research(sweep): 5 thread paralleli — 0 nuovi sleeve, STATARB-RESID LEAD ortogonale+eseguibile

Ricerca onesta su aree inesplorate (harness altlib+xsec_v2_nonmom, tutti i gate incl.
study_family_honest anti-selection-on-holdout). Branch main, nessun impatto live, test 143/143.

1 XSEC low-risk cousins (MAX/idio-vol/Amihud) -> 1 LEAD (IVOL), STAT-MODE, DSR 0.37<0.95
2 XSEC momentum-structure vs XS01            -> tutto REDUNDANT (sostituire XS01 distrugge hold)
3 Meta-allocazione dinamica (4 sleeve)       -> pesi fissi vincono (gia quasi risk-parity)
4 Segnali ortogonali ETH/BTC (2 gambe)       -> STATARB-RESID + DVOLSPREAD LEAD
5 1-gamba a segnale (MACD/RSI/Supertrend/...) -> 0/12 earns_slot (trend=TP01, MR morta, hedge)

LEAD principale STATARB-RESID (mean-rev residuo ETH-b*BTC, OLS rolling, 2 gambe): primo stream
INSIEME ortogonale (corr->book 0.027, beta-mkt 0.013) ED eseguibile a $600 (haircut ~0, NON
STAT-MODE) -> cadono i 2 muri di XS01/opzioni. Resta solo il muro dell'edge (Sharpe 0.84,
DSR 0.929 same-sign <0.95). Causalita+fee verificate dal coordinatore. Forward-monitor, non sleeve.

Soffitto direzionale ~1.3 riconfermato. Diario 2026-06-29-strategy-search-5threads.md, CLAUDE.md agg.

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

tests/test_xsec_v3_momstruct.py

@@ -0,0 +1,62 @@
+"""Test del filone XS-v3: varianti STRUTTURALI di momentum cross-sectional
+(scripts/research/xsec_v3_momstruct). Verifica i GATE strutturali, non i numeri esatti (storia
+corta, ricerca): gli engine sono CAUSALI (prefix-consistency, zero look-ahead, anche quello
+volatility-managed custom) e una cella della griglia ESEGUE producendo una serie finita non degenere.
+"""
+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
+
+from src.portfolio.sleeves import XS_UNIVERSE
+
+import importlib.util
+_spec = importlib.util.spec_from_file_location(
+    "xsec_v3_momstruct", PROJECT_ROOT / "scripts" / "research" / "xsec_v3_momstruct.py")
+v3 = importlib.util.module_from_spec(_spec)
+_spec.loader.exec_module(v3)
+xv = v3.xv
+
+
+def _majors():
+    return xv.load_matrix(XS_UNIVERSE)
+
+
+def test_std_engine_variants_are_causal():
+    """RAMOM/ACCEL/FIP usano xs_engine: ricostruiti su un prefisso, la coda combacia bit-a-bit
+    con la run completa (gate #2 della metodologia)."""
+    PX, VOL = _majors()
+    vdefs = v3.variants()
+    for name, cfg in (("RAMOM", dict(L=30, H=10, k=5)),
+                      ("ACCEL", dict(Ls=30, Ll=60, H=5, k=8)),
+                      ("FIP", dict(L=60, H=10, k=5))):
+        res = xv.causality_prefix_check(PX, VOL, vdefs[name]["builder"], cfg)
+        assert res["ok"], f"{name} look-ahead: max_tail_diff={res['max_tail_diff']}"
+        assert res["max_tail_diff"] == 0.0
+
+
+def test_volscaled_engine_is_causal():
+    """L'engine volatility-managed custom (vol-target sulla vol di MERCATO, shift 1) e' causale."""
+    PX, VOL = _majors()
+    v = v3.variants()["VOLSC"]
+    res = v3.caus_check_mktvol(PX, VOL, v["builder"], dict(L=60, H=5, k=8), B_mkt=v["B_mkt"])
+    assert res["ok"], f"VOLSC look-ahead: max_tail_diff={res['max_tail_diff']}"
+    assert res["max_tail_diff"] == 0.0
+
+
+def test_grid_cell_executes_finite():
+    """Una cella di ogni variante esegue e produce una serie GIORNALIERA finita e non degenere."""
+    PX, VOL = _majors()
+    vdefs = v3.variants()
+    for name, cfg in (("RAMOM", dict(L=60, H=10, k=5)),
+                      ("ACCEL", dict(Ls=30, Ll=90, H=5, k=8)),
+                      ("FIP", dict(L=90, H=10, k=8)),
+                      ("VOLSC", dict(L=60, H=5, k=8))):
+        daily, turn = v3.run_variant_cfg(PX, VOL, vdefs[name], cfg)
+        assert len(daily) > 60
+        assert np.isfinite(daily.values).all()
+        assert daily.std() > 0
+        assert turn > 0