f6504ca53b
Master record of the V3 sprint, BLUE margin/edge study, and all parity findings: doctrine, what shipped (V3a-V3.2), bet-sizing model, blue_parity drift, margin study (+$47k clean, capital under-utilized), under-utilization caveat, regime decomposition, selection parity, stablecoin exclusion, EsoF modulation fold + 28% steepener-tail localization (vbt_real = gold backtest oracle, AlphaBetSizer = live), soak validation (4878 decisions, 0 leak, schema-perfect), VIOLET-vs-BLUE comparison (100% asset/timing overlap), open items. Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
172 lines
10 KiB
Markdown
172 lines
10 KiB
Markdown
# VIOLET V3 — Consolidated Findings
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**Period:** 2026-06-13 → 2026-06-15. Branch `exp/pink-ditav2-sprint0-20260530`.
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Master record of the V3 sprint (DecisionEngine SHADOW), the BLUE margin/edge study,
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and all parity findings. Companion to memory `violet_v3_alpha_doctrine`,
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`blue_margin_envelope_study`, `violet_subsecond_rebuild_plan` and the per-topic docs
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referenced inline.
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---
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## 0. Governing doctrine (operator-set)
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- **Model BLUE, not PINK.** Reference = BLUE's live Alpha Engine (holistic SOA).
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Behavioural/distributional fidelity, not PINK pick-parity.
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- **Live BLUE code is the sole doctrine.** `blue_parity.py` is a PINK-era distillation
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whose fidelity must be VALIDATED (it had drift, see §3).
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- **Follow BLUE in all regards — no VIOLET-imposed hygiene.** No filters BLUE lacks;
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replicate BLUE's filters exactly. vel_div spikes are signal, not garbage.
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- **Reactor substrate.** BLUE's scan-quantized behaviour is hosted on the V0 event
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reactor and quantized at Q=scan initially, per-action knobs loosenable later.
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- **3-layer:** L1 pure alpha (decide+size as BLUE) → L2 parity harness (mock exchange)
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→ L3 tradeability (conviction→exchange leverage + maker policy).
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- **Decision layer is slot-independent** — VIOLET decides every scan; the slot only
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gates trades (execution layer). Different layers.
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## 1. What shipped (V3a–V3.2)
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| Commit | Module | Content |
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|---|---|---|
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| V3a | `alpha_wrappers.py` | V-TYPES wrappers over live `AlphaAssetSelector`/`AlphaBetSizer`/`AlphaExitEngineV7`; `max_leverage=9` pinned |
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| V3b | `cadence.py` (+spec) | `CadenceControlPlane` — universal per-action tunable Q, control-plane-surfaced |
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| V3c | `decision_engine.py` | `VioletDecisionEngine` reactor-resident SHADOW (no exec) |
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| V3d | `parity_harness.py` | base-sizer median-curve parity gate vs recorded BLUE |
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| V3e | `shadow_journal.py` + `22_violet_decisions.sql` + launcher | reject-at-source CH journal; DARK soak wiring |
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| V3.1 | (decision_engine) | BLUE stablecoin exclusion (parity fix) |
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| V3.2 | `modulation.py` | EsoF size-modulation fold (BLUE SC haircut, exact) |
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Full violet suite green (129+ tests); ZERO shared-file edits all sprint (mechanical
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check per commit).
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## 2. The bet-sizing model (validated)
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Self-consistent at row level vs recorded `dolphin.trade_events`:
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- `our_leverage = entry_price·quantity / capital_before` = notional/capital.
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- `leverage` = conviction ∈ [0.5, 9] (cubic-convex strength³ curve).
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- **`notional = capital × 0.20 (base_fraction) × leverage`** → our_leverage = 0.20×leverage,
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max ≈ 1.81.
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- **DUAL-LEVERAGE:** conviction leverage sizes the QUANTITY (internal); exchange leverage
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mapped at the venue boundary via `prod/bingx/leverage.py`
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`map_internal_conviction_to_exchange_leverage_target` (round_half_even linear
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0.5–9.0 → 1..cap; PINK/VIOLET use a max-3× cubic translator).
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## 3. blue_parity drift (doctrine validated by evidence)
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`blue_parity.py` passes `AlphaBetSizer(max_leverage=8.0)`; live kernel *default* is 5.0;
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recorded conviction reaches **9.0** (gold spec). So `blue_parity` is NOT at parity —
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VIOLET pins `max_leverage=9.0` explicitly (never inherits a default). Confirmed by V3d:
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base sizer reproduces BLUE's recorded MEDIAN curve at **pearson 0.9998 / max_abs_err
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0.238** with max_leverage 9 / thr −0.02 / extreme −0.05 / convexity 3.
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## 4. BLUE margin-envelope + true-edge study (`blue_margin_envelope_study.md`)
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**Raw `sum(pnl)` = −$45,981 is artifact-dominated:**
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- duplicate-emission: 3453 rows / 2193 trade_ids, 98.3% of multi-row tids have IDENTICAL
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pnl (pure dup; real legs live in `trade_exit_legs`); one tid had 317 dup rows.
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- HIBERNATE_HALT artifacts incl. ZEC −$39,164 (−73.5%, bars_held=0) = 85% of raw loss.
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**Cleaned (dedup + drop HIBERNATE & bars_held=0): +$47,068** (2121 trades, 58.4% win).
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Independent corroboration: corrected-capital trajectory grew **$33,820 → $69,673
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(+$35,852)** in the tracked window. Two methods agree → robust.
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**Margin envelope (856 clean trades):** single-slot (operator-confirmed, no stacking).
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Fit at 1× = 73.6%; **fit at 2× = 100%**; median wallet utilization @2× = **3.4%**
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⟹ capital substantially UNDER-utilized; margin never binding; edge realizable on-exchange.
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Recommend flat **3×** exchange leverage (p95 util 90% at 2×).
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**Make-or-break fear REFUTED:** worry was ~9× notional being infeasible; realized
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notional/capital maxes at **1.81** (because 0.20 base × 9), needing just 2×.
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## 5. The under-utilization caveat (`VIOLET_FINDING__MODULATION_LAYER_VS_UNDERUTILIZATION.md`)
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The margin study used ACTUAL recorded notionals (post-modulation), so it is NOT
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contradicted by the modulation layer. BUT the median ~6.8% wallet utilization is
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**largely the EsoF haircut deliberately de-risking** — NOT free headroom. ⟹ the
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#3 base-fraction study must not read it as reclaimable; the modulation layer is
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**required before V4 execution** (base-only would trade bigger/riskier than BLUE).
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## 6. Regime-conditional edge (`blue_margin_envelope_study.md`)
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Edge is regime-CONCENTRATED, not invariant: **95% of clean edge in choppy-bearish**
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(short core signal is short-positive; long side = separate operational EFSM algo).
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Sub-regimes CONFIRMED inside it (univariate): BTC<MA99 +28.4/trade vs >MA99 +12.6 (2.25×);
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hi-DVOL +27.2 vs lo +17.1; strong-velDiv +30.8 vs weak +13.6 at EQUAL win-rate ⟹
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**conviction-sizing validated**. MARAS labels UNRELIABLE (39% of "bearish"-labeled trades
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had BTC ABOVE MA99) → use `composite_hash`, not the label. Gates tilt only mildly
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(~6pts) from bull. Research TODO: stablecoin IRP signal
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(`VIOLET_RESEARCH_TODO__STABLECOIN_IRP_SIGNAL.md`).
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## 7. Selection parity (VIOLET already matches BLUE)
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- BLUE picks via IRP with the alignment gate MUTED (`min_irp_alignment=0.0` = gold
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"no IRP filter", `nautilus_event_trader.py:134/605`) + sizes with scan TOP-LEVEL
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`vel_div` (:3915). VIOLET defaults `min_alignment=0.0` + `decide(vel_div=payload['vel_div'])`
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= EXACT match.
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- **Stablecoin exclusion (V3.1):** BLUE removes `_STABLECOIN_SYMBOLS` (10 pegged symbols)
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from prices_dict pre-select (:24/3906). VIOLET replicates the exact set; drift-guarded
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against BLUE source. (Picking itself unchanged; this is BLUE's separate exclusion gate.)
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## 8. EsoF modulation fold (§3 of the modulation doc; V3.2)
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`modulation.py` wraps BLUE's `esof_size_mult_from_score` (exact ESOF_* constants:
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NEUTRAL 0.8 / UNFAV 0.3 / STALE_FB 0.4 / EDGE 0.02) and applies the SC haircut
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step-for-step as `_apply_sc_entry_size_multiplier` (:3307): **mult clamp [0,1]
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HAIRCUT-ONLY** (:3316), **near-1 no-op** (:3318), `round(lev×mult,6)` / `round(notional×mult,12)`.
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8 tests. Empirical mult-recovery on 1500 recorded trades: **median 1.000**, EsoF haircut
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bands (0.65/0.8/0.9/0.3) VISIBLE → fold validated. **Not yet wired into the live engine**
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(needs EsoF HZ score plane + restart, held).
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**OPEN — the 28% upward tail** (`recorded_leverage / base > 1.05`): localized to
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mid-range vel_div ONLY (−0.02→−0.05 where base<9: 36–60% boost; ≤−0.06 where base=9:
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0%). NOT EsoF (haircut-only), NOT flat — a **regime-dependent conviction-curve STEEPENER**
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(distribution bimodal at −0.04, median matched). = almost certainly the "gold"/ACB-adjacent
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UPWARD sizing organ. Full per-trade parity = base × EsoF-haircut(done) × steepener(NEXT).
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**Sizing-engine note:** live BLUE sizes via `AlphaBetSizer` (docstring: "Matches
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dolphin_vbt_real.py sizing"). `dolphin_vbt_real` is the **gold-standard BACKTEST engine**
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used as the BENCHMARK for BLUE Alpha-Engine algo compliance — likely NOT the live sizer,
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but it is the authoritative ORACLE for the exact conviction-curve math (and may be
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imported/reused for exact code). For exact-parity work on the steepener, consult
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`vbt_real` as the gold reference; check whether the live path reuses its code.
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## 9. Shadow soak validation (2026-06-14/15)
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Faithful DARK soak (threshold −0.02), 9h+ stable, single session:
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- **4,878 decisions, 0 stablecoin leak, 0 bad rows** (V-TYPES/reject-at-source), **0 orders,
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0 errors**, spool steady 4.5M. 20 distinct real assets.
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- **Faithfulness:** all SHORT+actuated; all vel_div < −0.02; sizer cubic curve reproduced
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live (conviction p50 1.315 = base formula at median vel_div −0.0337); notional_fraction
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max exactly 1.80; schema 100% compliant.
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- **Statistics:** conviction min 0.5/p50 1.32/avg 3.91/max 9 (BLUE-shaped); temporal
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conviction swings 2.6→6.5/hr (tracks vol regime).
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- **Diversity:** 20 assets, top-2 ~31%, well-spread.
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- **Anomalies:** vel_div spikes to −605 (legitimate signal, saturate to 9); "duplication"
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avg 14.5 = sticky-signal re-decisions at ≤1/scan (correct cadence). NO defects.
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**VIOLET vs BLUE comparison:** BLUE doesn't log per-scan entry decisions (only trades +
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v7 exits); signal-level vel_div matches the scan archive exactly. BLUE's 69 trades in
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window across 6 assets — **100% in VIOLET's decision universe, 100% timing co-located**
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(same asset, ±5min). Frequency differs by slot only (execution layer, deferred).
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## 10. Open items / next steps
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1. **Gold/ACB conviction-curve steepener** — wrap the upward sizing organ (the 28% tail).
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Live sizer = `AlphaBetSizer`; consult `dolphin_vbt_real` (the gold-standard backtest
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oracle BLUE is benchmarked against) for the exact curve math / possible code reuse.
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Required for full per-trade leverage parity.
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2. **Wire EsoF score plane** into the live decision engine (HZ `_read_esof_payload` equiv)
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+ restart to fold modulation into the soak.
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3. **Trade/slot-granularity comparison** (episode-collapse) — deferred until VIOLET has
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comparable execution-layer facilities (decision layer already faithful).
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4. **Base-fraction sizing study** (`VIOLET_STUDY_SPEC__BASE_FRACTION_SIZING.md`) — gated on
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regime-robustness; respect the de-risking caveat (§5).
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5. **composite_hash multivariate sub-regime model** (deeper §6).
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6. **V4** = execution on (single asset, conservative caps) — only after the modulation
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layer is complete.
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7. Operator: VST keys for live exec; stays DARK until then.
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## 11. Live state at time of writing
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`dolphin_violet` DARK, SHADOW ON (faithful −0.02), 0 orders, stablecoin fix live, EsoF
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fold built+committed but NOT yet wired. Overnight monitor report at
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`prod/VIOLET_dev/reports/violet_overnight_soak_20260614.log`.
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