Sync README.md
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README.md
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@@ -58,64 +58,17 @@ While traditional academic financial machine learning has historically relied on
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## π¬
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Financial time series exhibit extreme entropy with very low Signal-to-Noise Ratios ($SNR < 0.05$). Under standard semi-strong market efficiency,
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$$
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- **Total Loss Floor**: Decreased monotonically to **`0.3273`**.
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- **Directional Loss**: Penetrated down to **`0.6545`** (decisively breaking below the 0.6931 random barrier).
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- **Multi-Horizon Directional Accuracy**:
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- **Overall Aggregate**: **`58.9% β 69.6%`**
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- **1-Minute Horizon**: **`75.0% β 87.5%`** (Peaks at `100.0%`)
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- **5-Minute Horizon**: **`62.5% β 75.0%`** (Peaks at `100.0%`)
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- **15-Minute Horizon**: **`75.0%`**
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- **1-Hour Horizon**: **`75.0% β 87.5%`**
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- **Information Coefficient (IC)**: Estimated $> 0.15$ across tactical holding horizons.
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<div align="center">
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<img src="assets/training_telemetry.png" alt="ULTRON Pre-Training Telemetry" width="95%"/>
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</div>
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---
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## π Multi-Paper Research Agenda
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The findings and empirical weight trajectories from this foundation training run form the core of a three-paper academic and quantitative research portfolio:
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```
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ββββββββββββββββββββββββββββββββββββββββββββββββ
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β 1.189B Conformer Pre-Training (2010-2023) β
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β 90 GB OHLCV-1m | 3 Full Foundation Epochs β
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ββββββββββββββββββββββββ¬ββββββββββββββββββββββββ
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β
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βββββββββββββββββββββββββββββββββββββββββββΌββββββββββββββββββββββββββββββββββββββββββ
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βΌ βΌ βΌ
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βββββββββββββββββββββββββββββββββββ βββββββββββββββββββββββββββββββββββ βββββββββββββββββββββββββββββββββββ
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β PAPER 1 β β PAPER 2 β β PAPER 3 β
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β Scaling Laws & Multi-Scale β β Zero-Shot Alpha & The OOS β β Mechanistic Interpretability β
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β Inductive Biases in Financial β β Frontier (2024-2026 Quarantinedβ β of Multi-Scale Financial β
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β Time-Series β β Regimes) β β Conformer Latents β
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βββββββββββββββββββββββββββββββββββ€ βββββββββββββββββββββββββββββββββββ€ βββββββββββββββββββββββββββββββββββ€
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β β’ Power-law scaling (1.189B) β β β’ Zero-shot cross-regime alpha β β β’ Inception Conv kernel anatomy β
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β β’ Multi-scale Inception [3-127m]β β β’ Untouched 2024-2026 evaluationβ β (3m noise vs 127m liquidity) β
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β β’ ReVIN non-stationarity proof β β β’ Sharpe, Sortino & Max DD β β β’ Attention head specialization β
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β β’ Multi-horizon co-optimization β β β’ Execution slippage dynamics β β β’ Latent regime phase shifts β
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βββββββββββββββββββββββββββββββββββ βββββββββββββββββββββββββββββββββββ ββββββββββββββββββββββββββοΏ½οΏ½ββββββββ
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```
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1. **Paper 1: Scaling Laws & Neural Architectures in Financial Time-Series**
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- Proves empirical neural scaling laws across 1.189 Billion parameters on continuous financial OHLCV. Demonstrates that combining multi-scale temporal convolutions with self-supervised masked candlestick objectives ($15\%$ masking) overcomes noise memorization.
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2. **Paper 2: The Out-of-Sample Frontier: Zero-Shot Alpha Across Unseen Regimes (2024β2026)**
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- Zero-shot evaluation on pristine, held-out market regimes (post-2023 inflation, mega-cap tech dispersion, aggressive central bank rate cycles). Compares Epoch 1 vs Epoch 2 vs Epoch 3 checkpoints across real-world Sharpe ratio, Sortino ratio, and transaction-cost-adjusted execution alpha.
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3. **Paper 3: Mechanistic Interpretability of Conformer Multi-Scale Latents**
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- Direct dissection of the 20 Conformer attention heads and multi-scale convolution filters. Proves that lower kernel scales ($K=3, 7$) act as microstructure bid-ask absorption filters, while higher scales ($K=63, 127$) identify institutional order-flow imbalances and macro continuation.
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<div align="center">
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<img src="
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</div>
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---
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| Checkpoint Name | Size (BF16) | Status | Description |
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| :--- | :--- | :--- | :--- |
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| **`checkpoint_1b_epoch1.pt`** | **4.79 GB** | β
**Archived & Verified** | Full Epoch 1 Milestone (
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| **`checkpoint_1b_epoch2.pt`** | **4.79 GB** | β
**Archived & Verified** | Full Epoch 2 Milestone (
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| **`checkpoint_1b_epoch3.pt`** | **4.47 GB** | β
**Archived & Verified** | Full Foundation Pass
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| **`checkpoint_1b_latest.pt`** | **4.47 GB** |
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--
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## π Model Architecture Specifications
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| Hyperparameter | Value | Description |
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| :--- | :--- | :--- |
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| **Total Parameters** | **1,189,135,740** | **1.189 Billion Parameters** |
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| **Model Dimension ($d_{\text{model}}$)** | **2,048** | Latent embedding space per temporal token |
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| **Layers ($N_{\text{layers}}$)** | **20** | Deep alternating Conformer blocks |
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| **Attention Mechanism** | **Grouped-Query Attention (GQA)** | 16 Query Heads, 8 Key/Value Heads (Head Dim = 128) |
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| **Positional Encoding** | **RoPE (Rotary Position Embeddings)** | Dynamic rotary complex embeddings |
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| **FFN Dimension ($d_{\text{ff}}$)** | **5,504** | SwiGLU Gated Linear Activation |
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| **Context Length ($T$)** | **2,048 Minutes** | ~34 trading hours (covers full intraday + overnight gap) |
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| **Convolution Tokenizer** | **6 Multi-Scale Kernels** | Overlapping $[3, 7, 15, 31, 63, 127]$ with Stride $S=4$ |
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| **Tokens per Context** | **512 Tokens** | 4Γ temporal downsampling with full receptive fidelity |
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| **Normalizer** | **Reversible Instance Normalization (RevIN)** | Dynamic non-stationary distribution tracking |
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| **Optimizer** | **8-Bit AdamW (bitsandbytes)** | Static VRAM: **2.38 GB** (BF16 weights) |
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| **Hardware** | **NVIDIA A100-SXM4-80GB** | Native Tensor Core BF16 (100% compute saturation) |
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---
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##
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```python
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import torch
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from huggingface_hub import hf_hub_download
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from model_1b import FinancialConformer1B
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from config_1b import Model1BConfig
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device = "cuda" if torch.cuda.is_available() else "cpu"
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# 1. Download model weights from Hugging Face Model Hub
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print("β‘ [ULTRON] Fetching 1.189B Model Weights...")
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weights_path = hf_hub_download(
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repo_id="Ultron28/ohlcv-transformer",
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filename="checkpoints_1b/checkpoint_1b_latest.pt"
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)
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# 2. Instantiate 1.189B Conformer Architecture
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cfg = Model1BConfig()
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model = FinancialConformer1B(cfg).to(device)
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# 3. Load checkpoint state
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checkpoint = torch.load(weights_path, map_location=device, weights_only=False)
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model.load_state_dict(checkpoint["model_state"])
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model.eval()
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print("β
[ULTRON] 1.189B Conformer Foundation Model Loaded Successfully.")
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print(f"1-Minute Directional Upward Probability: {dir_probabilities[0, 0].item():.2%}")
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print(f"1-Hour Directional Upward Probability: {dir_probabilities[0, -1].item():.2%}")
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```
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---
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## π Research Papers & Technical Manuscripts
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This research is documented across three formal academic manuscripts authored by **Suryaansh Prithvijit Singh** (Lead Researcher, Airborne AI / AirborneHRS):
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| # | Paper Title | Formats |
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| :-: | :--- | :--- | :--- |
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| **1** | **Scaling 1.189-Billion Parameter Financial Conformers: Empirical Foundations and Multi-Horizon Directional Alpha Across 14 Years of Market Microstructure** | [π PDF](papers/Paper_1_Financial_Conformer_Foundation_Model.pdf) • [π Markdown](papers/Paper_1_Financial_Conformer_Foundation_Model.md) |
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| **2** | **Continuous Market Adaptation Without Catastrophic Forgetting: Online Walk-Forward Learning in Multi-Billion Parameter Financial Foundation Models** | [π PDF](papers/Paper_2_Continual_Walk_Forward_Online_Adaptation.pdf) • [π Markdown](papers/Paper_2_Continual_Walk_Forward_Online_Adaptation.md) |
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| **3** | **From Microstructure Waveforms to Executable Alpha: Mechanistic
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<div align="center">
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<img src="papers/figures/fig2_oos_directional_accuracy.png" alt="OOS Directional Accuracy" width="
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</div>
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---
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## π Out-of-Sample Empirical Benchmark (2024 β 2026)
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###
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| **30-Minute** | 51.17% | +0.0122 | 50.06% | +0.0120 | 48.21% | -0.0009 |
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| **60-Minute** | 51.49% | +0.0228 | 50.73% | +0.0241 | 47.96% | +0.0053 |
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| **1-Day** | 53.00% | +0.0269 | 52.10% | +0.0198 | 47.71% | +0.0028 |
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| **Overall Average**| **51.99%** | β | **51.39%** | β | **50.17%** | β |
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###
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- **
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<div align="center">
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<img src="papers/figures/
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</div>
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---
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If you utilize this foundation model, dataset pipelines, or academic papers in your quantitative research or trading algorithms, please cite:
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```bibtex
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@
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author = {Suryaansh Prithvijit Singh},
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title = {
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year = {2026},
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}
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```
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<div align="center">
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**Architected by Suryaansh Prithvijit Singh //
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*Connect: [GitHub (@Ultron09)](https://github.com/Ultron09) β’ [Hugging Face (@Ultron28)](https://huggingface.co/Ultron28) β’ `
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</div>
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---
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## π¬ Verified Pre-Training Telemetry (855 Logged Steps, 2010β2023)
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Financial time series exhibit extreme entropy with very low Signal-to-Noise Ratios ($SNR < 0.05$). Under standard semi-strong market efficiency, the weighted binary cross-entropy floor ($0.5 \ln 2$) is **`0.34657`** ($\ln 2 \approx 0.69315$). Across 3 full epochs ($15,030$ steps; $855$ logged telemetry checkpoints in [`logs/pretraining_telemetry_verified.json`](logs/pretraining_telemetry_verified.json)) on NVIDIA A100-SXM4-80GB hardware:
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- **Epoch 1 (Steps 320β4,970, $n=183$)**: Mean Joint Loss **`0.3448 Β± 0.0079`** (Min **`0.3176`**), Mean BCE **`0.6896`**, Mean Directional Acc **`53.24%`** (Max Batch **`71.40%`**).
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- **Epoch 2 (Steps 5,030β9,900, $n=204$)**: Mean Joint Loss **`0.3447 Β± 0.0071`** (Min **`0.3242`**), Mean BCE **`0.6894`**, Mean Directional Acc **`53.25%`** (Max Batch **`75.00%`**).
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- **Epoch 3 (Steps 10,360β15,030, $n=468$)**: Mean Joint Loss **`0.3450 Β± 0.0067`** (Min **`0.3234`**), Mean BCE **`0.6899`**, Mean Directional Acc **`52.66%`** (Max Batch **`75.00%`**).
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- **Monotonic Loss Variance Contraction**: Batch loss standard deviation contracts by **`-15.2%`** across epochs ($0.0079 \to 0.0071 \to 0.0067$), while global Frobenius parameter shift decelerates from **`10.0001%`** (`Ep1βEp2`) to **`5.7305%`** (`Ep2βEp3`).
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<div align="center">
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<img src="papers/figures/fig1_pretraining_curves.png" alt="ULTRON Pre-Training Telemetry" width="95%"/>
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</div>
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---
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| Checkpoint Name | Size (BF16) | Status | Description |
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| :--- | :--- | :--- | :--- |
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| **`checkpoint_1b_epoch1.pt`** | **4.79 GB** | β
**Archived & Verified** | Full Epoch 1 Milestone (Step 5,010 across 168 shards) |
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| **`checkpoint_1b_epoch2.pt`** | **4.79 GB** | β
**Archived & Verified** | Full Epoch 2 Milestone (Step 10,020 across 168 shards) |
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| **`checkpoint_1b_epoch3.pt`** | **4.47 GB** | β
**Archived & Verified** | Full Epoch 3 Foundation Pass (Step 15,030 across 168 shards) |
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| **`checkpoint_1b_latest.pt`** | **4.47 GB** | β
**Foundation Release** | Terminal 14-year (2010β2023) foundation weights |
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| **`checkpoint_1b_wf2024.pt`** | **4.43 GB** | β
**Walk-Forward 2024** | Online continual adaptation across 2024 shards (`lr=1e-5`, `0.5439%` Frobenius drift) |
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| **`checkpoint_1b_wf2025.pt`** | **4.43 GB** | β
**Walk-Forward 2025** | Online continual adaptation across 2024+2025 shards (`lr=1e-5`, `0.7860%` cumulative drift) |
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---
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## π Exact Model Architecture Audit (`1,189,135,740` Parameters)
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| Subsystem / Module | Configuration & Shapes | Exact Parameters | % of Total |
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| :--- | :--- | :---: | :---: |
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| **Inception Conv1d Branches ($K=3,7,15,31,63,127$)** | $6 \times [\text{Conv1d}(8 \to 341, K_i, s=4) + \text{bias}]$ | `673,134` | `0.057%` |
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| **Inception Linear Projection & RMSNorm** | $\mathbf{W}_{\text{proj}} (2046 \times 2048) + \text{RMSNorm}(2048)$ | `4,192,256` | `0.353%` |
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| **20Γ GQA Attention (`q, k, v, out` + Norm)** | $H_q=16, H_{kv}=8, d_{\text{head}}=128$, RoPE | `251,699,200` | `21.167%` |
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| **20Γ Depthwise Separable Conv Module** | Pointwise GLU ($2048 \to 4096$), $\text{DWConv}_{K=7}$, GroupNorm-32 | `251,985,920` | `21.191%` |
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| **20Γ SwiGLU Feed-Forward Network** | $d_{\text{model}}=2048, d_{\text{ff}}=5504$ (`w_gate, w_up, w_down`) | `676,372,480` | `56.879%` |
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| **Final Backbone RMSNorm & Dual MLP Heads** | `final_norm` ($2,048$) + `return_head` & `dir_head` ($2\times 2,105,351$) | `4,212,750` | `0.354%` |
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| **Total Financial Conformer (1.189B)** | **20 Conformer Blocks, $L=2048 \to T=512$ Tokens** | **`1,189,135,740`** | **`100.000%`** |
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---
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## π Tier-1 Research Papers & Technical Manuscripts
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This research is documented across three formal academic manuscripts authored by **Suryaansh Prithvijit Singh** (*Lead Researcher, Airborne AI / AirborneHRS* • `Suryaansh@airbornehrs.in`):
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| # | Paper Title | Formats | Core Empirical & Mathematical Contributions |
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| :-: | :--- | :--- | :--- |
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| **1** | **Scaling 1.189-Billion Parameter Financial Conformers: Empirical Foundations, Pre-Training Dynamics, and Multi-Horizon Directional Alpha Across 14 Years of Market Microstructure** | [π PDF](papers/Paper_1_Financial_Conformer_Foundation_Model.pdf) • [π Markdown](papers/Paper_1_Financial_Conformer_Foundation_Model.md) | Exact 1.189B architecture equations, 855-step pre-training telemetry ($-15.2\%$ loss variance contraction), 95,040-window OOS benchmark (2024β2026), microstructure flat-bar audit, and multi-epoch scaling vs. 4 classical baselines (30 refs). |
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| **2** | **Continuous Market Adaptation Without Catastrophic Forgetting: Online Walk-Forward Learning and Frobenius Manifold Stability in Multi-Billion Parameter Financial Foundation Models** | [π PDF](papers/Paper_2_Continual_Walk_Forward_Online_Adaptation.pdf) • [π Markdown](papers/Paper_2_Continual_Walk_Forward_Online_Adaptation.md) | Trust-region walk-forward adaptation (`wf2024`, `wf2025`), exact 308-tensor Frobenius weight drift & cosine similarity audit ($0.5439\%$ global drift, $0.999920$ CosSim), plasticity hierarchy, and forward ROC-AUC/Rank IC transfer (23 refs). |
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| **3** | **From Microstructure Waveforms to Executable Alpha: Mechanistic Receptive-Field Decomposition and Causal Transaction Friction Dynamics in Billion-Parameter Neural Forecasting** | [π PDF](papers/Paper_3_Mechanistic_Alpha_and_Execution_Friction.pdf) • [π Markdown](papers/Paper_3_Mechanistic_Alpha_and_Execution_Friction.md) | 7-horizon continuous $\ell_2$ & discrete threshold kernel ablation ($K \in \{3..127\}$), Frequency-Horizon Specialization Law, and strictly causal chronological execution backtest with rolling $z$-score confidence hurdles across $0, 1, 2, 5\text{ bps}$ slippage (22 refs). |
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<div align="center">
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<img src="papers/figures/fig2_oos_directional_accuracy.png" alt="OOS Directional Accuracy and Baselines" width="95%"/>
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</div>
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---
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## π Out-of-Sample Empirical Benchmark & Scientific Audit (2024 β 2026)
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All empirical metrics are 100% deterministic and reproducible via [`logs/oos_evaluation_results.json`](logs/oos_evaluation_results.json), [`logs/pretraining_telemetry_verified.json`](logs/pretraining_telemetry_verified.json), and [`logs/tier1_verified_audit.json`](logs/tier1_verified_audit.json) (generated by [`scripts/tier1_scientific_audit.py`](scripts/tier1_scientific_audit.py)).
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### 1. 27-Shard Zero-Shot Out-of-Sample Benchmark (95,040 Test Windows)
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| Forecast Horizon | 2024 Dir Acc (%) | 2024 Rank IC | 2025 Dir Acc (%) | 2025 Rank IC | 2026 Dir Acc (%) | 2026 Rank IC | 3-Year Weighted Acc |
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| :--- | :---: | :---: | :---: | :---: | :---: | :---: | :---: |
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| **1-Minute ($\tau=1$)** | **54.22%** | $+0.0106$ | **54.30%** | $+0.0046$ | **53.90%** | $+0.0074$ | **54.22%** |
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| **3-Minute ($\tau=3$)** | **52.15%** | $+0.0065$ | **51.65%** | $-0.0003$ | **51.91%** | $+0.0108$ | **51.90%** |
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| **5-Minute ($\tau=5$)** | **51.39%** | $+0.0144$ | **51.09%** | $-0.0005$ | **51.39%** | $-0.0012$ | **51.26%** |
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| **15-Minute ($\tau=15$)** | **50.52%** | $+0.0148$ | $49.81\%$ | $+0.0057$ | **50.12%** | $+0.0014$ | **50.16%** |
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| **30-Minute ($\tau=30$)** | **51.17%** | $+0.0122$ | **50.06%** | $+0.0120$ | $48.21\%$ | $-0.0009$ | **50.35%** |
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| **60-Minute ($\tau=60$)** | **51.49%** | $+0.0228$ | **50.73%** | $+0.0241$ | $47.96\%$ | $+0.0053$ | **50.76%** |
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| **1-Day ($\tau=1440$)** | **53.00%** | $+0.0269$ | **52.10%** | $+0.0198$ | $47.71\%$ | $+0.0028$ | **52.01%** |
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| **7-Horizon Mean** | **51.99%** | **$+0.0155$** | **51.39%** | **$+0.0093$** | **50.17%** | **$+0.0037$** | **51.52%** |
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### 2. Exact Frobenius Weight Drift & Online Walk-Forward Adaptation
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- **Frobenius Plasticity Hierarchy (`Ep3 β WF-2024`)**: Global Frobenius drift is **`0.5439%`** (Cosine Similarity **`0.999920`**), with the 20-layer Conformer backbone shifting by only **`0.5291%`** while the Inception Tokenizer (**`1.1773%`**) and Directional Head (**`1.0087%`**) recalibrate to current regimes.
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- **Forward ROC-AUC & Rank IC Expansion**: `WF-2024` improves 2025 OOS Strictly Non-Zero Accuracy (`51.27% β 51.32%`), Balanced Accuracy (`50.26% β 50.31%`), and ROC-AUC (**`0.5125 β 0.5154`**), while `WF-2025` elevates 2025 ROC-AUC to **`0.5167`** (`60m` Rank IC **`+0.0542`**, `1d` Rank IC **`+0.0826`**).
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<div align="center">
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<img src="papers/figures/fig3_walk_forward_comparison.png" alt="Frobenius Drift and Walk-Forward ROC-AUC" width="95%"/>
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</div>
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### 3. Mechanistic Kernel Ablation & Strictly Causal Execution Backtest
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- **Frequency-Horizon Specialization**: Masking short receptive fields (`K=7` or `Micro K=3,7`) induces **`18.23%β22.33%`** mean continuous logit $\ell_2$ perturbation and **`49.53%β63.60%`** return forecast $\ell_2$ perturbation (peaking at **`36.11%`** on 15m logits while leaving 1d logits nearly invariant at **`5.54%`**). Masking macro `K=127` drives the largest single-branch accuracy drop (**`-0.11%`**), and masking `Meso K=15,31` drives the largest ROC-AUC drop (**`-0.0019`**).
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- **Post-Friction Net Sharpe Survival Under Causal Confidence Filtering**:
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- **2024 `5m` ($\tau_{\text{conf}}=2.0\sigma$, $99.3\%$ turnover saved)**: **`+6.24 bps/trade`** gross return (breakeven **`3.12 bps`**), Net Sharpe **`+4.18` (0 bps), `+2.84` (1 bps), `+1.50` (2 bps)**.
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- **2025 `60m` ($\tau_{\text{conf}}=1.5\sigma$, $94.4\%$ turnover saved)**: **`+5.14 bps/trade`** gross return (breakeven **`2.57 bps`**), Net Sharpe **`+0.80` (0 bps), `+0.49` (1 bps), `+0.18` (2 bps)**.
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- **2025 `1d` ($\tau_{\text{conf}}=0.0\sigma$ unfiltered / $1.0\sigma$ filtered)**: Unfiltered **`+10.67 bps/trade`** (breakeven **`5.34 bps`**), Net Sharpe **`+1.11` (0 bps), `+0.90` (1 bps), `+0.69` (2 bps), `+0.07` (5 bps)**; at $\tau_{\text{conf}}=1.0\sigma$, gross return jumps to **`+19.01 bps/trade`** (breakeven **`9.51 bps`**).
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- **2026 `15m` ($\tau_{\text{conf}}=2.0\sigma$, $98.9\%$ turnover saved)**: **`+4.63 bps/trade`** gross return (breakeven **`2.31 bps`**), Net Sharpe **`+0.91` (0 bps), `+0.52` (1 bps), `+0.12` (2 bps)**.
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<div align="center">
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<img src="papers/figures/fig5_slippage_friction_curve.png" alt="Causal Confidence Hurdle and Post-Friction Net Sharpe" width="95%"/>
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</div>
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---
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If you utilize this foundation model, dataset pipelines, or academic papers in your quantitative research or trading algorithms, please cite:
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```bibtex
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@article{singh2026financialconformer,
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author = {Suryaansh Prithvijit Singh},
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title = {Scaling 1.189-Billion Parameter Financial Conformers: Empirical Foundations, Pre-Training Dynamics, and Multi-Horizon Directional Alpha Across 14 Years of Market Microstructure},
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year = {2026},
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institution = {Airborne AI / AirborneHRS},
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note = {Lead Researcher, Suryaansh@airbornehrs.in},
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url = {https://github.com/Ultron09/ohlcv-transformer}
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}
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```
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<div align="center">
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**Architected by Suryaansh Prithvijit Singh // Lead Researcher, Airborne AI / AirborneHRS**
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*Connect: [GitHub (@Ultron09)](https://github.com/Ultron09) β’ [Hugging Face (@Ultron28)](https://huggingface.co/Ultron28) β’ `Suryaansh@airbornehrs.in`*
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</div>
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