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kemal
e3176e29c9
fit() trained every head on every consecutive grid row. At the 1 d horizon on
a 5-minute grid adjacent pairs share 287 of their 288 samples, so the filter
was handed the same outcome 288 times and RLS with forgetting read each one as
fresh evidence:
horizon steps overlap independent events in a 400-score window
15m 3 66.7% 133.3
1h 12 91.7% 33.3
3h 36 97.2% 11.1
6h 72 98.6% 5.6
12h 144 99.3% 2.8
1d 288 99.7% 1.4
The day-ahead head was therefore fitted on roughly two independent outcomes by
a filter carrying 667 updates of memory, and its interval was a 90th percentile
of a sample of size one.
This is not a compute shortcut that trades accuracy for speed. Measured
walk-forward on four days of real station data and averaged over five train
splits, striding improves every horizon past fifteen minutes:
15m +0.6% 1h -12.2% 3h -31.7% 6h -33.3% 12h -39.5% 1d -14.4%
with coverage unchanged at 87 to 92%, and the fit 11.6x faster. The redundancy
was not merely wasted work, it was collapsing P onto the one direction the
repeated sample excited.
The stride phase rotates each refit and is persisted, so a long-lived station
eventually trains on every offset rather than seeing one sample in 288 forever,
and a restart does not pin it to phase 0. A floor relaxes the stride when a
long horizon on a short record would otherwise yield one or two pairs; 12 was
chosen by sweeping it across five splits rather than picked.
Single-split runs showed 10 to 17% regressions at the 1 d horizon that moved
with the parameter. Averaging over five splits removed them, which is the
expected result for a head fitted and scored on under two independent
outcomes. That horizon cannot be evaluated on a four-day record and was not
tuned against.
Incidentally, this also retires the parallel-retrain idea: the Pi's 42 s
retrain becomes a few seconds, and multiprocessing inside a 280 MB cap buys
nothing for a job that short.