fix(data): define market covariates on cross-calendar holidays#26
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ethancjackson merged 2 commits intoJul 18, 2026
mainVectorInstitute/agentic-forecasting-live:mainfrom
covariate-holiday-fillVectorInstitute/agentic-forecasting-live:covariate-holiday-fillCopy head branch name to clipboard
Merged
fix(data): define market covariates on cross-calendar holidays#26ethancjackson merged 2 commits intomainVectorInstitute/agentic-forecasting-live:mainfrom covariate-holiday-fillVectorInstitute/agentic-forecasting-live:covariate-holiday-fillCopy head branch name to clipboard
ethancjackson merged 2 commits into
mainVectorInstitute/agentic-forecasting-live:mainfrom
covariate-holiday-fillVectorInstitute/agentic-forecasting-live:covariate-holiday-fillCopy head branch name to clipboard
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The Yahoo market covariates (VIX, WTI, gold, USDCAD, SPX, US10Y) kept their US-session calendar, so on US market holidays the TSX trades (MLK, Memorial Day, Juneteenth, July 4, Thanksgiving, the 2025-01-09 closure) the panel had no row and Darts refused to predict — silently dropping 6/72 protected-eval and 27/1134 daily origins for darts_lightgbm_cov only, which skews rung comparability. Levels are now forward-filled onto the full business calendar (last known value); returns are zero-filled (no session, no move — keeps the running sum equal to the cumulative price change instead of double-counting). Both fills are causal, mirroring the StatCan features' existing treatment. Co-Authored-By: Claude Fable 5 <noreply@anthropic.com>
…ook) Co-Authored-By: Claude Fable 5 <noreply@anthropic.com>
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US-holiday gaps in the Yahoo market covariates made Darts silently skip those TSX origins for the covariate LightGBM rung only (6/72 protected-eval, 27/1134 daily), breaking origin-set comparability with the other rungs. Levels ffill, returns zero-fill (causal both ways; same rationale as the existing StatCan treatment). Adds regression tests incl. the exact 2025-07-04 shape.
Affected stores will be force-refreshed and re-scored after merge.
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