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research(intraday): asse intraday/microstruttura — lead più vicino al reale ma NON deployabile

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16 agenti su segnali low-turnover intraday (sessione/funding, reversione post-evento, breakout
range del giorno prima) su feed certificati 1h/15m, giudice = marginal scorer indurito + fee-sweep.
Lab: intra_score.py (wrappa study_marginal a TF scelto + turnover/fee), meta_intra.py (corr-TP01 +
per-cut), verify_intra.py (walk-forward + in-sample-null + drop-one + fee-stress).

Esito: 10/16 "earns_slot" -> 5 genuinamente ortogonali (corr<0.4). Combo dei 5: Sharpe 1.80, corr
0.17, leak-free, passa walk-forward (+0.30/+0.37 dove l'ortho dava -0.07), pre-2025 uplift +0.28,
drop-one e fee-robusto. Sembrava IL lead.

3 scettici: (1) open_drive = ARTEFATTO etichettatura UTC (shift confine 4h -> uplift negativo);
prevday_range_breakout REGGE (unico onesto, eseguibile). (2) combo fallisce il null a corr-zero
(20-24° pctl: aggiunge meno del rumore), è HEDGE (corr -0.57..-0.80 a Sharpe-TP01) + tail-luck
(80% PnL in top-5 giorni delle gambe revert). (3) robust-plateau ma null-pctl 0.20 = diversificazione
di stream ortogonale, non timing-alpha; + finzione fee micro-ribilanciamento a $600.

Verdetto: niente in live, resta solo TP01. Lead forward-monitor: prevday_range_breakout. Lezioni
harness da codificare: test shift-confine-giorno (artefatti calendar), fee discretizzata a piccolo
capitale, causality guard nel lab intraday. Diario 2026-06-21-intraday-microstructure.md.

Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>
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Adriano Dal Pastro
2026-06-21 14:20:19 +00:00
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[
{
"name": "agent_13_range_compression_intra",
"tf": "1h",
"abs_grade": "PASS",
"marginal_verdict": "ADDS",
"earns_slot": true,
"corr_full": 0.418,
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"cand_insample_sharpe": 0.702,
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"multicut_persistent": true,
"abs_full_sharpe": 0.514,
"abs_hold_sharpe": 0.928,
"turnover_per_year": 13.4,
"fee020_full_sharpe": 0.488,
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},
{
"name": "agent_05_open_drive",
"tf": "1h",
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"corr_full": 0.133,
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"turnover_per_year": 21.4,
"fee020_full_sharpe": 0.641,
"fee_survives": true
},
{
"name": "agent_09_prevday_range_breakout",
"tf": "1h",
"abs_grade": "PASS",
"marginal_verdict": "ADDS",
"earns_slot": true,
"corr_full": 0.149,
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"fee020_full_sharpe": 0.985,
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},
{
"name": "agent_11_weekly_seasonality",
"tf": "1h",
"abs_grade": "PASS",
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"fee020_full_sharpe": 1.262,
"fee_survives": true
},
{
"name": "agent_06_vol_event_revert_15m",
"tf": "15m",
"abs_grade": "PASS",
"marginal_verdict": "ADDS",
"earns_slot": true,
"corr_full": -0.102,
"corr_hold": -0.378,
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"turnover_per_year": 13.8,
"fee020_full_sharpe": 0.593,
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},
{
"name": "agent_07_volume_spike_revert",
"tf": "1h",
"abs_grade": "WEAK",
"marginal_verdict": "ADDS",
"earns_slot": true,
"corr_full": 0.137,
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},
{
"name": "agent_14_multi_session_momentum",
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{
"name": "agent_08_gap_fill",
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"corr_full": 0.044,
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"turnover_per_year": 11.6,
"fee020_full_sharpe": 0.501,
"fee_survives": true
},
{
"name": "agent_12_close_location",
"tf": "1h",
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"turnover_per_year": 14.4,
"fee020_full_sharpe": 1.166,
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},
{
"name": "agent_10_trend_quality_intra",
"tf": "1h",
"abs_grade": "PASS",
"marginal_verdict": "ADDS",
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},
{
"name": "agent_04_intraday_range_size",
"tf": "1h",
"abs_grade": "PASS",
"marginal_verdict": "REDUNDANT",
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"turnover_per_year": 40.6,
"fee020_full_sharpe": 0.942,
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},
{
"name": "agent_01_session_overlay",
"tf": "1h",
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"fee_survives": true
},
{
"name": "agent_03_funding_clock_15m",
"tf": "15m",
"abs_grade": "FAIL",
"marginal_verdict": "NEUTRAL",
"earns_slot": false,
"corr_full": 0.911,
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},
{
"name": "agent_02_overnight_vs_intraday",
"tf": "1h",
"abs_grade": "FAIL",
"marginal_verdict": "NEUTRAL",
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"corr_full": 0.933,
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"abs_hold_sharpe": -0.41,
"turnover_per_year": 98.2,
"fee020_full_sharpe": 0.497,
"fee_survives": true
},
{
"name": "agent_15_intraday_meanrev_gated",
"tf": "1h",
"abs_grade": "FAIL",
"marginal_verdict": "NOISE",
"earns_slot": false,
"corr_full": -0.017,
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"cand_insample_sharpe": 0.095,
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"abs_hold_sharpe": -1.194,
"turnover_per_year": 19.1,
"fee020_full_sharpe": -0.013,
"fee_survives": false
},
{
"name": "agent_00_hour_of_day_bias",
"tf": "1h",
"abs_grade": "FAIL",
"marginal_verdict": "NEUTRAL",
"earns_slot": false,
"corr_full": 0.698,
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"abs_hold_sharpe": -0.582,
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"fee020_full_sharpe": 0.593,
"fee_survives": true
}
]