Autenocoder and anomaly detection task
Looking at your graphic there seems to be a change in the series behaviour right about when your models start predicting 0. Since you have had the same issue with several models I would say that this is a data issue.

Have you checked looking at these values?
Try plotting the 1-period return?
Try skipping the parts in the validation set that work and make prediction directly from when the model is starting to fail - or even a bit after i.e X_test[1200:] or X_test[2000:]