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feat(live): worker a 2 gambe per i pairs (PR01 market-neutral)

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src/live/pairs_worker.py: PairsWorker market-neutral (long A / short B sullo z-score
del log-ratio, exit |z|<=z_exit o max_bars, FEE SU 2 GAMBE = 2*fee_rt*lev, stato
persistente come StrategyWorker). multi_runner: sezione `pairs:` nello YAML, fetch di
entrambe le gambe, tick/status/shutdown; INSTRUMENT_MAP esteso agli alt. strategies.yml:
5 coppie PR01 (config universale n50 z2 zx0.75 mb72).

Validazione (scripts/analysis/validate_worker_pairs.py): replay live bar-per-bar ==
backtest pairs_sim ESATTAMENTE -> ETH/BTC capitale 2.870.429 = 2.870.429, 1754 trade,
win 74.1% identici. Caveat: shortabilita'/liquidita' del perp B sugli alt da verificare
in trading reale. CLAUDE.md / docstring PR01 aggiornati.

Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>
This commit is contained in:
AdrianoDev
2026-05-29 09:12:25 +02:00
parent 9a066eb76f
commit 4dc0e77ee5
6 changed files with 391 additions and 10 deletions
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strategies.yml
+38
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@@ -90,3 +90,41 @@ strategies:
max_bars: 24
trend_max: 3.0 # salta fade contro trend estremo (|close-EMA200|/ATR>3): Acc+ DD-
ema_long: 200
# ---------------------------------------------------------------------------
# PR01 — PAIRS market-neutral spread reversion (worker a 2 GAMBE: src/live/pairs_worker.py)
# Config UNIVERSALE n50 z2 zx0.75 mb72 (anti-overfit, validata walk-forward).
# fee_rt 0.001/gamba -> 0.20% RT/coppia. ATTENZIONE: richiede perp shortabile per
# entrambe le gambe; su alt (LTC/SOL/ADA) verificare liquidita'/fill prima del live reale.
pairs:
- name: PR01_pairs_reversion
a: ETH
b: BTC
tf: 1h
enabled: true
params: {n: 50, z_in: 2.0, z_exit: 0.75, max_bars: 72, jump_max: 0.08}
- name: PR01_pairs_reversion
a: LTC
b: ETH
tf: 1h
enabled: true
params: {n: 50, z_in: 2.0, z_exit: 0.75, max_bars: 72, jump_max: 0.08}
- name: PR01_pairs_reversion
a: ADA
b: ETH
tf: 1h
enabled: true
params: {n: 50, z_in: 2.0, z_exit: 0.75, max_bars: 72, jump_max: 0.08}
- name: PR01_pairs_reversion
a: BTC
b: LTC
tf: 1h
enabled: true
params: {n: 50, z_in: 2.0, z_exit: 0.75, max_bars: 72, jump_max: 0.08}
# ETH/SOL: la piu' debole (DD ~63%, storia SOL corta) -> peso ridotto consigliato
- name: PR01_pairs_reversion
a: ETH
b: SOL
tf: 1h
enabled: true
params: {n: 50, z_in: 2.0, z_exit: 0.75, max_bars: 72, jump_max: 0.08}