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>
2026-06-23 12:26:51 +00:00
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+"""PAPER COMBO — forward-only del combo DEPLOYABLE cross-venue: TP01 (Deribit) + GTAA (IB).
+
+Le DUE gambe realmente eseguibili a basso capitale (XS01/VRP01 restano STAT-MODE, esclusi qui):
+  * TP01 = TSMOM difensivo BTC/ETH long-flat, gia' armato su Deribit;
+  * GTAA = trend difensivo multi-asset su ETF, eseguibile su IB.
+Scorrelati (corr ~0.21) -> blend Sharpe ~1.5, maxDD dimezzato (diari 2026-06-22-deployable-combo).
+
+Traccia FORWARD-ONLY l'equity del blend (default 50/50 capitale), applicando i rendimenti giornalieri
+combinati man mano che arrivano barre nuove. Il crypto (calendario 7g) e' compoundato sul grid dei
+giorni di borsa per allinearlo all'equity. NESSUNA esecuzione reale. Mostra le POSIZIONI azionabili
+su entrambi i venue (TP01 target BTC/ETH + pesi ETF GTAA).
+
+  uv run python scripts/live/paper_combo.py            # avanza (init al 1o run)
+  uv run python scripts/live/paper_combo.py --status   # solo stato
+  uv run python scripts/live/paper_combo.py --reset
+"""
+from __future__ import annotations
+import sys, json
+from pathlib import Path
+PROJECT_ROOT = Path(__file__).resolve().parents[2]
+sys.path.insert(0, str(PROJECT_ROOT))
+import numpy as np, pandas as pd
+from src.portfolio.sleeves import _tp01_returns, _tp01_positions
+from src.portfolio.gtaa import gtaa_returns, gtaa_weights
+
+STATE_DIR = PROJECT_ROOT / "data" / "paper_combo"
+STATE = STATE_DIR / "state.json"
+EQ = STATE_DIR / "equity.csv"
+INITIAL = 2000.0
+W_CRYPTO = 0.5   # blend di capitale TP01/GTAA (50/50; risk-parity ~30/70 alternativa)
+
+
+def combo_daily(wc: float = W_CRYPTO) -> pd.Series:
+    """Rendimenti netti daily del blend sul grid giorni-di-borsa (crypto compoundato)."""
+    tp = _tp01_returns()
+    if tp.index.tz is None:
+        tp.index = tp.index.tz_localize("UTC")
+    eq = gtaa_returns().dropna()
+    grid = eq.index[eq.index >= tp.index[0]]
+    cum = (1.0 + tp).cumprod()
+    tpg = (cum.reindex(cum.index.union(grid)).ffill().reindex(grid)).pct_change()
+    J = pd.concat({"c": tpg, "e": eq.reindex(grid)}, axis=1).dropna()
+    return (wc * J["c"] + (1 - wc) * J["e"]).dropna()
+
+
+def load():
+    return json.loads(STATE.read_text()) if STATE.exists() else None
+
+
+def save(st):
+    STATE_DIR.mkdir(parents=True, exist_ok=True)
+    STATE.write_text(json.dumps(st, indent=2))
+
+
+def advance():
+    r = combo_daily()
+    st = load()
+    if st is None:
+        last = str(r.index[-1])
+        st = dict(start=last, last=last, equity=INITIAL, initial=INITIAL, peak=INITIAL,
+                  max_dd=0.0, n_days=0, w_crypto=W_CRYPTO)
+        save(st)
+        EQ.write_text("date,equity\n" + f"{last},{INITIAL}\n")
+        return st
+    last = pd.Timestamp(st["last"])
+    new = r[r.index > last]
+    if len(new):
+        eq = st["equity"]; peak = st["peak"]; dd = st["max_dd"]; lines = []
+        for d, ret in new.items():
+            eq *= (1.0 + float(ret)); peak = max(peak, eq); dd = max(dd, (peak - eq) / peak if peak > 0 else 0)
+            lines.append(f"{d},{eq:.4f}")
+        st.update(equity=eq, last=str(new.index[-1]), peak=peak, max_dd=dd, n_days=st["n_days"] + len(new))
+        save(st)
+        with open(EQ, "a") as f:
+            f.write("\n".join(lines) + "\n")
+    return st
+
+
+def main():
+    a = sys.argv[1:]
+    if "--reset" in a:
+        for f in (STATE, EQ):
+            f.unlink(missing_ok=True)
+        print("paper combo azzerato.")
+    st = load() if "--status" in a else advance()
+    if st is None:
+        st = advance()
+    days = (pd.Timestamp(st["last"]) - pd.Timestamp(st["start"])).days
+    ret = st["equity"] / st["initial"] - 1
+    gw = gtaa_weights()
+    asof = gw.pop("_asof", "?"); cash = gw.pop("_cash", None)
+    print("PAPER COMBO — TP01 (Deribit) + GTAA (IB), forward-only, blend 50/50")
+    print(f"  start {st['start'][:10]} -> last {st['last'][:10]} ({days}g, {st['n_days']} barre)")
+    print(f"  equity {st['equity']:.2f} (start {st['initial']:.0f})  ret {ret*100:+.2f}%  maxDD {st['max_dd']*100:.1f}%")
+    print(f"  --- POSIZIONI AZIONABILI ---")
+    print(f"  TP01 (Deribit, frazione equity x leva): {_tp01_positions()}")
+    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%}")
+
+
+if __name__ == "__main__":
+    main()