Claude/continue previous work vvwws6#346
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Adds examples/analyze_market.py with three modes: - forecast: probabilistic forecast with sample-path quantile bands, plot + CSV - backtest: walk-forward model evaluation (directional accuracy, MAE/RMSE/MAPE) plus a forecast-driven long/flat strategy vs buy-and-hold - signal: decision-support JSON report (trend, support/resistance, implied return, dispersion-based confidence) Supports local model/tokenizer dirs for offline use and configurable CSV column mapping. Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com> Claude-Session: https://claude.ai/code/session_01Snkpa9NxHpLnBphcE5Luy8
…_market Pulls daily OHLCV for US tickers/ETFs into the CSV schema analyze_market.py expects, sourcing stockanalysis.com with a Nasdaq API fallback. Enables running Kronos forecast/signal/backtest on live-fetched symbols like SPY and QQQ.
analyze_market backtest now reports grouped stats: directional (terminal + per-step accuracy, up/down precision, return correlation), accuracy (terminal MAPE mean/median/p90/worst, path MAPE, MAE/RMSE), bias (signed error, predicted vs actual return), strategy (win rate, profit factor, Sharpe, max drawdown), and naive baselines (buy-and-hold, majority-class direction). fetch_market_data gains an --interval flag for intraday bars (1m/5m/15m/30m/1h) via Alpha Vantage (--av-key / ALPHAVANTAGE_API_KEY), with --months for historical intraday. Daily remains keyless via stockanalysis/nasdaq.
Alpha Vantage moved intraday behind premium. Alpaca's free IEX feed provides 1m/5m/15m/30m/1h bars with generous rate limits via paper-trading keys. The fetcher now paginates via next_page_token for full history depth.
…ng symbols Adds fetch_alpaca_crypto() using the v1beta3 crypto endpoint, with auto-detection of crypto symbols and proper pagination. Output filenames now sanitize / characters so BTC/USD writes to BTCUSD_1h.csv instead of creating subdirectories.
New 'aggregate' mode forecasts N low-timeframe bars then rolls them up into candles at multiple aggregation levels (e.g. 5m -> 15m -> 30m -> 1h -> 2h), scoring each level on candle color (direction), close accuracy, high/low range error, and price-zone overlap (IoU). Tests whether the model reconstructs the coarser-timeframe candle's shape even when individual bars are noisy -- the 'does the paragraph match even if the words differ' framing.
- research/FINDINGS.md: frozen baseline grid, keeper specs, context grade, validated principles, debunked list, goal spec, loop state - engine.py: daily-bar backtest engine (next-open fills, stop/regime/hold support) - 26 study scripts: strategy suite, forensics, intraday scans, options sim, band-walk/trend-break studies, context dictionary, anomaly tests Co-Authored-By: Claude Fable 5 <noreply@anthropic.com> Claude-Session: https://claude.ai/code/session_01A6hZxScXSnjZkT7h87gMe8
…dies Co-Authored-By: Claude Fable 5 <noreply@anthropic.com> Claude-Session: https://claude.ai/code/session_01A6hZxScXSnjZkT7h87gMe8
Co-Authored-By: Claude Fable 5 <noreply@anthropic.com> Claude-Session: https://claude.ai/code/session_01A6hZxScXSnjZkT7h87gMe8
…t debunk Co-Authored-By: Claude Fable 5 <noreply@anthropic.com> Claude-Session: https://claude.ai/code/session_01A6hZxScXSnjZkT7h87gMe8
Co-Authored-By: Claude Fable 5 <noreply@anthropic.com> Claude-Session: https://claude.ai/code/session_01A6hZxScXSnjZkT7h87gMe8
…alidation Co-Authored-By: Claude Fable 5 <noreply@anthropic.com> Claude-Session: https://claude.ai/code/session_01A6hZxScXSnjZkT7h87gMe8
…nal, not directional
…(downside travels)
…track 2 untested)
…tries lose even in native habitat
…interaction Section 10 in FINDINGS.md. Key findings: - Down-down days recover 57% O→C, but first 30 min determines camp (70% bounce vs 33% flush) - Gap-fill probability scales linearly with magnitude (ladder quantified) - Adding down-down context to IBS doesn't improve it (decayed in 2021-26 half) - Not deployable as trades, but valuable as descriptive market laws Co-Authored-By: Claude Opus 4.6 <noreply@anthropic.com> Claude-Session: https://claude.ai/code/session_01A6hZxScXSnjZkT7h87gMe8
Entry 75.22 (7/14), exit est 71.23 (7/22 open - 2bp slip). Worst mark -10.2% on 7/20. Two consecutive A-sleeve losses. Co-Authored-By: Claude Opus 4.6 <noreply@anthropic.com> Claude-Session: https://claude.ai/code/session_01A6hZxScXSnjZkT7h87gMe8
TQQQ gapped down from 71.37 close to 69.77 open on exit day. Actual fill 69.77 - 2bp = 69.63, ret = -7.43%. Co-Authored-By: Claude Opus 4.6 <noreply@anthropic.com> Claude-Session: https://claude.ai/code/session_01A6hZxScXSnjZkT7h87gMe8
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