research(crypto): 4 filoni 2026-06-29 — ERM lead sub-daily (forward), 3 scartati/deboli

Ricerca onesta su BTC/ETH + universo HL, branch separato (nessun impatto live). Harness condiviso altlib (causale, fee 0.10% RT, marginal vs TP01, day-boundary, haircut $600). Test 19/19 verdi. - A DVOL direzionale -> LEAD hedge/DD-dampener, NON sleeve (buy-the-fear; is_hedge). - B Intraday ERM 8h -> LEAD forte / forward-monitor: earns_slot=True, ADDS oltre SKH01 (TP01+SKH+ERM 60/25/15 FULL 1.88/HOLD 1.46/DD 8.9%). Caveat: plateau hold-out single-row, multiple-testing non deflazionato, exec 8h. Controllo TOD = FAIL atteso. - C Cross-sectional non-mom (low-vol HL) -> DEBOLE/forward-monitor (deflated-Sh 0.13, storia 2.5a, non eseguibile $600) STAT-MODE. - D Macro regime-gate -> RIDONDANTE col trend (corr->TP01 0.989), SCARTATO. Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>
2026-06-29 19:48:36 +00:00
parent a158d0e2ae
commit aad69f9790
12 changed files with 2283 additions and 0 deletions
@@ -0,0 +1,59 @@
+"""Test del filone B — INTRADAY REGIME (scripts/research/intraday_regime.py).
+
+Verifica leggera e veloce (un solo asset) che:
+  * i target factory producano array della lunghezza giusta e CAUSALI (no look-ahead);
+  * il meccanismo ERM (efficiency-ratio regime momentum) sia long/short di natura;
+  * la cella canonica ERM 8h L=2 thr=0.35 abbia Sharpe FULL positivo netto fee (sanity dell'edge).
+NB: NON costruisce la baseline TP01/SKH01 (lento) — quello e' nello script di ricerca.
+"""
+import sys
+import importlib.util
+
+import numpy as np
+
+sys.path.insert(0, "/opt/docker/PythagorasGoal/scripts/research/alt")
+import altlib as al  # noqa: E402
+
+_spec = importlib.util.spec_from_file_location(
+    "intraday_regime", "/opt/docker/PythagorasGoal/scripts/research/intraday_regime.py")
+ir = importlib.util.module_from_spec(_spec)
+_spec.loader.exec_module(ir)
+
+
+def test_erm_target_shape_and_ls():
+    df = al.get("BTC", "8h")
+    tgt = ir.make_erm(tf="8h", L_days=2.0, thr=0.35, long_flat=False)(df)
+    assert len(tgt) == len(df)
+    assert np.isfinite(tgt).all()
+    # L/S: deve esistere sia esposizione long sia short (non e' long-only)
+    assert (tgt > 0).any() and (tgt < 0).any()
+    # long_flat=True -> nessuno short
+    tgt_lf = ir.make_erm(tf="8h", L_days=2.0, thr=0.35, long_flat=True)(df)
+    assert (tgt_lf >= -1e-9).all()
+
+
+def test_erm_causal_no_leak():
+    # causality_ok ricalcola il target su prefissi troncati e pretende che la coda combaci
+    res = al.causality_ok(ir.make_erm(tf="8h", L_days=2.0, thr=0.35, long_flat=False),
+                          tf="8h", assets=("BTC",))
+    assert res["ok"], f"look-ahead in ERM: {res}"
+
+
+def test_erm_winner_positive_full_sharpe():
+    fn = ir.make_erm(tf="8h", L_days=2.0, thr=0.35, long_flat=False)
+    for a in ("BTC", "ETH"):
+        df = al.get(a, "8h")
+        ev = al.eval_weights(df, fn(df), fee_side=0.0005)   # 0.10% RT
+        assert ev["full"]["sharpe"] > 0.5, f"{a} full Sharpe {ev['full']['sharpe']}"
+
+
+def test_vbr_and_tod_causal():
+    for fn in (ir.make_vbr(tf="8h", k=1.0, atr_win=14, long_flat=False),
+               ir.make_tod(tf="1h", long_flat=True)):
+        res = al.causality_ok(fn, tf=("8h" if fn is not None else "1h"),
+                              assets=("BTC",)) if False else None
+    # VBR causale (8h) e TOD causale (1h), un asset per velocita'
+    assert al.causality_ok(ir.make_vbr(tf="8h", k=1.0, atr_win=14, long_flat=False),
+                           tf="8h", assets=("BTC",))["ok"]
+    assert al.causality_ok(ir.make_tod(tf="1h", long_flat=True),
+                           tf="1h", assets=("BTC",))["ok"]