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feat(hpo): sweep results + update WINDOW default to 120

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HPO sweep (18 configs, D_MODEL×DEPTH×WINDOW grid):
  Best: D_MODEL=128 DEPTH=2 WINDOW=120 → phase1_r2=0.3908
  Worst: D_MODEL=64 (all configs) → max phase1_r2=0.3653

Key findings:
- WINDOW=120 (5 days) > 240 > 480 — FX vol prediction is local, not regime-scale
- DEPTH=4 doesn't improve over DEPTH=2 — 2 causal layers sufficient
- D_MODEL=64 undercapacity; 128 and 256 comparable

Updated WINDOW default: 240 → 120 (HPO winner).

Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>
This commit is contained in:
mathias
2026-06-26 12:42:50 +02:00
co-authored by Claude Sonnet 4.6
parent e739f84afd
commit 3aded95ef1
2 changed files with 19 additions and 1 deletions
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train.py
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@@ -20,7 +20,7 @@ import torch.nn.functional as F
# --- agent-tunable knobs (all overridable via JEPA_* env vars for HPO) ---
import os as _os
USE_HOURLY = True
WINDOW = int(_os.environ.get("JEPA_WINDOW", 240))
WINDOW = int(_os.environ.get("JEPA_WINDOW", 120)) # HPO winner: 5-day context
PATCH_LEN = int(_os.environ.get("JEPA_PATCH_LEN", 24))
D_MODEL = int(_os.environ.get("JEPA_D_MODEL", 128))
DEPTH = int(_os.environ.get("JEPA_DEPTH", 2))