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feat(portfolio): integra worker honest/TSM01 nel runner (PORT06 live completo)

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build_worker_for gestisce basket/rotation/tsmom + DIP01 via StrategyWorker; run()
fetcha 1h e resampla a 4h/1d, lookback dimensionato sui daily (TSM01 252g); tick
multi-asset per kind. _defs marca TR01/ROT02/TSM01 col kind+universo. Niente piu'
sleeve saltati in PORT06.

Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>
This commit is contained in:
AdrianoDev
2026-05-29 17:45:39 +02:00
parent 1e60835612
commit a7ada9f36c
3 changed files with 147 additions and 36 deletions
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scripts/portfolios/_defs.py
+11 -3
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@@ -9,12 +9,18 @@ sys.path.insert(0, str(PROJECT_ROOT))
from src.portfolio.base import Portfolio, SleeveSpec # noqa: E402
# Universo live tradabile (8 asset con feed Cerbero v2 + parquet). ROT02/TSM01 ci ruotano sopra.
UNIVERSE8 = ["ADA", "BNB", "BTC", "DOGE", "ETH", "LTC", "SOL", "XRP"]
FADE = [SleeveSpec(kind="single", name=c, sid=f"{c}_{a}", asset=a, cluster=f"{a}-rev")
for a in ("BTC", "ETH") for c in ("MR01", "MR02", "MR07")]
HONEST = [
# DIP01: single-asset 1h -> StrategyWorker (Strategy DIP01_dip_buy). TR01/ROT02: multi-asset.
SleeveSpec(kind="single", name="DIP01", sid="DIP01_BTC", asset="BTC", cluster="BTC-rev"),
SleeveSpec(kind="single", name="TR01", sid="TR01_basket", cluster="trend"),
SleeveSpec(kind="single", name="ROT02", sid="ROT02_rot", cluster="rotation"),
SleeveSpec(kind="basket", name="TR01", sid="TR01_basket", cluster="trend",
params={"universe": ["BNB", "BTC", "DOGE", "SOL", "XRP"], "tf": "4h"}),
SleeveSpec(kind="rotation", name="ROT02", sid="ROT02_rot", cluster="rotation",
params={"universe": UNIVERSE8, "tf": "1d", "top_k": 3, "gross": 0.45}),
]
PAIRS = [
SleeveSpec(kind="pairs", name="PR01", sid="PR_ETHBTC", a="ETH", b="BTC", cluster="ETH-rev"),
@@ -23,7 +29,9 @@ PAIRS = [
SleeveSpec(kind="pairs", name="PR01", sid="PR_BTCLTC", a="BTC", b="LTC", cluster="BTC-rev"),
SleeveSpec(kind="pairs", name="PR01", sid="PR_ETHSOL", a="ETH", b="SOL", cluster="ETH-rev"),
]
TSM = [SleeveSpec(kind="single", name="TSM01", sid="TSM01", cluster="trend")]
TSM = [SleeveSpec(kind="tsmom", name="TSM01", sid="TSM01", cluster="trend",
params={"universe": UNIVERSE8, "tf": "1d",
"horizons": [63, 126, 252], "thr": 1.0, "gross": 0.30})]
SHAPE = [SleeveSpec(kind="ml", name="SH01", sid=f"SH_{a}", asset=a, cluster="shape")
for a in ("BTC", "ETH")]