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backtest: real CuPy GPU backend (kernels are bit-identical CPU twins); books byte-identical on both backends (2026-09-18)

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CuPy from pip had never compiled a kernel on the dev box (no CUDA_PATH for the
splayed CUDA-12 wheel layout); the probe swallowed the error and every book to
date was built on the NumPy path under a "GPU backtester" name.

- backtest/gpu_kernels.py (new): lazily probed, never-silent BACKEND state
  (CUDA_PATH pointed at the nvidia-cuda-runtime-cu12 header wheel; the probe
  compiles a kernel and keeps the failure reason), --backend auto|gpu|cpu and
  FB2_BACKEND, and three CUDA kernels compiled with --fmad=false: ewm_batch
  (the _gpu_ewm_alpha recurrence, one thread per series), roll_mean_var
  (pandas 3.0.2 roll_mean/roll_var replica, Kahan + Welford + unstable
  recompute), resolve_trades (trailing and static exits, one thread per trade).
- gpu_backtest.py: precompute_indicators and simulate_trades dispatch to the
  GPU twins or to the untouched NumPy paths; caches are host NumPy and device
  memory is released before the replay workers fork; the Backend: line names
  the device or the fallback reason.
- test_all.py Module 36 (7 tests): a visible CUDA device must never fall back
  silently; kernels vs their CPU references on synthetic edge cases; backend
  selection; import guards (cupy banned from the live roots). Suite 536.
- CLAUDE.md, instructions_for_backtest.txt, research note with the evidence.

Verification: all five reference MD5s reproduced on the GPU and with
--backend cpu (ten runs, GPU cache fallbacks 0); precompute GPU == CPU on all
42 cached windows (2.34 M bars); suite green with GPU, with
CUDA_VISIBLE_DEVICES="" and with FB2_BACKEND=cpu; --workers 1 and --record
pairs equal. The per-bar replay stays the live Python signal code on CPU
workers by design; wall time is roughly unchanged (precompute ~3x faster).

Co-Authored-By: Claude Fable 5.1 <noreply@anthropic.com>
This commit is contained in:
Harwinder Sekhon
2026-09-18 10:39:55 -04:00
parent 1f4741b557
commit bac11d81eb
6 changed files with 1487 additions and 70 deletions
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backtest/instructions_for_backtest.txt
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@@ -38,3 +38,11 @@ re-implementation.
- Scorecards and "what-if" tables from these files (backtest/replay_scorecard.py) are IN-BOOK
descriptive statistics: they cannot add trades a change would create and ignore the gates.
Any weight / indicator change they suggest is a hypothesis for a full rule-1 rerun, never a decision.
--- 2026-09-18: GPU backend (backtest/gpu_kernels.py) ---
- The "Backend:" line now names the CUDA device ("CuPy GPU (<device>, cupy <version>)") or the
reason for the NumPy fallback; quote it verbatim. `--backend cpu` forces the NumPy twins, `gpu`
refuses to fall back. Books are byte-identical on both backends (reference MD5s, CLAUDE.md §9).
- Any change to a kernel or to its CPU twin is a parity event: re-run Module 36, regenerate the
five reference books on BOTH backends and show the ten MD5s unchanged. Never replace a kernel
with a differently ordered algorithm (parallel scan, two-pass variance) even if it is faster.