Adriano/PythagorasGoal
1
0
Fork 0
Code Issues Pull Requests Actions Packages Projects Releases Wiki Activity
231 Commits 12 Branches 1 Tag
82a1c60e08ee842ec5aa59a6d838a1ae69df3da7
Commit Graph

4 Commits

Author SHA1 Message Date
Adriano Dal Pastro a85289d7c7 feat(xsec): XS01 reversione cross-sectional (8 asset) -> PORT06 PAPER 
Famiglia NUOVA trovata in sessione (dopo aver scartato trend/breakout/seasonal/
opzioni/funding come rumore): ogni 12h long i perdenti relativi / short i vincenti
su 8 asset, market-neutral. Scorrelata (~0) da pairs e fade -> diversificatore.

- engine canonico scripts/strategies/XS01_cross_sectional.py (no look-ahead, plateau
  OOS Sharpe 2-3.9, 5/5 anni+, edge concentrato 2025, cost-sensitive ~0.35% RT).
- src/live/xsec_worker.py CrossSectionalWorker: validate_xsec_worker == backtest ESATTO
  (4993/1427 trade). Mirror della cadenza engine (entry-to-entry = hold+1).
- gate PORT06: +XS01 -> OOS Sharpe 9.66->10.07, FULL DD 3.68->3.46 (OOS DD +0.17pp,
  risk-contrib 2.2%). xsec_port06_gate.py.
- wiring: _defs XSEC in PORT06 (19 sleeve, family XSEC), build_everything, runner
  kind=xsec, asset_days da supported (fix fetch alt anche per paper sleeves), paper.
- 8 gambe -> niente exec reale -> gira PAPER. Regression-lock 18->19, FULL 7.20->7.34,
  OOS 9.66->10.07. 93 test verdi. Diario 2026-06-09-xs01-cross-sectional.md.

Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>
 2026-06-09 21:38:05 +00:00
Adriano Dal Pastro d25d897fd1 feat(pairs): attiva ETH/BTC 15m flat-skip in PORT06 (BLEND, mezza size) 
Origine: gioco "Blind Traders" (100 agenti ciechi su BTC/ETH anonimizzati) ->
vincitore = spread ETH/BTC reversion a 15m. Testato sul serio col gate PORT06:
non duplicato (corr 1h vs 15m = 0.37), robusto (16/16 celle Sharpe>1), edge NON
artefatto delle candele flat ETH 15m (filtrandole resta l'83% dello Sharpe).

Percorso live costruito e validato:
- pairs_research.pairs_sim_flat: engine generalizzato con exit LIVE-REALIZABLE
  (arma exit_ready, esce alla 1a barra pulita); regression-lock a pairs_sim.
- PairsWorker: flat_skip + exit_ready + rilevamento flat da OHLC (1h byte-exact).
- runner: fetch diretto dei timeframe sub-orari + override position_size per-sleeve.
- validate_worker_pairs: replay worker == backtest a 15m (8452 vs 8453 trade).
- _defs/build_everything: sleeve PR_ETHBTC_15M (mezza size, pos 0.10) -> PORT06
  FULL 6.43->7.20, OOS 8.58->9.66, DD giu'. Rischio bilanciato col 1h.
- smoke live: Cerbero serve candele 15m fresche; worker ticca.

Diari docs/diary/2026-06-09-*. Caveat slippage: mezza size = blend-tilt prudente.

Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>
 2026-06-09 11:48:15 +00:00
Adriano Dal Pastro c13773e762 test(portfolio): aggiorna regression-lock PORT06 dopo recupero dati BNB/DOGE/XRP 
Il recupero dello storico BNB/DOGE/XRP (29 mag) ha ampliato la copertura del
backtest -> metriche migliorate, non una regressione:
  Sharpe FULL 6.07 -> 6.47, Sharpe OOS 8.19 -> 8.82, DD FULL 4.9% -> 4.1%.
Aggiornati i tre valori attesi (tolleranze invariate) + commento col motivo.

Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>
 2026-05-31 07:10:40 +00:00
Adriano 0f582db265 fix(portfolio): runner data_dir dedicata, no resize posizioni aperte, poll da config, +test cap/cluster_rp 
Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>
 2026-05-29 16:22:33 +02:00