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feat(combo): paper-trade cross-venue TP01 (Deribit) + GTAA (IB), forward-only

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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>
This commit is contained in:
Adriano Dal Pastro
2026-06-23 12:26:51 +00:00
parent 09c8bb7de8
commit 3b552a92da
5 changed files with 217 additions and 1 deletions
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scripts/cron_daily.sh
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@@ -11,5 +11,10 @@ mkdir -p logs
uv run python scripts/live/paper_portfolio.py # avanza paper TP01+XS01
uv run python scripts/live/paper_prevday.py # forward-monitor lead prevday-breakout (PAPER, non deploy)
uv run python scripts/live/live_execute.py --execute # TP01 LIVE su Deribit (gated da config/live.json)
# --- COMBO cross-venue (PAPER): refresh ETF IB (GTAA) + avanza paper TP01+GTAA ---
docker compose up -d ib-gateway >/dev/null 2>&1 # gateway IB paper (idempotente)
for i in $(seq 1 25); do (echo > /dev/tcp/127.0.0.1/4002) >/dev/null 2>&1 && break; sleep 6; done
uv run --with ib_async python scripts/research/fetch_ib_equities.py --only SPY,QQQ,IWM,TLT,GLD,HYG # ETF GTAA freschi
uv run python scripts/live/paper_combo.py # avanza paper combo (forward-only)
echo "===== done $(date -u '+%H:%M:%SZ') ====="
} >> logs/cron_daily.log 2>&1