Remove Optuna "train" namespace as preliminary step to eliminate data leakage
Remove the "train" namespace from Optuna hyperparameter optimization to
address data leakage issues in extrema weighting normalization. This is a
preliminary step before implementing a proper data preparation pipeline
that prevents train/test contamination.
Problem:
Current architecture applies extrema weighting normalization (minmax, softmax,
zscore, etc.) on the full dataset BEFORE train/test split. This causes data
leakage: train set labels are normalized using statistics (min/max, mean/std,
median/IQR) computed from the entire dataset including test set. The "train"
namespace hyperopt optimization exacerbates this by optimizing dataset
truncation with contaminated statistics.
Solution approach:
1. Remove "train" namespace optimization (this commit)
2. Switch to binary extrema labels (strategy: "none") to avoid leakage
3. Future: implement proper data preparation that computes normalization
statistics on train set only and applies them to both train/test sets
This naive train/test splitting hyperopt is incompatible with a correct
data preparation pipeline where normalization must be fit on train and
transformed on test separately.
Changes:
- Remove "train" namespace from OptunaNamespace (3→2 namespaces: hp, label)
- Remove train_objective function and all train optimization logic
- Remove dataset truncation based on optimized train/test periods
- Update namespace indices: label from [2] to [1] throughout codebase
- Remove train_candles_step config parameter and train_rmse metric tracking
- Set extrema_weighting.strategy to "none" (binary labels: -1/0/+1)
- Update documentation to reflect 2-namespace architecture