Add Plan009 execution compression to demo bundle

README.md

@@ -14,9 +14,9 @@ HF Spaces 向けの推論専用バックエンド。
 
 UniDream 本体は学習・検証・bundle export のみ。通常運用時、このrepoは UniDream 本体APIへ接続しない。
 
-現在の `bundles/current` は Plan009 depth calibrator bundle。推論は raw returns から Plan005 past-only guard を作り、Plan009 の validation-calibrated depth をかけて position を出す。runtime signal は shifted trailing-return feature だけを使う。
+現在の `bundles/current` は Plan009 depth calibrator bundle。推論は raw returns から Plan005 past-only guard を作り、Plan009 の validation-calibrated depth と軽い execution compression をかけて position を出す。runtime signal は shifted trailing-return feature だけを使う。
 
-同梱評価は `plan009_eval_folds0_12.json` / `plan009_summary.json`。fold0-12 の開発評価では `AlphaEx >= +3pt && MaxDDDelta <= -3pt` を `13/13` pass、`Alpha median +14.116pt`、`Alpha worst +4.397pt`、`MaxDD worst -3.026pt`。ただし turnover / cost stress は未解決で、`cost_x2` は `8/13`、`cost_x3` は `4/13` pass。fold0-12 は開発セットであり、pristine holdout ではない。
+同梱評価は `plan009_eval_compressed_folds0_12.json` / `plan009_summary.json`。fold0-12 の開発評価では `AlphaEx >= +3pt && MaxDDDelta <= -3pt` を `13/13` pass、`Alpha median +16.025pt`、`Alpha worst +4.690pt`、`MaxDD worst -3.026pt`、`TO mean 24.956`。ただし cost stress は未解決で、`cost_x2` は `9/13`、`cost_x3` は `6/13` pass。fold0-12 は開発セットであり、pristine holdout ではない。
 
 ## Structure
 
@@ -33,6 +33,7 @@ bundles/current/
   model_config.yaml
   plan009_summary.json
   plan009_eval_folds0_12.json
+  plan009_eval_compressed_folds0_12.json
   plan009_eval_folds0_12.md
   sample_input.npz
   sample_output.json

VERIFICATION.md

@@ -9,7 +9,7 @@ Current bundle:
 ```text
 bundle_type: plan009_depth_calibrator
 base: Plan004 development base + Plan005 past-only guard concept
-runtime: Plan009 depth-calibrated past-only guard
+runtime: Plan009 depth-calibrated past-only guard + execution compression
 position range: 0.00 - 1.00
 ```
 
@@ -17,12 +17,12 @@ Development folds:
 
 ```text
 fold0-12 cost_x1: 13/13 pass for AlphaEx >= +3pt and MaxDDDelta <= -3pt
-Alpha median: +14.116pt
-Alpha worst: +4.397pt
+Alpha median: +16.025pt
+Alpha worst: +4.690pt
 MaxDD worst: -3.026pt
-TO mean: 26.293
-cost_x2 pass: 8/13
-cost_x3 pass: 4/13
+TO mean: 24.956
+cost_x2 pass: 9/13
+cost_x3 pass: 6/13
 sample current signal: underweight
 ```
 

backend/runtime.py

@@ -580,6 +580,13 @@ def _apply_plan009_depth_calibrator(
     max_position = float(calibrator_config.get("max_position", bench))
     positions = bench - depth * (bench - guard)
     positions = np.clip(positions, min_position, max_position)
+    compression = dict(calibrator_config.get("execution_compression", {}))
+    if bool(compression.get("enabled", False)):
+        positions = _plan009_apply_execution_compression(
+            positions,
+            compression=compression,
+            benchmark_position=bench,
+        )
     overlay = positions - bench
     changes = np.flatnonzero(np.abs(np.diff(positions, prepend=positions[0] if len(positions) else bench)) > 1e-12)
     diag = {
@@ -593,11 +600,75 @@ def _apply_plan009_depth_calibrator(
         "plan009_active_rate": float(np.mean(np.abs(overlay) > 0.05)) if len(overlay) else 0.0,
         "plan009_turnover": float(np.abs(np.diff(overlay)).sum()) if len(overlay) > 1 else 0.0,
         "plan009_last_changes": [int(x) for x in changes[-10:]],
+        "plan009_execution_compression": compression,
         **mode_diag,
     }
     return positions.astype(np.float32), diag
 
 
+def _plan009_merge_short_benchmark_gaps(
+    positions: np.ndarray,
+    *,
+    gap_bars: int,
+    active_eps: float,
+    fill: str,
+    benchmark_position: float,
+) -> np.ndarray:
+    if int(gap_bars) <= 0:
+        return np.asarray(positions, dtype=np.float64).copy()
+    out = np.asarray(positions, dtype=np.float64).copy()
+    active = out < float(benchmark_position) - float(active_eps)
+    n = len(out)
+    i = 0
+    while i < n:
+        if bool(active[i]):
+            i += 1
+            continue
+        start = i
+        while i < n and not bool(active[i]):
+            i += 1
+        end = i
+        if start > 0 and end < n and end - start <= int(gap_bars):
+            if fill == "prev":
+                value = out[start - 1]
+            elif fill == "min":
+                value = min(float(out[start - 1]), float(out[end]))
+            else:
+                value = out[end]
+            out[start:end] = value
+    return out
+
+
+def _plan009_min_delta_filter(positions: np.ndarray, *, min_delta: float) -> np.ndarray:
+    if float(min_delta) <= 0.0 or len(positions) == 0:
+        return np.asarray(positions, dtype=np.float64).copy()
+    x = np.asarray(positions, dtype=np.float64)
+    out = np.empty_like(x)
+    prev = float(x[0])
+    out[0] = prev
+    for i in range(1, len(x)):
+        if abs(float(x[i]) - prev) >= float(min_delta):
+            prev = float(x[i])
+        out[i] = prev
+    return out
+
+
+def _plan009_apply_execution_compression(
+    positions: np.ndarray,
+    *,
+    compression: dict[str, Any],
+    benchmark_position: float,
+) -> np.ndarray:
+    out = _plan009_merge_short_benchmark_gaps(
+        positions,
+        gap_bars=int(compression.get("gap_bars", 0)),
+        active_eps=float(compression.get("active_eps", 0.05)),
+        fill=str(compression.get("fill", "next")),
+        benchmark_position=float(benchmark_position),
+    )
+    return _plan009_min_delta_filter(out, min_delta=float(compression.get("min_delta", 0.0)))
+
+
 def _split_live_window(
     features: np.ndarray,
     returns: np.ndarray,

bundles/current/manifest.json

@@ -2,7 +2,7 @@
   "bundle_version": 9,
   "bundle_type": "plan009_depth_calibrator",
   "created_by": "unidream.cli.export_plan009_depth_calibrator_bundle",
-  "created_at": "2026-05-28T01:28:08.807169+00:00",
+  "created_at": "2026-05-28T01:44:00.569330+00:00",
   "run": {
     "seed": 7,
     "status": "dev_candidate",
@@ -75,6 +75,7 @@
     "plan009_summary": "plan009_summary.json",
     "plan009_eval_json": "plan009_eval_folds0_12.json",
     "plan009_eval_md": "plan009_eval_folds0_12.md",
+    "plan009_compressed_eval_json": "plan009_eval_compressed_folds0_12.json",
     "config": "model_config.yaml"
   },
   "plan009_depth_calibrator": {
@@ -89,6 +90,13 @@
       "deep_bear_recovery": 0.94
     },
     "min_position": 0.0,
-    "max_position": 1.0
+    "max_position": 1.0,
+    "execution_compression": {
+      "enabled": true,
+      "gap_bars": 16,
+      "fill": "next",
+      "active_eps": 0.05,
+      "min_delta": 0.1
+    }
   }
 }

bundles/current/plan009_eval_compressed_folds0_12.json

@@ -0,0 +1,1104 @@
+{
+  "experiment": "plan009_gap_merge_full_check",
+  "params": {
+    "gap": 16,
+    "fill": "next",
+    "eps": 0.05,
+    "min_delta": 0.1
+  },
+  "rows": [
+    {
+      "fold": 0,
+      "group": "gap16_next_mindelta010",
+      "mode": "pre_halving_rebound",
+      "stress": {
+        "cost_x1": {
+          "alpha_excess_pt": 23.516145397309394,
+          "sharpe_delta": 1.0975236311730616,
+          "maxdd_delta_pt": -6.320720803863001,
+          "period_win_rate": 1.0,
+          "bar_win_rate": 0.35820039022150807,
+          "turnover": 23.25,
+          "long_rate": 0.0,
+          "short_rate": 0.7228279582233444,
+          "flat_rate": 0.27717204177665555,
+          "mean_position": -0.3361150005738551,
+          "n_trades": 51
+        },
+        "cost_x1_5": {
+          "alpha_excess_pt": 15.924397643723909,
+          "sharpe_delta": 1.0312117640899823,
+          "maxdd_delta_pt": -6.309358924509138,
+          "period_win_rate": 1.0,
+          "bar_win_rate": 0.35820039022150807,
+          "turnover": 23.25,
+          "long_rate": 0.0,
+          "short_rate": 0.7228279582233444,
+          "flat_rate": 0.27717204177665555,
+          "mean_position": -0.3361150005738551,
+          "n_trades": 51
+        },
+        "cost_x2": {
+          "alpha_excess_pt": 8.537460916820905,
+          "sharpe_delta": 0.964848019013067,
+          "maxdd_delta_pt": -6.2979984979630625,
+          "period_win_rate": 0.6666666666666666,
+          "bar_win_rate": 0.35808561918971654,
+          "turnover": 23.25,
+          "long_rate": 0.0,
+          "short_rate": 0.7228279582233444,
+          "flat_rate": 0.27717204177665555,
+          "mean_position": -0.3361150005738551,
+          "n_trades": 51
+        },
+        "cost_x3": {
+          "alpha_excess_pt": -5.643144251072663,
+          "sharpe_delta": 0.8319834125674508,
+          "maxdd_delta_pt": -6.275282002551181,
+          "period_win_rate": 0.3333333333333333,
+          "bar_win_rate": 0.35808561918971654,
+          "turnover": 23.25,
+          "long_rate": 0.0,
+          "short_rate": 0.7228279582233444,
+          "flat_rate": 0.27717204177665555,
+          "mean_position": -0.3361150005738551,
+          "n_trades": 51
+        },
+        "slippage_x2": {
+          "alpha_excess_pt": 20.731470732973367,
+          "sharpe_delta": 1.0734165190763318,
+          "maxdd_delta_pt": -6.316589043265501,
+          "period_win_rate": 1.0,
+          "bar_win_rate": 0.35820039022150807,
+          "turnover": 23.25,
+          "long_rate": 0.0,
+          "short_rate": 0.7228279582233444,
+          "flat_rate": 0.27717204177665555,
+          "mean_position": -0.3361150005738551,
+          "n_trades": 51
+        }
+      },
+      "diag": {
+        "depth": 0.62,
+        "start_mom3072": 0.2708200477472129,
+        "start_mom6144": -0.3850100761729641,
+        "start_dd12288": -0.40127797419772065,
+        "start_mom24576": -0.4314499669081306
+      }
+    },
+    {
+      "fold": 1,
+      "group": "gap16_next_mindelta010",
+      "mode": "core_pair",
+      "stress": {
+        "cost_x1": {
+          "alpha_excess_pt": 20.884934031622436,
+          "sharpe_delta": 0.5519937468783283,
+          "maxdd_delta_pt": -5.6399317073186825,
+          "period_win_rate": 0.75,
+          "bar_win_rate": 0.37359900373599003,
+          "turnover": 9.789999713897704,
+          "long_rate": 0.0,
+          "short_rate": 0.7525189629797351,
+          "flat_rate": 0.24748103702026492,
+          "mean_position": -0.16315407093203135,
+          "n_trades": 40
+        },
+        "cost_x1_5": {
+          "alpha_excess_pt": 18.112867487824857,
+          "sharpe_delta": 0.5255649129909485,
+          "maxdd_delta_pt": -5.538736300430921,
+          "period_win_rate": 0.5,
+          "bar_win_rate": 0.37359900373599003,
+          "turnover": 9.789999713897704,
+          "long_rate": 0.0,
+          "short_rate": 0.7525189629797351,
+          "flat_rate": 0.24748103702026492,
+          "mean_position": -0.16315407093203135,
+          "n_trades": 40
+        },
+        "cost_x2": {
+          "alpha_excess_pt": 15.375550698381657,
+          "sharpe_delta": 0.49912624909284276,
+          "maxdd_delta_pt": -5.437660903327618,
+          "period_win_rate": 0.5,
+          "bar_win_rate": 0.3730329446394204,
+          "turnover": 9.789999713897704,
+          "long_rate": 0.0,
+          "short_rate": 0.7525189629797351,
+          "flat_rate": 0.24748103702026492,
+          "mean_position": -0.16315407093203135,
+          "n_trades": 40
+        },
+        "cost_x3": {
+          "alpha_excess_pt": 10.003554940870263,
+          "sharpe_delta": 0.4462216523478495,
+          "maxdd_delta_pt": -5.235869569354581,
+          "period_win_rate": 0.5,
+          "bar_win_rate": 0.3728065210007925,
+          "turnover": 9.789999713897704,
+          "long_rate": 0.0,
+          "short_rate": 0.7525189629797351,
+          "flat_rate": 0.24748103702026492,
+          "mean_position": -0.16315407093203135,
+          "n_trades": 40
+        },
+        "slippage_x2": {
+          "alpha_excess_pt": 19.872863507106597,
+          "sharpe_delta": 0.5423844342011199,
+          "maxdd_delta_pt": -5.603119483122662,
+          "period_win_rate": 0.5,
+          "bar_win_rate": 0.37359900373599003,
+          "turnover": 9.789999713897704,
+          "long_rate": 0.0,
+          "short_rate": 0.7525189629797351,
+          "flat_rate": 0.24748103702026492,
+          "mean_position": -0.16315407093203135,
+          "n_trades": 40
+        }
+      },
+      "diag": {
+        "depth": 0.94,
+        "start_mom3072": -0.03771563944859674,
+        "start_mom6144": 0.016570821886034648,
+        "start_dd12288": -0.12497906247920512,
+        "start_mom24576": -0.0234477573388108
+      }
+    },
+    {
+      "fold": 2,
+      "group": "gap16_next_mindelta010",
+      "mode": "core_pair",
+      "stress": {
+        "cost_x1": {
+          "alpha_excess_pt": 1472.7454973950016,
+          "sharpe_delta": 1.0435468056140857,
+          "maxdd_delta_pt": -8.106438988325227,
+          "period_win_rate": 0.75,
+          "bar_win_rate": 0.11352026336701102,
+          "turnover": 10.38999985694885,
+          "long_rate": 0.0,
+          "short_rate": 0.22533772278351685,
+          "flat_rate": 0.7746622772164832,
+          "mean_position": -0.07301651671249704,
+          "n_trades": 39
+        },
+        "cost_x1_5": {
+          "alpha_excess_pt": 1328.31377636482,
+          "sharpe_delta": 1.0288503593685911,
+          "maxdd_delta_pt": -8.09775302788103,
+          "period_win_rate": 0.75,
+          "bar_win_rate": 0.11329322284027699,
+          "turnover": 10.38999985694885,
+          "long_rate": 0.0,
+          "short_rate": 0.22533772278351685,
+          "flat_rate": 0.7746622772164832,
+          "mean_position": -0.07301651671249704,
+          "n_trades": 39
+        },
+        "cost_x2": {
+          "alpha_excess_pt": 1185.808378722821,
+          "sharpe_delta": 1.0141439007413169,
+          "maxdd_delta_pt": -8.08906799298566,
+          "period_win_rate": 0.75,
+          "bar_win_rate": 0.11329322284027699,
+          "turnover": 10.38999985694885,
+          "long_rate": 0.0,
+          "short_rate": 0.22533772278351685,
+          "flat_rate": 0.7746622772164832,
+          "mean_position": -0.07301651671249704,
+          "n_trades": 39
+        },
+        "cost_x3": {
+          "alpha_excess_pt": 906.4808405822077,
+          "sharpe_delta": 0.984701319003034,
+          "maxdd_delta_pt": -8.071700699447023,
+          "period_win_rate": 0.75,
+          "bar_win_rate": 0.11329322284027699,
+          "turnover": 10.38999985694885,
+          "long_rate": 0.0,
+          "short_rate": 0.22533772278351685,
+          "flat_rate": 0.7746622772164832,
+          "mean_position": -0.07301651671249704,
+          "n_trades": 39
+        },
+        "slippage_x2": {
+          "alpha_excess_pt": 1420.0004638777373,
+          "sharpe_delta": 1.0382038076687676,
+          "maxdd_delta_pt": -8.103280350160075,
+          "period_win_rate": 0.75,
+          "bar_win_rate": 0.11352026336701102,
+          "turnover": 10.38999985694885,
+          "long_rate": 0.0,
+          "short_rate": 0.22533772278351685,
+          "flat_rate": 0.7746622772164832,
+          "mean_position": -0.07301651671249704,
+          "n_trades": 39
+        }
+      },
+      "diag": {
+        "depth": 0.94,
+        "start_mom3072": 0.06545702734855288,
+        "start_mom6144": -0.013428533879092144,
+        "start_dd12288": -0.09094402344722508,
+        "start_mom24576": 0.18990908096501274
+      }
+    },
+    {
+      "fold": 3,
+      "group": "gap16_next_mindelta010",
+      "mode": "core_pair",
+      "stress": {
+        "cost_x1": {
+          "alpha_excess_pt": 14.362134534313942,
+          "sharpe_delta": 0.5019941030072719,
+          "maxdd_delta_pt": -3.027455195574105,
+          "period_win_rate": 0.6666666666666666,
+          "bar_win_rate": 0.22733596104799444,
+          "turnover": 23.07999985694885,
+          "long_rate": 0.0,
+          "short_rate": 0.4546719220959889,
+          "flat_rate": 0.5453280779040112,
+          "mean_position": -0.16323324821400526,
+          "n_trades": 79
+        },
+        "cost_x1_5": {
+          "alpha_excess_pt": -3.9218609695640616,
+          "sharpe_delta": 0.46874375711496263,
+          "maxdd_delta_pt": -2.9528136982816617,
+          "period_win_rate": 0.6666666666666666,
+          "bar_win_rate": 0.22710410387201485,
+          "turnover": 23.07999985694885,
+          "long_rate": 0.0,
+          "short_rate": 0.4546719220959889,
+          "flat_rate": 0.5453280779040112,
+          "mean_position": -0.16323324821400526,
+          "n_trades": 79
+        },
+        "cost_x2": {
+          "alpha_excess_pt": -21.70526375556916,
+          "sharpe_delta": 0.4354871376917835,
+          "maxdd_delta_pt": -2.878244521536308,
+          "period_win_rate": 0.6666666666666666,
+          "bar_win_rate": 0.22687224669603523,
+          "turnover": 23.07999985694885,
+          "long_rate": 0.0,
+          "short_rate": 0.4546719220959889,
+          "flat_rate": 0.5453280779040112,
+          "mean_position": -0.16323324821400526,
+          "n_trades": 79
+        },
+        "cost_x3": {
+          "alpha_excess_pt": -55.822666944850766,
+          "sharpe_delta": 0.3689567685082147,
+          "maxdd_delta_pt": -2.7293228494676747,
+          "period_win_rate": 0.3333333333333333,
+          "bar_win_rate": 0.22664038952005564,
+          "turnover": 23.07999985694885,
+          "long_rate": 0.0,
+          "short_rate": 0.4546719220959889,
+          "flat_rate": 0.5453280779040112,
+          "mean_position": -0.16323324821400526,
+          "n_trades": 79
+        },
+        "slippage_x2": {
+          "alpha_excess_pt": 7.654642553529101,
+          "sharpe_delta": 0.48990382066183047,
+          "maxdd_delta_pt": -3.000304460830633,
+          "period_win_rate": 0.6666666666666666,
+          "bar_win_rate": 0.22722003246000463,
+          "turnover": 23.07999985694885,
+          "long_rate": 0.0,
+          "short_rate": 0.4546719220959889,
+          "flat_rate": 0.5453280779040112,
+          "mean_position": -0.16323324821400526,
+          "n_trades": 79
+        }
+      },
+      "diag": {
+        "depth": 0.94,
+        "start_mom3072": 0.6640736092859136,
+        "start_mom6144": 0.8299695337176323,
+        "start_dd12288": -0.11074668477571192,
+        "start_mom24576": 1.429290169076133
+      }
+    },
+    {
+      "fold": 4,
+      "group": "gap16_next_mindelta010",
+      "mode": "core_pair",
+      "stress": {
+        "cost_x1": {
+          "alpha_excess_pt": 7.833104554715287,
+          "sharpe_delta": -0.09354796915616781,
+          "maxdd_delta_pt": -8.738651050269326,
+          "period_win_rate": 1.0,
+          "bar_win_rate": 0.4504535537949248,
+          "turnover": 37.032500166893,
+          "long_rate": 0.0,
+          "short_rate": 0.8894247330347916,
+          "flat_rate": 0.1105752669652084,
+          "mean_position": -0.30823228662631885,
+          "n_trades": 127
+        },
+        "cost_x1_5": {
+          "alpha_excess_pt": 7.218284107143824,
+          "sharpe_delta": -0.14752846338190295,
+          "maxdd_delta_pt": -8.314085648811819,
+          "period_win_rate": 1.0,
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+}

bundles/current/plan009_summary.json

@@ -1,12 +1,20 @@
 {
   "experiment": "plan009_depth_calibrator_bundle",
   "source_eval": "docs_local/20260528_plan009_depth_calibrator_f0_12_m48_x2_cap094.json",
+  "source_compressed_eval": "docs_local/20260528_plan009_gap16_next_mindelta010_full.json",
   "depth_by_mode": {
     "core_pair": 0.94,
     "pre_halving_rebound": 0.62,
     "deep_bear_recovery": 0.94
   },
   "default_depth": 0.94,
+  "execution_compression": {
+    "enabled": true,
+    "gap_bars": 16,
+    "fill": "next",
+    "active_eps": 0.05,
+    "min_delta": 0.1
+  },
   "dev_aggregate": {
     "plan004_base": {
       "folds": 13,
@@ -125,6 +133,72 @@
       }
     }
   },
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+      "turnover_max": 54.91999997615814
+    }
+  },
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   "sample": {
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     "n_positions": 5761,
@@ -137,8 +211,15 @@
       "plan009_current_bars": 5761,
       "plan009_guard_mean": 0.7624978302378059,
       "plan009_underweight_rate": 0.8245096337441417,
-      "plan009_turnover": 14.804999999999998,
-      "plan009_active_rate": 0.8245096337441417,
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+      "plan009_active_rate": 0.8248567956951918,
+      "plan009_execution_compression": {
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+        "fill": "next",
+        "active_eps": 0.05,
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       "start_mom3072": 0.03829596413332581,
       "start_mom6144": -0.30790065968812996,
       "start_dd12288": -0.3525618724316786,

bundles/current/sample_input.npz

@@ -1,3 +1,3 @@
 version https://git-lfs.github.com/spec/v1
-oid sha256:a74a128b3ea1578667252b07d643deaf8d8e3a1848f92d6e319b579602702d07
-size 688448
+oid sha256:27c0670a3c3b655faeb3c96088a15d247a3e78b996a44c7f6bf82be2e7a394d2
+size 688446

bundles/current/sample_output.json

@@ -10,8 +10,15 @@
     "plan009_current_bars": 5761,
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-    "plan009_turnover": 14.804999999999998,
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+    "plan009_turnover": 14.334999999999997,
+    "plan009_active_rate": 0.8248567956951918,
+    "plan009_execution_compression": {
+      "enabled": true,
+      "gap_bars": 16,
+      "fill": "next",
+      "active_eps": 0.05,
+      "min_delta": 0.1
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     "start_dd12288": -0.3525618724316786,