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Author SHA1 Message Date
mathiasandClaude Sonnet 4.6 de19bfeada fix(features): revert to 2-channel default; OHLCV features redundant
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HPO finding: hl_range≈realized_vol, ret_intrabar≈ret — correlation kills signal.
4ch D=128: 0.3503, 4ch D=256: 0.3807, 2ch D=128 baseline: 0.3908 (winner).
Parquet keeps hl_range+ret_intrabar; comment in build() documents the attempt.
test_build_uses_4_channels → test_build_uses_2_channels (tracks current default).

Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>
 2026-06-26 13:14:01 +02:00
mathiasandClaude Sonnet 4.6 caccd1aa7b feat(features): add hl_range + ret_intrabar OHLCV features (4-channel input) 
- prepare_hourly.py: keep O/H/L columns from M1 zips; compute per-hour
  hl_range=log(H/L) and ret_intrabar=log(close/open); backward-compat
  (falls back to 4-col output only when O/H/L present in input)
- train.py build(): auto-detect extra features from parquet columns
  (FEAT_COLS = [ret, realized_vol] + [hl_range, ret_intrabar] if present)
- 5 new tests (9 total in test_prepare_hourly); 24/24 pass

Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>
 2026-06-26 13:11:59 +02:00
mathiasandClaude Sonnet 4.6 e31905dc43 feat(data): EUR/USD hourly pipeline + 2008-2023 M1 dataset (#2)
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- scripts/prepare_hourly.py: M1→hourly aggregation (realized_vol = sqrt(Σr²),
  MIN_BARS=30 threshold, no weekend rows, year-based split preserved)
- tests/test_prepare_hourly.py: 5 TDD tests, all green
- train.py: USE_HOURLY=True, WINDOW=240 (10-day), PATCH_LEN=24 (1-day patches);
  build() prefers eurusd_hourly.parquet, falls back to daily; EXPORT BLOCK updated
- Taskfile.yml: data:fetch:historical, data:prepare:hourly, data:prepare:all, data:test
- 98,591 hourly rows (2008-2023) covering GFC, Euro crisis, Brexit, COVID, Fed cycle

Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>
 2026-06-25 13:12:48 +02:00