refactor: riorganizzazione script — Strategy ABC, folder strategies/waste/analysis

- src/strategies/base.py: Strategy ABC con Signal, BacktestResult, YearlyStats - src/strategies/indicators.py: keltner_ratio, detect_squeezes, ema, atr, rv, corr - scripts/strategies/: SQ01-SQ04 (squeeze puro/filtri), ML01 (squeeze+GBM) - scripts/waste/: W01-W22 script scartati + REF originali - scripts/analysis/: compare, best_yearly, final_report, paper_status - CLAUDE.md aggiornato con nuova struttura e tabella strategie Co-Authored-By: Claude Opus 4.7 (1M context) <noreply@anthropic.com>
2026-05-27 23:01:36 +02:00
parent fa2d74be77
commit 0e47956f7a
40 changed files with 1747 additions and 12 deletions
@@ -0,0 +1,132 @@
+"""S2-05: Gap fade + overnight reversal.
+Crypto non ha gap di apertura classici, ma ha "gap di sessione":
+- Asia open (00 UTC): tende a continuare il trend USA precedente
+- EU open (07 UTC): spesso corregge eccessi notturni
+- USA open (13-14 UTC): alta volatilità, breakout o reversal
+
+Strategia: fai fade dell'overextension al cambio sessione.
+Se il prezzo ha fatto >1.5% nella sessione precedente, aspettati reversal.
+"""
+from __future__ import annotations
+import sys
+sys.path.insert(0, ".")
+
+import numpy as np
+import pandas as pd
+from src.data.downloader import load_data
+
+FEE = 0.001
+INITIAL = 1000
+LEVERAGE = 3
+
+
+def run_gap_fade(asset, tf="1h"):
+    print(f"\n{'#'*60}")
+    print(f"  {asset} {tf} — GAP FADE / SESSION REVERSAL")
+    print(f"{'#'*60}")
+
+    df = load_data(asset, tf)
+    close = df["close"].values
+    high = df["high"].values
+    low = df["low"].values
+    n = len(close)
+    split = int(n * 0.7)
+    timestamps = pd.to_datetime(df["timestamp"], unit="ms", utc=True)
+    hours = timestamps.dt.hour.values
+
+    session_opens = {
+        "asia": 0,
+        "eu": 7,
+        "usa": 14,
+    }
+
+    configs = [
+        # (session_name, lookback_hours, entry_thr, hold_hours, stop_pct, name)
+        ("eu", 7, 0.015, 4, 0.012, "eu_fade_1.5pct"),
+        ("eu", 7, 0.02, 4, 0.015, "eu_fade_2pct"),
+        ("eu", 7, 0.01, 6, 0.01, "eu_fade_1pct_6h"),
+        ("usa", 7, 0.015, 4, 0.012, "usa_fade_1.5pct"),
+        ("usa", 7, 0.02, 4, 0.015, "usa_fade_2pct"),
+        ("asia", 8, 0.02, 6, 0.015, "asia_fade_2pct"),
+        ("eu", 7, 0.025, 3, 0.015, "eu_fade_2.5pct_fast"),
+        ("usa", 6, 0.015, 3, 0.01, "usa_fade_fast"),
+    ]
+
+    for session, lookback, entry_thr, hold, stop, name in configs:
+        capital = float(INITIAL)
+        correct = 0
+        total = 0
+        daily_trades = {}
+
+        session_hour = session_opens[session]
+
+        for i in range(max(split, lookback + 1), n - hold):
+            if hours[i] != session_hour:
+                continue
+
+            day = timestamps.iloc[i].strftime("%Y-%m-%d")
+            if daily_trades.get(day, 0) >= 1:
+                continue
+
+            prev_ret = (close[i] - close[i - lookback]) / close[i - lookback]
+
+            direction = None
+            if prev_ret > entry_thr:
+                direction = "short"  # fade the rally
+            elif prev_ret < -entry_thr:
+                direction = "long"  # fade the dump
+
+            if direction is None:
+                continue
+
+            entry = close[i]
+            exit_price = close[min(i + hold, n - 1)]
+
+            for j in range(i + 1, min(i + hold + 1, n)):
+                if direction == "long":
+                    if (close[j] - entry) / entry >= stop * 2:
+                        exit_price = close[j]
+                        break
+                    if (entry - close[j]) / entry >= stop:
+                        exit_price = close[j]
+                        break
+                else:
+                    if (entry - close[j]) / entry >= stop * 2:
+                        exit_price = close[j]
+                        break
+                    if (close[j] - entry) / entry >= stop:
+                        exit_price = close[j]
+                        break
+                exit_price = close[j]
+
+            if direction == "long":
+                trade_ret = (exit_price - entry) / entry
+            else:
+                trade_ret = (entry - exit_price) / entry
+
+            net = trade_ret * LEVERAGE - FEE * 2 * LEVERAGE
+            capital += capital * 0.2 * net
+            capital = max(capital, 0)
+
+            total += 1
+            if trade_ret > 0:
+                correct += 1
+            daily_trades[day] = daily_trades.get(day, 0) + 1
+
+        if total < 15:
+            continue
+
+        acc = correct / total * 100
+        ret = (capital - INITIAL) / INITIAL * 100
+        test_days = (n - split) / 24
+        test_years = test_days / 365.25
+        ann = ((capital / INITIAL) ** (1 / test_years) - 1) * 100 if test_years > 0 and capital > 0 else -100
+        dpnl = (capital - INITIAL) / test_days if test_days > 0 else 0
+        days_active = len(daily_trades)
+
+        tag = "✅" if acc >= 58 and ann >= 30 else ""
+        print(f"  {name:25s}: trades={total:4d} acc={acc:.1f}% ret={ret:+.1f}% ann={ann:+.1f}% €/day={dpnl:.2f} active={days_active} {tag}")
+
+
+for asset in ["ETH", "BTC"]:
+    run_gap_fade(asset)