feat(xsec): dispersion-gate XS01 live (disp_min=0.0313) — Sharpe 3.46, PORT06 OOS 10.07->10.37; FC01 funding-carry scartata

Co-Authored-By: Claude Fable 5 <noreply@anthropic.com>
2026-06-10 21:42:12 +00:00
parent d1180ef25b
commit e25d5db6ad
7 changed files with 533 additions and 2 deletions
@@ -105,9 +105,14 @@ SHAPE = [SleeveSpec(kind="ml", name="SH01", sid=f"SH_{a}", asset=a, cluster="sha
 # (~0) da pairs e fade. Gate PORT06: +XS01 -> OOS Sharpe 9.66->10.07, FULL DD 3.68->3.46.
 # 8 gambe -> niente esecuzione reale: gira PAPER (come TR01/ROT02/TSM01). Worker validato
 # (validate_xsec_worker: replay == backtest esatto). Diario 2026-06-09.
+# DISPERSION-GATE (2026-06-10): entry solo se std cross-section del momentum lb >= disp_min
+# (p50 TRAIN = 0.0313). Diagnostica monotona TRAIN+OOS, plateau p30-p70, ogni anno migliora
+# (standalone Sharpe 2.50->3.46, regge fee 2x), PORT06 OOS Sh 10.07->10.37 a DD pari. Solo
+# path LIVE (backtest canonico NON filtrato, come trend/hurst sulle fade) -> il live fara'
+# meglio del backtest. Diario 2026-06-10, gate scripts/analysis/xs01_dispersion_gate.py.
 XSEC = [SleeveSpec(kind="xsec", name="XS01", sid="XS01", cluster="xsec",
                   params={"universe": ["BTC", "ETH", "LTC", "ADA", "SOL", "BNB", "XRP", "DOGE"],
-                           "tf": "1h", "lb": 48, "hold": 12})]
+                           "tf": "1h", "lb": 48, "hold": 12, "disp_min": 0.0313})]

 PORTFOLIOS = {
    "PORT01": Portfolio("PORT01", "Honest", HONEST, weighting="equal"),