ARIMA_SAX_Hybrid_Forecaster/DEFECT_LOG.md

DEFECT_LOG.md

Every discovered implementation defect is recorded here with its impact, fix commit, and re-run status. Original (invalid) evidence is preserved and never overwritten; corrected runs are clearly re-labelled.

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DEFECT-001 — SAX candidate windows not z-normalized (frozen analog path)

Status: FIXED (commit ff95e11), re-run completed.

Discovery

During R1 (real-data transfer), the fast SAX path (which z-normalizes candidate windows, matching the SAX reference methodology) was validated against the frozen SaxAnalogForecaster. The equivalence check FAILED: frozen output was constant across forecast origins (e.g. identical median outcome and selected analog set j = [23..32] at every origin), while the fast path produced origin-dependent analog selection.

Root cause

In src/sax/analog.py the candidate windows were encoded as:

cand = close[j - W + 1:j + 1]
cand_word = sx.sax_encode(cand, ...)   # NOT z-normalized

The query pattern was z-normalized, but the candidate windows were not. SAX breakpoints are only valid for z-normalized series; encoding raw levels collapses almost all candidate windows to the same symbol sequence, so mindist_midpoints returns a near-constant distance for every candidate. argsort then always selects the first top_k candidates (the earliest bars), yielding identical, origin-independent outcomes.

Impact

• All SAX component outputs and all ARIMA+SAX Hybrid outputs produced before this fix are INVALID.
• Specifically affected evidence: E1–E8 synthetic benchmark (SAX and Hybrid rows), any prior SAX unit/integration checks that relied on analog selection.
• NOT affected: Naive and Drift baselines, ARIMA component, hybrid state classification logic itself, walk-forward machinery, no-lookahead guards.

Fix

src/sax/analog.py now z-normalizes candidate windows before SAX encoding (identical to the reference methodology and to the validated fast path):

cand = sx.z_normalize(close[j - W + 1:j + 1])
cand_word = sx.sax_encode(cand, ...)

A regression test (tests/test_sax_analog_zscore.py) asserts that analog selection is origin-dependent and that identical windows yield zero distance while perturbed windows yield larger distances.

Evidence re-run policy

Per the frozen governance: the affected experiments are re-run from the beginning after the fix. Old result artifacts are preserved and marked INVALID (DEFECT-001) in the relevant summary/manifest files.

Re-run status

• R1 (real XAUUSDc M1/M5/M15) — re-run after fix (this session)
• E1–E8 synthetic benchmark — SAX/Hybrid rows regenerated after fix (ARIMA/Naive rows unchanged and remain valid)