generated from mathias/template-go-web
mathiasandClaude Sonnet 4.6
3aded95ef1
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>
306 lines
14 KiB
Python
306 lines
14 KiB
Python
"""train.py — autoresearch agent file (only this may be edited).
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HEPA backbone (Petersen et al., arXiv:2605.11130, ICML 2026 Spotlight):
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Causal Transformer pre-trained via horizon-conditioned JEPA. Predictor
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maps (h_t, Δt) → predicted future embedding; loss = VICReg (L1 alignment
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on L2-normalised reps + variance-covariance regulariser, no stop-gradient).
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Probe: ridge regression on the last-token embedding (true OOS split).
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Agent may tune: encoder depth/width, patch geometry, ALPHA, DELTA_T_MAX,
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optimizer, LR. Do NOT touch prepare_data.py, loop.py, or the data pipeline.
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"""
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import json
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import math
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import numpy as np
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import pandas as pd
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import torch
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import torch.nn as nn
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import torch.nn.functional as F
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# --- agent-tunable knobs (all overridable via JEPA_* env vars for HPO) ---
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import os as _os
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USE_HOURLY = True
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WINDOW = int(_os.environ.get("JEPA_WINDOW", 120)) # HPO winner: 5-day context
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PATCH_LEN = int(_os.environ.get("JEPA_PATCH_LEN", 24))
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D_MODEL = int(_os.environ.get("JEPA_D_MODEL", 128))
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DEPTH = int(_os.environ.get("JEPA_DEPTH", 2))
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N_HEADS = int(_os.environ.get("JEPA_N_HEADS", 4))
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ALPHA = float(_os.environ.get("JEPA_ALPHA", 0.1))
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DELTA_T_MAX = int(_os.environ.get("JEPA_DELTA_T_MAX", 3))
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BATCH_SIZE = int(_os.environ.get("JEPA_BATCH_SIZE", 512))
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EPOCHS = int(_os.environ.get("JEPA_EPOCHS", 300))
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LR = float(_os.environ.get("JEPA_LR", 3e-4))
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PHASE1_EPOCHS = int(_os.environ.get("JEPA_PHASE1_EPOCHS", 200))
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PHASE1_LR = float(_os.environ.get("JEPA_PHASE1_LR", 1e-3))
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SEED = int(_os.environ.get("JEPA_SEED", 0))
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# ---------------------------
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torch.manual_seed(SEED)
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np.random.seed(SEED)
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dev = "cuda" if torch.cuda.is_available() else "cpu"
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# ── VICReg pretraining loss ──────────────────────────────────────────────────
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def vicreg_loss(h_pred: torch.Tensor, h_target: torch.Tensor, alpha: float = 0.1) -> torch.Tensor:
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"""L = (1-α)·L1(normalize(ĥ), normalize(h*)) + α·(L_var + L_cov).
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Both encoders receive gradients (joint training — no stop-grad on h_target).
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Variance-covariance terms prevent embedding collapse.
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"""
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pred_n = F.normalize(h_pred, dim=-1)
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targ_n = F.normalize(h_target, dim=-1)
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l1 = F.l1_loss(pred_n, targ_n)
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# variance hinge: push each feature std toward ≥ 1
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std = h_pred.std(dim=0) + 1e-4
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l_var = F.relu(1.0 - std).mean()
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# covariance penalty: decorrelate features
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B, D = h_pred.shape
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h_c = h_pred - h_pred.mean(dim=0, keepdim=True)
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cov = (h_c.t() @ h_c) / max(B - 1, 1)
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off = cov - torch.diag(torch.diag(cov))
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l_cov = (off ** 2).sum() / D
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return (1 - alpha) * l1 + alpha * (l_var + l_cov)
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# ── CausalEncoder ─────────────────────────────────────────────────────────────
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class CausalEncoder(nn.Module):
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"""Non-overlapping patches → per-patch LayerNorm → causal Transformer → all tokens (B, N, D).
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Per-patch LayerNorm instead of full-window RevIN: each patch is normalised
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using only its own timesteps, so no future statistics leak into past tokens.
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Use [:, -1, :] for probing (last token sees full context).
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Use [:, c, :] for JEPA pretraining (context-at-c).
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"""
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def __init__(self, n_channels: int, patch_len: int, d_model: int,
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n_heads: int, depth: int):
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super().__init__()
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self.patch_len = patch_len
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self.d_model = d_model
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patch_dim = patch_len * n_channels
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self.patch_norm = nn.LayerNorm(patch_dim) # applied per-patch, no future leakage
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self.embed = nn.Linear(patch_dim, d_model)
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layer = nn.TransformerEncoderLayer(d_model, n_heads, 2 * d_model,
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dropout=0.0, batch_first=True)
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self.tf = nn.TransformerEncoder(layer, num_layers=depth)
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self.norm = nn.LayerNorm(d_model)
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def forward(self, x: torch.Tensor) -> torch.Tensor:
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B, W, F = x.shape
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P = self.patch_len
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N = W // P
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tokens = x[:, :N * P, :].reshape(B, N, P * F)
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tokens = self.embed(self.patch_norm(tokens))
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# sinusoidal PE
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pos = torch.arange(N, device=x.device).float()
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div = torch.exp(torch.arange(0, self.d_model, 2, device=x.device).float()
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* -(math.log(10000.0) / self.d_model))
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pe = torch.zeros(N, self.d_model, device=x.device)
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pe[:, 0::2] = torch.sin(pos.unsqueeze(1) * div)
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pe[:, 1::2] = torch.cos(pos.unsqueeze(1) * div)
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tokens = tokens + pe
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# causal mask
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mask = nn.Transformer.generate_square_subsequent_mask(N, device=x.device)
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return self.norm(self.tf(tokens, mask=mask, is_causal=True))
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# ── HorizonPredictor ─────────────────────────────────────────────────────────
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class HorizonPredictor(nn.Module):
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"""MLP(cat(h_t, Δt)) → predicted future embedding."""
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def __init__(self, d_model: int):
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super().__init__()
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self.net = nn.Sequential(
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nn.Linear(d_model + 1, d_model), nn.GELU(),
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nn.Linear(d_model, d_model), nn.GELU(),
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nn.Linear(d_model, d_model),
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)
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def forward(self, h: torch.Tensor, delta_t: torch.Tensor) -> torch.Tensor:
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dt = delta_t.float().unsqueeze(-1)
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return self.net(torch.cat([h, dt], dim=-1))
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# ── Phase-1 supervised head ──────────────────────────────────────────────────
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class SupervisedHead(nn.Module):
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"""Small MLP trained on frozen HEPA embeddings to predict next-period realized vol."""
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def __init__(self, d_model: int):
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super().__init__()
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self.net = nn.Sequential(
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nn.Linear(d_model, d_model // 2), nn.GELU(),
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nn.Linear(d_model // 2, 1),
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)
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def forward(self, h: torch.Tensor) -> torch.Tensor:
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return self.net(h).squeeze(-1)
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# ── Data ─────────────────────────────────────────────────────────────────────
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def build():
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"""Year-based split: encoder trains on ≤2021; probe evaluates on ≥2022 OOS.
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Uses eurusd_hourly.parquet when USE_HOURLY=True and the file exists;
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falls back to eurusd_daily.parquet otherwise.
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"""
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import os
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hourly_path = "data/processed/eurusd_hourly.parquet"
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daily_path = "data/processed/eurusd_daily.parquet"
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if USE_HOURLY and os.path.exists(hourly_path):
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df = pd.read_parquet(hourly_path).reset_index(drop=True)
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df["date"] = pd.to_datetime(df["datetime"])
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else:
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df = pd.read_parquet(daily_path).reset_index(drop=True)
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df["date"] = pd.to_datetime(df["date"])
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feats = df[["ret", "realized_vol"]].to_numpy(np.float32)
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target = df["realized_vol"].to_numpy(np.float32)
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tr_idx = df.index[df["date"].dt.year <= 2021].tolist()
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te_idx = df.index[df["date"].dt.year >= 2022].tolist()
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mu = feats[:tr_idx[-1]+1].mean(0)
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sd = feats[:tr_idx[-1]+1].std(0) + 1e-8
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fn = (feats - mu) / sd
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def windows(idx):
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X, y = [], []
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for t in idx:
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if t - WINDOW >= 0 and t + 1 < len(df):
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X.append(fn[t - WINDOW:t]); y.append(target[t + 1])
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return np.stack(X).astype(np.float32), np.array(y, np.float32)
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return windows(tr_idx), windows(te_idx)
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# ── Training ──────────────────────────────────────────────────────────────────
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def main():
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(Xtr, ytr), (Xte, yte) = build()
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n_feats = Xtr.shape[2]
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n_patches = WINDOW // PATCH_LEN
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N_tr = len(Xtr)
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bs = min(BATCH_SIZE, N_tr)
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enc = CausalEncoder(n_feats, PATCH_LEN, D_MODEL, N_HEADS, DEPTH).to(dev)
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pred = HorizonPredictor(D_MODEL).to(dev)
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opt = torch.optim.AdamW(list(enc.parameters()) + list(pred.parameters()), lr=LR)
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for ep in range(EPOCHS):
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# Random mini-batch (avoids OOM on large hourly dataset)
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idx_b = torch.randperm(N_tr)[:bs]
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Xb = torch.tensor(Xtr[idx_b.numpy()], device=dev)
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# Sample random context position and horizon
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c = torch.randint(0, n_patches - 1, ()).item()
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dt = torch.randint(1, max(2, min(DELTA_T_MAX, n_patches - 1 - c) + 1), ()).item()
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tokens = enc(Xb) # (bs, N, D)
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h_ctx = tokens[:, c, :] # context embedding
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h_tgt = tokens[:, c + dt, :] # target embedding (joint training)
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h_hat = pred(h_ctx, torch.full((bs,), float(dt), device=dev))
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loss = vicreg_loss(h_hat, h_tgt, alpha=ALPHA)
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opt.zero_grad(); loss.backward(); opt.step()
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enc.eval()
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with torch.no_grad():
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def embed(X_np):
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chunks = []
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for i in range(0, len(X_np), bs):
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t = torch.tensor(X_np[i:i+bs], device=dev)
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chunks.append(enc(t)[:, -1, :].cpu().numpy())
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return np.concatenate(chunks, axis=0)
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Etr = embed(Xtr)
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Ete = embed(Xte)
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# Ridge probe: fit on train, evaluate on OOS (true OOS R²)
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mu_e = Etr.mean(0); sd_e = Etr.std(0) + 1e-8
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Etr_n = (Etr - mu_e) / sd_e
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Ete_n = (Ete - mu_e) / sd_e
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A = np.hstack([Etr_n, np.ones((len(Etr_n), 1))])
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w = np.linalg.solve(A.T @ A + 1e-3 * np.eye(A.shape[1]), A.T @ ytr)
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pred_np = np.hstack([Ete_n, np.ones((len(Ete_n), 1))]) @ w
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ss_res = ((yte - pred_np) ** 2).sum()
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ss_tot = ((yte - yte.mean()) ** 2).sum()
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val_vol_r2 = float(1 - ss_res / ss_tot)
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# Phase-1: MLP supervised head on frozen embeddings
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# Standardise targets so the head trains on unit-scale signals.
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ytr_mu = float(ytr.mean()); ytr_sd = float(ytr.std()) + 1e-8
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ytr_z = (ytr - ytr_mu) / ytr_sd
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head = SupervisedHead(D_MODEL).to(dev)
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head_opt = torch.optim.Adam(head.parameters(), lr=PHASE1_LR, weight_decay=1e-4)
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Etr_t = torch.tensor(Etr_n, device=dev)
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ytr_t = torch.tensor(ytr_z, device=dev)
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Ete_t = torch.tensor(Ete_n, device=dev)
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p1_bs = min(BATCH_SIZE, len(Etr_t))
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N_tr_h = len(Etr_t)
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# Real epoch iteration: shuffle full dataset each epoch
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for _ in range(PHASE1_EPOCHS):
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perm = torch.randperm(N_tr_h, device=dev)
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for start in range(0, N_tr_h, p1_bs):
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idx_h = perm[start:start + p1_bs]
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loss_h = F.mse_loss(head(Etr_t[idx_h]), ytr_t[idx_h])
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head_opt.zero_grad(); loss_h.backward(); head_opt.step()
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head.eval()
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with torch.no_grad():
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pred_h_z = head(Ete_t).cpu().numpy()
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pred_h = pred_h_z * ytr_sd + ytr_mu # de-standardise
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phase1_r2 = float(1 - ((yte - pred_h) ** 2).sum() / ss_tot)
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print("phase1_r2 = %.4f (n_test=%d)" % (phase1_r2, len(yte)))
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json.dump({
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"val_vol_r2": val_vol_r2, "phase1_r2": phase1_r2, "n_test": len(yte),
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"knobs": {"WINDOW": WINDOW, "PATCH_LEN": PATCH_LEN,
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"D_MODEL": D_MODEL, "DEPTH": DEPTH, "ALPHA": ALPHA,
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"DELTA_T_MAX": DELTA_T_MAX, "EPOCHS": EPOCHS},
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}, open("metrics.json", "w"), indent=2)
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print("val_vol_r2 = %.4f (n_test=%d, dev=%s)" % (val_vol_r2, len(yte), dev))
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# ── EXPORT BLOCK — do NOT edit (agent boundary) ──────────────────────────
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# Set EXPORT_EMBEDDINGS=1 to write embeddings.json for the Go eval harness.
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import os
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if os.environ.get("EXPORT_EMBEDDINGS") == "1":
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hourly_path2 = "data/processed/eurusd_hourly.parquet"
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daily_path2 = "data/processed/eurusd_daily.parquet"
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if USE_HOURLY and os.path.exists(hourly_path2):
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df2 = pd.read_parquet(hourly_path2).reset_index(drop=True)
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df2["date"] = pd.to_datetime(df2["datetime"])
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else:
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df2 = pd.read_parquet(daily_path2).reset_index(drop=True)
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df2["date"] = pd.to_datetime(df2["date"])
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tr_mask = df2["date"].dt.year <= 2021
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feats2 = df2[["ret", "realized_vol"]].to_numpy(np.float32)
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mu2 = feats2[tr_mask].mean(0); sd2 = feats2[tr_mask].std(0) + 1e-8
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fn2 = (feats2 - mu2) / sd2
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def _export_windows(year_mask):
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idx = df2.index[year_mask].tolist()
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Xs, dates, rvs = [], [], []
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for t in idx:
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if t - WINDOW >= 0 and t + 1 < len(df2):
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Xs.append(fn2[t - WINDOW:t])
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dates.append(str(df2["date"].iloc[t].date()))
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rvs.append(float(df2["realized_vol"].iloc[t + 1]))
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if not Xs:
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return [], [], []
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Xa = np.stack(Xs)
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chunks = []
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with torch.no_grad():
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for i in range(0, len(Xa), bs):
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chunks.append(enc(torch.tensor(Xa[i:i+bs], device=dev))[:, -1, :].cpu().numpy())
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E = np.concatenate(chunks, axis=0).tolist()
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return E, dates, rvs
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Etr2, dates_tr, rv_tr = _export_windows(tr_mask)
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Eoos, dates_oos, rv_oos = _export_windows(df2["date"].dt.year >= 2022)
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hv_thr = float(np.percentile(rv_oos, 67))
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hv_label = [1 if v >= hv_thr else 0 for v in rv_oos]
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json.dump({"embeddings": Eoos, "dates": dates_oos,
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"realized_vol": rv_oos, "hv_label": hv_label,
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"train_embeddings": Etr2, "train_realized_vol": rv_tr},
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open("embeddings.json", "w"))
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print("exported embeddings.json train=%d oos=%d HV=%d/%d" % (
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len(Etr2), len(Eoos), sum(hv_label), len(hv_label)))
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# ── END EXPORT BLOCK ─────────────────────────────────────────────────────
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if __name__ == "__main__":
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main()
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