PythagorasGoal

Adriano/PythagorasGoal

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Author	SHA1	Message	Date
Adriano	3b6ff02197	fix: resolution-safe timestamp in trackD_timing resample (pandas 2.x datetime64[ms]) - combination study: PORT LF4h (BTC+ETH) Sharpe 1.32 DD 12.3% remains best - RV ETH/BTC market-neutral sleeve is genuinely uncorrelated (~0.05) but too weak (Sharpe 0.27) to raise portfolio Sharpe; combining the two TF configs is redundant (same-asset cross-config corr 0.80)	2026-06-19 20:18:03 +02:00
Adriano	8dbdadd509	research: add per-year trade counts + turnover to trackD_timing	2026-06-19 20:09:32 +02:00
Adriano	33267584d9	research: Track D winner across timeframes (15m-1d) + per-year PnL/DD - trackD_timing.py: same TSMOM 1-3-6m blend config sampled at 15m/1h/4h/1d - robust plateau across all TFs; 4h marginally best (LF Sharpe 1.36, DD 13.8%) - per-year PnL and per-year max drawdown tables	2026-06-19 19:39:02 +02:00

Author

SHA1

Message

Date

Adriano

3b6ff02197

fix: resolution-safe timestamp in trackD_timing resample (pandas 2.x datetime64[ms])

- combination study: PORT LF4h (BTC+ETH) Sharpe 1.32 DD 12.3% remains best
- RV ETH/BTC market-neutral sleeve is genuinely uncorrelated (~0.05) but too weak
  (Sharpe 0.27) to raise portfolio Sharpe; combining the two TF configs is redundant
  (same-asset cross-config corr 0.80)

2026-06-19 20:18:03 +02:00

Adriano

8dbdadd509

research: add per-year trade counts + turnover to trackD_timing

2026-06-19 20:09:32 +02:00

Adriano

33267584d9

research: Track D winner across timeframes (15m-1d) + per-year PnL/DD

- trackD_timing.py: same TSMOM 1-3-6m blend config sampled at 15m/1h/4h/1d
- robust plateau across all TFs; 4h marginally best (LF Sharpe 1.36, DD 13.8%)
- per-year PnL and per-year max drawdown tables

2026-06-19 19:39:02 +02:00

3 Commits