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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