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12 days ago
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Size the live price range with a HAR blend of day, week and month
scripts/backtest_range_upgrades.py tested four upgrades walk-forward on 2023 - Sep 2026. Only the HAR blend (Corsi 2009) won: a log-linear mix of the last day, week and month of seasonally adjusted variance, fitted per horizon, improved the 80% interval score by 1.9/1.3/1.4/2.2% at 1/6/24/72h (all p < 0.001, Diebold-Mariano) with 50/80/95% coverage kept. A high/low range estimator, asymmetric quantiles and adaptive conformal widths did not help. The live fit now learns the HAR weights each quarter; forecasts fall back to the one-week volatility for older params or a frame shorter than a month. The card's backtest line now reports the HAR record. Also the Fear & Greed timing study (the index follows price: r = 0.59 one way, 0.01 the other) and a position-sizing backtest (volatility-managed exposure did not beat buy-and-hold over 2023-2026). Co-Authored-By: Claude Opus 5.5 <noreply@anthropic.com>9782da2