generated from mathias/template-go-web
mathiasandClaude Sonnet 4.6
3445b6d267
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>
874 B
874 B
Phase-0 SSL feasibility gate — null
Date: 2026-06-24 Path B deviation: Daily 2019-2023 (not hourly 2008-2022); Python harness (not Go #4); gate metric adapted from silhouette-on-embedding to match available data. Go harness (#4) remains open for production experiments.
Data
- Train: EUR/USD daily 2019-2021 (907 windows)
- OOS: EUR/USD daily 2022-2023 (593 windows)
- HV label: top-33% realized-vol days = high-volatility (196 days)
Results
| Value | Gate | |
|---|---|---|
| TS-JEPA mean silhouette (3 seeds) | 0.0182 | > 0.20 → False |
| Beats PCA baseline (0.1359) | 0.0182 | > PCA → False |
| Seed stability (spread) | 86.73% | < 10% → False |
| PC1/HV correlation | 0.5258 | < 0.95 → True |
Per-seed: ['0.0268', '0.0110', '0.0168']
Verdict: NULL
One or more gate criteria not met. See null result protocol in #5.