feat(portfolio): reproducible accumulation forecast for the Deribit book

scripts/portfolio/forecast_deribit_book.py — projects the Deribit-only book (TP01+SKH01)
forward by pure compounding (reinvest winnings), monthly-aligned, NO external contributions
(not a PAC). Deterministic @historical & @conservative CAGR + Monte-Carlo block-bootstrap
(median/p10/p90), plus €/day run-rate @conservative. Parametric (--capital/--years/--cons-frac).
Honest caveats baked in (bull-crypto sample, no leverage, SKH01 not live, conditional projection).

Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>

scripts/portfolio/forecast_deribit_book.py

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+"""PROIEZIONE ACCUMULO del book DERIBIT-ONLY (TP01 + SKH01) — compounding puro (reinvesti le
+vincite), allineamento MENSILE, NESSUN versamento esterno (non e' un PAC).
+
+Base: rendimenti mensili del book Deribit-only (rebal mensile, netto costo turnover). Proietta in
+avanti l'equity da un capitale iniziale:
+  - DETERMINISTICO @CAGR storico  e  @CAGR conservativo (= storico × cons_frac, default metà);
+  - MONTE CARLO block-bootstrap dei rendimenti mensili storici (mediana + banda p10/p90);
+  - €/giorno run-rate (cresce col capitale, perche' si rigiocano le vincite).
+
+⚠️ ONESTA': lo storico e' un BULL crypto ~2019-26 -> il futuro sara' quasi certamente piu' magro.
+Pianificare sulla colonna conservativa; il MC non contiene un vero bear pluriennale (anche il p10
+e' ottimista). Nessuna leva. SKH01 e' research/forward-monitor (solo TP01 e' armato live). Non e'
+una garanzia: e' una proiezione condizionata "se il futuro somigliasse al passato".
+
+    uv run python scripts/portfolio/forecast_deribit_book.py
+    uv run python scripts/portfolio/forecast_deribit_book.py --capital 5000 --years 1,3,5,10 --cons-frac 0.5
+"""
+from __future__ import annotations
+import argparse
+import sys
+from pathlib import Path
+PROJECT_ROOT = Path(__file__).resolve().parents[2]
+sys.path.insert(0, str(PROJECT_ROOT))
+import numpy as np
+import pandas as pd
+
+from src.portfolio.portfolio import StrategyPortfolio, rebalance_sim
+from src.portfolio.sleeves import deribit_book_sleeves
+
+
+def book_monthly_returns(rebal_days: int, cost_rate: float) -> pd.Series:
+    """Rendimenti MENSILI del book Deribit-only (rebal periodico, netto costo)."""
+    sl = deribit_book_sleeves()
+    w = StrategyPortfolio(sl).weights()
+    cols = {s.name: s.daily() for s in sl}
+    r = rebalance_sim(cols, w, period_days=rebal_days, cost_rate=cost_rate)["daily"]
+    return ((1.0 + r).resample("ME").prod() - 1.0).dropna()
+
+
+def main():
+    ap = argparse.ArgumentParser(description="Proiezione accumulo book Deribit-only (compounding, allineamento mensile)")
+    ap.add_argument("--capital", type=float, default=5000.0)
+    ap.add_argument("--years", type=str, default="1,2,3,5,8,10")
+    ap.add_argument("--cons-frac", type=float, default=0.5, help="CAGR conservativo = storico × questo (default 0.5)")
+    ap.add_argument("--sims", type=int, default=4000)
+    ap.add_argument("--block-months", type=int, default=3, help="blocco del bootstrap (mesi)")
+    ap.add_argument("--rebal-days", type=int, default=30)
+    ap.add_argument("--cost-rate", type=float, default=0.0005, help="fee per-lato sul turnover (Deribit taker)")
+    ap.add_argument("--seed", type=int, default=7)
+    a = ap.parse_args()
+
+    cap = a.capital
+    HY = [int(x) for x in a.years.split(",") if x.strip()]
+    m = book_monthly_returns(a.rebal_days, a.cost_rate)
+    mv = m.values
+    nm = len(mv)
+    g_month = float(np.prod(1.0 + mv) ** (1.0 / nm) - 1.0)
+    cagr = (1.0 + g_month) ** 12 - 1.0
+    vol_ann = float(mv.std() * np.sqrt(12))
+    cons_cagr = cagr * a.cons_frac
+
+    print("=" * 90)
+    print(f"  PROIEZIONE ACCUMULO — book Deribit-only (TP01+SKH01) | compounding, allineamento mensile, no versamenti")
+    print(f"  storico: {nm} mesi · CAGR {cagr*100:.1f}% · vol annua {vol_ann*100:.0f}% (bull crypto, no leva) | capitale €{cap:,.0f}")
+    print("=" * 90)
+
+    # Monte Carlo: block-bootstrap dei rendimenti mensili
+    rng = np.random.default_rng(a.seed)
+    blk = a.block_months
+    maxM = max(HY) * 12
+    nb = maxM // blk + 1
+    starts = rng.integers(0, nm - blk, size=(a.sims, nb))
+    paths = np.concatenate([mv[starts[:, k][:, None] + np.arange(blk)[None, :]] for k in range(nb)], axis=1)[:, :maxM]
+    eqMC = cap * np.cumprod(1.0 + paths, axis=1)
+
+    cons_m = (1.0 + cons_cagr) ** (1.0 / 12) - 1.0
+    print(f"\n  ACCUMULO (reinvesti le vincite):")
+    print(f"  {'oriz.':>6} | {'det @storico':>13} | {'det @conserv.':>14} | {'MC mediana':>11} | {'MC p10':>9} | {'MC p90':>10}")
+    print(f"  {'':>6} | {'('+format(cagr*100,'.0f')+'%)':>13} | {'('+format(cons_cagr*100,'.0f')+'%)':>14} |")
+    print("  " + "-" * 80)
+    for y in HY:
+        mo = y * 12
+        det = cap * (1.0 + g_month) ** mo
+        detc = cap * (1.0 + cons_m) ** mo
+        c = eqMC[:, mo - 1]
+        print(f"  {y:>4}a  | €{det:>11,.0f} | €{detc:>12,.0f} | €{np.median(c):>9,.0f} | €{np.percentile(c,10):>7,.0f} | €{np.percentile(c,90):>8,.0f}")
+
+    # €/giorno run-rate @conservativo (cresce col capitale)
+    rd = (1.0 + cons_cagr) ** (1.0 / 365.0) - 1.0
+    print(f"\n  €/GIORNO run-rate @conservativo ({cons_cagr*100:.1f}% CAGR) — cresce col capitale (rigiochi le vincite):")
+    print(f"  {'oriz.':>6} | {'equity':>9} | {'€/giorno':>10} | {'€/mese':>8}")
+    print("  " + "-" * 42)
+    for y in [0] + HY:
+        E = cap * (1.0 + cons_cagr) ** y
+        print(f"  {('oggi' if y==0 else str(y)+'a'):>6} | €{E:>7,.0f} | €{E*rd:>7,.2f} | €{E*rd*30:>6,.0f}")
+    E_end = cap * (1.0 + cons_cagr) ** max(HY)
+    print(f"  media €/giorno su {max(HY)} anni: €{(E_end-cap)/(max(HY)*365):.2f}/g  (profitto €{E_end-cap:,.0f})")
+    need = 50 * 365 / cons_cagr if cons_cagr > 0 else float('inf')
+    print(f"  capitale per ~€50/giorno @{cons_cagr*100:.1f}%: ≈ €{need:,.0f}")
+
+    print(f"\n  ⚠️  Proiezione condizionata (storico = bull crypto); pianifica sul conservativo. Nessuna leva.")
+    print(f"      SKH01 = research/forward-monitor; solo TP01 e' armato live. Non e' una garanzia.")
+
+
+if __name__ == "__main__":
+    main()