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harness(causality): guardia look-ahead + calendar-artifact self-policing nel lab intraday

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- altlib.causality_ok(target_fn, tf): online-consistency guard (ricalcola il target su un
  prefisso, la coda deve combaciare col full). eval_weights shifta la posizione ma non vede
  una feature non-causale (finestra centrata/shift(-k)/stat full-sample) -> questa sì.
- intra_score integra DUE gate prima/dopo lo scoring: causality (leak -> LEAK, squalificato)
  e day_boundary_robust (ARTIFACT-RISK -> fuori dagli slot). Effetto sul leaderboard intraday:
  open_drive + weekly_seasonality + overnight -> CAL-ARTIFACT (da soli, niente skeptic);
  prevday_range_breakout resta (ROBUST). earns_slot 10 -> 8.
- +2 test (causal-ok / leak), suite intera verde.

Il lab intraday ora auto-becca leak e artefatti-calendario che ieri richiedevano 3 scettici.
Chiude la 3a lezione harness dell'onda intraday.

Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>
This commit is contained in:
Adriano Dal Pastro
2026-06-21 15:22:58 +00:00
parent 4ae3b42442
commit d5dd6f4b72
5 changed files with 187 additions and 59 deletions
Download Patch File Download Diff File Expand all files Collapse all files
scripts/research/intraday/intra_leaderboard.json
+104 -56
View File
@@ -2,6 +2,7 @@
{
"name": "agent_13_range_compression_intra",
"tf": "1h",
"causal": true,
"abs_grade": "PASS",
"marginal_verdict": "ADDS",
"earns_slot": true,
@@ -18,32 +19,14 @@
"abs_hold_sharpe": 0.928,
"turnover_per_year": 13.4,
"fee020_full_sharpe": 0.488,
"fee_survives": true
},
{
"name": "agent_05_open_drive",
"tf": "1h",
"abs_grade": "PASS",
"marginal_verdict": "ADDS",
"earns_slot": true,
"corr_full": 0.133,
"corr_hold": -0.055,
"uplift_hold": 0.716,
"uplift_full": 0.232,
"cand_insample_sharpe": 0.924,
"has_insample_edge": true,
"is_hedge": false,
"robust_oos": true,
"multicut_persistent": true,
"abs_full_sharpe": 0.678,
"abs_hold_sharpe": 1.052,
"turnover_per_year": 21.4,
"fee020_full_sharpe": 0.641,
"fee_survives": true
"fee_survives": true,
"boundary_verdict": "INVARIANT",
"boundary_spread": 0.0
},
{
"name": "agent_09_prevday_range_breakout",
"tf": "1h",
"causal": true,
"abs_grade": "PASS",
"marginal_verdict": "ADDS",
"earns_slot": true,
@@ -60,32 +43,14 @@
"abs_hold_sharpe": 0.916,
"turnover_per_year": 56.2,
"fee020_full_sharpe": 0.985,
"fee_survives": true
},
{
"name": "agent_11_weekly_seasonality",
"tf": "1h",
"abs_grade": "PASS",
"marginal_verdict": "ADDS",
"earns_slot": true,
"corr_full": 0.44,
"corr_hold": 0.32,
"uplift_hold": 0.402,
"uplift_full": 0.328,
"cand_insample_sharpe": 1.728,
"has_insample_edge": true,
"is_hedge": false,
"robust_oos": true,
"multicut_persistent": true,
"abs_full_sharpe": 1.418,
"abs_hold_sharpe": 0.861,
"turnover_per_year": 86.0,
"fee020_full_sharpe": 1.262,
"fee_survives": true
"fee_survives": true,
"boundary_verdict": "ROBUST",
"boundary_spread": 0.196
},
{
"name": "agent_06_vol_event_revert_15m",
"tf": "15m",
"causal": true,
"abs_grade": "PASS",
"marginal_verdict": "ADDS",
"earns_slot": true,
@@ -102,11 +67,14 @@
"abs_hold_sharpe": 0.949,
"turnover_per_year": 13.8,
"fee020_full_sharpe": 0.593,
"fee_survives": true
"fee_survives": true,
"boundary_verdict": "INVARIANT",
"boundary_spread": 0.0
},
{
"name": "agent_07_volume_spike_revert",
"tf": "1h",
"causal": true,
"abs_grade": "WEAK",
"marginal_verdict": "ADDS",
"earns_slot": true,
@@ -123,11 +91,14 @@
"abs_hold_sharpe": 0.096,
"turnover_per_year": 25.3,
"fee020_full_sharpe": 0.349,
"fee_survives": true
"fee_survives": true,
"boundary_verdict": "INVARIANT",
"boundary_spread": 0.0
},
{
"name": "agent_14_multi_session_momentum",
"tf": "1h",
"causal": true,
"abs_grade": "PASS",
"marginal_verdict": "ADDS",
"earns_slot": true,
@@ -144,11 +115,14 @@
"abs_hold_sharpe": 0.436,
"turnover_per_year": 28.8,
"fee020_full_sharpe": 1.144,
"fee_survives": true
"fee_survives": true,
"boundary_verdict": "ROBUST",
"boundary_spread": 0.022
},
{
"name": "agent_08_gap_fill",
"tf": "1h",
"causal": true,
"abs_grade": "PASS",
"marginal_verdict": "ADDS",
"earns_slot": true,
@@ -165,11 +139,14 @@
"abs_hold_sharpe": 0.432,
"turnover_per_year": 11.6,
"fee020_full_sharpe": 0.501,
"fee_survives": true
"fee_survives": true,
"boundary_verdict": "INVARIANT",
"boundary_spread": 0.0
},
{
"name": "agent_12_close_location",
"tf": "1h",
"causal": true,
"abs_grade": "PASS",
"marginal_verdict": "ADDS",
"earns_slot": true,
@@ -186,11 +163,14 @@
"abs_hold_sharpe": 0.501,
"turnover_per_year": 14.4,
"fee020_full_sharpe": 1.166,
"fee_survives": true
"fee_survives": true,
"boundary_verdict": "INVARIANT",
"boundary_spread": 0.0
},
{
"name": "agent_10_trend_quality_intra",
"tf": "1h",
"causal": true,
"abs_grade": "PASS",
"marginal_verdict": "ADDS",
"earns_slot": true,
@@ -207,11 +187,62 @@
"abs_hold_sharpe": 0.535,
"turnover_per_year": 13.5,
"fee020_full_sharpe": 0.807,
"fee_survives": true
"fee_survives": true,
"boundary_verdict": "INVARIANT",
"boundary_spread": 0.0
},
{
"name": "agent_05_open_drive",
"tf": "1h",
"causal": true,
"abs_grade": "PASS",
"marginal_verdict": "ADDS",
"earns_slot": false,
"corr_full": 0.133,
"corr_hold": -0.055,
"uplift_hold": 0.716,
"uplift_full": 0.232,
"cand_insample_sharpe": 0.924,
"has_insample_edge": true,
"is_hedge": false,
"robust_oos": true,
"multicut_persistent": true,
"abs_full_sharpe": 0.678,
"abs_hold_sharpe": 1.052,
"turnover_per_year": 21.4,
"fee020_full_sharpe": 0.641,
"fee_survives": true,
"boundary_verdict": "ARTIFACT-RISK",
"boundary_spread": 0.484
},
{
"name": "agent_11_weekly_seasonality",
"tf": "1h",
"causal": true,
"abs_grade": "PASS",
"marginal_verdict": "ADDS",
"earns_slot": false,
"corr_full": 0.44,
"corr_hold": 0.32,
"uplift_hold": 0.402,
"uplift_full": 0.328,
"cand_insample_sharpe": 1.728,
"has_insample_edge": true,
"is_hedge": false,
"robust_oos": true,
"multicut_persistent": true,
"abs_full_sharpe": 1.418,
"abs_hold_sharpe": 0.861,
"turnover_per_year": 86.0,
"fee020_full_sharpe": 1.262,
"fee_survives": true,
"boundary_verdict": "ARTIFACT-RISK",
"boundary_spread": 0.456
},
{
"name": "agent_04_intraday_range_size",
"tf": "1h",
"causal": true,
"abs_grade": "PASS",
"marginal_verdict": "REDUNDANT",
"earns_slot": false,
@@ -228,11 +259,14 @@
"abs_hold_sharpe": 0.353,
"turnover_per_year": 40.6,
"fee020_full_sharpe": 0.942,
"fee_survives": true
"fee_survives": true,
"boundary_verdict": "INVARIANT",
"boundary_spread": 0.0
},
{
"name": "agent_01_session_overlay",
"tf": "1h",
"causal": true,
"abs_grade": "WEAK",
"marginal_verdict": "REDUNDANT",
"earns_slot": false,
@@ -249,11 +283,14 @@
"abs_hold_sharpe": 0.03,
"turnover_per_year": 46.9,
"fee020_full_sharpe": 0.904,
"fee_survives": true
"fee_survives": true,
"boundary_verdict": "INVARIANT",
"boundary_spread": 0.013
},
{
"name": "agent_03_funding_clock_15m",
"tf": "15m",
"causal": true,
"abs_grade": "FAIL",
"marginal_verdict": "NEUTRAL",
"earns_slot": false,
@@ -270,11 +307,14 @@
"abs_hold_sharpe": -0.323,
"turnover_per_year": 56.2,
"fee020_full_sharpe": 0.742,
"fee_survives": true
"fee_survives": true,
"boundary_verdict": "INVARIANT",
"boundary_spread": 0.0
},
{
"name": "agent_02_overnight_vs_intraday",
"tf": "1h",
"causal": true,
"abs_grade": "FAIL",
"marginal_verdict": "NEUTRAL",
"earns_slot": false,
@@ -291,11 +331,14 @@
"abs_hold_sharpe": -0.41,
"turnover_per_year": 98.2,
"fee020_full_sharpe": 0.497,
"fee_survives": true
"fee_survives": true,
"boundary_verdict": "ARTIFACT-RISK",
"boundary_spread": 0.081
},
{
"name": "agent_15_intraday_meanrev_gated",
"tf": "1h",
"causal": true,
"abs_grade": "FAIL",
"marginal_verdict": "NOISE",
"earns_slot": false,
@@ -312,11 +355,14 @@
"abs_hold_sharpe": -1.194,
"turnover_per_year": 19.1,
"fee020_full_sharpe": -0.013,
"fee_survives": false
"fee_survives": false,
"boundary_verdict": "INVARIANT",
"boundary_spread": 0.0
},
{
"name": "agent_00_hour_of_day_bias",
"tf": "1h",
"causal": true,
"abs_grade": "FAIL",
"marginal_verdict": "NEUTRAL",
"earns_slot": false,
@@ -333,6 +379,8 @@
"abs_hold_sharpe": -0.582,
"turnover_per_year": 10.3,
"fee020_full_sharpe": 0.593,
"fee_survives": true
"fee_survives": true,
"boundary_verdict": "INVARIANT",
"boundary_spread": 0.0
}
]