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feat(skyhook): SKH01-V2-DD — asymmetric %-exits cut standalone DD <30% (2-wave agent research)

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Second agent wave (skyhook-improve-v2, 14 DD-reduction families, each adversarially
verified by 2 skeptics) beats the prior winner on the only unmet goal (DD<30%).

Winner = ASYM_LS -> promoted to engine as SKH01_V2_DD:
  same signal (ptn_n=45, vola[35,95], vol_lo=0, exit-bars 24/16) but exits switched
  from ATR to FIXED-PCT ASYMMETRIC — long sl4%/tp10%, short sl2%(tighter)/tp8%.
  The tight short %-SL caps the per-trade loss that forms the maxDD in vol spikes.

Verified (sk.study, independent re-run): standalone maxDD BTC 21.4% / ETH 27.4% (<30%),
minFull +0.99, minHold +1.26, causality 0/400 both assets, fee-surviving to 0.40%RT,
marginal vs TP01 ADDS (corr 0.09, in-sample edge, robust_oos, multicut, clean-year +0.57),
blend 0.75*TP01+0.25*SKH uplift_hold +0.87; blend 50/50 full 1.84/hold 1.59/DD 10.7%.
Plateau (not knife-edge); both skeptics holds_up=high, killer=null.

Engine: per-direction short exit overrides (exit_mode_short/sl_*_short/tp_*_short),
backward-compatible (None -> symmetric, V1/intermediate-winner unchanged). +3 tests (8/8 pass).

Lessons: DD is cut by changing the exit MECHANISM (%-SL, L/S asymmetry, ensembles), NOT by
entry-only kill-switch / vol-target / cadence. PATTERN_CONF killed as overfit (knife-edge).
PCTL_DD unverified (rate-limit) and ENS_PARAM/TPSL_DD recency/hedge-loaded -> forward-monitor.
NOT yet wired to live sleeves: re-verify blend@0.25 + causality on execution code before deploy.

Includes both waves' research scripts (runs/SKH_* wave 1, runs/SKH2_* wave 2).

Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>
This commit is contained in:
Adriano Dal Pastro
2026-06-23 16:10:38 +00:00
parent 8e46a62e67
commit de72e3ce1f
31 changed files with 5768 additions and 13 deletions
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scripts/research/skyhook/runs/SKH_P_LOCAL_winner.py
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"""SKH_P_LOCAL winner: ptn_n=45, sl_atr=2.5, tp_atr=7.0, uscitalong=24, uscitashort=16
(rest = V1). Beats V1 on DD (34% vs 49%), minHold (+0.81 vs +0.64), minFull (+0.83 vs +0.69),
and pushes clean-year(2025) uplift well over 0.02 -> robust_oos True (fully earns a slot)."""
from __future__ import annotations
import sys
sys.path.insert(0, "/opt/docker/PythagorasGoal/scripts/research/skyhook")
import skyhooklib as sk
from src.strategies.skyhook import SkyhookParams
V1 = dict(ptn_n=55, sl_atr=2.5, tp_atr=6.0, vola_lo=35.0, vola_hi=95.0, vol_lo=0.0)
WIN = SkyhookParams(**{**V1, **dict(ptn_n=45, sl_atr=2.5, tp_atr=7.0, uscitalong=24, uscitashort=16)})
rep = sk.study("SKH_P_LOCAL_winner", WIN)
print(sk.fmt(rep))
print("causality:", sk.causality(WIN, asset="BTC"), sk.causality(WIN, asset="ETH"))
mg = sk.marginal(WIN)
keys=("corr_full","corr_hold","marginal_verdict","has_insample_edge","is_hedge",
"robust_oos","multicut_persistent","clean_year_uplift","jackknife_min_uplift",
"cand_insample_sharpe","cand_full_sharpe","beta_to_tp01","alpha_ann")
print("marginal:", {k: mg.get(k) for k in keys})
print("blend w25 uplift_hold:", mg.get("blends",{}).get("w25",{}).get("uplift_hold"),
"uplift_full:", mg.get("blends",{}).get("w25",{}).get("uplift_full"))
print("blend w50:", mg.get("blends",{}).get("w50"))
print("multicut:", mg.get("multicut_uplift"))
v=rep["verdict"]
print("\nVERDICT:", v)