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feat(strategy): swap BTC paper strategy a 9cf506b8 (hardened-001 robust winner)

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Sostituisce btc_fb63e851 (in produzione dal 13 maggio, net +$9.9k su 7y BTC,
Sharpe medio -0.20) con btc_9cf506b8, vincitore del run phase1-hardened-001
(K=50 G=15 7y, fitness-v2 con hard-kill su fees_eat_alpha + negative_net_pnl).

Performance comparate su 7y BTC continui:
- btc_fb63e851:   Net +$9,951  Sharpe medio -0.20  4/8 anni positivi
- btc_9cf506b8:   Net +$30,538 Sharpe medio +0.31  5/8 anni positivi
                  Best year 2021: +$18,938 (vs prod +$6,835)
                  Best Sharpe annuale: 2023 +1.27 (vs prod 2024 +1.16)
                  Zero adversarial findings su 7y continui.

Performance cross-asset (test su ETH 6.8y):
- btc_fb63e851 su ETH: -$120 (pseudo-flat, nessun segnale)
- btc_9cf506b8 su ETH: +$2,059 (4/7 anni positivi)
La strategia generalizza out-of-asset, indicatore di robustezza non-ETH-overfit.

DSL: physicist style, lookback 150 bar (~6 giorni). Triple-AND condition su
realized_vol + atr_pct + sma_pct per entry (long o short). Exit su sma_pct=0
o vol collasso (<0.1%). Selettivo: 502 trade in 7y = 1.4 trade/giorno medio.

btc_fb63e851 archiviato in strategies/archive/ per consultazione futura.
Il glob loader `btc_*.json` e' non-ricorsivo, quindi archive/ non viene
caricato automaticamente.

Co-Authored-By: Claude Opus 4.7 (1M context) <noreply@anthropic.com>
This commit is contained in:
Adriano Dal Pastro
2026-05-16 13:21:37 +00:00
parent 220e510d5e
commit 1c0058ec3b
2 changed files with 282 additions and 0 deletions
Download Patch File Download Diff File Expand all files Collapse all files
src/strategy_crypto/strategy_crypto/strategies/archive/btc_fb63e851.json
+142
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@@ -0,0 +1,142 @@
{
"rules": [
{
"condition": {
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"args": [
{
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14
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{
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}
]
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{
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"name": "atr",
"params": [
14
]
},
{
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"params": [
14
]
}
]
},
{
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{
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{
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}
]
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{
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"name": "hour"
},
{
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"value": 17
}
]
}
]
},
"action": "entry-short"
},
{
"condition": {
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"op": "lt",
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{
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}
]
},
{
"op": "gt",
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{
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{
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]
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{
"op": "lt",
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{
"kind": "feature",
"name": "hour"
},
{
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"value": 17
}
]
}
]
},
"action": "entry-long"
}
]
}
src/strategy_crypto/strategy_crypto/strategies/btc_9cf506b8.json
+140
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@@ -0,0 +1,140 @@
{
"rules": [
{
"condition": {
"op": "and",
"args": [
{
"op": "gt",
"args": [
{
"kind": "indicator",
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"params": [150]
},
{
"kind": "literal",
"value": 0.01
}
]
},
{
"op": "lt",
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{
"kind": "indicator",
"name": "atr_pct",
"params": [150]
},
{
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]
},
{
"op": "gt",
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"name": "sma_pct",
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{
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}
]
}
]
},
"action": "entry-long"
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{
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},
"action": "entry-short"
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{
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{
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}