fix(quant): RL bridge onehot/features/clamp + drop dead tickers - #234
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fix(quant): RL bridge onehot/features/clamp + drop dead tickers#234JoTalbot wants to merge 6 commits into
JoTalbot wants to merge 6 commits into
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Deployed CatBoost direction model was degenerate (prob_up=0.433 for 30/35 assets, AUC 0.504, never reaches the 0.65 entry gate). Replace with a model trained on scale-free features with a strict per-symbol walk-forward split: AUC 0.533, hit-rate 81-83% at prob>=0.65 on two independent OOS windows, positive net PnL with Directional v2 paper exit rules. Old model kept as fallback; ml_predictor prefers catboost_price_dir_v2.cbm.
RLSignalBridge vs training env (kg_v8) mismatches: 1. onehot always marked BTC - now per-asset index in ASSET_ORDER (32 assets, alphabetical, as MultiAssetEnv); unknown asset -> None (no signal). 2. static feature 3 was vol_chg, training used vol_ratio - fixed. 3. action was not clamped to [-1,1] like in training rollout - pos could be -0.5 (outside [0,1]) - fixed. Dead tickers MATIC/RNDR (renamed to POL/RENDER) removed from ML signals, RL default universe and notebook generator template. rl_signals.json refreshed (9 assets, honest FLAT verdicts). 61 quant/ml tests pass.
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Восстановленный orphan-PR: работа без PR с 2026-08-14. +6/−64 vs main.
Этот PR создан ИИ-агентом (OpenHands) от имени оператора при наведении порядка в ветках.