- 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>
- train.py knobs all readable from JEPA_* env vars (JEPA_WINDOW, JEPA_D_MODEL,
JEPA_DEPTH, etc.) so hpo_sweep.py can override without touching source
- scripts/hpo_sweep.py: 3×2×3 grid over D_MODEL × DEPTH × WINDOW,
logs to results/hpo/hpo_results.jsonl with leaderboard at end
- 3 new tests: env override correctness, configs() schema validation
- 19/19 tests pass
Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>
Phase-0 SSL feasibility gate run on daily 2019-2023 EUR/USD (path B deviation:
not hourly 2008-2022 + Go harness as specced in #5). Results:
TS-JEPA silhouette mean=0.018 (need >0.20) — FAIL
PCA baseline silhouette=0.136 — also below threshold
sensitivity: 2000 ep + D=64 worsened to 0.004 (not a training-time issue)
Root cause: 2 daily features (ret, realized_vol) carry minimal regime structure
at this resolution. The JEPA objective with SIGReg pushes embeddings toward
isotropic Gaussian — good for downstream probes (val_vol_r2>0) but may actively
resist the clustering structure the silhouette gate measures.
Null protocol: real gate requires #4 (Go harness) + #2 (hourly data, more
features) before rerunning. HEPA (#14) noted as alternative backbone.
Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>
fetch_data.py politely pulls EUR/USD M1 from histdata.com (maintained package
handles the anti-hotlink token; per-year, spaced). prepare_data.py (LOCKED per
Phase-1 contract) parses M1 -> daily series with realized_vol = the val_vol_r2
target (sqrt sum of squared intraday returns). Verified on 2019-2021: 937 days,
March-2020 COVID RV spike 5.1x over 2019 median — real signal, target works.
Data gitignored (DVC/MinIO = #10).
Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>
scripts/check_gpu.py verifies PyTorch cu130 sees the koala Blackwell GPU
(sm_120) and computes — the Phase-0 prerequisite before any autoresearch
experiment. Verified green: torch 2.12.1+cu130, RTX 5070, GPU matmul OK.
Note: koala GPU is shared with the llama-swap LLM stack — run the autoresearch
agent on iguana/berget so the card stays free for train.py.
Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>
mathiasandClaude Sonnet 4.6