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13 days ago
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Add Fed/CPI calendar features to the volatility regime model; new studies
- src/volatility.py: optional release-timing features (next release within 24h/6h, hours to next, hours since last), from the published calendar the live price-range forecaster already uses. Off by default; serving computes them so a model trained with --calendar can be deployed, while the live model keeps selecting its own 33 columns. - train_vae_transformer_artifacts.py: --calendar and --tag, so the experiment never overwrites the live artifact, plus the persistence baseline on the held-out rows in the metadata. - Hybrid ablation of the price range (Transformer, VAE, self- vs cross-attention news fusion) walk-forward against the live model. - Jobs report and PCE added to the macro event study; the jobs report tested as a calendar candidate for the price range (no gain, kept out). - Trump Truth Social posts timed to the minute against 5-minute BTC bars. - Side-by-side method diagram of the two live forecasts. Co-Authored-By: Claude Opus 5.5 <noreply@anthropic.com>03f6e95 -
Fix the price range three ways, validated walk-forward
Three fixes to the range forecast, each targeting one failure the plain backtest found, scored on every hour of 2023 to September 2026: fat tails empirical quantiles of standardised outcomes, replacing the normal: 50/80/95% ranges now hold 49-50/79-80/95% hour of week a variance factor per hour of the week, summed over the hours a range actually covers Fed/CPI hours a further factor for release hours and the two after; the dates are published ahead, so this is not look-ahead Walk-forward, not a single split: every quarter the fixes are refitted on the previous two years, ending 72h before the quarter so no training outcome overlaps it. The frozen 2019-2022 fit is kept for comparison, and walk-forward wins where it matters. The weekend factor fell from 0.65 in early 2023 to 0.42-0.44 through 2024-25: weekends got much quieter relative to weekdays after the ETFs, which a frozen fit cannot follow. At 1h the frozen fi…218a919