feat(combo): paper combo NUDO vs PROTETTO (guardia-DD -4%) affiancati + dashboard

paper_combo traccia forward entrambe le versioni; dashboard mostra nudo + protetto. Guardia-DD:
de-risk 0.4x a DD>-4%, ri-rischia a -1.6% (backtest MaxDD 8.4->5.8%, 2022 -4.4->-1.8%). Opzioni
escluse (non aiutano il grind). Container ricostruito.

Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>

scripts/live/paper_combo.py

@@ -1,18 +1,14 @@
-"""PAPER COMBO — forward-only del combo DEPLOYABLE cross-venue: TP01 (Deribit) + GTAA (IB).
+"""PAPER COMBO — forward-only del combo cross-venue TP01 (Deribit) + GTAA (IB), NUDO vs PROTETTO.
 
-Le DUE gambe realmente eseguibili a basso capitale (XS01/VRP01 restano STAT-MODE, esclusi qui):
+Le due gambe eseguibili a basso capitale (XS01/VRP01 STAT-MODE esclusi), scorrelate (corr ~0.21) ->
-  * TP01 = TSMOM difensivo BTC/ETH long-flat, gia' armato su Deribit;
+blend Sharpe ~1.5, DD dimezzato. Traccia FORWARD-ONLY DUE versioni in parallelo:
-  * GTAA = trend difensivo multi-asset su ETF, eseguibile su IB.
+  * NUDO     = blend 50/50 TP01+GTAA
-Scorrelati (corr ~0.21) -> blend Sharpe ~1.5, maxDD dimezzato (diari 2026-06-22-deployable-combo).
+  * PROTETTO = stesso blend + GUARDIA-DRAWDOWN -4% (de-risk a 0.4x quando il DD da picco supera -4%,
+               ri-rischia a -1.6%). Backtest: MaxDD 8.4%->5.8%, 2022 -4.4%->-1.8%, Sharpe 1.48->1.38
+               (diario 2026-06-23-tail-hedge-lab). Le opzioni NON aiutano il grind del 2022 -> escluse.
+Crypto compoundato sul grid giorni-di-borsa. NESSUNA esecuzione reale. Mostra posizioni azionabili.
 
-Traccia FORWARD-ONLY l'equity del blend (default 50/50 capitale), applicando i rendimenti giornalieri
+  uv run python scripts/live/paper_combo.py [--status|--reset]
-combinati man mano che arrivano barre nuove. Il crypto (calendario 7g) e' compoundato sul grid dei
-giorni di borsa per allinearlo all'equity. NESSUNA esecuzione reale. Mostra le POSIZIONI azionabili
-su entrambi i venue (TP01 target BTC/ETH + pesi ETF GTAA).
-
-  uv run python scripts/live/paper_combo.py            # avanza (init al 1o run)
-  uv run python scripts/live/paper_combo.py --status   # solo stato
-  uv run python scripts/live/paper_combo.py --reset
 """
 from __future__ import annotations
 import sys, json
@@ -27,11 +23,11 @@ STATE_DIR = PROJECT_ROOT / "data" / "paper_combo"
 STATE = STATE_DIR / "state.json"
 EQ = STATE_DIR / "equity.csv"
 INITIAL = 2000.0
-W_CRYPTO = 0.5   # blend di capitale TP01/GTAA (50/50; risk-parity ~30/70 alternativa)
+W_CRYPTO = 0.5
+DD_TRIGGER = 0.04   # guardia-drawdown della versione PROTETTA
 
 
 def combo_daily(wc: float = W_CRYPTO) -> pd.Series:
-    """Rendimenti netti daily del blend sul grid giorni-di-borsa (crypto compoundato)."""
     tp = _tp01_returns()
     if tp.index.tz is None:
         tp.index = tp.index.tz_localize("UTC")
@@ -43,6 +39,23 @@ def combo_daily(wc: float = W_CRYPTO) -> pd.Series:
     return (wc * J["c"] + (1 - wc) * J["e"]).dropna()
 
 
+def apply_dd_guard(r: pd.Series, trigger: float = DD_TRIGGER) -> pd.Series:
+    """De-risk a 0.4x quando il DD da picco > trigger; ri-rischia a 1.0x quando < 0.4*trigger."""
+    rv = r.values; n = len(rv); eq = np.cumprod(1 + rv); pk = np.maximum.accumulate(eq)
+    expo = np.ones(n); on = True
+    for i in range(1, n):
+        ddi = (pk[i - 1] - eq[i - 1]) / pk[i - 1] if pk[i - 1] > 0 else 0.0
+        if ddi > trigger: on = False
+        if ddi < trigger * 0.4: on = True
+        expo[i] = 1.0 if on else 0.4
+    return pd.Series(expo * rv, index=r.index)
+
+
+def both_daily():
+    naked = combo_daily()
+    return naked, apply_dd_guard(naked)
+
+
 def load():
     return json.loads(STATE.read_text()) if STATE.exists() else None
 
@@ -53,23 +66,26 @@ def save(st):
 
 
 def advance():
-    r = combo_daily()
+    naked, guard = both_daily()
     st = load()
-    if st is None:
+    if st is None or "equity_g" not in st:                # init (o migrazione a doppia versione)
-        last = str(r.index[-1])
+        last = str(naked.index[-1])
-        st = dict(start=last, last=last, equity=INITIAL, initial=INITIAL, peak=INITIAL,
+        st = dict(start=last, last=last, initial=INITIAL, n_days=0, w_crypto=W_CRYPTO, dd_trigger=DD_TRIGGER,
-                  max_dd=0.0, n_days=0, w_crypto=W_CRYPTO)
+                  equity=INITIAL, peak=INITIAL, max_dd=0.0,
-        save(st)
+                  equity_g=INITIAL, peak_g=INITIAL, max_dd_g=0.0)
-        EQ.write_text("date,equity\n" + f"{last},{INITIAL}\n")
+        save(st); EQ.write_text("date,nudo,protetto\n" + f"{last},{INITIAL},{INITIAL}\n")
         return st
     last = pd.Timestamp(st["last"])
-    new = r[r.index > last]
+    nn = naked[naked.index > last]; gg = guard[guard.index > last]
-    if len(new):
+    if len(nn):
-        eq = st["equity"]; peak = st["peak"]; dd = st["max_dd"]; lines = []
+        e = st["equity"]; pk = st["peak"]; dd = st["max_dd"]
-        for d, ret in new.items():
+        eg = st["equity_g"]; pkg = st["peak_g"]; ddg = st["max_dd_g"]; lines = []
-            eq *= (1.0 + float(ret)); peak = max(peak, eq); dd = max(dd, (peak - eq) / peak if peak > 0 else 0)
+        for d in nn.index:
-            lines.append(f"{d},{eq:.4f}")
+            e *= (1 + float(nn[d])); pk = max(pk, e); dd = max(dd, (pk - e) / pk if pk > 0 else 0)
-        st.update(equity=eq, last=str(new.index[-1]), peak=peak, max_dd=dd, n_days=st["n_days"] + len(new))
+            eg *= (1 + float(gg[d])); pkg = max(pkg, eg); ddg = max(ddg, (pkg - eg) / pkg if pkg > 0 else 0)
+            lines.append(f"{d},{e:.4f},{eg:.4f}")
+        st.update(equity=e, peak=pk, max_dd=dd, equity_g=eg, peak_g=pkg, max_dd_g=ddg,
+                  last=str(nn.index[-1]), n_days=st["n_days"] + len(nn))
         save(st)
         with open(EQ, "a") as f:
             f.write("\n".join(lines) + "\n")
@@ -83,18 +99,18 @@ def main():
             f.unlink(missing_ok=True)
         print("paper combo azzerato.")
     st = load() if "--status" in a else advance()
-    if st is None:
+    if st is None or "equity_g" not in st:
         st = advance()
     days = (pd.Timestamp(st["last"]) - pd.Timestamp(st["start"])).days
-    ret = st["equity"] / st["initial"] - 1
+    rn = st["equity"] / st["initial"] - 1; rg = st["equity_g"] / st["initial"] - 1
-    gw = gtaa_weights()
+    gw = gtaa_weights(); asof = gw.pop("_asof", "?"); cash = gw.pop("_cash", None)
-    asof = gw.pop("_asof", "?"); cash = gw.pop("_cash", None)
     print("PAPER COMBO — TP01 (Deribit) + GTAA (IB), forward-only, blend 50/50")
     print(f"  start {st['start'][:10]} -> last {st['last'][:10]} ({days}g, {st['n_days']} barre)")
-    print(f"  equity {st['equity']:.2f} (start {st['initial']:.0f})  ret {ret*100:+.2f}%  maxDD {st['max_dd']*100:.1f}%")
+    print(f"  NUDO     : eq {st['equity']:.2f}  ret {rn*100:+.2f}%  maxDD {st['max_dd']*100:.1f}%")
+    print(f"  PROTETTO : eq {st['equity_g']:.2f}  ret {rg*100:+.2f}%  maxDD {st['max_dd_g']*100:.1f}%  (guardia-DD -{st.get('dd_trigger',DD_TRIGGER)*100:.0f}%)")
     print(f"  --- POSIZIONI AZIONABILI ---")
-    print(f"  TP01 (Deribit, frazione equity x leva): {_tp01_positions()}")
+    print(f"  TP01 (Deribit): {_tp01_positions()}")
-    print(f"  GTAA (IB, peso ETF, asof {asof}): " + ", ".join(f"{k} {v:.0%}" for k, v in gw.items() if v) + f"  | cash {cash:.0%}")
+    print(f"  GTAA (IB, asof {asof}): " + ", ".join(f"{k} {v:.0%}" for k, v in gw.items() if v) + f"  | cash {cash:.0%}")
 
 
 if __name__ == "__main__":

src/live/dashboard.py

@@ -117,9 +117,13 @@ def html():
         cdays = (pd.Timestamp(cb["last"]) - pd.Timestamp(cb["start"])).days
         cret = cb["equity"] / cb["initial"] - 1
         wc = cb.get("w_crypto", 0.5)
-        combo_html = (f"<b>{cb['equity']:.2f}</b> (start {cb['initial']:.0f}, {cb['start'][:10]} → "
+        head = (f"start {cb['initial']:.0f} · {cb['start'][:10]} → {cb['last'][:10]} ({cdays}g, "
-                      f"{cb['last'][:10]}, {cdays}g, {cb['n_days']} barre) &nbsp; ret <b>{cret*100:+.2f}%</b> "
+                f"{cb['n_days']} barre) · blend {wc*100:.0f}/{(1-wc)*100:.0f} TP01/GTAA")
-                      f"&nbsp; maxDD {cb['max_dd']*100:.1f}% &nbsp; blend {wc*100:.0f}/{(1-wc)*100:.0f} TP01/GTAA")
+        combo_html = f"{head}<br><b>NUDO</b> &nbsp; eq <b>{cb['equity']:.2f}</b> &nbsp; ret <b>{cret*100:+.2f}%</b> &nbsp; maxDD {cb['max_dd']*100:.1f}%"
+        if "equity_g" in cb:
+            crg = cb["equity_g"] / cb["initial"] - 1
+            combo_html += (f"<br><b>PROTETTO</b> (guardia-DD −{cb.get('dd_trigger',0.04)*100:.0f}%) &nbsp; "
+                           f"eq <b>{cb['equity_g']:.2f}</b> &nbsp; ret <b>{crg*100:+.2f}%</b> &nbsp; maxDD {cb['max_dd_g']*100:.1f}%")
     else:
         combo_html = "non inizializzato (gira <code>scripts/live/paper_combo.py</code>)"
     gw = d.get("gtaa_weights")