Second agent wave (skyhook-improve-v2, 14 DD-reduction families, each adversarially
verified by 2 skeptics) beats the prior winner on the only unmet goal (DD<30%).
Winner = ASYM_LS -> promoted to engine as SKH01_V2_DD:
same signal (ptn_n=45, vola[35,95], vol_lo=0, exit-bars 24/16) but exits switched
from ATR to FIXED-PCT ASYMMETRIC — long sl4%/tp10%, short sl2%(tighter)/tp8%.
The tight short %-SL caps the per-trade loss that forms the maxDD in vol spikes.
Verified (sk.study, independent re-run): standalone maxDD BTC 21.4% / ETH 27.4% (<30%),
minFull +0.99, minHold +1.26, causality 0/400 both assets, fee-surviving to 0.40%RT,
marginal vs TP01 ADDS (corr 0.09, in-sample edge, robust_oos, multicut, clean-year +0.57),
blend 0.75*TP01+0.25*SKH uplift_hold +0.87; blend 50/50 full 1.84/hold 1.59/DD 10.7%.
Plateau (not knife-edge); both skeptics holds_up=high, killer=null.
Engine: per-direction short exit overrides (exit_mode_short/sl_*_short/tp_*_short),
backward-compatible (None -> symmetric, V1/intermediate-winner unchanged). +3 tests (8/8 pass).
Lessons: DD is cut by changing the exit MECHANISM (%-SL, L/S asymmetry, ensembles), NOT by
entry-only kill-switch / vol-target / cadence. PATTERN_CONF killed as overfit (knife-edge).
PCTL_DD unverified (rate-limit) and ENS_PARAM/TPSL_DD recency/hedge-loaded -> forward-monitor.
NOT yet wired to live sleeves: re-verify blend@0.25 + causality on execution code before deploy.
Includes both waves' research scripts (runs/SKH_* wave 1, runs/SKH2_* wave 2).
Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>
Porting onesto del sistema ES Skyhook su BTC/ETH certificati:
- src/strategies/skyhook.py: 690m(segnale)+230m(exec) da 5m; BuzVola/BuzVolume
Chande 0-100 (ancore demo verificate); Donchian breakout HTF; regime gate;
composer; entries asimmetrici (uscitalong/short + stop/profit ATR) per backtest_signals.
- scripts/research/skyhook/skyhooklib.py: study (FULL/HOLD/fee-sweep/per-anno BTCÐ),
causality guard (0 mismatch), marginal-vs-TP01.
Baseline: BTC FULL Sh +0.91/+581%, ETH +0.64/+255%, fee-surviving, ma HOLD-OUT debole -> da migliorare.
Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>
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