mathiasandClaude Sonnet 4.6 3aded95ef1 feat(hpo): sweep results + update WINDOW default to 120 ...

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>

2026-06-26 12:42:50 +02:00

..

hpo_results.jsonl

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

2026-06-26 12:42:50 +02:00