marketstudies-forward-rv

MarketStudies Study 2 forward realized-variance model

Selected model: ols_compact.

What this checkpoint is

This is a deployment refit of the exact specification selected by the completed Study 2 embargoed walk-forward experiment. It was fit on every complete-case row in the compact panel after model selection. Its in-sample refit diagnostics are integrity checks, not out-of-sample evidence. Model quality claims come only from the frozen walk-forward artifacts summarized below.

OLS has no tunable hyperparameters or boosting rounds. The latest completed outer-fold year (2026) is retained only as provenance for the completed selection record in selected_specification.json.

Inputs and output

• Numeric features, in order: log_ewma_rv_10, log_iv_benchmark_30d_annualized_variance
• Complete-case refit rows: 45,688
• Tickers represented: 19
• Output: one point forecast of next-21-session log annualized variance.
• Missing values are not imputed.

See feature_schema.json, category_levels.json when present, and model_index.json for the machine-readable inference contract.

Frozen OOS selection evidence

• Mean per-ticker OOS MAE: 0.319758
• Mean per-ticker OOS Spearman IC: 0.72056
• OOS R² versus train mean: 0.575354
• OOS RMSE: 0.427715

Primary Study 2 selection minimized equal-weighted mean per-ticker OOS MAE in log variance. IC and level metrics were guardrails or diagnostics.

Intended use and limitations

The model forecasts future realized variance; it is not itself a trading recommendation. Any options strategy must separately compare the forecast distribution with contemporaneous tradable option prices, transaction costs, liquidity, constraints, and risk limits. The source listed-option surface uses completed daily trade aggregates and carries the assumptions documented by Study 2. Regime shifts, ticker changes, unseen categories, and data-quality changes can invalidate deployment behavior.

No proprietary source rows, row-level predictions, credentials, or environment files are included in this repository.

Integrity

Every payload file is size- and SHA-256-indexed by checkpoint_manifest.json. Publishing refuses an unverified or unhashed bundle.