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85 lines
4.2 KiB
Markdown
85 lines
4.2 KiB
Markdown
# Experiment Spec: Phase 0 — SSL Feasibility Gate
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## Hypothesis
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> We believe that a masked autoencoder (MAE) trained on FX hourly time-series will
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> produce latent embeddings that show structural separability by volatility regime
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> without explicit regime labels, measurable by silhouette score > 0.20 on k-means
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> clusters evaluated against a held-out realised-volatility regime label on 2023 data.
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This hypothesis is FALSE if silhouette score ≤ 0.20 on the held-out evaluation.
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## Background
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Before investing in JEPA-specific machinery, we need to confirm that self-supervised
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representation learning can find regime structure in FX time-series at all. If the
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simplest SSL method (MAE) cannot find structure, JEPA will not either — and the root
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cause needs to be understood before proceeding.
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Also validates that TS-JEPA code is reproducible: first task is running TS-JEPA on
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the paper's own benchmark, not on FX data. If reproduction takes > 2 weeks, contact
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authors or fall back to implementing JEPA masking from V-JEPA codebase.
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Added post Full Grill (2026-05-27). See DECISIONS.md: "Phase 0: SSL feasibility gate."
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## Design
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### Data
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- **Source:** DUKASCopy, EUR/USD hourly OHLCV
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- **Train:** 2008-01-01 – 2022-12-31
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- **Held-out test:** 2023-01-01 – 2023-12-31 (sealed until final evaluation)
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- **Features:** log-return (hourly), rolling 20-period realised HV, VIX (daily → hourly interpolation)
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- **Regime label (evaluation only):** rolling 30-day HV percentile; binary: top 50% = high-vol, bottom 50% = low-vol
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### Model
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- **Architecture:** 1D temporal Masked Autoencoder
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- Encoder: 3-layer 1D CNN + positional encoding
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- Decoder: 2-layer MLP reconstructing masked segment
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- **Masking:** contiguous temporal block (target); context window = 120h (5 days)
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- **Loss:** MSE reconstruction on masked segment
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### TS-JEPA reproduction task (runs in parallel / before MAE)
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- Reproduce TS-JEPA paper results on the authors' benchmark dataset
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- Go/no-go: if reproduction fails within 2 weeks → contact authors or pivot to V-JEPA adaptation
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### Baseline
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- **PCA** on raw feature vectors (same 120h context window, flattened)
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- Tests whether any dimensionality reduction finds regime structure; confirms SSL is adding something
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### Ablations
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- Masking horizon K ∈ {8h, 24h, 72h} — does context length affect embedding quality?
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## Acceptance Criteria
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- [ ] MAE silhouette score > 0.20 on held-out 2023 data (k-means k=3, vs. binary HV regime label)
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- [ ] MAE silhouette exceeds PCA baseline silhouette
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- [ ] Rerun ×3 within ±10% of reported silhouette (reproducibility)
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- [ ] PC1 / rolling-HV correlation < 0.95 (encoder is not purely encoding volatility level)
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- [ ] TS-JEPA reproduced on paper's benchmark within 2 weeks of start
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## Out of Scope
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- JEPA implementation (Phase 1)
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- Multi-pair training (Phase 1+)
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- VaR, ES, or any risk metric computation
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- Any data after 2022-12-31 (training); 2023 test set opened only for final evaluation
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- Hyperparameter search beyond the three masking horizons defined above
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## Null Result Protocol
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If MAE silhouette ≤ 0.20 on held-out data:
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1. Conclude: SSL-based regime detection is not straightforwardly feasible on EUR/USD hourly data with these three features
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2. Investigate in order: (a) try daily resolution instead of hourly, (b) expand feature set to 6 features (add DXY, yield spread), (c) try 4-class regime label (HV quartiles) instead of binary
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3. If all three investigations fail: conclude SSL regime detection is not viable on FX data; document and consider pivoting the primary hypothesis to distributional forecasting directly
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4. Record result in `results/summaries/phase-0-null.md`
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5. Write failure mode to brain: `brain_write wing=jepa-fx hall=failures`
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## Risks
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| Risk | Canary | Mitigation |
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|---|---|---|
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| TS-JEPA code unreproducible | Benchmark result doesn't match paper within 2 weeks | Contact authors; fall back to V-JEPA adaptation |
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| MAE encoder collapses | Reconstruction loss plateau in first 10 epochs; all embeddings near-identical | Add batch normalisation; reduce LR; check masking ratio |
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| Regime label too coarse | Silhouette low even with visually structured embeddings | Also evaluate with 4-class HV quartile label |
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| PC1 is just volatility | PC1/HV correlation > 0.95 | Useful finding; record it; do not declare success |
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