LifetimePD

Variet/LifetimePD

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Author	SHA1	Message	Date
Variet Agent	93887f49dd	refactor(macro): sign-consistent re-analysis, rate DIFF only - Removed CORP_AA_LOGR (log of rate = problematic near zero) - Rate variables restricted to DIFF only (no LOG/PCT/LOGR) - Added economic sign consistency checks for all 45 features - New optimal 3-var: CREDIT_SPREAD_LAG1, IPI_LAG1, EXPORT_DIFF - All coefficient signs economically consistent - R²=0.586 (trade-off: lower R² but correct economics) - Added IPI + EXPORT to ECOS queries and fallback data - Zt restricted to 2000-2025 in analysis (26 obs) - Pipeline 8/8 validation pass	2026-03-11 07:17:33 +09:00
Variet Agent	811d6ee843	feat(macro): comprehensive variable exploration, R²=0.028→0.747 - New: data/macro_analysis.py (15 base × 6 transforms = 116 candidates) - Top correlations: CORP_AA_LOGR(r=-0.75), credit spread, term spread - Exhaustive 3-var search (1749 combos), best adj.R²=0.71 - Modified: data/macro_data.py - Added GOVT_3Y, CORP_AA, CORP_BBB ECOS queries + fallback data - New: compute_derived_features() for optimal 3 predictors - Modified: main.py - Computes derived features + passes combined input to stepwise - Scenario paths now include derived features for prediction - Selected 3 variables: CORP_AA_LOGR, CPI_GROWTH, CREDIT_SPREAD_LAG1 - All 8/8 validation tests pass (incl. R² now Pass)	2026-03-11 06:55:02 +09:00

Author

SHA1

Message

Date

Variet Agent

93887f49dd

refactor(macro): sign-consistent re-analysis, rate DIFF only

- Removed CORP_AA_LOGR (log of rate = problematic near zero)
- Rate variables restricted to DIFF only (no LOG/PCT/LOGR)
- Added economic sign consistency checks for all 45 features
- New optimal 3-var: CREDIT_SPREAD_LAG1, IPI_LAG1, EXPORT_DIFF
  - All coefficient signs economically consistent
  - R²=0.586 (trade-off: lower R² but correct economics)
- Added IPI + EXPORT to ECOS queries and fallback data
- Zt restricted to 2000-2025 in analysis (26 obs)
- Pipeline 8/8 validation pass

2026-03-11 07:17:33 +09:00

Variet Agent

811d6ee843

feat(macro): comprehensive variable exploration, R²=0.028→0.747

- New: data/macro_analysis.py (15 base × 6 transforms = 116 candidates)
  - Top correlations: CORP_AA_LOGR(r=-0.75), credit spread, term spread
  - Exhaustive 3-var search (1749 combos), best adj.R²=0.71
- Modified: data/macro_data.py
  - Added GOVT_3Y, CORP_AA, CORP_BBB ECOS queries + fallback data
  - New: compute_derived_features() for optimal 3 predictors
- Modified: main.py
  - Computes derived features + passes combined input to stepwise
  - Scenario paths now include derived features for prediction
- Selected 3 variables: CORP_AA_LOGR, CPI_GROWTH, CREDIT_SPREAD_LAG1
- All 8/8 validation tests pass (incl. R² now Pass)

2026-03-11 06:55:02 +09:00

2 Commits