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
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+"""Test del filone C: cross-sectional NON-momentum su Hyperliquid (scripts/research/xsec_v2_nonmom).
+
+Verifica i GATE strutturali, non i numeri esatti (storia corta, ricerca): l'engine e' CAUSALE
+(prefix-consistency, zero look-ahead), le fee MONOTONE (piu' fee -> Sharpe <=), il reversal grezzo
+e' MORTO (plateau negativo), e il low-vol factor sui 19 major e' positivo in-sample (il LEAD).
+"""
+from __future__ import annotations
+import sys
+from pathlib import Path
+PROJECT_ROOT = Path(__file__).resolve().parents[1]
+sys.path.insert(0, str(PROJECT_ROOT))
+import numpy as np
+import pytest
+
+from src.portfolio.portfolio import to_daily, metrics
+from src.portfolio.sleeves import XS_UNIVERSE
+
+import importlib.util
+_spec = importlib.util.spec_from_file_location(
+    "xsec_v2_nonmom", PROJECT_ROOT / "scripts" / "research" / "xsec_v2_nonmom.py")
+xv = importlib.util.module_from_spec(_spec)
+_spec.loader.exec_module(xv)
+
+
+@pytest.fixture(scope="module")
+def majors():
+    return xv.load_matrix(XS_UNIVERSE)
+
+
+def test_universe_loads_clean(majors):
+    PX, VOL = majors
+    assert PX.shape[1] == len(XS_UNIVERSE)
+    assert PX.shape[0] > 800                       # ~2.5 anni a 1d
+    assert PX.index.is_monotonic_increasing
+
+
+def test_engine_is_causal_no_lookahead(majors):
+    """L'engine NON deve guardare al futuro: ricostruito su un prefisso, la coda combacia
+    bit-a-bit con la run completa (gate #1 della metodologia)."""
+    PX, VOL = majors
+    builder, _ = xv.mechanisms()["LOWVOL"]
+    cfg = dict(B=30, H=10, k=5)
+    res = xv.causality_prefix_check(PX, VOL, builder, cfg)
+    assert res["ok"], f"look-ahead rilevato: max_tail_diff={res['max_tail_diff']}"
+    assert res["max_tail_diff"] == 0.0
+
+    # anche un meccanismo residuo (usa beta rolling + mercato) deve essere causale
+    builder_i, _ = xv.mechanisms()["IMOM"]
+    res_i = xv.causality_prefix_check(PX, VOL, builder_i, dict(L=30, H=5, k=8, B=60))
+    assert res_i["ok"], f"IMOM non causale: {res_i['max_tail_diff']}"
+
+
+def test_fee_is_monotone(majors):
+    """Piu' fee non puo' MAI alzare lo Sharpe (su una config con turnover non nullo)."""
+    PX, VOL = majors
+    builder, _ = xv.mechanisms()["LOWVOL"]
+    score_at, warm = builder(PX, dict(B=30, H=10, k=5))
+    s0, t0 = xv.xs_engine(PX, VOL, score_at, 10, 5, fee=0.0, warmup=warm)
+    s2, t2 = xv.xs_engine(PX, VOL, score_at, 10, 5, fee=0.002, warmup=warm)
+    assert t0 > 0
+    assert metrics(to_daily(s0))["sharpe"] >= metrics(to_daily(s2))["sharpe"] - 1e-9
+
+
+def test_raw_reversal_is_dead(majors):
+    """Reversal cross-sectional grezzo = NESSUN plateau positivo (coerente con la lezione del
+    progetto: la mean-reversion e' artefatto). Almeno meta' delle config dev'essere FULL<=0."""
+    PX, VOL = majors
+    builder, cfgs = xv.mechanisms()["REV"]
+    neg = 0; tot = 0
+    for p in cfgs:
+        score_at, warm = builder(PX, p)
+        d = to_daily(xv.xs_engine(PX, VOL, score_at, p["H"], p["k"], warmup=warm)[0])
+        if d.std() == 0:
+            continue
+        tot += 1
+        if metrics(d)["sharpe"] <= 0:
+            neg += 1
+    assert tot > 0
+    assert neg >= tot / 2, f"reversal inatteso: solo {neg}/{tot} config FULL<=0"
+
+
+def test_lowvol_factor_positive_insample(majors):
+    """Il LEAD: low-vol factor sui 19 major (B30 H10 k5) ha FULL Sharpe positivo e robusto
+    (plateau 100% positivo). Numero non vincolato (ricerca), solo il segno/robustezza."""
+    PX, VOL = majors
+    builder, cfgs = xv.mechanisms()["LOWVOL"]
+    score_at, warm = builder(PX, dict(B=30, H=10, k=5))
+    d = to_daily(xv.xs_engine(PX, VOL, score_at, 10, 5, warmup=warm)[0])
+    assert metrics(d)["sharpe"] > 0.5
+    # plateau: ogni config LOWVOL deve avere FULL>0 (factor robusto ai parametri in-sample)
+    pos = 0; tot = 0
+    for p in cfgs:
+        sa, w = builder(PX, p)
+        dd = to_daily(xv.xs_engine(PX, VOL, sa, p["H"], p["k"], warmup=w)[0])
+        if dd.std() == 0:
+            continue
+        tot += 1; pos += metrics(dd)["sharpe"] > 0
+    assert pos == tot, f"plateau low-vol non pieno: {pos}/{tot}"