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>

Old/tests/portfolio/test_sh01_last_block.py

@@ -0,0 +1,60 @@
+"""SH01 path live: last_block_only == tail del walk-forward completo (parity by
+construction) + merge storia parquet/feed del runner."""
+import numpy as np
+import pandas as pd
+import pytest
+
+from src.portfolio.runner import _with_history
+
+
+def _df(n=6500, seed=0, t0=1_600_000_000_000):
+    rng = np.random.default_rng(seed)
+    c = 100 * np.exp(np.cumsum(rng.normal(0, 0.01, n)))
+    h = c * (1 + np.abs(rng.normal(0, 0.004, n)))
+    l = c * (1 - np.abs(rng.normal(0, 0.004, n)))
+    o = np.roll(c, 1); o[0] = c[0]
+    ts = t0 + 3_600_000 * np.arange(n)
+    return pd.DataFrame({"timestamp": ts, "open": o, "high": h, "low": l,
+                         "close": c, "volume": 1.0})
+
+
+def test_last_block_only_matches_full_wf_tail():
+    from scripts.analysis.shape_ml_research import ml_wf_entries
+    df = _df()
+    cfg = dict(W=24, H=12, model="logit", thresh=0.55, train_min=4000, retrain=500)
+    full = ml_wf_entries(df, **cfg)
+    last = ml_wf_entries(df, last_block_only=True, **cfg)
+    n = len(df)
+    # confine dell'ultimo blocco: start + k*retrain (deterministico)
+    start = max(cfg["train_min"], cfg["W"] - 1)
+    B = start
+    while B + cfg["retrain"] < n - 1:
+        B += cfg["retrain"]
+    full_tail = [e for e in full if e["i"] >= B]
+    assert last == full_tail                       # identita' esatta, non solo simile
+    assert all(e["i"] >= B for e in last)
+
+
+def test_with_history_merges_contiguous():
+    hist = _df(n=100)
+    live = _df(n=50, t0=int(hist["timestamp"].iloc[60]))   # overlap: live parte dentro hist
+    out = _with_history(hist, live)
+    assert len(out) == 60 + 50                      # hist pre-overlap + live completo
+    ts = out["timestamp"].values
+    assert (np.diff(ts) > 0).all()                  # serie strettamente crescente
+
+
+def test_with_history_gap_falls_back_to_live():
+    hist = _df(n=100)
+    gap_start = int(hist["timestamp"].iloc[-1]) + 10 * 3_600_000   # buco di 10 barre
+    live = _df(n=50, t0=gap_start)
+    warned = set()
+    out = _with_history(hist, live, warned, "BTC")
+    assert len(out) == 50 and "BTC" in warned       # solo feed + warn deduplicato
+    out2 = _with_history(hist, live, warned, "BTC")
+    assert len(out2) == 50                          # secondo giro: nessun nuovo warn
+
+
+def test_with_history_none_hist_passthrough():
+    live = _df(n=50)
+    assert _with_history(None, live) is live