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27 days ago
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Selective forecasting on the volatility model: 78.46% at 57.8% coverage
Implements the method specified in the thesis notebook BTC_1Y_Regime_MetaLabel_Selective_Forecasting.ipynb, which had never been executed. Abstain where the score sits near the decision boundary, report accuracy only on the hours the model qualifies. Two rules keep it honest. Persistence is rescored on exactly the hours the model keeps, because abstaining on hard cases flatters any rule on what remains, so comparing reduced coverage against the full-sample 65.61% would prove nothing. And the operating point is fixed on a validation slice carved from each training fold before the test fold is touched. Accuracy against coverage, five purged folds, persistence on identical hours: 100% 70.75% vs 65.61% +5.14pp 5/5 folds 80% 74.83% vs 67.81% +7.03pp 5/5 60% 78.65% vs 70.67% +7.98pp 5/5 40% 81.54% vs 72.89% +8.66pp 5/5 20% 85.35% vs 75.10% +10.25pp 5/5 The margin widens as coverage falls. That is the result: accuracy alone would rise for any abs…4e6d472