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feat(pairs): attiva ETH/BTC 15m flat-skip in PORT06 (BLEND, mezza size)

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Origine: gioco "Blind Traders" (100 agenti ciechi su BTC/ETH anonimizzati) ->
vincitore = spread ETH/BTC reversion a 15m. Testato sul serio col gate PORT06:
non duplicato (corr 1h vs 15m = 0.37), robusto (16/16 celle Sharpe>1), edge NON
artefatto delle candele flat ETH 15m (filtrandole resta l'83% dello Sharpe).

Percorso live costruito e validato:
- pairs_research.pairs_sim_flat: engine generalizzato con exit LIVE-REALIZABLE
  (arma exit_ready, esce alla 1a barra pulita); regression-lock a pairs_sim.
- PairsWorker: flat_skip + exit_ready + rilevamento flat da OHLC (1h byte-exact).
- runner: fetch diretto dei timeframe sub-orari + override position_size per-sleeve.
- validate_worker_pairs: replay worker == backtest a 15m (8452 vs 8453 trade).
- _defs/build_everything: sleeve PR_ETHBTC_15M (mezza size, pos 0.10) -> PORT06
  FULL 6.43->7.20, OOS 8.58->9.66, DD giu'. Rischio bilanciato col 1h.
- smoke live: Cerbero serve candele 15m fresche; worker ticca.

Diari docs/diary/2026-06-09-*. Caveat slippage: mezza size = blend-tilt prudente.

Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>
This commit is contained in:
Adriano Dal Pastro
2026-06-09 11:48:15 +00:00
parent 5d45f4ef6e
commit d25d897fd1
20 changed files with 1727 additions and 60 deletions
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scripts/portfolios/_defs.py
+7
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@@ -79,6 +79,13 @@ HONEST = [
]
PAIRS = [
SleeveSpec(kind="pairs", name="PR01", sid="PR_ETHBTC", a="ETH", b="BTC", cluster="ETH-rev"),
# BLEND timeframe: ETH/BTC anche a 15m (flat-skip), accanto al 1h. Decorrelato 0.37 dal
# 1h -> diversificatore intra-pairs. Worker validato (validate_worker_pairs 15m, replay
# == pairs_sim_flat). Gate PORT06: docs/diary/2026-06-09-pairs15m-live-path.md.
SleeveSpec(kind="pairs", name="PR01", sid="PR_ETHBTC_15M", a="ETH", b="BTC", tf="15m",
params={"n": 66, "z_in": 1.674, "z_exit": 1.0, "max_bars": 35, "flat_skip": True,
"position_size": 0.10}, # meta' del family PAIRS (0.20): blend-tilt
cluster="ETH-rev"),
SleeveSpec(kind="pairs", name="PR01", sid="PR_LTCETH", a="LTC", b="ETH", cluster="ETH-rev"),
SleeveSpec(kind="pairs", name="PR01", sid="PR_ADAETH", a="ADA", b="ETH", cluster="ETH-rev"),
SleeveSpec(kind="pairs", name="PR01", sid="PR_BTCLTC", a="BTC", b="LTC", cluster="BTC-rev"),