benchmark: q5 ground truth - #102
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Q5 — Realized volatility σ proxy (DDSketch IQR/1.349)
Adds ground truth and 60-minute accuracy benchmark for Q5: realized volatility approximated as IQR/1.349 from DDSketch quantiles.
Benchmark results
Setup: Day
08-11-21,data_filtered,accuracy_sla=0.01, 12 × 5-min windowsSketch: DDSketch,
relative_accuracy=0.01, quantiles[0.25, 0.75]Metric: fraction of symbols where
|sketch_σ − exact_σ| / max(...) < 10%.Clear warm-up pattern: at market open intraday price moves are larger and more skewed, violating the near-normal IQR/1.349 assumption. By 09:45 the distribution settles and the fraction climbs above 90%. Windows 09:45–10:00 score 0.909, 0.916, 0.910.
Cumulative: Q1: 11/12⚠️ | Q3: not run | Q4: 12/12 ✅ | Q5: 3/12 ⚠️
See
results/benchmarking.mdfor per-window breakdown.