chore(reset): v2.0.0 — storico certificato Deribit mainnet, ripartenza pulita
Reset del progetto su fondamenta verificate dopo la scoperta che l'intera libreria "validata OOS" era artefatto di feed contaminato (print fantasma del feed Cerbero TESTNET + storico Binance/USDT). - Storico ricostruito da Deribit MAINNET (ccxt pubblico, tokenless) e CERTIFICATO (certify_feed.py): BTC/ETH puliti su TUTTA la storia (mediana 2-6 bps vs Coinbase USD), integrita' OHLC + coerenza resample (maxΔ 0.00) + cross-venue OK. Alt esclusi (illiquidi/divergenti: LTC/DOGE 50-82% barre flat; XRP/BNB non certificabili). - Verdetto sul feed pulito: FADE / PAIRS / XS01 / TSM01 morti (ogni portafoglio Sharpe -2.3..-3.0, DD ~40%); solo SH01 e frammenti HONEST con segnale residuo, da ri-validare in isolamento. - Cleanup "restart pulito": strategie, stack live (src/live, src/portfolio, runner/executor, yml, docker), ~100 script ricerca/gate, waste/games/ portfolios, dati non certificati + cache e 60+ diari -> archiviati in Old/ (preservati, non cancellati). Diario consolidato in un unico documento. - Skeleton ricerca tenuto: Strategy ABC + indicatori + src/fractal + src/backtest/engine + load_data; tool dati certificati (rebuild_history, certify_feed, audit_feed, multi_source_check). - Universo dati ATTIVO: solo BTC/ETH (5m/15m/1h); guardrail fisico (load_data su alt -> FileNotFoundError). Esecuzione DISABILITATA, conto flat. Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>
This commit is contained in:
Adriano Dal Pastro
@@ -0,0 +1,103 @@
|
||||
"""Validazione FINALE delle 3 strategie oneste selezionate.
|
||||
Per ciascuna: per-asset FULL/OOS/DD/anni-positivi + sweep fee (0/0.05/0.10/0.20% RT).
|
||||
Tutto NETTO, ingresso eseguibile, OOS = ultimo 30%, leva 3x.
|
||||
|
||||
S1 DIP — long-only dip-buy z-score reversion (1h) [regime: reversione]
|
||||
S2 TREND — long-only EMA 20/100 trend-following (4h) [regime: momentum singolo]
|
||||
S3 ROT — rotazione cross-sectional momentum sul paniere (1d) [regime: forza relativa]
|
||||
"""
|
||||
from __future__ import annotations
|
||||
|
||||
import sys
|
||||
from pathlib import Path
|
||||
|
||||
import numpy as np
|
||||
import pandas as pd
|
||||
|
||||
PROJECT_ROOT = Path(__file__).resolve().parents[2]
|
||||
sys.path.insert(0, str(PROJECT_ROOT))
|
||||
|
||||
from scripts.analysis.honest_lab import atr, ema, get_df, simulate, oos_split, available_assets
|
||||
from scripts.analysis.honest_trend import simulate_position, ema_dual_signal, oos as trend_oos
|
||||
from scripts.analysis.honest_rotation import build_panel, simulate_rotation
|
||||
|
||||
FEES = [0.0, 0.0005, 0.001, 0.002]
|
||||
|
||||
|
||||
# ---- S1 DIP ----
|
||||
def dip_entries(df, n=50, z_in=2.5, sl_atr=2.5, max_bars=24):
|
||||
c = df["close"].values
|
||||
ma = pd.Series(c).rolling(n).mean().values
|
||||
sd = pd.Series(c).rolling(n).std().values
|
||||
a = atr(df, 14)
|
||||
z = (c - ma) / np.where(sd == 0, np.nan, sd)
|
||||
ents = []
|
||||
for i in range(n + 14, len(c)):
|
||||
if np.isnan(z[i]) or np.isnan(a[i]):
|
||||
continue
|
||||
if z[i] <= -z_in and z[i - 1] > -z_in:
|
||||
ents.append({"i": i, "d": 1, "tp": ma[i], "sl": c[i] - sl_atr * a[i], "max_bars": max_bars})
|
||||
return ents
|
||||
|
||||
|
||||
def validate_dip(assets):
|
||||
print("\n" + "=" * 100)
|
||||
print(" S1 DIP — long-only dip-buy z-score reversion | 1h | n=50 z=2.5 sl=2.5ATR mb=24")
|
||||
print("=" * 100)
|
||||
print(f" {'Asset':<6s}{'Trd':>6s}{'Win%':>7s}{'FULL%':>9s}{'OOS%':>9s}{'DD%':>6s}{'Exp%':>6s}{'AnniP':>8s}"
|
||||
f"{' fee-sweep OOS% (0/0.05/0.10/0.20)':<40s}")
|
||||
ok = 0
|
||||
for a in assets:
|
||||
df = get_df(a, "1h"); ents = dip_entries(df)
|
||||
if len(ents) < 30:
|
||||
continue
|
||||
full = simulate(ents, df); _, oe = oos_split(ents, df); oos = simulate(oe, df)
|
||||
sweep = " ".join(f"{simulate(oe, df, fee_rt=f).ret:+.0f}" for f in FEES)
|
||||
good = full.ret > 0 and oos.ret > 0
|
||||
ok += good
|
||||
print(f" {a:<6s}{full.trades:>6d}{full.win:>7.1f}{full.ret:>+9.0f}{oos.ret:>+9.0f}"
|
||||
f"{full.dd:>6.0f}{full.exposure:>6.0f}{f'{full.pos_years}/{full.n_years}':>8s} [{sweep}]"
|
||||
f"{' OK' if good else ''}")
|
||||
print(f" -> robusto (FULL+OOS>0) su {ok}/{len(assets)} asset")
|
||||
|
||||
|
||||
def validate_trend(assets):
|
||||
print("\n" + "=" * 100)
|
||||
print(" S2 TREND — long-only EMA 20/100 trend | 4h")
|
||||
print("=" * 100)
|
||||
print(f" {'Asset':<6s}{'Flip':>6s}{'FULL%':>9s}{'OOS%':>9s}{'DD%':>6s}{'Exp%':>6s}{'AnniP':>8s}")
|
||||
ok = 0
|
||||
for a in assets:
|
||||
df = get_df(a, "4h"); sig = ema_dual_signal(df, 20, 100, long_only=True)
|
||||
full = simulate_position(sig, df); oos = trend_oos(sig, df)
|
||||
good = full["ret"] > 0 and oos["ret"] > 0
|
||||
ok += good
|
||||
print(f" {a:<6s}{full['flips']:>6d}{full['ret']:>+9.0f}{oos['ret']:>+9.0f}"
|
||||
f"{full['dd']:>6.0f}{full['exposure']:>6.0f}{(str(full['pos_years'])+'/'+str(full['n_years'])):>8s}"
|
||||
f"{' OK' if good else ''}")
|
||||
print(f" -> robusto su {ok}/{len(assets)} asset")
|
||||
|
||||
|
||||
def validate_rot(assets):
|
||||
print("\n" + "=" * 100)
|
||||
print(" S3 ROT — rotazione cross-sectional momentum | 1d | lb=60 top2 su tutto il paniere")
|
||||
print("=" * 100)
|
||||
panel = build_panel(assets, "1d")
|
||||
print(f" Paniere {list(panel.columns)} {panel.shape[0]} barre {panel.index[0].date()}->{panel.index[-1].date()}")
|
||||
print(f" {'fee RT':<10s}{'FULL%':>9s}{'OOS%':>9s}{'DD%':>6s}{'AnniP':>8s}")
|
||||
for f in FEES:
|
||||
full = simulate_rotation(panel, lookback=60, top_k=2, fee_rt=f)
|
||||
oos = simulate_rotation(panel, lookback=60, top_k=2, fee_rt=f, oos_frac=0.30)
|
||||
anni = str(full['pos_years']) + '/' + str(full['n_years'])
|
||||
print(f" {f*100:>5.2f}%RT {full['ret']:>+9.0f}{oos['ret']:>+9.0f}{full['dd']:>6.0f}{anni:>8s}")
|
||||
# per-anno alla fee reale
|
||||
full = simulate_rotation(panel, lookback=60, top_k=2, fee_rt=0.001)
|
||||
print(" per-anno (fee 0.10%): " + " ".join(f"{y}:{v:+.0f}%" for y, v in sorted(full["yearly"].items())))
|
||||
|
||||
|
||||
if __name__ == "__main__":
|
||||
assets = available_assets()
|
||||
print(f"VALIDAZIONE FINALE — asset disponibili: {assets}")
|
||||
validate_dip(assets)
|
||||
validate_trend(assets)
|
||||
validate_rot(assets)
|
||||
Reference in New Issue
Block a user