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11 days ago
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Add Deribit DVOL implied-volatility features as a training option
DVOL is the options market's 30-day expectation of BTC volatility, which the price series does not contain. scripts/fetch_dvol.py downloads the full hourly history (48,832 hours from March 2021, no gaps). src/volatility.add_implied_features derives five scale-free features: DVOL against its 90-day median, against realised 24h volatility (variance risk premium) and against the regime threshold, and its 6h and 24h changes. In a quick logistic check on the regime target, adding them raised hold-out accuracy from 72.6% to 73.9% and ROC-AUC from 0.786 to 0.799. The VAE+Transformer is retrained with --dvol on Colab to test it properly; the existing 33 features and the live model are unchanged. Co-Authored-By: Claude Opus 5.5 <noreply@anthropic.com>69a7f91