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feat(phase-3): paper-trading runner BTC+ETH

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Modulo paper_trading per forward-test virtuale Phase 3:
- Portfolio multi-asset equal-weight sleeve, fees bp su round-trip
- PaperExecutor compila strategia JSON e applica segnale a bar close
- PaperRepository persiste runs/ticks/trades/equity in runs.db
- CLI scripts/run_paper_trading.py: loop polling Cerbero, exec su nuovo bar

Strategie deployate:
- BTC fb63e851 (Sharpe OOS +0.50, mean rev RSI+ATR+hour gate)
- ETH facd6af85d5d (Sharpe OOS +0.19, trend vol regime + SMA50/200)

Capitale virtuale $1000 (sleeve $500 ciascuno), 2 settimane smoke.

Co-Authored-By: Claude Opus 4.7 (1M context) <noreply@anthropic.com>
This commit is contained in:
AdrianoDev
2026-05-13 23:34:15 +02:00
parent 9d1ef8adcf
commit 45f273f591
9 changed files with 881 additions and 0 deletions
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strategies/btc_fb63e851.json
+142
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{
"rules": [
{
"condition": {
"op": "and",
"args": [
{
"op": "gt",
"args": [
{
"kind": "indicator",
"name": "rsi",
"params": [
14
]
},
{
"kind": "literal",
"value": 70.0
}
]
},
{
"op": "gt",
"args": [
{
"kind": "indicator",
"name": "atr",
"params": [
14
]
},
{
"kind": "indicator",
"name": "sma",
"params": [
14
]
}
]
},
{
"op": "gt",
"args": [
{
"kind": "feature",
"name": "hour"
},
{
"kind": "literal",
"value": 9
}
]
},
{
"op": "lt",
"args": [
{
"kind": "feature",
"name": "hour"
},
{
"kind": "literal",
"value": 17
}
]
}
]
},
"action": "entry-short"
},
{
"condition": {
"op": "and",
"args": [
{
"op": "lt",
"args": [
{
"kind": "indicator",
"name": "rsi",
"params": [
14
]
},
{
"kind": "literal",
"value": 30.0
}
]
},
{
"op": "lt",
"args": [
{
"kind": "indicator",
"name": "atr",
"params": [
14
]
},
{
"kind": "indicator",
"name": "sma",
"params": [
14
]
}
]
},
{
"op": "gt",
"args": [
{
"kind": "feature",
"name": "hour"
},
{
"kind": "literal",
"value": 9
}
]
},
{
"op": "lt",
"args": [
{
"kind": "feature",
"name": "hour"
},
{
"kind": "literal",
"value": 17
}
]
}
]
},
"action": "entry-long"
}
]
}
strategies/eth_facd6af85d5d.json
+162
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{
"rules": [
{
"condition": {
"op": "and",
"args": [
{
"op": "gt",
"args": [
{
"kind": "indicator",
"name": "atr",
"params": [
14
]
},
{
"kind": "literal",
"value": 0.02
}
]
},
{
"op": "gt",
"args": [
{
"kind": "indicator",
"name": "realized_vol",
"params": [
20
]
},
{
"kind": "literal",
"value": 0.03
}
]
},
{
"op": "gt",
"args": [
{
"kind": "indicator",
"name": "sma",
"params": [
50
]
},
{
"kind": "indicator",
"name": "sma",
"params": [
200
]
}
]
}
]
},
"action": "entry-long"
},
{
"condition": {
"op": "and",
"args": [
{
"op": "lt",
"args": [
{
"kind": "indicator",
"name": "atr",
"params": [
14
]
},
{
"kind": "literal",
"value": 0.01
}
]
},
{
"op": "lt",
"args": [
{
"kind": "indicator",
"name": "realized_vol",
"params": [
20
]
},
{
"kind": "literal",
"value": 0.02
}
]
},
{
"op": "lt",
"args": [
{
"kind": "indicator",
"name": "sma",
"params": [
50
]
},
{
"kind": "indicator",
"name": "sma",
"params": [
200
]
}
]
}
]
},
"action": "entry-short"
},
{
"condition": {
"op": "or",
"args": [
{
"op": "crossover",
"args": [
{
"kind": "indicator",
"name": "rsi",
"params": [
14
]
},
{
"kind": "literal",
"value": 70.0
}
]
},
{
"op": "crossunder",
"args": [
{
"kind": "indicator",
"name": "rsi",
"params": [
14
]
},
{
"kind": "literal",
"value": 30.0
}
]
}
]
},
"action": "exit"
}
]
}