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feat(strategy): swap paper a 238e4812 (BTC) + c04dff7086 (ETH) — phase1-100 winners

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Risultati phase1-{btc,eth}-100-001 (1h) + phase1-{btc,eth}-100-5m-001 (5m, 770K bars)
con 100-agent GA × 10 generazioni × fitness v2 hardened + WFA 0.7 split.

BTC (238e4812, meteorologist Gen 7 winner del run 1h):
- IS f=0.2604, Sharpe=0.437, 25 trades
- OOS: f=0.4184, Sharpe=1.296, +22.15% return fold 3, DD 7.4%
- WFA 4-fold: cum_ret +31.65%, 58.6% winrate, 2 fold Sharpe 2+

ETH (c04dff7086, mean-reversion oversold del run 5m):
- IS f=0.1881, OOS f=0.1789 (no overfit), Sharpe_OOS=0.171
- WFA 4-fold: cum_ret +23.83%, 77.8% winrate, 2 fold @ 100% winrate
- Primo ETH winner che sopravvive hard-kill v2 in tutta la storia progetto

Archive: btc_9cf506b8.json (precedente winner hardened-001), eth_facd6af85d5d.json.

Co-Authored-By: Claude Opus 4.7 (1M context) <noreply@anthropic.com>
This commit is contained in:
Adriano Dal Pastro
2026-05-16 21:48:42 +00:00
parent 1c0058ec3b
commit 8b767da5e7
4 changed files with 204 additions and 0 deletions
Download Patch File Download Diff File Expand all files Collapse all files
src/strategy_crypto/strategy_crypto/strategies/btc_9cf506b8.json → src/strategy_crypto/strategy_crypto/strategies/archive/btc_9cf506b8.json
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src/strategy_crypto/strategy_crypto/strategies/eth_facd6af85d5d.json → src/strategy_crypto/strategy_crypto/strategies/archive/eth_facd6af85d5d.json
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src/strategy_crypto/strategy_crypto/strategies/btc_238e4812.json
+84
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@@ -0,0 +1,84 @@
{
"rules": [
{
"condition": {
"op": "and",
"args": [
{
"op": "gt",
"args": [
{
"kind": "indicator",
"name": "realized_vol",
"params": [
150
]
},
{
"kind": "literal",
"value": 0.007
}
]
},
{
"op": "lt",
"args": [
{
"kind": "indicator",
"name": "atr_pct",
"params": [
150
]
},
{
"kind": "literal",
"value": 0.0042
}
]
}
]
},
"action": "entry-long"
},
{
"condition": {
"op": "or",
"args": [
{
"op": "crossunder",
"args": [
{
"kind": "indicator",
"name": "rsi",
"params": [
14
]
},
{
"kind": "literal",
"value": 70.0
}
]
},
{
"op": "gt",
"args": [
{
"kind": "indicator",
"name": "atr_pct",
"params": [
150
]
},
{
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"value": 0.007
}
]
}
]
},
"action": "exit"
}
]
}
src/strategy_crypto/strategy_crypto/strategies/eth_c04dff7086.json
+120
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@@ -0,0 +1,120 @@
{
"rules": [
{
"condition": {
"op": "and",
"args": [
{
"op": "lt",
"args": [
{
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"params": [
14
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{
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"value": 30.0
}
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{
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{
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{
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14
]
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{
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},
{
"op": "lt",
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14
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{
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{
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{
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},
"action": "exit"
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}