8fd2c16cac
fix(live): MT01 usa trend 1h live da Cerbero, non dal parquet statico
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Il paper trader restava a zero trade: il feed Cerbero era fermo a
mezzanotte (bug end_date lato cerbero-mcp, poi risolto) e MT01 leggeva
il trend 1h da un parquet statico, di fatto congelandolo (gap ~15h sul
bar corrente). Ora il runner fa fetch 1h live per le strategie MTF e lo
passa a generate_signals via il parametro df_1h (fallback al parquet se
assente). Aggiornati CLAUDE.md, README e diario 2026-05-28.
Co-Authored-By: Claude Opus 4.7 (1M context) <noreply@anthropic.com >
2026-05-28 15:30:26 +00:00
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d39c75b103
feat(strategy4): PD01 82.5%/DD2.9%, AD01 81.2%, CM01 81.9% — tutte battono SQ02
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Nuove strategie che battono SQ02 (79.7% acc, DD 6.5%):
- PD01 price-volume divergence: 82.5% acc, DD 2.9%, worst year 80%
- CM01 cross-market momentum: 81.9% acc, DD 2.7%
- AD01 adaptive squeeze threshold: 81.2% acc, DD 3.4%
- MT01 (già committato): 82.7% acc, DD 5.9%
Tutte testate su BTC e ETH, 15m e 1h, 9 anni, con fee 0.2% RT.
Co-Authored-By: Claude Opus 4.7 (1M context) <noreply@anthropic.com >
2026-05-28 01:13:17 +02:00
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f42fec9fac
feat(strategy4): MT01 squeeze+MTF 82.7% acc — batte SQ02, 6 strategie scartate
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Nuova strategia MT01: squeeze 15m + momentum EMA 1h
BTC 15m: 82.7% acc, 503 trades, DD 5.9%, 9/9 anni, worst 72%
ETH 15m: 81.2% acc, 404 trades, DD 2.9%, 9/9 anni, worst 73%
Strategie testate e scartate (waste W23-W28):
IB01 inside bar (58.7%, no edge)
DC01 donchian (48%, sotto random)
SB01 retest (52%, no edge)
MR01 mean reversion RSI (62.9%, DD 29%)
VO01 volume spike (64.2%, DD 34%)
HY01 squeeze+MR (64.6%, DD 14.5%)
Co-Authored-By: Claude Opus 4.7 (1M context) <noreply@anthropic.com >
2026-05-28 00:38:11 +02:00
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0e47956f7a
refactor: riorganizzazione script — Strategy ABC, folder strategies/waste/analysis
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- src/strategies/base.py: Strategy ABC con Signal, BacktestResult, YearlyStats
- src/strategies/indicators.py: keltner_ratio, detect_squeezes, ema, atr, rv, corr
- scripts/strategies/: SQ01-SQ04 (squeeze puro/filtri), ML01 (squeeze+GBM)
- scripts/waste/: W01-W22 script scartati + REF originali
- scripts/analysis/: compare, best_yearly, final_report, paper_status
- CLAUDE.md aggiornato con nuova struttura e tabella strategie
Co-Authored-By: Claude Opus 4.7 (1M context) <noreply@anthropic.com >
2026-05-27 23:01:36 +02:00
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