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research(wave-0822): DEALER-GAMMA scartato — e dealer_net_gamma e' il GEX col segno invertito

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Adriano Dal Pastro
2026-08-22 17:08:20 +00:00
parent ff4aa94528
commit 3b206c8e6d
8 changed files with 283 additions and 59 deletions
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scripts/research/r0822_ortho_screen.py
+14 -4
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@@ -630,6 +630,7 @@ def deep_dive(results) -> None:
B = A.tp01_baseline_daily()
C = r["C"]
best = None
rows_ctl = []
for p in MOM_CONTROL_GRID:
fnm = mk_mom(tf="1d", **p)
Cm = A.candidate_daily(fnm, tf="1d")
@@ -637,18 +638,27 @@ def deep_dive(results) -> None:
JB = pd.concat({"B": B, "M": Cm}, axis=1, join="inner").dropna()
up = A._sh((1 - W_BLEND) * JB["B"] + W_BLEND * JB["M"]) - A._sh(JB["B"])
row = dict(params=p, sharpe=round(A._sh(Cm), 3),
insample=round(A._sh(Cm[Cm.index < A.HOLDOUT]), 3),
hold=round(A._sh(Cm[Cm.index >= A.HOLDOUT]), 3),
corr_to_acc=round(float(J["A"].corr(J["M"])), 3),
corr_to_tp01=round(float(JB["B"].corr(JB["M"])), 3),
uplift_w25_full=round(up, 3))
print(f" MOM {str(p):<28} Sh {row['sharpe']:+.3f} hold {row['hold']:+.3f} "
f"corr->{r['code']} {row['corr_to_acc']:+.3f} corr->TP01 {row['corr_to_tp01']:+.3f} "
f"uplift {row['uplift_w25_full']:+.3f}")
print(f" MOM {str(p):<28} Sh {row['sharpe']:+.3f} IS {row['insample']:+.3f} "
f"hold {row['hold']:+.3f} corr->{r['code']} {row['corr_to_acc']:+.3f} "
f"corr->TP01 {row['corr_to_tp01']:+.3f} uplift {row['uplift_w25_full']:+.3f}")
rows_ctl.append(row)
if best is None or row["corr_to_acc"] > best["corr_to_acc"]:
best = row
print(f" livello piu' vicino all'accelerazione: {best['params']} corr {best['corr_to_acc']:+.3f}")
print(" lettura: corr alta col LIVELLO => l'accelerazione non e' una dimensione nuova; "
"corr bassa => e' distinta ma resta da spiegare perche' non sopravvive al DSR.\n")
"corr bassa => e' distinta ma resta da spiegare perche' non sopravvive al DSR.")
bh = max(rows_ctl, key=lambda x: x["hold"])
bi = max(rows_ctl, key=lambda x: x["insample"])
print(f" TRAPPOLA DICHIARATA: la cella di controllo migliore SULL'HOLD-OUT e' {bh['params']} "
f"(hold {bh['hold']:+.3f}); quella scelta IN-SAMPLE-ONLY e' {bi['params']} "
f"(IS {bi['insample']:+.3f}, hold {bi['hold']:+.3f}). Se coincidono, il controllo e'"
" selezionabile; se no, guardare la colonna hold e' selezione-sull'hold-out (trappola 3)"
" e NON promuove nulla.\n")
NOT_TESTED = [