Adriano/PythagorasGoal
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Adriano Dal Pastro 160ad300be feat(portfolio): Deribit-only executable book (TP01+SKH01) + periodic rebalancing 
- deribit_book_sleeves(): TP01 75% + SKH01 25% — the two directional BTC/ETH legs on
  ONE venue (Deribit), both since 2019. Excludes XS01 (Hyperliquid/stat-mode) & VRP01
  (modeled options). FULL Sharpe 1.78 / HOLD 1.17 / DD 9.4% (research).
- rebalance_sim(): realistic PERIODIC rebalancing (drift between dates, turnover cost at
  Deribit-taker ~5bps/side) vs the idealized continuous rebalance of combined_daily.
  period=1 + cost=0 reduces to continuous (tested).
- run_deribit_book.py: report — continuous vs weekly/biweekly/monthly rebal, per-year,
  accumulation €2k & $600-real, min-order $5 note. Finding: turnover is LOW (0.2-0.4x/yr),
  so monthly rebal (€7,919) ~= continuous (€7,938) — cost is negligible; daily would be
  sub-min-order fiction at $600 -> use >= weekly.
- +2 tests (rebalance_sim continuity & cost). Full suite green.

TP01 is the only live-armed leg; SKH01 is the candidate 2nd leg (validate execution code first).

Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>
 2026-06-23 20:26:53 +00:00
Adriano Dal Pastro a5a61ac7e3 feat(portfolio): XS01 cross-sectional (Hyperliquid) BATTE il portafoglio -> TP01 70% + XS01 30% 
Espansione universo (su input utente "storico da cerbero"): il Cerbero MCP col token MAINNET serve
Hyperliquid (230 perp REALI, storia nativa dal 2024). fetch_hyperliquid.py certifica 19 alt liquidi
a 1d (flat 0%, cross-venue 4-9 bps vs Binance) -> data/raw/hl_*_1d.parquet. Abilita le strategie
CROSS-SECTIONAL (impossibili a 2 asset).

XS01 = cross-sectional momentum market-neutral (long 5 forti / short 5 deboli su ret 30g, ogni 10g,
vol-target 20%). Validato onesto: plateau (config/k/subset), fee-robusto (0.3% RT), scorrelato a TP01
(-0.06), positivo OGNI anno 2024-26, meccanismo complementare (lavora nella dispersione quando TP01
e' in cash). Diverso dal regime-luck RV bocciato (19 asset, plateau, ogni anno+).

Contributo al portafoglio (outer-join + pesi rinormalizzati per sleeve a date diverse):
  TP01-solo FULL 1.30 / HOLD 0.31  ->  TP01 70% + XS01 30%: FULL 1.41 / HOLD 1.15, DD giu', ~ogni anno+.
-> XS01 BATTE il portafoglio esistente: inserito in active_sleeves.

Caveat (documentati): storia XS ~2.5 anni; STAT-MODE (book 19 gambe non eseguibile a 2k -> ~20k),
sleeve diagnostico/forward-monitor. portfolio.combine ora outer-join+renorm. 12 test passano.
Diario 2026-06-19-hyperliquid-xsec.md.

Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>
 2026-06-19 20:05:45 +00:00
Adriano Dal Pastro ef52ad6a79 feat(portfolio): contenitore di strategie ESTENSIBILE — TP01 primo sleeve 
src/portfolio/: Sleeve (serie rendimenti netti per-barra, causale/fee-aware) + StrategyPortfolio
(combina N sleeve per peso su griglia giornaliera comune, metriche FULL/HOLD-OUT/per-anno +
standalone per-sleeve, vs buy&hold). Registry sleeve attivi in sleeves.py: per ora SOLO TP01
(peso 100%); aggiungere = una riga (dopo validazione col gauntlet).

Report (run_portfolio.py): TP01 FULL Sh 1.30 / DD 14.3% / ~€1.52/g, HOLD-OUT 0.31 / +3.5%
(buy&hold -0.32 / -39%). Posizione corrente flat (difensivo). tests/test_portfolio.py (6 test).
CLAUDE.md aggiornato (struttura + comando + come aggiungere uno sleeve).

Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>
 2026-06-19 19:17:18 +00:00