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feat(paper): ETH a tick 5m + tooling per-year/per-tick analysis

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scripts/run_paper_trading.py: AssetConfig ETH ora usa timeframe="5m" invece
del default 1h. Il winner c04dff7086 e' stato trovato dal GA su dati 5m
e a 1h la strategia perde:
- ETH @ 5m (native): +359.50% cum 7y, 77% winrate, max DD/yr 19%
- ETH @ 1h (precedente): -33.03% cum 7y, 67% winrate, max DD 74%
BTC resta a 1h (winner 238e4812 native a 1h, +104% 7y, Sharpe 2+ in 3 anni).

Nuovi script di analisi:
- scripts/yearly_strategies.py: breakdown per anno (2019-2025) di 4
  strategie su tick di discovery (trade/winrate/return/maxDD/Sharpe).
- scripts/multi_tick_strategies.py: confronto cross-tick (5m/15m/1h)
  per i 2 winner correnti. Documenta la divergenza tick-paper di ETH.

Co-Authored-By: Claude Opus 4.7 (1M context) <noreply@anthropic.com>
This commit is contained in:
Adriano Dal Pastro
2026-05-16 22:10:38 +00:00
parent 9c871d1d86
commit 23b7273e71
3 changed files with 228 additions and 2 deletions
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scripts/run_paper_trading.py
+4 -2
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@@ -70,9 +70,11 @@ def load_assets(strategies_dir: Path) -> list[AssetConfig]:
raise FileNotFoundError(
f"Expected btc_*.json and eth_*.json in {strategies_dir}"
)
# ETH winner c04dff7086 e' tunato su 5m: a 1h la strategia perde (cum_ret -33% 7y).
# BTC winner 238e4812 e' tunato su 1h: tick native = paper tick.
return [
AssetConfig(symbol="BTC-PERPETUAL", strategy_file=btc_files[0]),
AssetConfig(symbol="ETH-PERPETUAL", strategy_file=eth_files[0]),
AssetConfig(symbol="BTC-PERPETUAL", strategy_file=btc_files[0], timeframe="1h"),
AssetConfig(symbol="ETH-PERPETUAL", strategy_file=eth_files[0], timeframe="5m"),
]