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>

src/live/xsec_worker.py

@@ -26,6 +26,10 @@ class CrossSectionalWorker:
         p = params or {}
         self.lb = int(p.get("lb", 48))
         self.hold = int(p.get("hold", 12))
+        # dispersion-gate (2026-06-10): entra solo se la std cross-section del
+        # momentum lb supera disp_min — senza dispersione da far rientrare i
+        # trade sono fee. None = off (parita' col backtest canonico non filtrato).
+        self.disp_min = p.get("disp_min")
         self.tf = tf
         self.initial_capital = capital
         self.position_size = position_size
@@ -131,6 +135,10 @@ class CrossSectionalWorker:
     def _open_book(self, M, i):
         cols = list(M.columns)
         logC = np.log(M.values)
+        if self.disp_min is not None:
+            disp = float(np.nanstd(logC[i] - logC[i - self.lb]))
+            if disp < float(self.disp_min):
+                return                      # regime senza dispersione: skip entry
         w = self._weights(logC[i], logC[i - self.lb])
         if w is None:
             return

src/portfolio/runner.py

@@ -96,7 +96,8 @@ def build_worker_for(spec: SleeveSpec, alloc_capital: float, leverage: float,
         pr = spec.params
         return CrossSectionalWorker(
             universe=pr["universe"], tf=pr.get("tf", "1h"),
-            params={"lb": pr.get("lb", 48), "hold": pr.get("hold", 12)},
+            params={"lb": pr.get("lb", 48), "hold": pr.get("hold", 12),
+                    "disp_min": pr.get("disp_min")},
             capital=alloc_capital, position_size=position_size, leverage=leverage,
             data_dir=data_dir,
         )