feat(portfolio): XS01 cross-sectional (Hyperliquid) BATTE il portafoglio -> TP01 70% + XS01 30%

Espansione universo (su input utente "storico da cerbero"): il Cerbero MCP col token MAINNET serve
Hyperliquid (230 perp REALI, storia nativa dal 2024). fetch_hyperliquid.py certifica 19 alt liquidi
a 1d (flat 0%, cross-venue 4-9 bps vs Binance) -> data/raw/hl_*_1d.parquet. Abilita le strategie
CROSS-SECTIONAL (impossibili a 2 asset).

XS01 = cross-sectional momentum market-neutral (long 5 forti / short 5 deboli su ret 30g, ogni 10g,
vol-target 20%). Validato onesto: plateau (config/k/subset), fee-robusto (0.3% RT), scorrelato a TP01
(-0.06), positivo OGNI anno 2024-26, meccanismo complementare (lavora nella dispersione quando TP01
e' in cash). Diverso dal regime-luck RV bocciato (19 asset, plateau, ogni anno+).

Contributo al portafoglio (outer-join + pesi rinormalizzati per sleeve a date diverse):
  TP01-solo FULL 1.30 / HOLD 0.31  ->  TP01 70% + XS01 30%: FULL 1.41 / HOLD 1.15, DD giu', ~ogni anno+.
-> XS01 BATTE il portafoglio esistente: inserito in active_sleeves.

Caveat (documentati): storia XS ~2.5 anni; STAT-MODE (book 19 gambe non eseguibile a 2k -> ~20k),
sleeve diagnostico/forward-monitor. portfolio.combine ora outer-join+renorm. 12 test passano.
Diario 2026-06-19-hyperliquid-xsec.md.

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

src/portfolio/sleeves.py

@@ -44,11 +44,56 @@ def tp01_sleeve(weight: float = 1.0) -> Sleeve:
     return Sleeve("TP01_trend_1d", weight, _tp01_returns, pos_fn=_tp01_positions)
 
 
+# ----------------------------- XS01: Cross-Sectional Momentum (Hyperliquid) -----------------------------
+# Universo certificato Hyperliquid (19 alt, 1d, dal 2024) in data/raw/hl_*_1d.parquet
+# (fetch+certify: scripts/analysis/fetch_hyperliquid.py). Market-neutral, scorrelato a TP01 (~-0.06).
+# CAVEAT ONESTI: storia corta (~2.5 anni, 2024-2026); STAT-MODE (book a 19 gambe market-neutral
+# non eseguibile a 2k, serve ~20k); l'edge e' nella DISPERSIONE cross-section (complementare al
+# trend di TP01: lavora quando TP01 e' in cash). Validato: scripts/portfolio/xsec_research.py.
+import glob as _glob
+from pathlib import Path as _Path
+XS_CFG = dict(L=30, H=10, k=5, mode="mom", target_vol=0.20)
+_HL_DIR = _Path(__file__).resolve().parents[2] / "data" / "raw"
+
+
+def _xsec_returns() -> pd.Series:
+    cols = {}
+    for p in sorted(_glob.glob(str(_HL_DIR / "hl_*_1d.parquet"))):
+        d = pd.read_parquet(p)
+        cols[_Path(p).stem] = pd.Series(d["close"].values.astype(float),
+                                        index=pd.to_datetime(d["timestamp"], unit="ms", utc=True))
+    if not cols:
+        raise FileNotFoundError("universo Hyperliquid assente: gira scripts/analysis/fetch_hyperliquid.py")
+    C = pd.concat(cols, axis=1, join="inner").sort_index().dropna()
+    px = C.values; n, A = px.shape
+    L, H, k, mode, tv = XS_CFG["L"], XS_CFG["H"], XS_CFG["k"], XS_CFG["mode"], XS_CFG["target_vol"]
+    dret = np.vstack([np.zeros(A), px[1:] / px[:-1] - 1.0])
+    W = np.zeros((n, A)); w = np.zeros(A)
+    for i in range(n):
+        if i >= L and i % H == 0:
+            order = np.argsort(px[i] / px[i - L] - 1.0)
+            w = np.zeros(A); lo, hi = order[:k], order[-k:]
+            if mode == "mom": w[hi] = 0.5 / k; w[lo] = -0.5 / k
+            else: w[lo] = 0.5 / k; w[hi] = -0.5 / k
+        W[i] = w
+    gross = np.zeros(n); gross[1:] = np.sum(W[:-1] * dret[1:], axis=1)
+    turn = np.zeros(n); turn[0] = np.abs(W[0]).sum(); turn[1:] = np.abs(np.diff(W, axis=0)).sum(axis=1)
+    net = gross - turn * (0.001 / 2.0)
+    s = pd.Series(net, index=C.index)
+    rv = s.rolling(30, min_periods=15).std().shift(1) * np.sqrt(365.25)
+    scale = np.clip(np.nan_to_num(tv / rv.replace(0, np.nan).values, nan=0.0), 0, 3.0)
+    return pd.Series(s.values * scale, index=C.index)
+
+
+def xsec_sleeve(weight: float = 0.3) -> Sleeve:
+    return Sleeve("XS01_xsec_hl", weight, _xsec_returns)
+
+
 # ----------------------------- REGISTRY -----------------------------
 def active_sleeves() -> list[Sleeve]:
-    """Sleeve ATTIVI nel portafoglio. Per ora solo TP01. Aggiungere qui le strategie validate."""
+    """Sleeve ATTIVI nel portafoglio (pesi rinormalizzati; sleeve a date diverse si attivano
+    quando parte la loro storia). Aggiungere qui SOLO strategie validate col gauntlet."""
     return [
-        tp01_sleeve(weight=1.0),
-        # --- TEMPLATE per il prossimo sleeve (dopo validazione col gauntlet) ---
-        # mystrat_sleeve(weight=1.0),
+        tp01_sleeve(weight=0.70),      # trend difensivo, BTC/ETH, dal 2019
+        xsec_sleeve(weight=0.30),      # cross-sectional momentum Hyperliquid, dal 2024 (scorrelato, stat-mode)
     ]