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docs: aggiorna README e CLAUDE.md con strategie MT01/PD01/CM01/AD01

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Co-Authored-By: Claude Opus 4.7 (1M context) <noreply@anthropic.com>
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AdrianoDev
2026-05-28 09:50:58 +02:00
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@@ -44,7 +44,8 @@ data/raw/ → file .parquet OHLCV (gitignored)
```bash
uv sync # installa dipendenze
uv run python -m src.data.downloader # scarica dati storici
uv run python scripts/strategies/SQ02_squeeze_antifake_vol.py # miglior strategia robusta
uv run python scripts/strategies/MT01_squeeze_mtf_momentum.py # miglior strategia (82.7% acc)
uv run python scripts/analysis/yearly_market_report.py # confronto per anno×mercato
uv run python scripts/strategies/ML01_squeeze_gbm.py # squeeze + ML (GBM)
uv run python -m src.live.multi_runner # paper trading live multi-strategia
docker compose up -d # deploy Docker
@@ -69,19 +70,32 @@ Token observer: nel file `secrets/observer.token` del progetto CerberoSuite.
Tutte le strategie estendono `src.strategies.base.Strategy` con interfaccia comune:
`generate_signals() → backtest() → report()`.
| Codice | Nome | Tipo | Accuracy | Note |
|--------|------|------|----------|------|
| SQ01 | Squeeze Base | Regole | 76.7% | Squeeze breakout puro, baseline |
| SQ02 | Antifake+Vol | Regole | **79.7%** | **Miglior robusto** — 9 anni, Sharpe 5.01 |
| SQ03 | Filtered | Regole | 79.2% | Filtri selezionabili (9 preset) |
| SQ04 | Ultimate | Regole | 81.6% | Max accuracy ma concentrato 2018 |
| ML01 | Squeeze+GBM | ML | 78.8% | Walk-forward, €8-12/day, DD basso |
Accuracy/DD su BTC 15m (9 anni 2018-2026, fee 0.2% RT, leva 3x, pos 15%):
| Codice | Nome | Tipo | Acc | DD | Trades | Note |
|--------|------|------|-----|----|--------|------|
| SQ01 | Squeeze Base | Regole | 76.7% | 6.7% | 4062 | Squeeze breakout puro, baseline |
| SQ02 | Antifake+Vol | Regole | 79.7% | 6.5% | 1250 | Squeeze + antifake + volume |
| SQ03 | Filtered | Regole | 79.2% | — | — | Filtri selezionabili (9 preset) |
| SQ04 | Ultimate | Regole | 81.6% | 4.3% | 376 | Concentrato 2018, poco robusto |
| ML01 | Squeeze+GBM | ML | 78.8% | 7.0% | 1964 | Walk-forward, €8-12/day |
| **MT01** | Squeeze+MTF | Regole | **82.7%** | 5.9% | 503 | **Max accuracy** — squeeze 15m + EMA trend 1h |
| **PD01** | Price-Vol Divergence | Regole | 80.6% | **2.7%** | 578 | Volume TREND al breakout, DD bassissimo |
| **CM01** | Cross-Market Momentum | Regole | 79.5% | 2.2%* | 611 | Squeeze + momentum cross BTC↔ETH (*DD su ETH) |
| **AD01** | Adaptive Squeeze | Regole | 79.9% | 9.9% | 1364 | Soglia squeeze adattiva per regime vol, max PnL |
Le strategie MT01/PD01/CM01/AD01 (branch strategy4) battono SQ02 e hanno DD inferiore
(eccetto AD01 su BTC). PD01 ed CM01 su ETH raggiungono DD 2.2-2.3%.
Report dettagliato per anno×mercato: `scripts/analysis/yearly_market_report.py`.
Per aggiungere una strategia:
1. Crea script in `scripts/strategies/` che estende `Strategy`
2. Aggiungi mapping in `src/live/strategy_loader.py` → `MODULE_MAP`
3. Aggiungi entry in `strategies.yml` per paper trading
Strategie scartate in `scripts/waste/` (W23-W28): inside bar, donchian, retest,
mean reversion RSI, volume spike, squeeze+MR — tutte sotto 65% acc o DD >14%.
## Multi-Strategy Paper Trader
Orchestratore che esegue N strategie in parallelo su dati live Cerbero, ognuna con €1000 USDC virtuali indipendenti.