Adriano/PythagorasGoal
1
0
Fork 0
Code Issues Pull Requests Actions Packages Projects Releases Wiki Activity

feat(xsec): XS01 reversione cross-sectional (8 asset) -> PORT06 PAPER

Browse Source 
Famiglia NUOVA trovata in sessione (dopo aver scartato trend/breakout/seasonal/
opzioni/funding come rumore): ogni 12h long i perdenti relativi / short i vincenti
su 8 asset, market-neutral. Scorrelata (~0) da pairs e fade -> diversificatore.

- engine canonico scripts/strategies/XS01_cross_sectional.py (no look-ahead, plateau
  OOS Sharpe 2-3.9, 5/5 anni+, edge concentrato 2025, cost-sensitive ~0.35% RT).
- src/live/xsec_worker.py CrossSectionalWorker: validate_xsec_worker == backtest ESATTO
  (4993/1427 trade). Mirror della cadenza engine (entry-to-entry = hold+1).
- gate PORT06: +XS01 -> OOS Sharpe 9.66->10.07, FULL DD 3.68->3.46 (OOS DD +0.17pp,
  risk-contrib 2.2%). xsec_port06_gate.py.
- wiring: _defs XSEC in PORT06 (19 sleeve, family XSEC), build_everything, runner
  kind=xsec, asset_days da supported (fix fetch alt anche per paper sleeves), paper.
- 8 gambe -> niente exec reale -> gira PAPER. Regression-lock 18->19, FULL 7.20->7.34,
  OOS 9.66->10.07. 93 test verdi. Diario 2026-06-09-xs01-cross-sectional.md.

Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>
This commit is contained in:
Adriano Dal Pastro
2026-06-09 21:38:05 +00:00
parent d3dab57532
commit a85289d7c7
12 changed files with 508 additions and 13 deletions
Download Patch File Download Diff File Expand all files Collapse all files
tests/portfolio/test_backtest_parity_cap.py
+6 -5
View File
@@ -9,8 +9,9 @@ def test_port06_cap_backtest_numbers_locked():
# copertura storica -> metriche migliorate (Sharpe 6.07->6.47, OOS 8.19->8.82,
# DD 4.9%->4.1%). Nuovo baseline atteso, non una regressione.
# Aggiornato 2026-06-09: aggiunto lo sleeve BLEND PR_ETHBTC_15M (ETH/BTC pairs 15m
# flat-skip, mezza size) -> miglioria attesa: FULL 6.47->7.20, OOS 8.82->9.66,
# DD 4.1%->3.7%. Vedi docs/diary/2026-06-09-pairs15m-live-path.md.
assert r.full["sharpe"] == pytest.approx(7.20, abs=0.15)
assert r.oos["sharpe"] == pytest.approx(9.66, abs=0.25)
assert r.full["dd"] == pytest.approx(3.68, abs=0.5)
# flat-skip, mezza size) -> FULL 6.47->7.20, OOS 8.82->9.66, DD 4.1%->3.7%.
# Aggiornato 2026-06-09 (2): + XS01 (reversione cross-sectional 8 asset, PAPER) ->
# FULL 7.20->7.34, OOS 9.66->10.07, FULL DD 3.68->3.46 (OOS DD +0.17pp).
assert r.full["sharpe"] == pytest.approx(7.34, abs=0.15)
assert r.oos["sharpe"] == pytest.approx(10.07, abs=0.25)
assert r.full["dd"] == pytest.approx(3.46, abs=0.5)