feat(portfolio): wire SKH01-V2-DD sleeve @25% effective -> 4-sleeve book

Add Skyhook (SKH01_V2_DD) as a portfolio sleeve. Effective weight 25%: the three
existing sleeves scaled into the remaining 0.75 keeping their 55:25:20 ratio
(TP01 41.25% / XS01 18.75% / VRP01 15% / SKH01 25%).

_skyhook_returns(): 50/50 BTC+ETH daily series of the dual-TF regime+breakout engine
(causal, net 0.10% RT), same convention as the marginal lens.

Portfolio impact (run_portfolio.py), 3-sleeve -> 4-sleeve:
  FULL Sharpe 1.68 -> 2.13 (+0.45), FULL maxDD 14.3% -> 7.8% (halved)
  HOLD-OUT Sharpe 1.63 -> 2.30 (+0.67), HOLD-OUT maxDD ~3.5% (flat)
  Positive every year 2019-26 (annual DD <=7.8%) vs buy&hold 50/50 FULL Sh 0.93 / DD 76%.

Skyhook is quasi-orthogonal (corr ~0.09 to TP01) so it lifts Sharpe AND cuts DD.
Research portfolio (fixed weights, no real rebalancing cost at $600; Skyhook daily
Sharpe is the step-marked lens convention) -> forward-monitor, not deploy.
Tests: 25 pass (skyhook 8 + portfolio 7 + vrp 4 + trend 6). Diary + CLAUDE.md updated.

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

src/portfolio/sleeves.py

@@ -207,12 +207,49 @@ def vrp_sleeve(weight: float = 0.20) -> Sleeve:
     return Sleeve("VRP01_shortvol", weight, _vrp_combo_returns)
 
 
+# ----------------------------- SKH01-V2-DD: Skyhook dual-TF regime+breakout (BTC/ETH) -----------------------------
+# Sistema dual-timeframe (segnale 690m, exec 230m): entra solo quando coincidono REGIME
+# (BuzVola/BuzVolume tipo-Chande) E PATTERN (Donchian breakout). NON e' un trend-follower.
+# Vincitrice dell'onda DD-reduction (famiglia ASYM_LS): exit a percentuale fissa ASIMMETRICA
+# (long sl4%/tp10%, short sl2%/tp8% piu' stretto) -> taglia il DD standalone (BTC 21% / ETH 27%)
+# alzando hold-out (minHold +1.26) e valore di portafoglio. Quasi-ortogonale a TP01 (corr ~0.09):
+# blend 0.75*TP01+0.25*SKH -> hold-out Sharpe 0.31->1.17 (+0.87), DD full 14%->9%. Marginal ADDS,
+# has_insample_edge, robust_oos (multicut 7/7 anni), is_hedge=False. Verificato leak-free (causalita'
+# 0/400) + 2 scettici avversariali. Diario 2026-06-23-skyhook.md.
+# CAVEAT ONESTI: equity marcata a fine-trade (daily lumpy); ETH DD 27% ha margine sottile vs 30%;
+# il book opera a 230m -> ribilanciamento piu' frequente del resto (verificare costi reali a deploy).
+from src.strategies.skyhook import SKH01_V2_DD, build_frames, skyhook_entries
+from src.backtest.harness import backtest_signals
+
+
+def _skyhook_returns() -> pd.Series:
+    """SKH01-V2-DD: book 50/50 BTC+ETH del sistema regime+breakout dual-TF, riportato su griglia
+    GIORNALIERA. Causale (decide a close[i], exit intrabar TP/SL/max_bars, non-overlap), netto 0.10% RT."""
+    series = {}
+    for a in ASSETS:
+        ltf, htf = build_frames(load_data(a, "5m"))
+        ent = skyhook_entries(ltf, htf, SKH01_V2_DD)
+        m = backtest_signals(ltf, ent, fee_rt=0.001, leverage=1.0, asset=a, tf="230m")
+        s = pd.Series(m.equity, index=pd.DatetimeIndex(pd.to_datetime(m.eq_index, utc=True)))
+        series[a] = s.resample("1D").last().ffill().pct_change().dropna()
+    J = pd.concat(series, axis=1, join="inner").fillna(0.0)
+    return pd.Series(0.5 * J["BTC"].values + 0.5 * J["ETH"].values, index=J.index)
+
+
+def skyhook_sleeve(weight: float = 0.25) -> Sleeve:
+    return Sleeve("SKH01_skyhook", weight, _skyhook_returns)
+
+
 # ----------------------------- REGISTRY -----------------------------
 def active_sleeves() -> list[Sleeve]:
     """Sleeve ATTIVI nel portafoglio (pesi rinormalizzati; sleeve a date diverse si attivano
-    quando parte la loro storia). Aggiungere qui SOLO strategie validate col gauntlet."""
+    quando parte la loro storia). Aggiungere qui SOLO strategie validate col gauntlet.
+
+    SKH01 cablato @0.25 effettivo: i tre sleeve preesistenti scalati nel restante 0.75 mantenendo
+    il loro rapporto 55:25:20 (-> 41.25/18.75/15), cosi' Skyhook pesa esattamente 25% del book."""
     return [
-        tp01_sleeve(weight=0.55),      # trend difensivo, BTC/ETH, dal 2019 (l'unico deployable pieno)
-        xsec_sleeve(weight=0.25),      # cross-sectional momentum Hyperliquid, dal 2024 (scorrelato, stat-mode)
-        vrp_sleeve(weight=0.20),       # options short-vol (put credit spread + gate IV-rank), dal 2021 (lead modellato, scorrelato)
+        tp01_sleeve(weight=0.4125),    # trend difensivo, BTC/ETH, dal 2019 (l'unico deployable pieno)
+        xsec_sleeve(weight=0.1875),    # cross-sectional momentum Hyperliquid, dal 2024 (scorrelato, stat-mode)
+        vrp_sleeve(weight=0.15),       # options short-vol (put credit spread + gate IV-rank), dal 2021 (lead modellato, scorrelato)
+        skyhook_sleeve(weight=0.25),   # dual-TF regime+breakout BTC/ETH, dal 2019 (quasi-ortogonale, exit %-asimmetrici, research)
     ]