 Adriano Dal Pastro
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12754c4908
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fix(TP01): bug look-ahead ffill mixed-TF -> deploy a >=12h (1d), strategia DIFENSIVA
Segnalato: ffill MIXED-TIMEFRAME su barre open-labeled (resample label="left") gonfiava il 4h
(~1.60 -> reale ~1.1). Ri-verifica per-SINGOLO-TF leak-free (guard prefix-recompute, leak=0 su
4h/6h/12h/1d): FULL Sh piatto ~1.3, hold-out 2025-26 MIGLIORE a 1d (Sh 0.31 / +3.5% vs buy&hold
-39%). Conclusione adottata: NON scendere sotto le 12h (sotto, costi+overfit dominano senza vantaggio).
- trend_portfolio.py: canonica PORT LF1d; resample_tf/resample_1d (resample_4h deprecato deploy);
docstring con nota look-ahead + natura DIFENSIVA (taglia DD ~6x, non alpha).
- paper_trend.py: deploy a 1d (resample_1d, build_bars). 5 test passano.
- CLAUDE.md: TP01 ridescritta (>=12h/1d, gotcha ffill mixed-TF, difensiva).
- tp01_lowfreq.py + diario 2026-06-19-tp01-lookahead-fix-lf.md.
Gotcha: mai ffill/combine mixed-TF su timestamp open-labeled (close propagata indietro = leak).
Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>
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2026-06-19 19:04:38 +00:00 |
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