Adriano/PythagorasGoal
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6 Commits

Author SHA1 Message Date
Adriano eac2aa1d00 audit+fix: anti-look-ahead audit, migrate deployable config to >=12h 
- trackD_lookahead_audit.py: relabel test (left==right, no labeling leak) + execution-lag
  stress -> our trend pipeline is CLEAN (4h Sharpe 1.36 robust to +1 bar lag, label-invariant)
- ADOPT conservative conclusion: deploy at 12h (sub-12h: costs/overfit dominate, slight Sharpe
  bump unreliable). 12h: Sharpe 1.32, DD 13.3%, CAGR 16.2% ~ identical and robust
- trend_portfolio: DEPLOY_TF=12h, resample_tf(rule); paper trader + tests on 12h
- calendar research (NEGATIVE, both): trackF seasonality (spurious), trackG prior-levels
  (breakouts continue, fade dead; only long-drift survivor, redundant with TP01)
- gitignore data/paper_trend runtime state
 2026-06-19 21:13:57 +02:00
Adriano ae7f3d17f2 deploy: TP01 trend portfolio (PORT LF4h) module + paper trader 
- src/strategies/trend_portfolio.py: canonical winner, causal/no-leakage,
  reproduces CAGR +16.5% Sharpe 1.36 maxDD 13.8%
- scripts/live/paper_trend.py: forward-only paper trader, persistent state, resume
- tests/test_trend_portfolio.py: 5 tests (causality, profitability, long-only, paper parity)
 2026-06-19 20:35:28 +02:00
Adriano 6b9c469832 research: rebuild certified BTC/ETH feed + honest backtest harness 
- rebuilt BTC/ETH from Deribit mainnet (certified 1.7-1.9bps vs Coinbase)
- archived contaminated alt data to Old/data/raw
- add src/backtest/harness.py: leakage-free, fee-aware signal engine
  (entry at close[i], intrabar TP/SL, CAGR/Sharpe/DD/per-year/OOS)
 2026-06-19 18:41:15 +02:00
Adriano Dal Pastro 1561005d41 feat(data): discovery + validazione strumenti con gate nel downloader 
src/data/instruments.py: enumera i perpetui per exchange (Deribit, Hyperliquid;
esclusi Alpaca/stocks e Bybit per feed testnet farlocco) e valida ogni strumento
sui DATI STORICI realmente raccoglibili:
  - esistenza, congruenza OHLC, not-flat (scarta contratti morti)
  - liquidita' (volume daily) e congruenza prezzo cross-exchange via mediana
    del base-coin (scarta outlier come Deribit SOL-PERPETUAL=9.6 vs SOL ~82)
Produce data/instruments_registry.json con strumenti validi, timeframe e start-date.

Gate: _download_cerbero_range rifiuta strumenti non validati (override esplicito
allow_unvalidated). La raccolta dati e' possibile solo per strumenti validati.

Registry attuale (testnet): Deribit 18/106 validi (BTC dal 2018, alt dal 2022),
Hyperliquid 66/74. I major liquidi (BTC,ETH,SOL,LTC,ADA,XRP,DOGE,AVAX,BNB,...) passano.

Co-Authored-By: Claude Opus 4.7 (1M context) <noreply@anthropic.com>
 2026-05-29 07:49:57 +00:00
Adriano bdcef09057 chore: untrack paper_trades runtime data + report per anno/mercato 
- data/paper_trades/ rimosso dal tracking (dati runtime, gitignored)
- scripts/analysis/yearly_market_report.py: accuracy/trades/PnL per anno×mercato

Co-Authored-By: Claude Opus 4.7 (1M context) <noreply@anthropic.com>
 2026-05-28 09:46:24 +02:00
Adriano f42fec9fac feat(strategy4): MT01 squeeze+MTF 82.7% acc — batte SQ02, 6 strategie scartate 
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