scripts/backtest_range_upgrades.py tested four upgrades walk-forward on
2023 - Sep 2026. Only the HAR blend (Corsi 2009) won: a log-linear mix of the
last day, week and month of seasonally adjusted variance, fitted per horizon,
improved the 80% interval score by 1.9/1.3/1.4/2.2% at 1/6/24/72h (all
p < 0.001, Diebold-Mariano) with 50/80/95% coverage kept. A high/low range
estimator, asymmetric quantiles and adaptive conformal widths did not help.
The live fit now learns the HAR weights each quarter; forecasts fall back to
the one-week volatility for older params or a frame shorter than a month.
The card's backtest line now reports the HAR record.
Also the Fear & Greed timing study (the index follows price: r = 0.59 one
way, 0.01 the other) and a position-sizing backtest (volatility-managed
exposure did not beat buy-and-hold over 2023-2026).
Co-Authored-By: Claude Opus 5.5 <noreply@anthropic.com>
