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report(shape): integra SH01 (sleeve SHAPE) nel report per-anno e nell'integrazione MASTER

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Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>
This commit is contained in:
AdrianoDev
2026-05-29 12:43:19 +02:00
parent 2596687679
commit e002968914
1 changed files with 13 additions and 6 deletions
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scripts/analysis/report_families.py
+13 -6
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@@ -31,6 +31,7 @@ from scripts.analysis.honest_improve2 import _daily_equity, _norm
from scripts.analysis.pairs_research import pairs_sim from scripts.analysis.pairs_research import pairs_sim
from scripts.analysis.tsmom_research import tsmom_sim from scripts.analysis.tsmom_research import tsmom_sim
from scripts.strategies.PR01_pairs_reversion import PAIRS from scripts.strategies.PR01_pairs_reversion import PAIRS
from scripts.analysis.shape_ml_validate import shape_daily_equity
YEARS = sorted(set(IDX.year)) YEARS = sorted(set(IDX.year))
@@ -47,7 +48,8 @@ def build_everything():
pairs[f"PR_{a}{b}"] = daily_from(r["eq_ts"], r["eq_v"]) pairs[f"PR_{a}{b}"] = daily_from(r["eq_ts"], r["eq_v"])
t = tsmom_sim() t = tsmom_sim()
tsm = {"TSM01": daily_from(t["eq_ts"], t["eq_v"])} tsm = {"TSM01": daily_from(t["eq_ts"], t["eq_v"])}
return S, pairs, tsm shape = {f"SH_{a}": _norm(shape_daily_equity(a, IDX)) for a in ("BTC", "ETH")}
return S, pairs, tsm, shape
def yrow(label, dr): def yrow(label, dr):
@@ -62,8 +64,8 @@ def metric_block(label, dr):
def main(): def main():
print("Costruzione (puo' richiedere ~1-2 min)...\n") print("Costruzione (puo' richiedere ~2-3 min)...\n")
S, pairs, tsm = build_everything() S, pairs, tsm, shape = build_everything()
fade = {k: v for k, v in S.items() if k.startswith("MR")} fade = {k: v for k, v in S.items() if k.startswith("MR")}
honest = {k: v for k, v in S.items() if not k.startswith("MR")} honest = {k: v for k, v in S.items() if not k.startswith("MR")}
@@ -72,10 +74,12 @@ def main():
"HONEST": port_returns(honest), "HONEST": port_returns(honest),
"PAIRS": port_returns(pairs), "PAIRS": port_returns(pairs),
"TSM01": tsm["TSM01"].pct_change().fillna(0.0), "TSM01": tsm["TSM01"].pct_change().fillna(0.0),
"SHAPE": port_returns(shape),
} }
master9 = port_returns(S) master9 = port_returns(S)
master_p = port_returns({**S, **pairs}) master_p = port_returns({**S, **pairs})
master_x = port_returns({**S, **pairs, **tsm}) master_x = port_returns({**S, **pairs, **tsm})
master_xs = port_returns({**S, **pairs, **tsm, **shape})
# ---------- (A) per anno, per FAMIGLIA + portafogli ---------- # ---------- (A) per anno, per FAMIGLIA + portafogli ----------
print("=" * 110) print("=" * 110)
@@ -89,12 +93,13 @@ def main():
print(yrow("MASTER-9", master9)) print(yrow("MASTER-9", master9))
print(yrow("MASTER+pairs", master_p)) print(yrow("MASTER+pairs", master_p))
print(yrow("MASTER-esteso", master_x)) print(yrow("MASTER-esteso", master_x))
print(yrow("MASTER+shape", master_xs))
# ---------- (B) per anno, per STRATEGIA singola ---------- # ---------- (B) per anno, per STRATEGIA singola ----------
print("\n" + "=" * 130) print("\n" + "=" * 130)
print(" (B) RET% NETTO PER ANNO — per STRATEGIA singola (tutti gli sleeve)") print(" (B) RET% NETTO PER ANNO — per STRATEGIA singola (tutti gli sleeve)")
print("=" * 130) print("=" * 130)
allsl = {**S, **pairs, **tsm} allsl = {**S, **pairs, **tsm, **shape}
cols = list(allsl) cols = list(allsl)
print(f" {'Anno':>5s}" + "".join(f"{c.replace('_',''):>11s}" for c in cols)) print(f" {'Anno':>5s}" + "".join(f"{c.replace('_',''):>11s}" for c in cols))
print(" " + "-" * 124) print(" " + "-" * 124)
@@ -112,12 +117,14 @@ def main():
print(metric_block("MASTER-9", master9)) print(metric_block("MASTER-9", master9))
print(metric_block("+pairs", master_p)) print(metric_block("+pairs", master_p))
print(metric_block("+TSM01", port_returns({**S, **tsm}))) print(metric_block("+TSM01", port_returns({**S, **tsm})))
print(metric_block("+shape", port_returns({**S, **shape})))
print(metric_block("MASTER-esteso", master_x)) print(metric_block("MASTER-esteso", master_x))
print(metric_block("MASTER+shape", master_xs))
# correlazione media nuove vs master-9 # correlazione media nuove vs master-9
dr_all = pd.DataFrame({k: v.pct_change().fillna(0.0) for k, v in {**S, **pairs, **tsm}.items()}) dr_all = pd.DataFrame({k: v.pct_change().fillna(0.0) for k, v in {**S, **pairs, **tsm, **shape}.items()})
corr = dr_all.corr(); old = list(S) corr = dr_all.corr(); old = list(S)
print(" " + "-" * 80) print(" " + "-" * 80)
for k in list(pairs) + list(tsm): for k in list(pairs) + list(tsm) + list(shape):
print(f" corr {k:<11s} vs MASTER-9 = {corr.loc[k, old].mean():+.2f}") print(f" corr {k:<11s} vs MASTER-9 = {corr.loc[k, old].mean():+.2f}")
# ---------- (D) numeri sobri ---------- # ---------- (D) numeri sobri ----------