integra(TP01): merge ricerca branch strategy-research-2026-06 (squash) — strategia vincente + harness + track A-E
Integra il lavoro della linea di ricerca parallela (AdrianoDev), verificato indipendentemente
col mio gauntlet onesto (regge il hold-out 2025-26 su entrambi gli asset, plateau 1h/4h/1d):
- src/strategies/trend_portfolio.py TP01 (TSMOM 30/90/180 vol-target 20% lev2x long-flat, 50/50 BTC+ETH)
- src/backtest/harness.py harness onesto (load + backtest_signals no-leakage + OOS)
- scripts/research/track{A,B,C,D,E}_*.py + trackD_timing.py (le 5 track della ricerca)
- scripts/live/paper_trend.py paper trader forward-only di TP01 (no esecuzione reale)
- tests/test_trend_portfolio.py (5 test, passano) + 6 diari trackA-E + synthesis
- CLAUDE.md aggiornato con l'esito ricerca (TP01 vincente, mean-rev morto, onesta su €50/g)
Squash (non merge) per NON portare in git i ~68MB di data/_feed_backup/*.bak che il branch
aveva committato per errore: esclusi + data/_feed_backup/ e data/paper_trend/ ora gitignorati.
Storia granulare del branch conservata sul ref origin/strategy-research-2026-06.
Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>
This commit is contained in:
Adriano Dal Pastro
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"""TRACK D on DIFFERENT TIMEFRAMES — per-year PnL and per-year max drawdown.
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Takes the winning config (TSMOM 1-3-6 month blend, vol-target 20%, leverage cap 2x,
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50/50 BTC+ETH portfolio) and runs it across timeframes 15m / 1h / 4h / 1d.
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Honesty preserved: same building blocks as trackD_trendport.py (positions shifted +1 bar,
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fee 0.10% RT on turnover, vol-targeting on past-only realized vol). Horizons are kept
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CALENDAR-consistent across TFs (1/3/6 months -> bars = months*30*bars_per_day), so we test
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the SAME economic strategy sampled at different frequencies, not different strategies.
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4h/1d are RESAMPLED from the certified 1h feed (00:00 UTC boundaries).
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Run: uv run python scripts/research/trackD_timing.py
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"""
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from __future__ import annotations
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import sys
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from pathlib import Path
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import numpy as np
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import pandas as pd
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sys.path.insert(0, str(Path(__file__).resolve().parents[2]))
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from src.backtest.harness import load
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from scripts.research.trackD_trendport import (
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simple_returns, realized_vol, sig_tsmom_blend, build_target,
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equity_from_target,
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)
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ASSETS = ["BTC", "ETH"]
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FEE_SIDE = 0.0005 # 0.05%/side = 0.10% RT
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TARGET_VOL = 0.20
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LEVERAGE = 2.0
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# timeframe -> (load_tf, resample_rule_or_None, bars_per_day)
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TIMEFRAMES = {
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"15m": ("15m", None, 96),
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"1h": ("1h", None, 24),
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"4h": ("1h", "4h", 6),
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"1d": ("1h", "1D", 1),
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}
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def resample_ohlc(df: pd.DataFrame, rule: str) -> pd.DataFrame:
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g = df.copy()
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idx = pd.to_datetime(g["timestamp"], unit="ms", utc=True)
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idx.name = "dt"
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g.index = idx
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out = g.resample(rule, label="left", closed="left").agg(
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{"open": "first", "high": "max", "low": "min", "close": "last", "volume": "sum"})
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out = out.dropna(subset=["open"])
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out["datetime"] = out.index
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epoch = pd.Timestamp("1970-01-01", tz="UTC")
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out["timestamp"] = ((out.index - epoch) // pd.Timedelta(milliseconds=1)).astype("int64")
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return out.reset_index(drop=True)[["timestamp", "open", "high", "low", "close", "volume", "datetime"]]
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def get_df(tf_key: str, asset: str) -> pd.DataFrame:
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load_tf, rule, _ = TIMEFRAMES[tf_key]
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df = load(asset, load_tf)
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if rule:
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df = resample_ohlc(df, rule)
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return df
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def run_asset(df, bars_per_day, target_vol=TARGET_VOL, leverage=LEVERAGE,
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long_only=False, fee_side=FEE_SIDE):
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c = df["close"].values.astype(float)
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r = simple_returns(c)
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bpy = bars_per_day * 365.25
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# recompute building blocks at this TF's bar frequency
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h1, h3, h6 = 30 * bars_per_day, 90 * bars_per_day, 180 * bars_per_day
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vol_win = 30 * bars_per_day
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# realized_vol / tsmom use BARS_PER_YEAR from trackD (1h) for annualization of vol;
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# we must annualize with THIS tf's bpy -> compute vol locally
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vol = pd.Series(r).rolling(vol_win, min_periods=vol_win // 2).std().values * np.sqrt(bpy)
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direction = sig_tsmom_blend(c, horizons=(h1, h3, h6))
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tgt = build_target(direction, vol, target_vol, leverage, long_only)
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equity, net = equity_from_target(tgt, r, fee_side)
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# discrete position SIGN for trade counting (entry = sign change to a new non-zero state)
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sign = np.sign(tgt)
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return dict(net=net, ts=df["datetime"], equity=equity, bpy=bpy, sign=sign, target=tgt)
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def portfolio_series(sleeves):
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a = pd.Series(sleeves["BTC"]["net"], index=pd.to_datetime(sleeves["BTC"]["ts"].values))
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b = pd.Series(sleeves["ETH"]["net"], index=pd.to_datetime(sleeves["ETH"]["ts"].values))
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j = pd.concat([a.rename("a"), b.rename("b")], axis=1, join="inner").fillna(0.0)
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combo = 0.5 * j["a"].values + 0.5 * j["b"].values
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idx = pd.to_datetime(j.index)
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equity = np.cumprod(1.0 + np.clip(combo, -0.99, None))
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return idx, combo, equity
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def overall_metrics(idx, combo, equity, bpy):
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rr = combo[np.isfinite(combo)]
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sharpe = float(np.mean(rr) / np.std(rr) * np.sqrt(bpy)) if np.std(rr) > 0 else 0.0
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peak = np.maximum.accumulate(equity)
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dd = float(np.max((peak - equity) / peak))
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span_days = (idx[-1] - idx[0]).total_seconds() / 86400
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years = span_days / 365.25
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total = equity[-1] / equity[0]
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cagr = total ** (1 / years) - 1 if years > 0 and total > 0 else -1.0
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daily_2k = (2000 * total - 2000) / span_days if span_days > 0 else 0.0
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return dict(sharpe=sharpe, max_dd=dd, cagr=cagr, total=total - 1, daily_2k=daily_2k)
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def per_year(idx, equity):
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"""Return {year: (pnl_pct, maxdd_pct)} where maxdd is the worst drawdown WITHIN the year."""
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eq = pd.Series(equity, index=idx)
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out = {}
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for y, g in eq.groupby(eq.index.year):
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if len(g) < 2:
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continue
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pnl = g.iloc[-1] / g.iloc[0] - 1.0
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v = g.values
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peak = np.maximum.accumulate(v)
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ddy = float(np.max((peak - v) / peak))
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out[int(y)] = (float(pnl), ddy)
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return out
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def trades_per_year(sleeves):
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"""Count entries per year, summed across both sleeves. An 'entry' = the position SIGN
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changing to a new non-zero value (flat->long, flat->short, or a direction flip)."""
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counts: dict[int, int] = {}
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for a in ASSETS:
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sign = sleeves[a]["sign"]
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ts = pd.to_datetime(sleeves[a]["ts"].values)
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for i in range(1, len(sign)):
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s, prev = sign[i], sign[i - 1]
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if s != 0 and s != prev: # entry: from flat or opposite into a non-zero state
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counts[ts[i].year] = counts.get(ts[i].year, 0) + 1
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return counts
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ALL_YEARS = list(range(2018, 2027))
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def main():
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print("=" * 118)
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print("# TRACK D WINNER ACROSS TIMEFRAMES — TSMOM 1-3-6m blend, vol-target 20%, lev 2x, 50/50 BTC+ETH")
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print("# fee 0.10% RT on turnover, positions +1 bar (no look-ahead). 4h/1d resampled from certified 1h.")
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print("=" * 118)
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for mode_long_only, mode_name in ((False, "LONG-SHORT"), (True, "LONG-FLAT")):
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print("\n" + "#" * 118)
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print(f"# MODE = {mode_name}")
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print("#" * 118)
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for tf_key in TIMEFRAMES:
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bpd = TIMEFRAMES[tf_key][2]
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sleeves = {a: run_asset(get_df(tf_key, a), bpd, long_only=mode_long_only)
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for a in ASSETS}
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idx, combo, equity = portfolio_series(sleeves)
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ov = overall_metrics(idx, combo, equity, sleeves["BTC"]["bpy"])
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py = per_year(idx, equity)
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tpy = trades_per_year(sleeves)
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total_trades = sum(tpy.values())
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print(f"\n ── TF {tf_key:<3s} │ ret {ov['total']*100:>+8.0f}% CAGR {ov['cagr']*100:>+6.1f}% "
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f"Sharpe {ov['sharpe']:>4.2f} maxDD {ov['max_dd']*100:>4.1f}% "
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f"€/day(2k) {ov['daily_2k']:>+6.2f} trades {total_trades}")
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# per-year PnL / DD / trades rows
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print(f" {'PnL %':<8s}" + "".join(
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(" . " if y not in py else f"{py[y][0]*100:>+7.0f}") for y in ALL_YEARS))
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print(f" {'maxDD %':<8s}" + "".join(
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(" . " if y not in py else f"{py[y][1]*100:>7.1f}") for y in ALL_YEARS))
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print(f" {'trades':<8s}" + "".join(
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(" . " if y not in py else f"{tpy.get(y,0):>7d}") for y in ALL_YEARS))
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# year header for reference
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print("\n " + "year ".ljust(8) + "".join(f"{y:>7d}" for y in ALL_YEARS))
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if __name__ == "__main__":
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main()
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