59 lines
No EOL
2 KiB
Markdown
59 lines
No EOL
2 KiB
Markdown
# VALIDATION_PROTOCOL.md
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## 1. Primary method: chronological walk-forward
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```
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training window
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-> forecast future observation/window
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-> observe actual outcome at origin+H
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-> advance origin
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-> repeat
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```
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supported windows: expanding, rolling, with configurable train length and horizon.
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All data used in a forecast is strictly before the forecast origin. The outcome
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is revealed only after the prediction is frozen (origin + H).
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## 2. Baselines
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| Variant | Description |
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| ------- | ----------- |
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| A | Naive (random-walk / last value), normalized zero-return where appropriate |
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| B | ARIMA only |
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| C | SAX only |
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| D | ARIMA + SAX |
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| E | Agreement-only filter |
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| F | Disagreement/uncertainty rejection |
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No variant may claim superiority unless it beats the same protocol baselines.
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## 3. Metrics
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- **Forecast**: MAE, RMSE, MASE (scale-aware), directional accuracy, calibration
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of directional probability.
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- **Distribution/Evidence**: analog count dist, interval widths, SAX p25-p75,
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ARIMA PI width, agreement/disagreement/no-edge/insufficient rates.
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- **Economic** (only after forecast metrics): gross/net expected return, expectancy,
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profit factor, max drawdown, Sharpe/Sortino where appropriate, trade frequency,
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turnover, cost sensitivity. Cost assumptions explicit.
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## 4. Ablation matrix and experiments
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E1: ARIMA > naive? E2: SAX > naive? E3: SAX + info beyond ARIMA?
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E4: ARIMA + info beyond SAX? E5: agreement -> improved conditional performance?
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E6: disagreement -> poor/unstable regime? E7: survives costs?
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E8: stability across walk-forward periods?
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Do not proceed to optimization before E1–E8 are answered.
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## 5. Reproducibility
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Every report records: commit, source version, config, symbol, timeframe, data range,
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data source, horizon `H`, model parameters, seeds, cost assumptions, validation
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protocol, artifacts.
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## 6. No-lookahead enforcement
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A single integration test drives the whole pipeline; it fails hard on any
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forward-contamination. A failing no-lookahead test is a **HARD STOP**. |