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fix: resolution-safe timestamp in trackD_timing resample (pandas 2.x datetime64[ms])

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- combination study: PORT LF4h (BTC+ETH) Sharpe 1.32 DD 12.3% remains best
- RV ETH/BTC market-neutral sleeve is genuinely uncorrelated (~0.05) but too weak
  (Sharpe 0.27) to raise portfolio Sharpe; combining the two TF configs is redundant
  (same-asset cross-config corr 0.80)
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AdrianoDev
2026-06-19 20:18:03 +02:00
parent 8dbdadd509
commit 3b6ff02197
1 changed files with 2 additions and 1 deletions
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scripts/research/trackD_timing.py
+2 -1
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@@ -51,7 +51,8 @@ def resample_ohlc(df: pd.DataFrame, rule: str) -> pd.DataFrame:
{"open": "first", "high": "max", "low": "min", "close": "last", "volume": "sum"}) {"open": "first", "high": "max", "low": "min", "close": "last", "volume": "sum"})
out = out.dropna(subset=["open"]) out = out.dropna(subset=["open"])
out["datetime"] = out.index out["datetime"] = out.index
out["timestamp"] = (out.index.view("int64") // 1_000_000) epoch = pd.Timestamp("1970-01-01", tz="UTC")
out["timestamp"] = ((out.index - epoch) // pd.Timedelta(milliseconds=1)).astype("int64")
return out.reset_index(drop=True)[["timestamp", "open", "high", "low", "close", "volume", "datetime"]] return out.reset_index(drop=True)[["timestamp", "open", "high", "low", "close", "volume", "datetime"]]