research(alt): sweep 104 strategie alternative su Deribit (153 agenti) + marginal scorer

Ondata di ricerca onesta a largo spettro su BTC/ETH+DVOL certificati: 104 ipotesi
distinte (11 famiglie), un agente-finder per ipotesi, verifica avversariale a 3
scettici sui promettenti, sintesi (153 agenti totali). Esito: NIENTE di nuovo regge
-> conferma del soffitto strutturale ~1.3 BTC/ETH-direzionale; lo stack
TP01+XS01+VRP01 resta imbattuto.

- altlib.py: harness condiviso vettoriale leak-free (eval_weights/study_weights,
  fee-sweep, both-asset + hold-out 2025+). Riproduce i numeri canonici di TP01.
- MARGINAL SCORER (study_marginal/marginal_vs_tp01): Sharpe INCREMENTALE vs baseline
  TP01 (corr, blend uplift OOS, alpha residua) + jackknife OOS (clean-year +
  drop-best-month). earns_slot = abs!=FAIL & ADDS & robust_oos. Smaschera gli overlay
  su TSMOM con PASS assoluti fasulli (CMB04, VOL11, ...) e il falso positivo KAMA
  (ADDS ma muore al jackknife).
- runs/*.py (104) script riproducibili per ipotesi; wf_altstrat.js workflow.
- Verdetto: 0 candidati deployabili; 2 LEAD fragili (VOL08, STA05_LS) da forward-monitor.
- test_marginal_scorer.py blocca baseline + invarianti. Suite: 32 verde.

Diario: docs/diary/2026-06-20-alt-strategies-100agent-sweep.md

Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>

tests/test_marginal_scorer.py

@@ -0,0 +1,49 @@
+"""Locks the marginal-vs-TP01 scorer (altlib) — the harness fix from the 2026-06-20 sweep.
+
+The point: absolute Sharpe is not enough to earn a portfolio slot. A candidate must
+IMPROVE the TP01 baseline out-of-sample. These tests pin the invariants:
+  * the TP01 baseline reproduces the canonical ~1.30 full Sharpe,
+  * TP01-vs-itself is REDUNDANT (zero marginal),
+  * a flat (do-nothing) sleeve never earns a slot.
+"""
+import sys
+from pathlib import Path
+
+import numpy as np
+
+ROOT = Path(__file__).resolve().parents[1]
+sys.path.insert(0, str(ROOT / "scripts" / "research" / "alt"))
+
+import altlib as al  # noqa: E402
+from src.strategies.trend_portfolio import CANONICAL, TrendPortfolio  # noqa: E402
+
+
+def test_tp01_baseline_reproduces_canonical():
+    r = al.tp01_baseline_daily().values
+    sharpe = float(np.mean(r) / np.std(r) * np.sqrt(365.25))
+    assert 1.1 < sharpe < 1.5, f"TP01 baseline Sharpe {sharpe:.2f} off canonical ~1.30"
+
+
+def test_tp01_vs_itself_is_redundant():
+    cand = al.candidate_daily(lambda df: TrendPortfolio(**CANONICAL).target_series(df))
+    m = al.marginal_vs_tp01(cand)
+    assert m["corr_full"] > 0.95
+    assert abs(m["blends"]["w25"]["uplift_full"]) < 0.05
+    assert m["marginal_verdict"] == "REDUNDANT"
+    assert al.study_marginal("tp01-self", lambda df: TrendPortfolio(**CANONICAL).target_series(df))["earns_slot"] is False
+
+
+def test_flat_sleeve_earns_no_slot():
+    m = al.marginal_vs_tp01(al.candidate_daily(lambda df: np.zeros(len(df))))
+    assert m["marginal_verdict"] != "ADDS"
+
+
+def test_call_target_passes_asset_when_accepted():
+    seen = {}
+
+    def two_arg(df, asset):
+        seen[asset] = True
+        return np.zeros(len(df))
+
+    al.candidate_daily(two_arg)
+    assert seen == {"BTC": True, "ETH": True}