jepa-fx-risk/train.py

"""train.py — autoresearch agent file (only this may be edited).

HEPA backbone (Petersen et al., arXiv:2605.11130, ICML 2026 Spotlight):
Causal Transformer pre-trained via horizon-conditioned JEPA. Predictor
maps (h_t, Δt) → predicted future embedding; loss = VICReg (L1 alignment
on L2-normalised reps + variance-covariance regulariser, no stop-gradient).
Probe: ridge regression on the last-token embedding (true OOS split).

Agent may tune: encoder depth/width, patch geometry, ALPHA, DELTA_T_MAX,
optimizer, LR. Do NOT touch prepare_data.py, loop.py, or the data pipeline.
"""
import json
import math
import numpy as np
import pandas as pd
import torch
import torch.nn as nn
import torch.nn.functional as F

# --- agent-tunable knobs ---
USE_HOURLY  = True   # prefer eurusd_hourly.parquet when available
WINDOW      = 240    # hourly: 10 trading days; if USE_HOURLY=False reset to 60
PATCH_LEN   = 24     # hourly: 1-day patches (10 tokens); if USE_HOURLY=False reset to 10
D_MODEL     = 128
DEPTH       = 2
N_HEADS     = 4
ALPHA       = 0.1   # VICReg mixing weight (fixed at 0.1 in HEPA paper)
DELTA_T_MAX = 3     # max prediction horizon in patches (1..min(DELTA_T_MAX, N-1-c))
EPOCHS      = 300
LR          = 3e-4
SEED        = 0
# ---------------------------

torch.manual_seed(SEED)
np.random.seed(SEED)
dev = "cuda" if torch.cuda.is_available() else "cpu"


# ── VICReg pretraining loss ──────────────────────────────────────────────────

def vicreg_loss(h_pred: torch.Tensor, h_target: torch.Tensor, alpha: float = 0.1) -> torch.Tensor:
    """L = (1-α)·L1(normalize(ĥ), normalize(h*)) + α·(L_var + L_cov).

    Both encoders receive gradients (joint training — no stop-grad on h_target).
    Variance-covariance terms prevent embedding collapse.
    """
    pred_n = F.normalize(h_pred, dim=-1)
    targ_n = F.normalize(h_target, dim=-1)
    l1 = F.l1_loss(pred_n, targ_n)
    # variance hinge: push each feature std toward ≥ 1
    std = h_pred.std(dim=0) + 1e-4
    l_var = F.relu(1.0 - std).mean()
    # covariance penalty: decorrelate features
    B, D = h_pred.shape
    h_c = h_pred - h_pred.mean(dim=0, keepdim=True)
    cov = (h_c.t() @ h_c) / max(B - 1, 1)
    off = cov - torch.diag(torch.diag(cov))
    l_cov = (off ** 2).sum() / D
    return (1 - alpha) * l1 + alpha * (l_var + l_cov)


# ── CausalEncoder ─────────────────────────────────────────────────────────────

class CausalEncoder(nn.Module):
    """Non-overlapping patches → per-patch LayerNorm → causal Transformer → all tokens (B, N, D).

    Per-patch LayerNorm instead of full-window RevIN: each patch is normalised
    using only its own timesteps, so no future statistics leak into past tokens.
    Use [:, -1, :] for probing (last token sees full context).
    Use [:, c, :] for JEPA pretraining (context-at-c).
    """
    def __init__(self, n_channels: int, patch_len: int, d_model: int,
                 n_heads: int, depth: int):
        super().__init__()
        self.patch_len = patch_len
        self.d_model   = d_model
        patch_dim = patch_len * n_channels
        self.patch_norm = nn.LayerNorm(patch_dim)   # applied per-patch, no future leakage
        self.embed     = nn.Linear(patch_dim, d_model)
        layer = nn.TransformerEncoderLayer(d_model, n_heads, 2 * d_model,
                                           dropout=0.0, batch_first=True)
        self.tf   = nn.TransformerEncoder(layer, num_layers=depth)
        self.norm = nn.LayerNorm(d_model)

    def forward(self, x: torch.Tensor) -> torch.Tensor:
        B, W, F = x.shape
        P = self.patch_len
        N = W // P
        tokens = x[:, :N * P, :].reshape(B, N, P * F)
        tokens = self.embed(self.patch_norm(tokens))
        # sinusoidal PE
        pos = torch.arange(N, device=x.device).float()
        div = torch.exp(torch.arange(0, self.d_model, 2, device=x.device).float()
                        * -(math.log(10000.0) / self.d_model))
        pe = torch.zeros(N, self.d_model, device=x.device)
        pe[:, 0::2] = torch.sin(pos.unsqueeze(1) * div)
        pe[:, 1::2] = torch.cos(pos.unsqueeze(1) * div)
        tokens = tokens + pe
        # causal mask
        mask = nn.Transformer.generate_square_subsequent_mask(N, device=x.device)
        return self.norm(self.tf(tokens, mask=mask, is_causal=True))


# ── HorizonPredictor ─────────────────────────────────────────────────────────

class HorizonPredictor(nn.Module):
    """MLP(cat(h_t, Δt)) → predicted future embedding."""
    def __init__(self, d_model: int):
        super().__init__()
        self.net = nn.Sequential(
            nn.Linear(d_model + 1, d_model), nn.GELU(),
            nn.Linear(d_model, d_model),     nn.GELU(),
            nn.Linear(d_model, d_model),
        )

    def forward(self, h: torch.Tensor, delta_t: torch.Tensor) -> torch.Tensor:
        dt = delta_t.float().unsqueeze(-1)
        return self.net(torch.cat([h, dt], dim=-1))


# ── Data ─────────────────────────────────────────────────────────────────────

def build():
    """Year-based split: encoder trains on ≤2021; probe evaluates on ≥2022 OOS.

    Uses eurusd_hourly.parquet when USE_HOURLY=True and the file exists;
    falls back to eurusd_daily.parquet otherwise.
    """
    import os
    hourly_path = "data/processed/eurusd_hourly.parquet"
    daily_path  = "data/processed/eurusd_daily.parquet"
    if USE_HOURLY and os.path.exists(hourly_path):
        df = pd.read_parquet(hourly_path).reset_index(drop=True)
        df["date"] = pd.to_datetime(df["datetime"])
    else:
        df = pd.read_parquet(daily_path).reset_index(drop=True)
        df["date"] = pd.to_datetime(df["date"])
    feats  = df[["ret", "realized_vol"]].to_numpy(np.float32)
    target = df["realized_vol"].to_numpy(np.float32)
    tr_idx = df.index[df["date"].dt.year <= 2021].tolist()
    te_idx = df.index[df["date"].dt.year >= 2022].tolist()
    mu = feats[:tr_idx[-1]+1].mean(0)
    sd = feats[:tr_idx[-1]+1].std(0) + 1e-8
    fn = (feats - mu) / sd
    def windows(idx):
        X, y = [], []
        for t in idx:
            if t - WINDOW >= 0 and t + 1 < len(df):
                X.append(fn[t - WINDOW:t]); y.append(target[t + 1])
        return np.stack(X).astype(np.float32), np.array(y, np.float32)
    return windows(tr_idx), windows(te_idx)


# ── Training ──────────────────────────────────────────────────────────────────

def main():
    (Xtr, ytr), (Xte, yte) = build()
    n_feats   = Xtr.shape[2]
    n_patches = WINDOW // PATCH_LEN
    Xtr_t     = torch.tensor(Xtr, device=dev)

    enc  = CausalEncoder(n_feats, PATCH_LEN, D_MODEL, N_HEADS, DEPTH).to(dev)
    pred = HorizonPredictor(D_MODEL).to(dev)
    opt  = torch.optim.AdamW(list(enc.parameters()) + list(pred.parameters()), lr=LR)

    for ep in range(EPOCHS):
        # Sample random context position and horizon; Δt log-biased toward short
        c  = torch.randint(0, n_patches - 1, ()).item()
        dt = torch.randint(1, max(2, min(DELTA_T_MAX, n_patches - 1 - c) + 1), ()).item()

        tokens = enc(Xtr_t)                     # (B, N, D)
        h_ctx  = tokens[:, c, :]               # context embedding
        h_tgt  = tokens[:, c + dt, :]          # target embedding (joint training)
        h_hat  = pred(h_ctx, torch.full((len(Xtr),), float(dt), device=dev))
        loss   = vicreg_loss(h_hat, h_tgt, alpha=ALPHA)
        opt.zero_grad(); loss.backward(); opt.step()

    enc.eval()
    with torch.no_grad():
        def embed(X_np):
            t = torch.tensor(X_np, device=dev)
            return enc(t)[:, -1, :].cpu().numpy()   # last token = full-context summary

        Etr = embed(Xtr)
        Ete = embed(Xte)

    # Ridge probe: fit on train, evaluate on OOS (true OOS R²)
    mu_e = Etr.mean(0); sd_e = Etr.std(0) + 1e-8
    Etr_n = (Etr - mu_e) / sd_e
    Ete_n = (Ete - mu_e) / sd_e
    A  = np.hstack([Etr_n, np.ones((len(Etr_n), 1))])
    w  = np.linalg.solve(A.T @ A + 1e-3 * np.eye(A.shape[1]), A.T @ ytr)
    pred_np = np.hstack([Ete_n, np.ones((len(Ete_n), 1))]) @ w
    ss_res  = ((yte - pred_np) ** 2).sum()
    ss_tot  = ((yte - yte.mean()) ** 2).sum()
    val_vol_r2 = float(1 - ss_res / ss_tot)

    json.dump({
        "val_vol_r2": val_vol_r2, "n_test": len(yte),
        "knobs": {"WINDOW": WINDOW, "PATCH_LEN": PATCH_LEN,
                  "D_MODEL": D_MODEL, "DEPTH": DEPTH, "ALPHA": ALPHA,
                  "DELTA_T_MAX": DELTA_T_MAX, "EPOCHS": EPOCHS},
    }, open("metrics.json", "w"), indent=2)
    print("val_vol_r2 = %.4f  (n_test=%d, dev=%s)" % (val_vol_r2, len(yte), dev))

    # ── EXPORT BLOCK — do NOT edit (agent boundary) ──────────────────────────
    # Set EXPORT_EMBEDDINGS=1 to write embeddings.json for the Go eval harness.
    import os
    if os.environ.get("EXPORT_EMBEDDINGS") == "1":
        hourly_path2 = "data/processed/eurusd_hourly.parquet"
        daily_path2  = "data/processed/eurusd_daily.parquet"
        if USE_HOURLY and os.path.exists(hourly_path2):
            df2 = pd.read_parquet(hourly_path2).reset_index(drop=True)
            df2["date"] = pd.to_datetime(df2["datetime"])
        else:
            df2 = pd.read_parquet(daily_path2).reset_index(drop=True)
            df2["date"] = pd.to_datetime(df2["date"])
        tr_mask = df2["date"].dt.year <= 2021
        feats2 = df2[["ret", "realized_vol"]].to_numpy(np.float32)
        mu2 = feats2[tr_mask].mean(0); sd2 = feats2[tr_mask].std(0) + 1e-8
        fn2 = (feats2 - mu2) / sd2
        def _export_windows(year_mask):
            idx = df2.index[year_mask].tolist()
            Xs, dates, rvs = [], [], []
            for t in idx:
                if t - WINDOW >= 0:
                    Xs.append(fn2[t - WINDOW:t])
                    dates.append(str(df2["date"].iloc[t].date()))
                    rvs.append(float(df2["realized_vol"].iloc[t]))
            if not Xs:
                return [], [], []
            with torch.no_grad():
                E = enc(torch.tensor(np.stack(Xs), device=dev))[:, -1, :].cpu().numpy().tolist()
            return E, dates, rvs
        Etr2, dates_tr, rv_tr = _export_windows(tr_mask)
        Eoos, dates_oos, rv_oos = _export_windows(df2["date"].dt.year >= 2022)
        hv_thr = float(np.percentile(rv_oos, 67))
        hv_label = [1 if v >= hv_thr else 0 for v in rv_oos]
        json.dump({"embeddings": Eoos, "dates": dates_oos,
                   "realized_vol": rv_oos, "hv_label": hv_label,
                   "train_embeddings": Etr2, "train_realized_vol": rv_tr},
                  open("embeddings.json", "w"))
        print("exported embeddings.json  train=%d  oos=%d  HV=%d/%d" % (
            len(Etr2), len(Eoos), sum(hv_label), len(hv_label)))
    # ── END EXPORT BLOCK ─────────────────────────────────────────────────────


if __name__ == "__main__":
    main()