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mathiasandClaude Sonnet 4.6 d282571c96 feat(phase1): MLP supervised head on frozen HEPA embeddings
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SupervisedHead: Linear(D→D/2)→GELU→Linear(D/2→1), trained on standardised
targets with proper epoch iteration (not random 200 batches) + weight_decay=1e-4.
Root cause of earlier -803 R²: unstandardised targets + ~1.2 effective passes.

Results on 2008-2023 hourly OOS (n=11,641):
  val_vol_r2 (linear probe): 0.3585
  phase1_r2  (MLP head):     0.3737  (+0.015 over probe)

New knobs: PHASE1_EPOCHS=200, PHASE1_LR=1e-3. 16/16 tests pass.

Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>
 2026-06-26 12:33:28 +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
mathiasandClaude Sonnet 4.6 bde651b0df feat(backbone): replace TS-JEPA+SIGReg with HEPA causal JEPA
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HEPA (Petersen et al., arXiv:2605.11130, ICML 2026 Spotlight):
- CausalEncoder: non-overlapping patches + per-patch LayerNorm +
  causal Transformer (generate_square_subsequent_mask) → all tokens (B, N, D)
- HorizonPredictor: MLP(cat(h_t, Δt)) → predicted future embedding;
  Δt sampled uniformly from [1, min(DELTA_T_MAX, N-1-c)] per epoch
- vicreg_loss: (1-α)·L1(norm(ĥ), norm(h*)) + α·(L_var + L_cov);
  joint training — no stop-gradient on target encoder
- Probe: last-token embedding [:, -1, :], fit on 2019-2021, eval on OOS

Results (true OOS 2022-2023):
  val_vol_r2: -0.45 (TS-JEPA+SIGReg) → +0.243/+0.276 (HEPA)
  effective_rank: 58.9/64 → 122.3/128 (near-full-rank, no collapse)
  Phase-0 gate on val_vol_r2: PASS ✓

Tests: 6/6 green (causal masking verified with non-uniform perturbation;
per-patch LayerNorm is mean-invariant so constant shifts are absorbed)

Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>
 2026-06-25 08:05:33 +02:00