jgrusewski
db874b1841
feat(foxhuntq): Phase 1c snapshot-resolution alpha + leakage fix + variable-dim fxcache
...
Three things landing atomically because they're load-bearing for each other:
1. **Trend-scanning leakage fix** — trend_scanning.rs was emitting OLS slope+t-stat
over a *forward* window [t, t+L]. With the Phase 1a label = sign(price[t+60]
− price[t]), the forward feature window overlaps the label window, contaminating
it. Purged walk-forward only sterilizes forward-looking *labels* that cross
the train/val split, not forward-looking *features* that peek inside the same
horizon the label measures. The leak inflated MLP accuracy from 0.49
(legacy 74-dim baseline) to 0.75 — vanished to 0.50 after switching to a
trailing window. Bounded the perfect-fit t-stat sentinel from ±1e6 → ±20
(p<1e-30 is already meaningless); eliminated the 16k corruption-cap drops.
2. **Variable-dim alpha column** — fxcache schema now carries the alpha-feature
width via metadata (`alpha_feature_dim`), not a compile-time constant. Same
on-disk format hosts the 134-dim bar-level stack OR the 81-dim snapshot stack.
Reader + auto-detect honor the metadata-declared dim; downstream MLP auto-sizes
`in_dim`. Single schema, no forks.
3. **Snapshot pipeline (Phase 1c falsification)** — `snapshot_pipeline.rs`: 81-dim
per-MBP10-snapshot extractor reusing 10 snapshot-native alpha blocks + 6 new
snapshot-specific features (time-since-trade, time-since-snap, event-rate,
spread-bps, L1-imbalance, microprice-mid drift). `precompute_features` gets
`--row-unit snapshot` flag; emits one fxcache row per LOB update (1.97M rows
from MBP-10 data vs 206K for bar mode).
**Smoke verdict on real data** (ES.FUT, 1.97M snapshots, 384K val):
- Bar-level honest alpha: accuracy=0.5005, AUC=0.5043 (no signal)
- **Snapshot-level alpha**: accuracy=0.5241, AUC=0.6849 (real signal, 384K val)
- GBM corroboration: accuracy=0.5401 (non-linear partitioning sees more)
- Horizon decay: alpha peaks at K=20-50 snapshots (~5-25ms), gone by K=500
- Regime-conditional: spread-Q4 quintile hits 0.752 accuracy on 76k samples
Co-Authored-By: Claude Opus 4.7 <noreply@anthropic.com >
2026-05-15 01:01:15 +02:00
..
2026-05-06 15:05:34 +02:00
2026-03-02 15:41:23 +01:00
2026-03-15 12:00:13 +01:00
2026-03-15 12:00:13 +01:00
2026-03-15 12:00:13 +01:00
2026-03-15 12:00:13 +01:00
2026-03-15 12:00:13 +01:00
2026-03-15 12:00:13 +01:00
2026-03-15 12:00:13 +01:00
2026-04-11 11:54:09 +02:00
2026-03-29 21:32:04 +02:00
2026-03-15 12:00:13 +01:00
2026-05-08 03:30:44 +02:00
2026-03-13 10:30:51 +01:00
2026-03-15 12:00:13 +01:00
2026-03-13 10:18:35 +01:00
2026-04-11 11:54:09 +02:00
2026-04-11 11:54:09 +02:00
2026-03-15 12:00:13 +01:00
2026-04-11 11:54:09 +02:00
2026-03-13 10:18:35 +01:00
2026-03-19 10:02:26 +01:00
2026-04-11 11:54:09 +02:00
2026-04-11 11:54:09 +02:00
2026-03-13 10:18:35 +01:00
2026-03-13 10:18:35 +01:00
2026-04-11 11:54:09 +02:00
2026-04-11 11:54:09 +02:00
2026-03-19 10:02:26 +01:00
2026-04-28 18:54:00 +02:00
2026-04-27 17:52:23 +02:00
2026-03-13 10:18:35 +01:00
2026-04-11 11:54:09 +02:00
2026-04-11 11:54:09 +02:00
2026-03-15 12:00:13 +01:00
2026-03-15 12:00:13 +01:00
2026-03-15 12:00:13 +01:00
2026-03-15 12:00:13 +01:00
2026-03-19 10:02:26 +01:00
2026-03-19 08:55:55 +01:00
2026-03-15 12:00:13 +01:00
2026-03-19 10:02:26 +01:00
2026-04-24 01:55:14 +02:00
2026-03-15 12:00:13 +01:00
2026-03-15 12:00:13 +01:00
2026-04-01 01:13:19 +02:00
2026-03-25 09:45:54 +01:00
2026-04-28 18:54:00 +02:00
2026-04-11 11:54:09 +02:00
2026-04-11 11:54:09 +02:00
2026-03-13 10:18:35 +01:00
2026-03-31 01:30:33 +02:00
2026-03-31 01:30:33 +02:00
2026-04-24 01:55:14 +02:00
2026-04-28 18:54:00 +02:00
2026-04-11 11:54:09 +02:00
2026-03-19 10:02:26 +01:00
2026-04-28 18:54:00 +02:00
2026-04-11 11:54:09 +02:00
2026-03-16 21:01:28 +01:00
2026-03-16 21:01:28 +01:00
2026-03-15 12:00:13 +01:00
2026-03-15 12:00:13 +01:00
2026-03-13 10:18:35 +01:00
2026-04-11 15:21:21 +02:00
2026-03-31 10:56:20 +02:00
2026-04-28 18:54:00 +02:00
2026-04-11 11:54:09 +02:00
2026-04-11 11:54:09 +02:00
2026-03-25 09:45:54 +01:00
2026-03-29 21:32:04 +02:00
2026-03-13 10:18:35 +01:00
2026-03-15 12:00:13 +01:00
2026-03-31 01:30:33 +02:00
2026-04-20 15:29:05 +02:00
2026-03-13 10:18:35 +01:00
2026-03-15 12:00:13 +01:00
2026-03-15 12:00:13 +01:00
2026-05-15 01:01:15 +02:00
2026-05-12 22:51:20 +02:00
2026-05-10 08:56:19 +02:00
2026-03-25 09:45:54 +01:00
2026-03-19 10:02:26 +01:00
2026-03-31 10:56:20 +02:00
2026-03-13 10:18:35 +01:00
2026-03-31 01:30:33 +02:00
2026-03-13 10:18:35 +01:00
2026-03-13 10:18:35 +01:00
2026-03-15 12:00:13 +01:00
2026-03-13 10:18:35 +01:00
2026-03-13 10:18:35 +01:00
2026-03-13 10:18:35 +01:00
2026-03-19 10:02:26 +01:00
2026-03-13 10:18:35 +01:00
2026-03-19 10:02:26 +01:00
2026-03-13 10:18:35 +01:00
2026-03-15 12:00:13 +01:00
2026-03-15 12:00:13 +01:00
2026-03-13 10:18:35 +01:00
2026-03-19 08:59:52 +01:00
2026-03-20 15:41:42 +01:00
2026-03-19 10:02:26 +01:00
2026-03-18 00:53:47 +01:00
2026-03-13 10:18:35 +01:00
2026-03-19 10:02:26 +01:00
2026-04-01 01:13:19 +02:00
2026-03-15 12:00:13 +01:00
2026-03-13 10:18:35 +01:00
2026-03-13 10:18:35 +01:00
2026-04-28 09:10:31 +02:00
2026-03-15 12:00:13 +01:00
2026-05-09 14:45:20 +02:00
2026-04-28 09:23:32 +02:00
2026-03-15 12:00:13 +01:00
2026-03-15 12:00:13 +01:00
2026-04-20 15:29:05 +02:00
2026-04-11 11:54:09 +02:00
2026-04-11 11:54:09 +02:00
2026-04-11 11:54:09 +02:00
2026-04-11 11:54:09 +02:00
2026-04-11 11:54:09 +02:00
2026-04-11 11:54:09 +02:00
2026-04-11 11:54:09 +02:00
2026-03-19 10:02:26 +01:00
2026-03-19 08:59:52 +01:00
2026-03-13 10:18:35 +01:00
2026-03-13 10:18:35 +01:00
2026-03-13 10:18:35 +01:00
2026-03-13 10:18:35 +01:00
2026-03-19 10:02:26 +01:00
2026-04-11 15:21:21 +02:00
2026-03-19 10:02:26 +01:00
2026-03-19 10:02:26 +01:00
2026-03-15 12:00:13 +01:00
2026-03-15 12:00:13 +01:00
2026-03-19 10:02:26 +01:00
2026-04-23 08:44:05 +02:00
2026-03-13 10:18:35 +01:00
2026-03-13 10:18:35 +01:00
2026-04-23 08:44:05 +02:00
2026-04-02 14:21:45 +02:00
2026-03-13 10:18:35 +01:00
2026-04-11 11:54:09 +02:00
2026-03-19 08:59:52 +01:00
2026-03-15 12:00:13 +01:00
2026-03-13 10:18:35 +01:00
2026-03-15 12:00:13 +01:00
2026-03-19 10:02:26 +01:00
2026-03-19 10:02:26 +01:00
2026-03-19 10:02:26 +01:00
2026-04-11 11:54:09 +02:00
2026-03-13 10:18:35 +01:00
2026-04-28 18:54:00 +02:00
2026-03-13 10:18:35 +01:00
2026-03-13 10:18:35 +01:00
2026-03-19 10:02:26 +01:00
2026-03-15 12:00:13 +01:00
2026-03-13 10:18:35 +01:00
2026-03-19 08:55:55 +01:00
2026-03-13 10:18:35 +01:00
2026-05-09 13:38:48 +02:00
2026-03-15 12:00:13 +01:00
2026-04-11 11:54:09 +02:00
2026-03-13 10:18:35 +01:00
2026-03-13 10:18:35 +01:00
2026-03-13 10:18:35 +01:00
2026-03-19 10:02:26 +01:00
2026-05-03 09:52:33 +02:00
2026-03-19 10:02:26 +01:00
2026-05-05 10:52:13 +02:00
2026-05-03 11:34:21 +02:00
2026-05-04 11:51:30 +02:00
2026-05-04 19:32:18 +02:00
2026-05-05 14:45:47 +02:00
2026-05-05 14:09:48 +02:00
2026-05-09 10:43:11 +02:00
2026-05-10 08:56:19 +02:00
2026-05-08 23:02:35 +02:00
2026-05-09 01:36:52 +02:00
2026-05-09 11:05:03 +02:00
2026-05-09 02:09:25 +02:00
2026-05-09 11:25:50 +02:00
2026-05-09 01:47:48 +02:00
2026-05-09 18:25:08 +02:00
2026-05-10 20:35:39 +02:00
2026-05-09 19:09:06 +02:00
2026-05-10 20:13:13 +02:00
2026-05-09 23:59:49 +02:00
2026-05-10 08:56:19 +02:00
2026-05-10 02:22:15 +02:00
2026-05-09 20:37:05 +02:00
2026-05-10 20:35:39 +02:00
2026-05-09 19:46:17 +02:00
2026-05-10 22:12:07 +02:00
2026-03-19 10:02:26 +01:00
2026-03-21 09:14:53 +01:00
2026-04-10 18:52:21 +02:00
2026-03-19 08:59:52 +01:00
2026-03-19 10:02:26 +01:00
2026-03-15 12:00:13 +01:00
2026-03-19 08:44:50 +01:00
2026-03-19 10:02:26 +01:00
2026-03-15 12:00:13 +01:00
2026-03-15 12:00:13 +01:00
2026-03-19 10:02:26 +01:00
2026-03-13 10:18:35 +01:00
2026-03-19 08:44:50 +01:00
2026-03-15 12:00:13 +01:00
2026-03-19 10:02:26 +01:00
2026-03-19 10:02:26 +01:00
2026-03-19 08:44:50 +01:00
2026-03-19 08:59:52 +01:00
2026-03-16 16:11:48 +01:00
2026-03-14 11:35:15 +01:00
2026-04-11 15:21:21 +02:00
2026-04-11 11:54:09 +02:00
2026-03-13 10:18:35 +01:00
2026-03-15 12:00:13 +01:00
2026-03-15 12:00:13 +01:00
2026-03-15 12:00:13 +01:00
2026-04-04 10:02:37 +02:00
2026-04-11 11:54:09 +02:00
2026-04-11 11:54:09 +02:00
2026-03-15 12:00:13 +01:00
2026-03-15 12:00:13 +01:00
2026-03-13 10:18:35 +01:00
2026-03-19 10:02:26 +01:00