smith6jt-cop Backtest Observation Feature Mismatch (v5.3.0)
Problem
16/65 features in BacktestObservationBuilder.get_obs_at_bar() receive hardcoded default values instead of the dynamic values they receive during training. Sub-50% win rates in backtest led to investigation.
Finding: Sub-50% Win Rates Are Expected
Models use high R-multiple strategies — win rate < 50% but avg win >> avg loss. Example: CNM_1Hour has 46.7% win rate but PF=1.80 because avg win ($138.86) is 2.05x avg loss ($67.61). This is normal in quantitative trading.
Feature Defaults (DO NOT CHANGE)
| Feature Group | Count | Default | Training Value | Why Default Is Better |
|---|---|---|---|---|
| Intraday | 4 | 0.5 | step % 390 / 390 |
Training pattern uses per-episode step counter that can't be replicated in backtest |
| Account state | 3 | 0.0/0.5/0.0 | Dynamic P&L/win_rate/drawdown | Episode dynamics (4096 envs, ~400 steps) don't match single-pass backtest |
| Position sizing | 3 | 0.0/1.0/0.0 | Dynamic position/capital state | Same episode dynamics issue |
| Regime bars | 3 | 0.0 | Dynamic 0-1.0 duration | Infrastructure exists but requires GPU Markov system |
| Calendar | 7 | 0.5 fallback | Real calendar data | Usually works; 0.5 is safety fallback |
Experiment Results (2026-03-23)
- Control: All defaults → CNM_1Hour PF=1.80, Win Rate=46.7%, 30 trades
- Real timestamps for intraday: PF=1.01, Win Rate=38.0%, 50 trades — DEGRADED
- step%390 for intraday: PF=0.81, Win Rate=41.5%, 41 trades — DEGRADED
- Dynamic account state: PF=0.91, Win Rate=35.0%, 20 trades — DEGRADED
- Only regime bars: PF=1.80, Win Rate=46.7%, 30 trades — NO EFFECT (GPU Markov not loaded)
Walk-Forward Batch Fix
scripts/run_backtest.py: --all --walk-forward N was silently running single-pass backtests because run_all_models() ignored the walk_forward parameter. Fixed by passing walk_forward through to run_walk_forward() per model.
Files
alpaca_trading/gpu/inference_obs_builder.py—BacktestObservationBuilderalpaca_trading/gpu/vectorized_env.py— Training observation constructionalpaca_trading/backtest/engine.py—BacktestEngine.run()scripts/run_backtest.py— CLI with batch walk-forward fix
Proper Fix (Future)
Would require either: (1) retraining models with backtest-compatible observation patterns, or (2) implementing full episode simulation in backtest that exactly matches training env dynamics (4096 parallel envs with random resets).