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feat(live): SWAP fade 1h -> 15m su PORT06 (scelta utente, gate fade15m_port06_gate)

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FADE specs tf=15m (sid invariati -> pesi/alloc intatti; DIP01 resta 1h);
builder canonico allineato (combine_portfolio.FADE_TF) -> parita' delle due
facce; regression-lock aggiornato al nuovo baseline (FULL Sh 7.34->8.13
DD 3.46->2.47, OOS Sh 10.07->10.86 DD 1.48->2.09). Runner invariato (fetch
15m gia' esistente dal blend pairs). Suite 126 passed.

Co-Authored-By: Claude Fable 5 <noreply@anthropic.com>
This commit is contained in:
Adriano Dal Pastro
2026-06-12 20:47:44 +00:00
parent 82a1c60e08
commit f78380596a
4 changed files with 55 additions and 9 deletions
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scripts/analysis/combine_portfolio.py
+12 -4
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@@ -40,9 +40,17 @@ ANN = 365.0 # giorni/anno per annualizzare
# ---------------- equity giornaliere ----------------
def fade_daily_equity(asset: str, fn, params) -> pd.Series:
"""Equity giornaliera di uno sleeve fade: trade 1h (filtro trend 3.0) -> equity -> daily."""
df = load_data(asset, "1h")
# SWAP fade 1h -> 15m (2026-06-12, scelta utente). Gate fade15m_port06_gate.py: parametri
# 1h NON ri-tunati trasferiti a 15m, corr 15m-1h media 0.26, SWAP promosso (FULL CAGR
# 74->101% DD 3.46->2.47%, OOS Sh 10.07->10.86; OOS DD 1.48->2.09 accettato), edge ETH
# regge il flat-entry-skip. Il canonico segue il deployato per tenere la parita' delle
# due facce. Diario docs/diary/2026-06-12-fade15m-gate.md.
FADE_TF = "15m"
def fade_daily_equity(asset: str, fn, params, tf: str = FADE_TF) -> pd.Series:
"""Equity giornaliera di uno sleeve fade: trade (filtro trend 3.0) -> equity -> daily."""
df = load_data(asset, tf)
ts = pd.to_datetime(df["timestamp"], unit="ms", utc=True)
trades = build_trades(fn(df, **params), df, trend_max=3.0)
n = len(df); eq = np.full(n, INIT, dtype=float); cap = INIT
@@ -55,7 +63,7 @@ def fade_daily_equity(asset: str, fn, params) -> pd.Series:
def build_all_sleeves() -> dict[str, pd.Series]:
sleeves: dict[str, pd.Series] = {}
# --- FADE: 8 sleeve ---
# --- FADE: 6 sleeve (15m dal 2026-06-12, vedi FADE_TF) ---
for asset in ["BTC", "ETH"]:
for nm, (fn, params) in strats_for(asset).items():
sleeves[f"{nm}_{asset}"] = fade_daily_equity(asset, fn, params)