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feat(live): attiva loss-guard Hurst sulle fade PORT06 (hurst_max=0.55)

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Attivazione live: hurst_max=0.55 nei params delle 6 fade (MR01/MR02/MR07 x BTC/ETH) in _defs.py.
hurst_skip_mask step=6 (5.9s/fade su 10560 barre live, ~35s per le 6 -> OK su poll 60s, e coincide
con la cache di validazione). Calcolato dalle SOLE close -> nessun feed esterno, il worker lo computa
inline.

NB live/backtest: il filtro agisce solo sul path LIVE (spec.params); il backtest canonico
(build_everything/regression-lock, via risk_management) NON e' filtrato -> il live FARA' meglio del
backtest sul DD (FULL 4.10%->2.39% atteso). Divergenza intenzionale (miglioramento). Backtest-parity
aggiornabile in seguito. Suite: 54 passed.

Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>
This commit is contained in:
Adriano Dal Pastro
2026-06-02 14:17:07 +00:00
parent ac6f3766b0
commit 29c2ea488f
2 changed files with 14 additions and 4 deletions
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scripts/portfolios/_defs.py
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@@ -18,8 +18,14 @@ UNIVERSE8 = ["ADA", "BNB", "BTC", "DOGE", "ETH", "LTC", "SOL", "XRP"]
# MR02/MR07 lo ignorano (**params). Vedi docs/diary/2026-06-01-tp-min-edge.md.
MIN_TP_FRAC = 0.0015
# Loss-guard Hurst (live): salta le fade in regime PERSISTENTE/trending (rolling-Hurst >= 0.55),
# dove si concentrano stop-loss e perdite (stop-rate 43% vs 21% anti-persistente). DIMEZZA il DD
# del PORT06 (FULL 4.10%->2.39%) alzando lo Sharpe. Calcolato dalle SOLE close (no feed esterno).
# Validato 2026-06-02, vedi docs/diary/2026-06-02-fade-lossguard.md.
HURST_MAX = 0.55
FADE = [SleeveSpec(kind="single", name=c, sid=f"{c}_{a}", asset=a, cluster=f"{a}-rev",
params={"min_tp_frac": MIN_TP_FRAC})
params={"min_tp_frac": MIN_TP_FRAC, "hurst_max": HURST_MAX})
for a in ("BTC", "ETH") for c in ("MR01", "MR02", "MR07")]
HONEST = [
# DIP01: single-asset 1h -> StrategyWorker (Strategy DIP01_dip_buy). TR01/ROT02: multi-asset.