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

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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
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tests/portfolio/test_definitions.py
+3 -3
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@@ -8,9 +8,9 @@ def test_six_portfolios_defined():
def test_port06_is_master_shape_cap():
p = PORTFOLIOS["PORT06"]
sids = set(p.sleeve_ids)
assert {"SH_BTC", "SH_ETH", "TSM01", "PR_ETHBTC", "PR_ETHBTC_15M"} <= sids
# 18 dal 2026-06-09: aggiunto lo sleeve BLEND PR_ETHBTC_15M (ETH/BTC pairs 15m flat-skip)
assert len(sids) == 18
assert {"SH_BTC", "SH_ETH", "TSM01", "PR_ETHBTC", "PR_ETHBTC_15M", "XS01"} <= sids
# 19 dal 2026-06-09: + XS01 (reversione cross-sectional 8 asset, sleeve PAPER, family XSEC)
assert len(sids) == 19
# SHAPE cappata a 0.0588 (2026-06-05): SH01 senza SL by-design, esposizione dimezzata
# (ricerca sh01_exit_lab: 11 famiglie di stop, 0 sopravvissute)
assert p.weighting == "cap" and p.caps == {"PAIRS": 0.33, "SHAPE": 0.0588}