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feat(portfolio): definizioni PORT01-06 + report run() (default PORT06)

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Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>
This commit is contained in:
AdrianoDev
2026-05-29 15:58:33 +02:00
parent 3f6b0ccf91
commit eaf4800b6d
9 changed files with 225 additions and 0 deletions
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scripts/portfolios/PORT01_honest.py
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"""PORT01 — Honest (default). Report backtest del portafoglio."""
import sys
from pathlib import Path
PROJECT_ROOT = Path(__file__).resolve().parents[2]
sys.path.insert(0, str(PROJECT_ROOT))
from scripts.portfolios._defs import PORTFOLIOS # noqa: E402
CODE = "PORT01"
def run():
p = PORTFOLIOS[CODE]
r = p.backtest()
print("=" * 80)
print(f" {p.code} — {p.label} | pesi={p.weighting} caps={p.caps} leva={p.leverage}x")
print("=" * 80)
print(f" FULL ret {r.full['ret']:+.0f}% CAGR {r.full['cagr']:.0f}% "
f"DD {r.full['dd']:.1f}% Sharpe {r.full['sharpe']:.2f}")
print(f" OOS ret {r.oos['ret']:+.0f}% DD {r.oos['dd']:.1f}% Sharpe {r.oos['sharpe']:.2f}")
print(" per anno:", {y: round(v) for y, v in sorted(r.yearly.items())})
print(" rischio % per sleeve:", {k: round(v, 1) for k, v in
sorted(r.risk.items(), key=lambda x: -x[1])})
if __name__ == "__main__":
run()
scripts/portfolios/PORT02_fade.py
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"""PORT02 — Fade master (default). Report backtest del portafoglio."""
import sys
from pathlib import Path
PROJECT_ROOT = Path(__file__).resolve().parents[2]
sys.path.insert(0, str(PROJECT_ROOT))
from scripts.portfolios._defs import PORTFOLIOS # noqa: E402
CODE = "PORT02"
def run():
p = PORTFOLIOS[CODE]
r = p.backtest()
print("=" * 80)
print(f" {p.code} — {p.label} | pesi={p.weighting} caps={p.caps} leva={p.leverage}x")
print("=" * 80)
print(f" FULL ret {r.full['ret']:+.0f}% CAGR {r.full['cagr']:.0f}% "
f"DD {r.full['dd']:.1f}% Sharpe {r.full['sharpe']:.2f}")
print(f" OOS ret {r.oos['ret']:+.0f}% DD {r.oos['dd']:.1f}% Sharpe {r.oos['sharpe']:.2f}")
print(" per anno:", {y: round(v) for y, v in sorted(r.yearly.items())})
print(" rischio % per sleeve:", {k: round(v, 1) for k, v in
sorted(r.risk.items(), key=lambda x: -x[1])})
if __name__ == "__main__":
run()
scripts/portfolios/PORT03_master.py
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"""PORT03 — Master (default). Report backtest del portafoglio."""
import sys
from pathlib import Path
PROJECT_ROOT = Path(__file__).resolve().parents[2]
sys.path.insert(0, str(PROJECT_ROOT))
from scripts.portfolios._defs import PORTFOLIOS # noqa: E402
CODE = "PORT03"
def run():
p = PORTFOLIOS[CODE]
r = p.backtest()
print("=" * 80)
print(f" {p.code} — {p.label} | pesi={p.weighting} caps={p.caps} leva={p.leverage}x")
print("=" * 80)
print(f" FULL ret {r.full['ret']:+.0f}% CAGR {r.full['cagr']:.0f}% "
f"DD {r.full['dd']:.1f}% Sharpe {r.full['sharpe']:.2f}")
print(f" OOS ret {r.oos['ret']:+.0f}% DD {r.oos['dd']:.1f}% Sharpe {r.oos['sharpe']:.2f}")
print(" per anno:", {y: round(v) for y, v in sorted(r.yearly.items())})
print(" rischio % per sleeve:", {k: round(v, 1) for k, v in
sorted(r.risk.items(), key=lambda x: -x[1])})
if __name__ == "__main__":
run()
scripts/portfolios/PORT04_master_pairs.py
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"""PORT04 — Master + pairs (default). Report backtest del portafoglio."""
import sys
from pathlib import Path
PROJECT_ROOT = Path(__file__).resolve().parents[2]
sys.path.insert(0, str(PROJECT_ROOT))
from scripts.portfolios._defs import PORTFOLIOS # noqa: E402
CODE = "PORT04"
def run():
p = PORTFOLIOS[CODE]
r = p.backtest()
print("=" * 80)
print(f" {p.code} — {p.label} | pesi={p.weighting} caps={p.caps} leva={p.leverage}x")
print("=" * 80)
print(f" FULL ret {r.full['ret']:+.0f}% CAGR {r.full['cagr']:.0f}% "
f"DD {r.full['dd']:.1f}% Sharpe {r.full['sharpe']:.2f}")
print(f" OOS ret {r.oos['ret']:+.0f}% DD {r.oos['dd']:.1f}% Sharpe {r.oos['sharpe']:.2f}")
print(" per anno:", {y: round(v) for y, v in sorted(r.yearly.items())})
print(" rischio % per sleeve:", {k: round(v, 1) for k, v in
sorted(r.risk.items(), key=lambda x: -x[1])})
if __name__ == "__main__":
run()
scripts/portfolios/PORT05_master_esteso.py
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"""PORT05 — Master esteso (default). Report backtest del portafoglio."""
import sys
from pathlib import Path
PROJECT_ROOT = Path(__file__).resolve().parents[2]
sys.path.insert(0, str(PROJECT_ROOT))
from scripts.portfolios._defs import PORTFOLIOS # noqa: E402
CODE = "PORT05"
def run():
p = PORTFOLIOS[CODE]
r = p.backtest()
print("=" * 80)
print(f" {p.code} — {p.label} | pesi={p.weighting} caps={p.caps} leva={p.leverage}x")
print("=" * 80)
print(f" FULL ret {r.full['ret']:+.0f}% CAGR {r.full['cagr']:.0f}% "
f"DD {r.full['dd']:.1f}% Sharpe {r.full['sharpe']:.2f}")
print(f" OOS ret {r.oos['ret']:+.0f}% DD {r.oos['dd']:.1f}% Sharpe {r.oos['sharpe']:.2f}")
print(" per anno:", {y: round(v) for y, v in sorted(r.yearly.items())})
print(" rischio % per sleeve:", {k: round(v, 1) for k, v in
sorted(r.risk.items(), key=lambda x: -x[1])})
if __name__ == "__main__":
run()
scripts/portfolios/PORT06_master_shape.py
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"""PORT06 — Master + shape (default). Report backtest del portafoglio."""
import sys
from pathlib import Path
PROJECT_ROOT = Path(__file__).resolve().parents[2]
sys.path.insert(0, str(PROJECT_ROOT))
from scripts.portfolios._defs import PORTFOLIOS # noqa: E402
CODE = "PORT06"
def run():
p = PORTFOLIOS[CODE]
r = p.backtest()
print("=" * 80)
print(f" {p.code} — {p.label} | pesi={p.weighting} caps={p.caps} leva={p.leverage}x")
print("=" * 80)
print(f" FULL ret {r.full['ret']:+.0f}% CAGR {r.full['cagr']:.0f}% "
f"DD {r.full['dd']:.1f}% Sharpe {r.full['sharpe']:.2f}")
print(f" OOS ret {r.oos['ret']:+.0f}% DD {r.oos['dd']:.1f}% Sharpe {r.oos['sharpe']:.2f}")
print(" per anno:", {y: round(v) for y, v in sorted(r.yearly.items())})
print(" rischio % per sleeve:", {k: round(v, 1) for k, v in
sorted(r.risk.items(), key=lambda x: -x[1])})
if __name__ == "__main__":
run()
scripts/portfolios/__init__.py
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scripts/portfolios/_defs.py
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"""Definizioni canoniche dei portafogli (tutti i tipi visti finora)."""
from __future__ import annotations
import sys
from pathlib import Path
PROJECT_ROOT = Path(__file__).resolve().parents[2]
sys.path.insert(0, str(PROJECT_ROOT))
from src.portfolio.base import Portfolio, SleeveSpec # noqa: E402
FADE = [SleeveSpec(kind="single", name=c, sid=f"{c}_{a}", asset=a, cluster=f"{a}-rev")
for a in ("BTC", "ETH") for c in ("MR01", "MR02", "MR07")]
HONEST = [
SleeveSpec(kind="single", name="DIP01", sid="DIP01_BTC", asset="BTC", cluster="BTC-rev"),
SleeveSpec(kind="single", name="TR01", sid="TR01_basket", cluster="trend"),
SleeveSpec(kind="single", name="ROT02", sid="ROT02_rot", cluster="rotation"),
]
PAIRS = [
SleeveSpec(kind="pairs", name="PR01", sid="PR_ETHBTC", a="ETH", b="BTC", cluster="ETH-rev"),
SleeveSpec(kind="pairs", name="PR01", sid="PR_LTCETH", a="LTC", b="ETH", cluster="ETH-rev"),
SleeveSpec(kind="pairs", name="PR01", sid="PR_ADAETH", a="ADA", b="ETH", cluster="ETH-rev"),
SleeveSpec(kind="pairs", name="PR01", sid="PR_BTCLTC", a="BTC", b="LTC", cluster="BTC-rev"),
SleeveSpec(kind="pairs", name="PR01", sid="PR_ETHSOL", a="ETH", b="SOL", cluster="ETH-rev"),
]
TSM = [SleeveSpec(kind="single", name="TSM01", sid="TSM01", cluster="trend")]
SHAPE = [SleeveSpec(kind="ml", name="SH01", sid=f"SH_{a}", asset=a, cluster="shape")
for a in ("BTC", "ETH")]
PORTFOLIOS = {
"PORT01": Portfolio("PORT01", "Honest", HONEST, weighting="equal"),
"PORT02": Portfolio("PORT02", "Fade master", FADE, weighting="equal"),
"PORT03": Portfolio("PORT03", "Master", FADE + HONEST, weighting="equal"),
"PORT04": Portfolio("PORT04", "Master + pairs", FADE + HONEST + PAIRS,
weighting="cap", caps={"PAIRS": 0.33}),
"PORT05": Portfolio("PORT05", "Master esteso", FADE + HONEST + PAIRS + TSM,
weighting="cap", caps={"PAIRS": 0.33}),
"PORT06": Portfolio("PORT06", "Master + shape", FADE + HONEST + PAIRS + TSM + SHAPE,
weighting="cap", caps={"PAIRS": 0.33}, leverage=2.0),
}