2026-08-24 17:10:57 +07:00
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# CHANGELOG.md
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All notable changes to this research repository are recorded here.
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The format follows a light research-change convention:
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`[phase] date — description`
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2026-08-24 18:38:38 +07:00
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### Goals
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- Add frozen E1–E8 pre-registered experiment runner (`scripts/run_e1_e8.py`).
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- Execute the frozen E1–E8 protocol on the synthetic benchmark dataset.
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- Produce reproducible evidence artifacts (git-ignored `results/`).
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### Executed (2026-08-24, pre-experiment commit `3fbd268`, config hash `ef1e3fd5...`)
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- Ran E1–E8 zero-optimization measurement on the frozen synthetic 3000-bar XAUUSD M15 series.
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- Artifacts remain under `results/` (`E1-E8_MANIFEST.json`, `E1-E8_RESULTS.csv`, `E1-E8_SUMMARY.md`,
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per-experiment JSON/CSV, cost-sensitivity and segment tables).
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### Result status (abbreviated)
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- ARIMA vs naive: **FAIL** (MASE 1.078, negative net expectancy).
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- SAX vs naive: **FAIL** (MASE 1.353, neg net).
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- Hybrid vs ARIMA / vs SAX: degenerate paired diff (direction shared), aggregate net negative.
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- Agreement vs disagreement: inconclusive (both non-positive).
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- Robustness: not stable across 3 chrono segments.
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- Scientific conclusion on synthetic benchmark: **INCONCLUSIVE** (no incremental information shown).
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2026-08-24 17:10:57 +07:00
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**Goal of this change:** build the reproducible ARIMA-vs-SAX-vs-Hybrid research
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harness with strict chronological validation and no-lookahead guarantees.
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### Added
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- Repository governance and protocol documents (`README`, `RESEARCH_PROTOCOL`,
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`ARCHITECTURE`, `VALIDATION_PROTOCOL`, `LICENSE`).
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- Initial Python source tree (research harness, no live trading):
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- common target (`Forward Return / ATR`), forecast record interface
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- baselines (naive + drift)
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- SAX component (z-norm, PAA, SAX encoding, analog search, MINDIST)
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- ARIMA component (statsmodels-backed, configurable `(p,d,q)`)
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- hybrid evidence layer (deterministic state classification)
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- data integrity checks
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- forecast/distribution/economic metric evaluators
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- chronological walk-forward validation driver
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- pipeline orchestration -> structured records
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- Initial test tree (unit, no-lookahead, integration).
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- Default frozen configuration (`configs/default.json`).
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- Research log schema (see `src/forecasting/record.py`).
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### Notes
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- No performance claims are made.
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- No live trading / execution code is included at this stage.
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- No parameter optimization was performed.
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