ's abs=9.0 → raises leverage beyond certified. Both are wrong.
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**Correct fix**: Remove `eng.set_esoteric_hazard_multiplier(0.0)` from `exp_shared.run_backtest`, OR don't call it when using D_LIQ (which manages its own leverage via extended_soft_cap/extended_abs_cap).
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---
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## Gold Standard Status
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The gold standard (181.81%/2155/DD=17.65%) **CANNOT be replicated** from current code via ANY tested path:
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- `exp_shared.run_backtest`: 12.83%/1739 (agent's hazard call + rolling vol_p60 + 9x leverage)
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- `replicate_181_gold.py` style: 111.03%/1959 (pre-existing regression from orchestrator/ACB changes)
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The agent correctly identified that the codebase had regressed but their fix is incomplete.
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