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feat(strategie): portafogli master (PORT02/PORT03) + waste delle peggiori (MR03, ROT01)

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Crea gli artefatti accorpati e migliorati:
- PORT02_fade_master: 3 fade (MR01/MR02/MR07) x BTC/ETH = 6 sleeve, filtro trend,
  equal-weight daily. DD 8.2% full / 5.9% OOS, Sharpe 3.95/4.09, CAGR ~46%.
- PORT03_all_master: portafoglio MASTER fade+honest (9 sleeve), varianti equal
  (max Sharpe: DD 5.2%/4.7% OOS, Sharpe 3.95/4.42) e 50/50 (min DD 5.1%/4.3%).

Sposta in scripts/waste/ le due peggiori:
- MR03 keltner_fade: fade piu' debole (BTC Sharpe 1.22), ridondante con MR01, il
  filtro trend la peggiorava; rimuoverla MIGLIORA il portafoglio fade.
- ROT01 xsect_rotation: strettamente dominata da ROT02 (stesso meccanismo, ROT02
  meglio su tutto), non usata da alcun portafoglio.

Sganciata MR03 da strategy_loader, strategies.yml e dal motore portafogli
(risk_management.STRATS). La funzione keltner_fade resta in strategy_research_v2
come record. CLAUDE.md aggiornato.

Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>
This commit is contained in:
AdrianoDev
2026-05-29 00:21:37 +02:00
parent 1af4addbdd
commit bcccfde9a0
9 changed files with 162 additions and 35 deletions
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scripts/analysis/risk_management.py
+5 -4
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@@ -29,18 +29,19 @@ sys.path.insert(0, str(PROJECT_ROOT))
from src.data.downloader import load_data
from scripts.analysis.strategy_research import bollinger_fade, atr
from scripts.analysis.strategy_research_v2 import donchian_fade, keltner_fade, return_reversal
from scripts.analysis.strategy_research_v2 import donchian_fade, return_reversal
FEE_RT, LEV, POS, INIT, OOS_FRAC = 0.001, 3.0, 0.15, 1000.0, 0.30
# config base di ogni strategia (come strategies.yml); su ETH MR03 usa n=50
# config base di ogni strategia (come strategies.yml).
# NB: MR03 keltner_fade spostata in scripts/waste/ (fade piu' debole, ridondante
# con MR01); la funzione keltner_fade resta in strategy_research_v2 come record.
STRATS = {
"MR01": (bollinger_fade, dict(n=50, k=2.5, sl_atr=2.0, max_bars=24)),
"MR02": (donchian_fade, dict(n=20, sl_atr=2.0, max_bars=24)),
"MR03": (keltner_fade, dict(n=30, k=2.0, sl_atr=2.0, max_bars=24)),
"MR07": (return_reversal,dict(n=50, k=3.5, tp_atr=2.0, sl_atr=1.5, max_bars=24)),
}
STRATS_ETH = dict(STRATS); STRATS_ETH["MR03"] = (keltner_fade, dict(n=50, k=2.0, sl_atr=2.0, max_bars=24))
STRATS_ETH = dict(STRATS)
def strats_for(asset: str) -> dict: