mathias/jepa-fx-risk

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mathiasandClaude Sonnet 4.6 e31905dc43

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feat(data): EUR/USD hourly pipeline + 2008-2023 M1 dataset (#2 )

- 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

.context

docs: add DECISIONS.md and rewrite PROJECT.md (#8 )

2026-06-22 18:10:32 +00:00

.gitea/workflows

Initial commit

2026-05-27 21:55:18 +00:00

.skills

Initial commit

2026-05-27 21:55:18 +00:00

cmd

fix(eval): correct probe metric to use true year-based OOS split

2026-06-24 22:57:14 +02:00

internal

fix(eval): correct probe metric to use true year-based OOS split

2026-06-24 22:57:14 +02:00

results/summaries

experiment(phase0): NULL result — path B proxy gate (ref #5 )

2026-06-24 10:52:07 +02:00

scripts

feat(data): EUR/USD hourly pipeline + 2008-2023 M1 dataset (#2 )

2026-06-25 13:12:48 +02:00

tests

feat(data): EUR/USD hourly pipeline + 2008-2023 M1 dataset (#2 )

2026-06-25 13:12:48 +02:00

.aider.conf.yml

Initial commit

2026-05-27 21:55:18 +00:00

.aider.conventions.md

Initial commit

2026-05-27 21:55:18 +00:00

.cursorrules

Initial commit

2026-05-27 21:55:18 +00:00

.gitignore

feat(data): EUR/USD M1 fetch + daily realized-vol prep (toy slice, #2/#11)

2026-06-23 16:49:59 +02:00

AGENTS.md

Initial commit

2026-05-27 21:55:18 +00:00

CLAUDE.md

Initial commit

2026-05-27 21:55:18 +00:00

DECISIONS.md

docs: add DECISIONS.md and rewrite PROJECT.md (#8 )

2026-06-22 18:10:32 +00:00

Dockerfile

Initial commit

2026-05-27 21:55:18 +00:00

go.mod

refactor: rename hostexecutor → jepa-fx-risk (#9 )

2026-06-24 11:58:42 +02:00

go.sum

refactor: rename hostexecutor → jepa-fx-risk (#9 )

2026-06-24 11:58:42 +02:00

loop.py

feat(loop): autoresearch keep/revert loop + first iteration (val_vol_r2 0.2821→0.3749, +9.3%)

2026-06-24 07:16:50 +02:00

metrics.json

feat(loop): 5 iters on TS-JEPA+SIGReg backbone — consistent improvement

2026-06-24 07:45:55 +02:00

README.md

Initial commit

2026-05-27 21:55:18 +00:00

requirements.txt

feat(data): EUR/USD M1 fetch + daily realized-vol prep (toy slice, #2/#11)

2026-06-23 16:49:59 +02:00

STATUS.md

feat(loop): 5 iters on TS-JEPA+SIGReg backbone — consistent improvement

2026-06-24 07:45:55 +02:00

Taskfile.yml

feat(data): EUR/USD hourly pipeline + 2008-2023 M1 dataset (#2 )

2026-06-25 13:12:48 +02:00

train.py

feat(data): EUR/USD hourly pipeline + 2008-2023 M1 dataset (#2 )

2026-06-25 13:12:48 +02:00

README.md

hostexecutor

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