audit+fix: anti-look-ahead audit, migrate deployable config to >=12h

- trackD_lookahead_audit.py: relabel test (left==right, no labeling leak) + execution-lag
  stress -> our trend pipeline is CLEAN (4h Sharpe 1.36 robust to +1 bar lag, label-invariant)
- ADOPT conservative conclusion: deploy at 12h (sub-12h: costs/overfit dominate, slight Sharpe
  bump unreliable). 12h: Sharpe 1.32, DD 13.3%, CAGR 16.2% ~ identical and robust
- trend_portfolio: DEPLOY_TF=12h, resample_tf(rule); paper trader + tests on 12h
- calendar research (NEGATIVE, both): trackF seasonality (spurious), trackG prior-levels
  (breakouts continue, fade dead; only long-drift survivor, redundant with TP01)
- gitignore data/paper_trend runtime state
This commit is contained in:
2026-06-19 21:13:57 +02:00
parent 7b34e11476
commit eac2aa1d00
10 changed files with 1162 additions and 38 deletions
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{
"capital": 2000.0,
"initial_capital": 2000.0,
"start_ts": 1781884800000,
"last_ts": 1781884800000,
"positions": {
"BTC": 0.0,
"ETH": 0.0
},
"n_bars": 0,
"peak": 2000.0,
"max_dd": 0.0
}