Experiment Spec: Phase 0 — SSL Feasibility Gate

Hypothesis

We believe that a masked autoencoder (MAE) trained on FX hourly time-series will produce latent embeddings that show structural separability by volatility regime without explicit regime labels, measurable by silhouette score > 0.20 on k-means clusters evaluated against a held-out realised-volatility regime label on 2023 data.

This hypothesis is FALSE if silhouette score ≤ 0.20 on the held-out evaluation.

Background

Before investing in JEPA-specific machinery, we need to confirm that self-supervised representation learning can find regime structure in FX time-series at all. If the simplest SSL method (MAE) cannot find structure, JEPA will not either — and the root cause needs to be understood before proceeding.

Also validates that TS-JEPA code is reproducible: first task is running TS-JEPA on the paper's own benchmark, not on FX data. If reproduction takes > 2 weeks, contact authors or fall back to implementing JEPA masking from V-JEPA codebase.

Added post Full Grill (2026-05-27). See DECISIONS.md: "Phase 0: SSL feasibility gate."

Design

Data

Source: DUKASCopy, EUR/USD hourly OHLCV
Train: 2008-01-01 – 2022-12-31
Held-out test: 2023-01-01 – 2023-12-31 (sealed until final evaluation)
Features: log-return (hourly), rolling 20-period realised HV, VIX (daily → hourly interpolation)
Regime label (evaluation only): rolling 30-day HV percentile; binary: top 50% = high-vol, bottom 50% = low-vol

Model

Architecture: 1D temporal Masked Autoencoder
- Encoder: 3-layer 1D CNN + positional encoding
- Decoder: 2-layer MLP reconstructing masked segment
Masking: contiguous temporal block (target); context window = 120h (5 days)
Loss: MSE reconstruction on masked segment

TS-JEPA reproduction task (runs in parallel / before MAE)

Reproduce TS-JEPA paper results on the authors' benchmark dataset
Go/no-go: if reproduction fails within 2 weeks → contact authors or pivot to V-JEPA adaptation

Baseline

PCA on raw feature vectors (same 120h context window, flattened)
Tests whether any dimensionality reduction finds regime structure; confirms SSL is adding something

Ablations

Masking horizon K ∈ {8h, 24h, 72h} — does context length affect embedding quality?

Acceptance Criteria

MAE silhouette score > 0.20 on held-out 2023 data (k-means k=3, vs. binary HV regime label)
MAE silhouette exceeds PCA baseline silhouette
Rerun ×3 within ±10% of reported silhouette (reproducibility)
PC1 / rolling-HV correlation < 0.95 (encoder is not purely encoding volatility level)
TS-JEPA reproduced on paper's benchmark within 2 weeks of start

Out of Scope

JEPA implementation (Phase 1)
Multi-pair training (Phase 1+)
VaR, ES, or any risk metric computation
Any data after 2022-12-31 (training); 2023 test set opened only for final evaluation
Hyperparameter search beyond the three masking horizons defined above

Null Result Protocol

If MAE silhouette ≤ 0.20 on held-out data:

Conclude: SSL-based regime detection is not straightforwardly feasible on EUR/USD hourly data with these three features
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
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
Record result in results/summaries/phase-0-null.md
Write failure mode to brain: brain_write wing=jepa-fx hall=failures

Risks

Risk	Canary	Mitigation
TS-JEPA code unreproducible	Benchmark result doesn't match paper within 2 weeks	Contact authors; fall back to V-JEPA adaptation
MAE encoder collapses	Reconstruction loss plateau in first 10 epochs; all embeddings near-identical	Add batch normalisation; reduce LR; check masking ratio
Regime label too coarse	Silhouette low even with visually structured embeddings	Also evaluate with 4-class HV quartile label
PC1 is just volatility	PC1/HV correlation > 0.95	Useful finding; record it; do not declare success

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