feat(combo): paper-trade cross-venue TP01 (Deribit) + GTAA (IB), forward-only
L'unica cosa vera/deployabile della ricerca: diversificazione TP01+GTAA (corr 0.21, blend Sharpe ~1.5, DD dimezzato). Si va in PAPER cross-venue. - src/portfolio/gtaa.py: GTAA sleeve di prima classe (trend difensivo TSMOM vol-target 12% su SPY/QQQ/IWM/TLT/GLD/HYG). gtaa_returns() Sharpe 0.64; gtaa_weights() = pesi ETF correnti azionabili. - scripts/live/paper_combo.py: tracker forward-only blend 50/50 TP01+GTAA (crypto compoundato su grid giorni-di-borsa), mostra posizioni azionabili su entrambi i venue. Solo gambe eseguibili. - fetch_ib_equities.py --only: refresh mirato dei 6 ETF GTAA per il cron. - cron_daily.sh: up gateway IB + refresh ETF GTAA + avanza paper_combo (dipendenza cross-venue gestita). Init 2026-06-23: TP01 flat (risk-off), GTAA SPY13/QQQ8/IWM9/TLT17/GLD2/HYG17/cash34. Catena gateway->refresh->paper testata end-to-end. PAPER (rischio zero), valida l'operativita' cross-venue. Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>
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Adriano Dal Pastro
@@ -11,5 +11,10 @@ mkdir -p logs
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uv run python scripts/live/paper_portfolio.py # avanza paper TP01+XS01
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uv run python scripts/live/paper_prevday.py # forward-monitor lead prevday-breakout (PAPER, non deploy)
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uv run python scripts/live/live_execute.py --execute # TP01 LIVE su Deribit (gated da config/live.json)
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# --- COMBO cross-venue (PAPER): refresh ETF IB (GTAA) + avanza paper TP01+GTAA ---
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docker compose up -d ib-gateway >/dev/null 2>&1 # gateway IB paper (idempotente)
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for i in $(seq 1 25); do (echo > /dev/tcp/127.0.0.1/4002) >/dev/null 2>&1 && break; sleep 6; done
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uv run --with ib_async python scripts/research/fetch_ib_equities.py --only SPY,QQQ,IWM,TLT,GLD,HYG # ETF GTAA freschi
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uv run python scripts/live/paper_combo.py # avanza paper combo (forward-only)
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echo "===== done $(date -u '+%H:%M:%SZ') ====="
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} >> logs/cron_daily.log 2>&1
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@@ -0,0 +1,101 @@
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"""PAPER COMBO — forward-only del combo DEPLOYABLE cross-venue: TP01 (Deribit) + GTAA (IB).
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Le DUE gambe realmente eseguibili a basso capitale (XS01/VRP01 restano STAT-MODE, esclusi qui):
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* TP01 = TSMOM difensivo BTC/ETH long-flat, gia' armato su Deribit;
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* GTAA = trend difensivo multi-asset su ETF, eseguibile su IB.
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Scorrelati (corr ~0.21) -> blend Sharpe ~1.5, maxDD dimezzato (diari 2026-06-22-deployable-combo).
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Traccia FORWARD-ONLY l'equity del blend (default 50/50 capitale), applicando i rendimenti giornalieri
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combinati man mano che arrivano barre nuove. Il crypto (calendario 7g) e' compoundato sul grid dei
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giorni di borsa per allinearlo all'equity. NESSUNA esecuzione reale. Mostra le POSIZIONI azionabili
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su entrambi i venue (TP01 target BTC/ETH + pesi ETF GTAA).
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uv run python scripts/live/paper_combo.py # avanza (init al 1o run)
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uv run python scripts/live/paper_combo.py --status # solo stato
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uv run python scripts/live/paper_combo.py --reset
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"""
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from __future__ import annotations
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import sys, json
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from pathlib import Path
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PROJECT_ROOT = Path(__file__).resolve().parents[2]
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sys.path.insert(0, str(PROJECT_ROOT))
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import numpy as np, pandas as pd
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from src.portfolio.sleeves import _tp01_returns, _tp01_positions
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from src.portfolio.gtaa import gtaa_returns, gtaa_weights
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STATE_DIR = PROJECT_ROOT / "data" / "paper_combo"
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STATE = STATE_DIR / "state.json"
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EQ = STATE_DIR / "equity.csv"
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INITIAL = 2000.0
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W_CRYPTO = 0.5 # blend di capitale TP01/GTAA (50/50; risk-parity ~30/70 alternativa)
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def combo_daily(wc: float = W_CRYPTO) -> pd.Series:
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"""Rendimenti netti daily del blend sul grid giorni-di-borsa (crypto compoundato)."""
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tp = _tp01_returns()
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if tp.index.tz is None:
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tp.index = tp.index.tz_localize("UTC")
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eq = gtaa_returns().dropna()
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grid = eq.index[eq.index >= tp.index[0]]
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cum = (1.0 + tp).cumprod()
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tpg = (cum.reindex(cum.index.union(grid)).ffill().reindex(grid)).pct_change()
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J = pd.concat({"c": tpg, "e": eq.reindex(grid)}, axis=1).dropna()
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return (wc * J["c"] + (1 - wc) * J["e"]).dropna()
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def load():
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return json.loads(STATE.read_text()) if STATE.exists() else None
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def save(st):
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STATE_DIR.mkdir(parents=True, exist_ok=True)
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STATE.write_text(json.dumps(st, indent=2))
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def advance():
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r = combo_daily()
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st = load()
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if st is None:
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last = str(r.index[-1])
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st = dict(start=last, last=last, equity=INITIAL, initial=INITIAL, peak=INITIAL,
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max_dd=0.0, n_days=0, w_crypto=W_CRYPTO)
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save(st)
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EQ.write_text("date,equity\n" + f"{last},{INITIAL}\n")
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return st
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last = pd.Timestamp(st["last"])
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new = r[r.index > last]
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if len(new):
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eq = st["equity"]; peak = st["peak"]; dd = st["max_dd"]; lines = []
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for d, ret in new.items():
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eq *= (1.0 + float(ret)); peak = max(peak, eq); dd = max(dd, (peak - eq) / peak if peak > 0 else 0)
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lines.append(f"{d},{eq:.4f}")
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st.update(equity=eq, last=str(new.index[-1]), peak=peak, max_dd=dd, n_days=st["n_days"] + len(new))
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save(st)
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with open(EQ, "a") as f:
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f.write("\n".join(lines) + "\n")
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return st
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def main():
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a = sys.argv[1:]
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if "--reset" in a:
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for f in (STATE, EQ):
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f.unlink(missing_ok=True)
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print("paper combo azzerato.")
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st = load() if "--status" in a else advance()
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if st is None:
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st = advance()
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days = (pd.Timestamp(st["last"]) - pd.Timestamp(st["start"])).days
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ret = st["equity"] / st["initial"] - 1
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gw = gtaa_weights()
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asof = gw.pop("_asof", "?"); cash = gw.pop("_cash", None)
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print("PAPER COMBO — TP01 (Deribit) + GTAA (IB), forward-only, blend 50/50")
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print(f" start {st['start'][:10]} -> last {st['last'][:10]} ({days}g, {st['n_days']} barre)")
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print(f" equity {st['equity']:.2f} (start {st['initial']:.0f}) ret {ret*100:+.2f}% maxDD {st['max_dd']*100:.1f}%")
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print(f" --- POSIZIONI AZIONABILI ---")
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print(f" TP01 (Deribit, frazione equity x leva): {_tp01_positions()}")
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print(f" GTAA (IB, peso ETF, asof {asof}): " + ", ".join(f"{k} {v:.0%}" for k, v in gw.items() if v) + f" | cash {cash:.0%}")
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if __name__ == "__main__":
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main()
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@@ -88,7 +88,11 @@ def main():
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print("=" * 104)
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rep, ok = [], []
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force = "--force" in sys.argv[1:]
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for sym in UNIVERSE:
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universe = UNIVERSE
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if "--only" in sys.argv[1:]: # refresh mirato (es. solo i 6 ETF GTAA per il cron)
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universe = sys.argv[sys.argv.index("--only") + 1].upper().split(",")
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force = True # --only implica refresh dei simboli indicati
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for sym in universe:
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out_path = RAW / f"eq_{sym.lower()}_1d.parquet"
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if out_path.exists() and not force:
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print(f" {sym:5} GIA' SU DISCO -> skip (usa --force per riscaricare)")
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