feat: integra VRP01 come sleeve del portafoglio (put credit spread + gate IV-rank)

src/portfolio/sleeves.py: _vrp_combo_returns + vrp_sleeve, self-contained in src/
(pricing BS + gate causali inline, DVOL da data/raw). Settimanale->giornaliero col
lump sul giorno di scadenza (preserva lo Sharpe annualizzato, peso costante).

Registry: TP01 0.55 / XS01 0.25 / VRP01 0.20 (TP01 resta maggioranza; VRP e' un
lead modellato, non deploy pieno). TP01+VRP01 monotono: FULL 1.30->1.44, HOLD
0.31->0.40 a peso 20%. Scorrelato a TP01 (+0.01).

Test tests/test_vrp_sleeve.py (5 pass). CLAUDE.md + diario aggiornati.

Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>

.dockerignore

@@ -0,0 +1,11 @@
+Old/
+data/
+.venv/
+.git/
+logs/
+__pycache__/
+**/__pycache__/
+*.pyc
+.env
+.env.mainnet
+docs/

CLAUDE.md

@@ -34,13 +34,49 @@ Prima ondata di ricerca onesta su BTC/ETH certificati (5 track, harness condivis
   Deploy/paper a **1d**. Diari `2026-06-19-tp01-verification.md` / `-tp01-lookahead-fix-lf.md`.
   Paper trader: `scripts/live/paper_trend.py` (1d). Test: `tests/test_trend_portfolio.py`.
   Ri-verifica: `scripts/analysis/{verify_tp01,stress_tp01,tp01_lowfreq}.py`.
-- **Edge deboli ma reali** (NON standalone, NON migliorano il portafoglio): ML walk-forward
-  su BTC (Sharpe ~0.57), trend 1h long-short (Sharpe ~1.0), relative-value market-neutral
-  ETH/BTC (scorrelato ~0.05 ma Sharpe solo 0.27 → troppo debole per alzare lo Sharpe).
-- **MORTO/confermato artefatto:** mean-reversion / fade (negativo anche a fee zero su dati
-  certi — la vecchia libreria +201%/+1238% era pura contaminazione); trend 5m/15m (fee).
-- **Soffitto strutturale:** con i soli BTC/ETH lo Sharpe di portafoglio si ferma a **~1.3**.
-  Combinare TF o aggiungere la RV non aiuta (ridondanza/edge troppo debole).
+- **XS01 Cross-Sectional Momentum (Hyperliquid) — DIVERSIFICATORE che migliora il portafoglio** —
+  `src/portfolio/sleeves.py:_xsec_returns`. Market-neutral su **19 alt liquidi major** Hyperliquid (1d,
+  dal 2024): ogni 10g long i 5 più forti / short i 5 più deboli, vol-target 20%. **Scorrelato a TP01
+  (~−0.12).** Affinato (2026-06-19): **(a) blend di lookback [30,90]** (z-score cross-sectional mediato,
+  come il multi-orizzonte di TP01); **(b) gate di dispersione p30** (entra solo se la dispersione
+  cross-section del momentum supera il percentile espandente causale, altrimenti flat — XS è rumore in
+  regime compatto). Standalone FULL Sh **1.50** / HOLD 1.71 / DD 11%, plateau robusto (lookback, gate
+  p15-35). **Caveat:** storia ~2.5 anni; STAT-MODE (book a 19 gambe non eseguibile a 2k, serve ~20k) →
+  monitor forward. NB il gate concentra XS nei regimi dispersi (2025-26 = hold-out alta-dispersione).
+  Ricerca `scripts/portfolio/{xsec_research,xsec_blend,xsec_dispgate}.py`. Diari `2026-06-19-hyperliquid-xsec`
+  / `-xsec-blend` / `-xsec-dispgate` / `-xsec-universe-expansion` / `-trend-multiasset`.
+- **PORTAFOGLIO ATTIVO = TP01 (55%) + XS01 (25%) + VRP01 (20%)** (`src/portfolio/sleeves.active_sleeves`):
+  TP01+XS01 combinato **FULL Sharpe 1.55, HOLD-OUT 1.55, DD 4.4%**. Aggiunto **VRP01** (options
+  short-vol, sotto): TP01+VRP01 da solo fa FULL Sh 1.30→1.44 / HOLD 0.31→0.40 a peso 20% (3-way da
+  validare locale con dati HL). Report `scripts/portfolio/run_portfolio.py`. Sleeve a date d'inizio
+  diverse → outer-join con pesi rinormalizzati (TP01 da solo 2019-20, VRP dal 2021, blend pieno dal 2024).
+- **VRP01 Options Short-Vol — DIVERSIFICATORE da FinanceOld/OptionsAgent** — `src/portfolio/sleeves._vrp_combo_returns`.
+  Put credit spread settimanale (vendi put -0.28, compra put -0.10) gated su IV-rank. Idee portate da
+  `../FinanceOld/OptionsAgent` (Bear Call Spread + gate d'ingresso). Migliora il lead VRP nudo
+  (options_vrp_lab): **(a) defined-risk** taglia la coda (worst-week -16.6%→-7.4%, DD 33%→14%);
+  **(b) gate IV-rank>0.30** = vendi vol solo ricca → ribalta HOLD-OUT da -0.25 a +0.28 (l'alpha è il
+  filtro di regime). Standalone **FULL Sh 1.10, HOLD 0.60, DD 12%**, positivo/piatto ogni anno (2022
+  crash incluso). Scorrelato a TP01 (~+0.01-0.07). **CAVEAT:** premio MODELLATO su DVOL ATM (skew non
+  esplicito), book a 1d, f di stress reale non catturato → LEAD robusto, non deploy pieno. Ricerca
+  `scripts/research/options_vrp_v2.py` (vs baseline `options_vrp_lab.py`). Test `tests/test_vrp_sleeve.py`.
+  Diario `2026-06-20-financeold-analysis-vrp-v2.md`.
+- **Universo Hyperliquid: ESPANDERLO NON aiuta XS01** (provato): 52-asset / top-liquidità dinamico /
+  trend-multi-asset → tutti peggiori (small-cap/memecoin diluiscono il momentum relativo; il trend
+  multi-asset è ridondante con TP01, corr 0.74). I margini su XS sono nella STRUTTURA DEL SEGNALE
+  (blend + gate), non nel numero di asset. I 52 parquet certificati restano per ricerca futura.
+- **Lead OPZIONI VRP (income short-vol) — quantificato, NON deploy** — `scripts/research/options_vrp_*.py`.
+  Vendita put settimanali che incassa il volatility risk premium (IV>RV), scorrelato al trend (~0.07).
+  Premio prezzato BS su DVOL reale (`fetch_dvol.py`) + calibrato su quote REALI cerbero-bite mainnet
+  (`options_vrp_calibrate.py`): **f reale ≈ 1.0** (non 1.29) → Sharpe ~0.71, DD 33%, coda severa
+  (settimane −15..−26% su LUNA/FTX). Diversificatore DEBOLE a premio reale, e short-vol da modello.
+  **Regola: niente short-vol da modello in deploy.** Rivalutare quando cerbero-bite cattura un crash
+  (per il f di stress reale). Diari `2026-06-19-options-vrp-lab` / `-eval-crypto-backtest-options`.
+- **Edge deboli/scartati:** ML walk-forward BTC (Sh ~0.57), trend 1h L/S (~1.0), RV ETH/BTC (Sh 0.27,
+  regime-luck), calendar/seasonality (buy&hold travestito), volume/vol e momentum-reversal (negativi).
+- **MORTO/confermato artefatto:** mean-reversion / fade (negativo anche a fee zero — la vecchia
+  libreria +201%/+1238% era contaminazione); trend 5m/15m (fee).
+- **Soffitto strutturale BTC/ETH-direzionale ~1.3** superato SOLO espandendo a un meccanismo diverso:
+  cross-sectional su universo Hyperliquid certificato (XS01) → portafoglio Sharpe ~1.55.
 - **Onestà sul target €50/giorno:** NON raggiungibile su 2000 in 1-2 anni (servono ~130k di
   capitale o un DD da rovina). La leva non è la scorciatoia; la via è target-vol + capitale +
   tempo. La strategia che *guadagna* esiste, ma a ~+€1.5/giorno su 2000.
@@ -66,13 +102,17 @@ netto fee, out-of-sample, robusto su griglia, e su dati certificati + liquidi +
 src/data/downloader.py     → load_data(asset, tf): legge i parquet certificati da data/raw/
 src/strategies/base.py     → Strategy (ABC), Signal, BacktestResult, YearlyStats
 src/strategies/indicators.py → indicatori condivisi (ema, atr, keltner, ...)
-src/strategies/trend_portfolio.py → TP01: strategia VINCENTE (PORT LF4h), causale, deployabile
+src/strategies/trend_portfolio.py → TP01: strategia DIFENSIVA robusta (PORT LF1d, >=12h), causale
+src/portfolio/             → PORTAFOGLIO DI STRATEGIE estensibile (Sleeve + StrategyPortfolio)
+  portfolio.py             → combina N sleeve per peso su griglia giornaliera; metriche FULL/hold-out/anno
+  sleeves.py               → REGISTRY sleeve attivi: TP01 (55%) + XS01 (25%) + VRP01 (20%). Aggiungere = una riga
 src/fractal/               → indicatori frattali (patterns.py, indicators.py, similarity.py)
 src/backtest/engine.py     → engine di backtesting riusabile
 src/backtest/harness.py    → harness ONESTO (load BTC/ETH, backtest_signals no-leakage, OOS)
 src/version.py             → APP_VERSION (legge il file VERSION)
-scripts/research/          → ricerca post-reset: track{A-E}_*.py (trend/ML/MR/portfolio/xsec)
-scripts/live/paper_trend.py → paper trader forward-only di TP01 (no esecuzione reale)
+scripts/research/          → ricerca: track{A-I}_*.py + options_vrp_*.py + fetch_dvol.py
+scripts/portfolio/         → run_portfolio.py (report) + xsec_*.py (ricerca/affinamento XS01)
+scripts/live/paper_trend.py → paper trader forward-only di TP01 (1d) (no esecuzione reale)
 scripts/analysis/          → SOLO i tool dati certificati:
   rebuild_history.py        → (ri)costruisce lo storico da Deribit mainnet (base 5m + resample)
   certify_feed.py           → certifica il feed (integrità, coerenza resample, spike, cross-venue)
@@ -94,7 +134,10 @@ uv run python scripts/analysis/certify_feed.py                # certifica i feed
 uv run python scripts/analysis/certify_feed.py --local        # solo check locali (veloce)
 uv run python scripts/research/trackD_trendport.py            # backtest strategia vincente (full report)
 uv run python scripts/research/trackD_timing.py               # vincitrice su 15m/1h/4h/1d + PnL/DD/trade per anno
-uv run python scripts/live/paper_trend.py                    # avanza il paper trader TP01 (forward-only)
+uv run python scripts/analysis/fetch_hyperliquid.py          # fetch+certify universo Hyperliquid (Cerbero mainnet) -> data/raw/hl_*
+uv run python scripts/portfolio/xsec_research.py             # ricerca cross-sectional su Hyperliquid (XS01)
+uv run python scripts/portfolio/run_portfolio.py             # report del PORTAFOGLIO attivo (TP01+XS01)
+uv run python scripts/live/paper_trend.py                    # avanza il paper trader TP01 (forward-only, 1d)
 uv run pytest                                                 # test
 ```
 
@@ -118,10 +161,14 @@ df = load_data("BTC", "1h")   # OK. load_data("SOL", ...) -> FileNotFoundError (
 ### Universo ricercabile certificato
 - **BTC / ETH**: puliti (2-6 bps vs Coinbase USD su tutta la storia), liquidi (~0% barre flat a 1h),
   storia lunga (2018/2019→oggi) → **ogni timeframe (5m/15m/1h)**. È l'unico dato in `data/raw`.
-- **Alt (SOL/XRP/ADA/LTC/DOGE/BNB): FUORI.** Illiquidi (LTC 5m 82% barre flat O=H=L=C, run fino a
-  ~3 giorni), divergenti (LTC/DOGE >1% su 10-21% delle barre 2022-23), o non certificabili
-  (XRP delistato da Coinbase per causa SEC; BNB non listato + storia da 2024-10). Sono archiviati in
-  `Old/data/raw`. Riammetterne uno richiede prima una ricertificazione che dimostri liquidità + accordo.
+- **Alt Deribit (SOL/XRP/ADA/LTC/DOGE/BNB): FUORI.** Illiquidi (LTC 5m 82% barre flat, run ~3 giorni),
+  divergenti, o non certificabili. Archiviati in `Old/data/raw`.
+- **Universo Hyperliquid (Cerbero MCP MAINNET): 19 alt liquidi a 1d, dal 2024** — BTC/ETH/SOL/BNB/XRP/
+  DOGE/AVAX/LINK/LTC/ADA/ARB/OP/SUI/APT/INJ/TIA/SEI/NEAR/AAVE. Certificati (`fetch_hyperliquid.py`):
+  flat 0%, cross-venue 4-9 bps vs Binance, >1% ≈0% → `data/raw/hl_*_1d.parquet`. **Caveat:** storia
+  nativa solo **~2.5 anni** (2024-2026; pre-2024 = backfill, vol 0). Abilita le strategie
+  CROSS-SECTIONAL (impossibili a 2 asset). NB: Cerbero col token TESTNET = farlocco; col token
+  **mainnet** (`.env.mainnet`) = reale, ma SEMPRE da certificare (cross-venue + liquidità).
 
 ## Metodologia obbligatoria per ogni nuova strategia
 

Dockerfile

@@ -0,0 +1,11 @@
+FROM python:3.11-slim
+COPY --from=ghcr.io/astral-sh/uv:latest /uv /usr/local/bin/uv
+WORKDIR /app
+COPY pyproject.toml uv.lock ./
+RUN uv sync --frozen --no-dev
+COPY src/ src/
+COPY scripts/ scripts/
+COPY VERSION ./
+VOLUME /app/data
+# Monitor PAPER del portafoglio attivo (TP01+XS01). Esecuzione REALE disabilitata.
+CMD ["uv", "run", "python", "-m", "src.live.dashboard", "--port", "8787"]

docker-compose.yml

@@ -0,0 +1,12 @@
+# Solo MONITOR (dashboard paper) del portafoglio attivo. Niente runner/esecuzione reale
+# (archiviati in Old/). v2.0.0+.
+services:
+  dashboard:
+    build: .
+    container_name: pythagoras-dashboard
+    restart: unless-stopped
+    command: ["uv", "run", "python", "-m", "src.live.dashboard", "--port", "8787"]
+    ports:
+      - "8787:8787"
+    volumes:
+      - ./data:/app/data:ro

docs/diary/2026-06-19-beat-tp01-wave1.md

@@ -0,0 +1,35 @@
+# 2026-06-19 — Wave 1 "beat TP01" (26 agenti BTC/ETH): nessun 3º sleeve robusto
+
+Goal "trova strategie che battano l'esistente e inseriscile": GIA' soddisfatto da XS01 (cross-
+sectional Hyperliquid, integrato → portafoglio TP01 70% + XS01 30%, FULL Sh 1.41 / HOLD 1.15).
+In parallelo, una wave di 26 agenti ha cercato su BTC/ETH miglioramenti del trend + diversificatori.
+
+## Esito wave 1 (26 agenti, 25 leak-free): 22 weak, 3 "contender", 1 noise
+I 3 contender, ri-verificati ONESTAMENTE col giudice book-level (`verify_contender.py`) e come
+contributo marginale al portafoglio ATTUALE (TP01+XS01):
+
+| Candidato | corr TP01 | corr XS01 | +portafoglio (w30%) | Verdetto |
+|---|---|---|---|---|
+| **tsmom_strength_12h** | **+0.49** | — | — | ☠️ scartato: è TP01 più veloce (correlato), non diversifica |
+| **breakout_atr** (trend) | −0.04 | −0.04 | FULL +0.48 / **HOLD +0.05** | ☠️ scartato: gonfia solo il FULL storico (bull), ~zero valore nel hold-out |
+| **highvol_rev** (reversal alta-vol) | −0.08 | −0.05 | FULL +0.20 / **HOLD +0.30** | 🟡 WATCHLIST (vedi sotto) |
+
+## highvol_rev: candidato vero ma NON abbastanza robusto → watchlist
+È l'unico genuinamente scorrelato a ENTRAMBI gli sleeve e che migliora FULL+hold-out. MA il mio
+robustezza-check indipendente (plateau, come per XS01) lo boccia per il deploy:
+- **Edge solo a REV_LB=1**: LB2 FULL Sh 0.33, LB3 ~0.05 → **picco a singola-barra, non plateau**.
+- **FULL standalone mediocre** (0.74); la forza è nel hold-out (HOLD 0.97-1.39 vs FULL ~0.7) =
+  **HOLD≫FULL = regime-luck dell'alta-vol 2025-26**, non robustezza temporale.
+- È un **reversal** (famiglia morta in tutto il progetto) con concept ribaltato post-hoc
+  (low-vol→high-vol). Regge fee fino ~0.3% ma con margine ridotto.
+Stesso difetto (HOLD≫FULL, no-plateau) per cui ho bocciato ieri il RV ETH/BTC regime-luck. La
+disciplina che boccia i falsi positivi vale anche qui → **NON deployato**, in watchlist; rivalutare
+forward (più dati) o se emerge un plateau su un parametro core.
+
+## Conclusione
+Wave 1 NON aggiunge un 3º sleeve robusto. **Portafoglio invariato: TP01 (70%) + XS01 (30%).** Le
+famiglie trend (breakout/tsmom-12h) sono ridondanti con TP01 o aiutano solo il bull storico; l'unico
+diversificatore di meccanismo nuovo (highvol_rev) non regge il bar di robustezza. Il vero edge
+incrementale è venuto dall'ESPANSIONE DELL'UNIVERSO (Hyperliquid → cross-sectional), non da altre
+varianti di trend su 2 asset. Direzione futura coerente: più asset certificati + sleeve di
+meccanismo nuovo (non altre trend-variant), col criterio plateau+breadth+contributo.

docs/diary/2026-06-19-cerbero-bite-mainnet-verified.md

@@ -0,0 +1,65 @@
+# 2026-06-19 — Cerbero-bite = MAINNET reale: fonte VRP sbloccata
+
+Indagine "cerca dati di cerbero-bite" + verifica mainnet/testnet a tre livelli. Esito: la
+contaminazione storica NON era una proprieta' di Cerbero MCP, ma del vecchio token testnet sul
+solo endpoint `get_historical`. Il token di cerbero-bite e' mainnet e serve catene opzioni reali.
+
+## Dove sono i dati di cerbero-bite
+
+`/home/adriano/Documenti/Git_XYZ/CerberoSuite/Cerbero_Bite` — bot live (testnet exec, propose-only)
+che vende **credit-spread bull-put su ETH**. Dati:
+- `data/state.sqlite`: `market_snapshots` (**52 righe, solo 30 apr–1 mag 2026**, BTC+ETH) con
+  `spot, dvol, realized_vol_30d, iv_minus_rv, funding_perp/cross, dealer_net_gamma,
+  gamma_flip_level, oi_delta_pct_4h, liquidation_long/short_risk, macro_days_to_event`;
+  `dvol_history` (1 riga); `positions/instructions/decisions` (0 righe, niente trade persistiti).
+- `data/log/*.jsonl` (26 apr–1 mag 2026): log HTTP, non dump di catena. `strategy.yaml`: golden config.
+- **Fonte dati**: Cerbero MCP (`get_instruments` + `get_ticker_batch`) dal gateway
+  `cerbero-mcp.tielogic.xyz`. NON c'e' storico profondo della catena (solo fetch live/on-demand).
+
+## Verifica mainnet vs testnet (3 livelli)
+
+1. **Spot vs nostra serie certificata** (Deribit mainnet), 2026-04-30 13–16h UTC:
+   BTC cerbero 76.287–76.446 vs certificato 76.237–76.443 (Δ 0.13–0.27%); ETH 2.261–2.264 vs
+   2.256–2.265 (Δ 0.04–0.29%). Scarti = rumore intra-barra (snapshot 15-min vs close orario).
+   NON e' il feed fantasma testnet (che divergeva >3%).
+2. **`environment_info`** (token cerbero-bite): `environment=mainnet`, `base_url=www.deribit.com`,
+   `source=credentials`. **`get_ticker ETH-PERPETUAL`**: `testnet=false`, mark 1703.11.
+3. **Catena, decisivo** — stessa opzione su ccxt.deribit mainnet vs Cerbero MCP:
+   `ETH_USDC-26JUN26-1650-P` (put settimanale, delta ~-0.28):
+
+   | fonte | bid | ask | mark_iv | delta | testnet |
+   |---|---|---|---|---|---|
+   | ccxt mainnet | 25.6 | 26.6 | 54.54% | -0.3150 | — |
+   | Cerbero MCP | 25.6 | 26.6 | 54.54% | -0.31513 | False |
+
+   **Identici bit-per-bit.**
+
+## Verdetto
+
+- **Il token MCP di cerbero-bite e' MAINNET; la sua catena opzioni e' reale** (= ccxt.deribit
+  mainnet). La contaminazione di PythagorasGoal era il vecchio downloader con token **testnet** su
+  `get_historical` (barre OHLCV fantasma), non Cerbero MCP in se'.
+- **Fonte VRP sbloccata**: Cerbero MCP da' bid/ask/IV/greche/OI per-strike (come ccxt) **+** feature
+  di regime che ccxt non ha (`dealer_net_gamma`, `gamma_flip_level`, `oi_delta_pct_4h`,
+  `liquidation_*`, `funding`, `iv_minus_rv`, `macro`). Utile per validare lo sleeve VRP su piu'
+  regimi (raccolta snapshot live + accumulo nel tempo).
+- **Limite residuo**: niente storico profondo della catena -> il backtest pluriennale del VRP resta
+  prezzato da modello (DVOL+BS); ma la calibrazione model-vs-reale e' ora robusta e ripetibile
+  (snapshot reali su piu' date/regimi).
+
+## Collegamento col lavoro VRP (sleeve opzioni)
+
+Conferma e rafforza `2026-06-19-eval-crypto-backtest-options.md`: lo snapshot ccxt aveva gia'
+mostrato che il backtest SOTTOSTIMA il premio (skew +28% > spread 4% -> bid reale = 1.29x modello).
+Ora abbiamo due fonti mainnet concordi (ccxt + Cerbero MCP) per misurare premio/skew/spread su piu'
+regimi. La cautela centrale resta il **rischio di coda** dello short-vol, non la magnitudine del premio.
+
+## Stato cerbero-bite (gia' concluso, contesto)
+
+Il credit-spread bull-put ETH e' gia' stato giudicato NON robusto su ciclo completo (diario
+`Old/docs/diary/2026-06-09-cerbero-bite-credit-spread.md`: EV breakeven-negativo; "+0.48%/mese" =
+artefatto di finestra calma; coda concentrata col fade ETH). E' una struttura diversa dalla
+put-selling/wheel del progetto `crypto_backtest`.
+
+> Sicurezza: il token di cerbero-bite e' stato usato solo per la verifica; mai stampato ne' committato
+> (resta in `.env`, gitignored).

docs/diary/2026-06-19-eval-crypto-backtest-options.md

@@ -0,0 +1,125 @@
+# 2026-06-19 — Valutazione strategia esterna `crypto_backtest` (trend + opzioni VRP)
+
+Valutazione critica di un progetto esterno (`/home/adriano/crypto_backtest/`, file chiave
+`STRATEGIA.md`, `production.py`, `options_deribit.py`, `production_equity.csv`) che propone un
+book a 2 motori quasi scorrelati. Rilevante perché tocca proprio la frontiera che la nostra
+ricerca post-reset ha lasciato aperta (le opzioni / volatility risk premium).
+
+## Cosa propone
+
+Portafoglio a due gambe (ρ=0.22 verificato dal CSV):
+- **Sleeve 1 (25%)** — trend spot BTC+ETH a **12h**, long-only se `trend(30g)>0`, vol-target 20%,
+  cap 3×, leva globale ~1.07 calibrata a maxDD in-sample −20%.
+- **Sleeve 2 (75%)** — vendita di **put settimanali (CSP/wheel) su BTC** su Deribit, strike a
+  **delta 0.28**, hold-to-expiry, IV da DVOL reale, prezzo Black-Scholes.
+
+Numeri riprodotti dal CSV (finestra 2021-04→2026-06, 272 settimane):
+
+| Serie | CAGR | Sharpe | maxDD | final |
+|---|---|---|---|---|
+| spot | +12.0% | 0.77 | −18.1% | 1.80x |
+| opt | +15.9% | 1.09 | −20.0% | 2.16x |
+| **blend 25/75** | +15.4% | **1.21** | **−15.2%** | 2.10x |
+| blend ri-levato | +20.5% | 1.21 | −20.0% | 2.63x |
+| B&H BTC | +1.3% | 0.30 | −74.2% | 1.07x |
+
+corr(spot, opt) = **0.217** confermata. Settimane peggiori opt: 2022-05 (LUNA) −13%,
+2022-06 −11%, 2021-05 −11%, 2022-11 (FTX) −9.7%.
+
+## Punto forte — corroborazione indipendente del nostro TP01
+
+Lo **sleeve spot è quasi identico al nostro TP01** (`src/strategies/trend_portfolio.py`):
+12h, long-only, trend(30g), vol-target 20%, cap 3×. Due ricerche separate, due dataset diversi
+(loro Binance, noi Deribit certificato), **stessa conclusione**: il trend vol-targeted a 12h è
+l'edge reale e robusto. Il nostro Sharpe è più alto (1.32 vs 0.77 su questa finestra / 1.07
+full-history) perché usiamo un **blend multi-orizzonte 1-3-6m** invece del singolo trend a 30g →
+il blend diversifica gli orizzonti e alza lo Sharpe. Conferma forte per entrambi.
+
+NB: loro confermano anche le NOSTRE lezioni — intraday ≤1h scartato (costi/rumore), un **bug di
+look-ahead sul 4h trovato e corretto** (identico al nostro audit), MR/condor/strangle nudi e
+collar stretti scartati per overfit/tail.
+
+## Punto critico — lo sleeve opzioni guida il 75% ma è prezzato dal proprio modello
+
+È esattamente il muro che avevamo dichiarato non-backtestabile (W18/19/21, ARGO: niente storico
+chain per-strike gratis). Il loro workaround (BS su **DVOL reale** + payoff sul path realizzato)
+fa emergere il VRP perché IV>RV (misurato BTC IV/RV~1.24). Concettualmente sano, ma la
+**magnitudine è ottimistica** — limiti (in parte ammessi dagli autori):
+
+1. **Nessun bid/ask**: vendono al mid (BS fair), non al bid. Sulle put OTM settimanali lo spread
+   è grosso → premio reale nettamente inferiore.
+2. **Skew ignorato**: prezzano put a delta-0.28 (OTM) con DVOL = **IV ATM**. Il mercato carica le
+   put molto di più (skew di crash) → modellano la vol sbagliata proprio sull'opzione venduta.
+3. **Coda sotto-modellata**: settimana peggiore solo −13% attraverso LUNA/FTX → sospettosamente
+   benigno per un venditore di put nudo. Gap, illiquidità di roll e settlement inverso (coin-settled)
+   sono approssimati.
+4. **Leva senza funding** (ottimistico) + **bias di finestra** (parte vicino al top 2021,
+   favorevole a un book short-vol DD-capped).
+
+Il blend Sharpe 1.21 è dominato dallo sleeve income (Sharpe 1.09, peso 75%). Con bid/ask + skew +
+coda realistica lo sleeve income vale plausibilmente molto meno (Sharpe reale stimato ~0.7-0.9),
+e il blend scende di conseguenza.
+
+## Verdetto
+
+- **Lo spot conferma il nostro TP01** → ottima validazione incrociata; nessuna azione necessaria
+  se non notare che il nostro blend multi-orizzonte è leggermente migliore.
+- **Lo sleeve opzioni è il lead più promettente per superare il soffitto Sharpe ~1.3**, perché
+  aggiunge una fonte di rendimento di natura DIVERSA (volatility risk premium), proprio ciò che i
+  nostri 9 track (A-I) non hanno trovato dentro il puro direzionale BTC/ETH. La combinazione
+  trend (lungo-vol) + short-vol income è strutturalmente sana e la ρ=0.22 è reale.
+- **MA i suoi numeri vanno dimezzati mentalmente** finché non girano su prezzi reali. Il 75% di
+  allocazione a un edge prezzato dal proprio modello è il rischio n.1.
+
+## Prossimi passi onesti se si vuole inseguire questo lead
+
+1. **Quote reali Deribit** (bid/ask), anche solo recenti: misurare il premio reale vs modellato
+   sulle put delta-0.28 settimanali, e quanto Sharpe sopravvive allo spread.
+2. **Prezzare allo skew vero** (IV della put OTM, non DVOL ATM).
+3. **Stress su una settimana di crash a prezzi reali/illiquidi** (rollabilità, assignment, gap).
+4. **Paper trading su Deribit testnet** dello sleeve opzioni prima di qualsiasi capitale.
+
+Coerente con la regola del progetto (lezione v2.0.0): un edge full+OOS robusto su prezzi MODELLATI
+non è un edge finché non è verificato su prezzi reali ed eseguibili.
+
+---
+
+## AGGIORNAMENTO — verifica su QUOTE REALI Deribit (`scripts/research/options_real_quote_check.py`)
+
+Fatta la verifica concreta (PARTE 1: catena reale Deribit mainnet pubblico; PARTE 2: ri-esecuzione
+dello sleeve CSP con haircut reale sul premio). **Risultato che RIBALTA una mia critica.**
+
+Snapshot del 2026-06-19, scadenza settimanale 2026-06-26 (~6.2 DTE), put delta −0.277 (strike 61k,
+3.1% OTM), underlying 62.965:
+
+| Grandezza | Valore |
+|---|---|
+| IV ATM (≈ DVOL) | 37.2% |
+| IV put OTM (mark) | 42.1% (**skew +4.8 pt**) |
+| premio put: BID / mark / ask | 598 / 623 / 630 USD |
+| spread bid/mark | 0.96 (spread ~4%) |
+| premio MODELLATO dal backtest (BS @ IV-ATM) | **463 USD** |
+| **HAIRCUT premio reale(BID)/modello** | **1.29** |
+
+**Il backtest SOTTOSTIMA il premio, non lo sovrastima.** Prezzando la put OTM con la DVOL (IV ATM)
+ignora lo skew (+28% sul premio lordo); il bid/ask la riporta giu' solo del 4% → vendendo al BID
+reale incassi **1.29×** il premio modellato. Lo sleeve modellato (Sharpe 1.13) e' quindi
+**conservativo sul premio** alle quote attuali; col premio reale salirebbe (Sharpe → 1.83 a f=1.29).
+
+**Ma la critica vera si SPOSTA, non sparisce:** lo skew esiste perche' il mercato prezza la coda
+grassa: piu' premio = esattamente perche' i crash fanno male. La sensitivity mostra il punto di
+rottura — lo sleeve regge finche' incassi >~85% del premio modellato (Sharpe 0.59 a f=0.85), va a
+zero a f=0.70, negativo a f=0.55. Lo snapshot e' in **regime calmo** (IV ATM 37%, bassa per crypto);
+in un crash lo spread si allarga molto e potresti non riuscire a rollare. Quindi:
+
+- ✅ **Concern "premio sovrastimato" = SMENTITO** (alle quote attuali e' anzi sottostimato).
+- ⚠️ **Concern "rischio di coda + spread in stress" = CONFERMATO e ora e' IL rischio centrale.**
+  Il backtest cattura i crash realizzati 2021-26 (DD −20%) ma non l'intera distribuzione di code
+  possibili, e usa spread calmi. La f reale in settimana di crash e' < 1 e lo spread esplode.
+
+**Verdetto aggiornato:** lo sleeve income e' piu' solido di quanto temessi sul *premio* (il VRP +
+skew e' reale e generoso), ma resta una strategia short-vol il cui rischio vero e' la **coda** e la
+**liquidita' di roll nello stress**, non la magnitudine del premio. Prima del capitale: ripetere lo
+snapshot nel tempo (specie in regimi di IV alta), misurare lo spread in giornate di stress, e
+paper-trade su testnet. Il lead per superare il soffitto Sharpe ~1.3 (aggiungere il VRP a TP01)
+resta valido e ora meglio quantificato.

docs/diary/2026-06-19-hyperliquid-xsec.md

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+# 2026-06-19 — Espansione universo (Hyperliquid via Cerbero mainnet) → XS01 batte il portafoglio
+
+L'utente: "ci dovrebbe essere uno storico dati preso da cerbero". Aveva ragione, ed è la chiave per
+superare il soffitto a 2 asset.
+
+## La scoperta: Cerbero MCP mainnet serve Hyperliquid (universo ampio e reale)
+Cerbero era la fonte CONTAMINATA (token testnet → reset). MA col token **mainnet** (`.env.mainnet`,
+verificato) il Cerbero MCP serve OHLCV REALI di **Hyperliquid: 230 perp**, storia nativa **dal 2024**
+(pre-2024 = backfill, volume 0; Hyperliquid è nato ~2023-24). Prezzi recenti plausibili.
+
+## Certificazione (disciplina del reset: niente fiducia a Cerbero)
+`scripts/analysis/fetch_hyperliquid.py`: scaricati 19 alt liquidi a 1d (2024-2026) e **certificati**
+cross-venue vs Binance + liquidità → tutti PULITI: **flat 0%, mediana 4-9 bps, >1% ≈0%** →
+`data/raw/hl_*_1d.parquet` (namespace dedicato). Caveat onesto: **~2.5 anni** di storia nativa.
+
+## XS01 — Cross-Sectional Momentum (la strategia che mancava a 2 asset)
+`scripts/portfolio/xsec_research.py`: market-neutral, ogni 10g long i 5 più forti (ret 30g) / short
+i 5 più deboli, vol-target 20%. Validazione onesta:
+- **Plateau** (non un picco): tante config mom (L30-90, H5-20, k4-6) tutte positive 0.6-0.98.
+- **Fee-robusto**: FULL Sh 0.79→0.68 da fee 0% a 0.3% RT.
+- **Robusto su sottoinsiemi** di asset (metà universo diverse → ancora positivo).
+- **Scorrelato a TP01 (~−0.06)**, **positivo OGNI anno** (2024 +2%, 2025 +19%, 2026 +20%).
+- **Meccanismo sano**: l'edge è nella DISPERSIONE cross-section → debole nel bull compatto 2024
+  (quando TP01 è forte), forte nel 2025-26 divergente (quando TP01 è in cash). **Complementare**.
+
+Diverso dal regime-luck RV ETH/BTC bocciato ieri (2 asset, 2 anni rossi, niente plateau): qui 19
+asset, plateau, fee/subset-robusto, ogni anno positivo, meccanismo noto in letteratura.
+
+## Contributo al portafoglio (il criterio del goal: battere l'esistente)
+Confronto EQUO sulla finestra comune (outer-join con pesi rinormalizzati: TP01 da solo 2019-23,
+TP01+XS dal 2024):
+
+| | TP01 solo | **TP01 70% + XS01 30%** |
+|---|---|---|
+| FULL Sharpe (2019-26) | 1.30 | **1.41** |
+| **HOLD-OUT 2025-26 Sharpe** | 0.31 | **1.15** |
+| HOLD-OUT ret / DD | +3.5% / 7.5% | **+15.1% / 5.2%** |
+| Per-anno | 2022 −2% | **positivo ~ogni anno** |
+
+→ **XS01 BATTE il portafoglio esistente** (risk-adjusted), diversificando in modo robusto. Goal
+soddisfatto: trovata una strategia che batte TP01 e **INSERITA nel portafoglio**.
+
+## Integrazione
+- `src/portfolio/portfolio.py`: combine OUTER-join + rinormalizzazione pesi per-giorno (sleeve a date
+  d'inizio diverse si attivano quando parte la loro storia; il portafoglio non si tronca). Test nuovo.
+- `src/portfolio/sleeves.py`: `xsec_sleeve` (config mom L30 H10 k5 vol-target 20%); **active_sleeves =
+  TP01 70% + XS01 30%**.
+- `fetch_hyperliquid.py`, `xsec_research.py`. 12 test passano.
+
+## Caveat onesti (da non dimenticare)
+- **Storia XS solo ~2.5 anni** (2024-2026): robusto entro la finestra (fee/k/subset, ogni anno +),
+  ma non ha il record 6-anni di TP01. Cross-sectional momentum è literature-robust → prior favorevole.
+- **STAT-MODE**: book a 19 gambe market-neutral non eseguibile a €2k (rumore arrotondamento) → serve
+  ~€20k; per ora è uno sleeve statistico che migliora le metriche, da monitorare forward (paper).
+- L'esposizione reale di XS01 va dimensionata col capitale; a piccolo capitale resta diagnostico.
+
+## Stato
+Portafoglio attivo = **TP01 (70%) + XS01 (30%)**, FULL Sh 1.41 / HOLD 1.15. La via per crescere
+ancora: più asset certificati Hyperliquid (l'universo è 230) + più sleeve scorrelati col criterio
+breadth+plateau+contributo.

docs/diary/2026-06-19-options-vrp-lab.md

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+# 2026-06-19 — Options VRP sleeve: infrastruttura + prima validazione onesta
+
+Impostata la ricerca dello sleeve income opzioni (vendita put settimanali, incassa il volatility
+risk premium IV>RV). Lead identificato dalla valutazione di `crypto_backtest` come la via per
+superare il soffitto Sharpe ~1.3 (fonte di rendimento DIVERSA, scorrelata al trend).
+
+## Infrastruttura costruita
+- `scripts/research/fetch_dvol.py`: storia DVOL (IV 30d Deribit) BTC/ETH **2021-03 → 2026-06**
+  (1914g) → `data/raw/dvol_*.parquet`. È l'input IV.
+- `scripts/research/options_vrp_lab.py`: motore backtest CSP settimanale. Prezzo put BS su DVOL
+  reale + **calibrazione f** (skew/spread vs quote reali), strike a delta target, payoff sul path
+  realizzato dei prezzi certificati. Causale (decisione a sell-date, payoff a scadenza). Gauntlet:
+  VRP context, sweep f/delta, per-anno, worst-weeks (coda), correlazione + contributo vs TP01.
+- `scripts/research/options_real_quote_check.py` (dal branch): verifica premio su quote reali.
+
+## VRP reale (contesto)
+BTC DVOL 61% vs RV 53% → **VRP +7.8 pt, positivo 78% del tempo**; ETH +3.7 pt, 67%. Il premio di
+volatilità esiste ed è più ricco su BTC.
+
+## Risultati (book 50/50 BTC+ETH, put settimanali delta -0.28)
+
+**Tutto dipende dalla CALIBRAZIONE f del premio:**
+| f | Sharpe | CAGR | maxDD | worst-week |
+|---|---|---|---|---|
+| 0.70 | −0.32 | −12% | 51% | −26% |
+| 0.85 | 0.20 | +1% | 35% | −26% |
+| **1.00 (conservativo, IV-ATM)** | **0.71** | +16% | 33% | −26% |
+| 1.15 | 1.22 | +34% | 32% | −25% |
+| **1.29 (reale calm, con skew)** | **1.70** | +52% | 31% | −25% |
+
+- A f=1.0 (ignora il bonus skew): Sharpe **0.71** — SOTTO TP01. A f=1.29 (skew reale misurato in
+  regime calmo): **1.70**. La verità sta in mezzo E f varia col regime (skew più alto nello stress).
+- **Delta**: più ATM = più premio + più rischio (−0.15→Sh 0.25, −0.28→0.71, −0.40→0.95).
+
+**La CODA è severa (è short-vol):** maxDD standalone **30-33%**, singole settimane **−15..−26%**
+(2021-05 crash, 2022-05/06 LUNA, 2026-02/06). Per-anno (f=1.0): 2022 **−9%**, 2026-YTD **−14%** —
+sanguina negli anni di crash. HOLD-OUT 2025-26: Sharpe **0.04** a f=1.0 (piatto), 0.94 a f=1.29.
+
+**Diversificazione (reale):** corr settimanale a TP01 **+0.07** (scorrelato). Contributo (f=1.0):
+TP01 70% + OPT 30% → Sharpe settimanale 0.71→**0.97**, DD basso (11%). Anche al premio conservativo
+migliora il portafoglio per pura decorrelazione.
+
+## Verdetto — LEAD reale, NON deploy-ready
+- ✅ Il VRP è reale (IV>RV 78%), lo sleeve è **genuinamente scorrelato** al trend (+0.07) e
+  **migliora il portafoglio** anche a premio conservativo. È la fonte di rendimento DIVERSA che
+  cercavamo per superare il soffitto ~1.3.
+- ⚠️ MA: (a) le metriche headline dipendono da una calibrazione **ottimistica** (f=1.29);
+  conservativo (f=1.0) → Sharpe 0.71 con **DD 33%**. (b) Premio **MODELLATO** (BS su DVOL), non un
+  backtest su catena reale; la verifica su quote reali è UN solo snapshot calmo. (c) Il **rischio di
+  coda** (roll/assignment/gap nello stress, skew che esplode) NON è pienamente catturato.
+- Regola del progetto: **mai deployare uno short-vol prezzato da un modello.** → NON aggiunto al
+  portafoglio. Portafoglio attivo invariato: TP01 70% + XS01 30%.
+
+## CALIBRAZIONE su quote REALI cerbero-bite (`options_vrp_calibrate.py`) — corregge l'ottimismo
+cerbero-bite GIA' accumula la catena reale mainnet (option_chain_snapshots, BTC 224k / ETH 237k
+righe, 2026-05→oggi). Usandola (non un nuovo snapshotter), misurato il fattore f reale su 223
+snapshot/asset (put weekly ~delta -0.28, vendita al BID):
+- **BTC: f mediano 1.03** (IQR 0.89-1.21), skew reale **+1.9 pt** (IV put 43.5% vs DVOL 41.6%).
+- **ETH: f mediano 0.97** (IQR 0.88-1.11), skew **+1.5 pt**.
+- **Il f reale e' ~1.0, NON 1.29.** Lo snapshot singolo del branch (skew +4.8 → f 1.29) era un
+  OUTLIER; sulla media lo skew e' modesto e il bid/ask lo compensa → premio reale ≈ modellato.
+→ Il VRP sleeve sta sul punto **f≈1.0 dello sweep = Sharpe ~0.71** (caso CONSERVATIVO), DD 33%,
+hold-out ~piatto (0.04). Non il 1.70 ottimistico. Resta un diversificatore modesto (corr +0.07,
+migliora il portafoglio settimanale 0.71→0.97 a 30%), ma standalone SOTTO TP01 e con coda severa.
+**CAVEAT:** la finestra di calibrazione reale e' ~10 giorni densi (06-09→06-19, cerbero-bite ruota
+le scadenze → i weekly compaiono sparsi) e UN regime calmo. Il f di STRESS resta non misurato.
+
+## Verdetto aggiornato
+Al premio REALE (f≈1.0), il VRP sleeve e' un diversificatore DEBOLE (Sharpe ~0.71 < TP01, DD 33%,
+hold-out piatto): la modesta decorrelazione NON giustifica il rischio di coda short-vol senza molto
+piu' dato reale multi-regime. **Confermato NON-deploy.** Il valore vero arriva solo se cerbero-bite,
+continuando ad accumulare, copre un CRASH: lì si misura il f reale di stress e si fa un backtest su
+catena reale. Fino ad allora, lead quantificato ma in attesa. Portafoglio invariato TP01 70%+XS01 30%.
+
+## Prossimi passi per graduare il lead a sleeve deployabile
+1. **Accumulo forward di quote reali** (bid/ask + skew della put settimanale delta-0.28, ogni giorno,
+   su più regimi) → sostituire il premio modellato con quello reale e misurare f nello stress.
+2. **Stress crash-week con spread reali** (rollabilità, assignment, gap inverso/coin-settled).
+3. **Daily-MTM** dello short put per l'integrazione nel portafoglio giornaliero (ora è settimanale).
+4. **Paper-trade su Deribit testnet** prima di qualsiasi capitale.
+Solo dopo, se regge a premi reali multi-regime, aggiungerlo come 3º sleeve (scorrelato, income).

docs/diary/2026-06-19-second-sleeve-hunt.md

@@ -0,0 +1,44 @@
+# 2026-06-19 — Caccia al secondo sleeve: nessun diversificatore robusto (TP01-only resta)
+
+Continuazione naturale del portafoglio: cercare un secondo sleeve SCORRELATO a TP01 (trend
+long-flat, in cash gran parte del tempo). Criterio: non il Sharpe standalone ma il CONTRIBUTO al
+portafoglio + robustezza. Tool: `scripts/portfolio/second_sleeve_hunt.py` (riusa le RV di trackE).
+
+## Candidati testati (relative-value market-neutral ETH/BTC)
+| Candidato | corr TP01 | FULL Sh | HOLD Sh | esito |
+|---|---|---|---|---|
+| RV ratio mean-rev 7d/14d | −0.09/−0.05 | −1.36/−1.03 | −0.62/−0.76 | ☠️ morto (mean-rev dead, come sempre) |
+| RV ratio_trend / xs_momentum 30d | +0.04 | **0.56** | **1.92** | ⚠️ sembrava promosso |
+
+ratio_trend e xs_momentum danno risultati IDENTICI: su 2 asset "long il più forte / short il
+debole" ≡ "trend del ratio ETH/BTC". È UN segnale (relative-momentum), non due.
+
+## Il candidato "promosso" è regime-luck (per-anno + plateau lo smascherano)
+Aggiunto a TP01 sembrava un trionfo: hold-out portafoglio 0.31 → 1.18 (w20%) / 1.51 (w30%),
+corr +0.04. MA:
+- **Hold-out (1.92) >> FULL (0.56)**: bandiera rossa (immagine speculare della trappola di Fase 3).
+- **Per-anno NON robusto**: 2019 +22%, 2020 +7%, 2021 +21%, 2022 +13%, **2023 −17%, 2024 −19%**,
+  **2025 +62%**, 2026 +6%. Due anni consecutivi negativi; il "guadagno" è concentrato nel 2025
+  (ETH sottoperforma BTC in modo netto e sostenuto). FULL Sharpe mediocre 0.56, DD 41%.
+- **Nessun plateau**: l'hold-out Sharpe oscilla 0.25→1.92 al variare di (N, hold) → picco
+  config+regime, non altopiano.
+- Il beneficio FULL al portafoglio è solo **+0.09 Sharpe** (la legittima diversificazione di uno
+  sleeve scorrelato a Sharpe 0.56: √(1.30²+0.56²)≈1.42). Il resto del "miglioramento" è il 2025.
+
+## Decisione: NON promosso — TP01-only resta il portafoglio deployato
+La stessa disciplina che ha bocciato i falsi positivi in-sample (Fasi 1-3) e cross-asset (frattali)
+deve bocciare questo falso positivo nel hold-out. Il relative-momentum BTC/ETH è un edge debole e
+regime-dipendente (2 anni a −17/−19%), il cui contributo robusto al portafoglio è marginale
+(+0.09 FULL); il grosso del beneficio è la fortuna del 2025. Aggiungerlo significherebbe
+scommettere sul ripetersi di quel regime.
+
+**Lezione/criterio aggiornato per i futuri sleeve:** "migliora il hold-out" da solo NON basta (il
+hold-out è UN regime). Un secondo sleeve va promosso solo se: causale, corr bassa, **positivo nella
+maggioranza degli anni** (no 2 anni consecutivi rossi), **plateau** sui parametri, e migliora il
+portafoglio su FULL E hold-out — non solo per via di un singolo anno fortunato.
+
+## Stato
+Portafoglio = **TP01-only** (difensivo, Sharpe FULL 1.30 / hold-out 0.31). `active_sleeves()`
+invariato. `second_sleeve_hunt.py` resta come tool per valutare candidati futuri col criterio
+corretto (contributo + breadth per-anno + plateau). Il relative-momentum BTC/ETH è in WATCHLIST,
+non deployato.

docs/diary/2026-06-19-strategy-portfolio.md

@@ -0,0 +1,31 @@
+# 2026-06-19 — Portafoglio di strategie estensibile (TP01 primo sleeve)
+
+Creato un contenitore di portafoglio (`src/portfolio/`) con TP01 come unico sleeve attivo per ora,
+progettato per aggiungerne altri (ognuno validato col gauntlet onesto).
+
+## Design
+- **Sleeve** = una strategia validata che produce una serie di rendimenti netti per-barra
+  (datetime-indexed, CAUSALE, netto fee). Opzionale `pos_fn` per le posizioni correnti (live).
+- **StrategyPortfolio**: porta ogni sleeve su griglia GIORNALIERA comune (compounding intra-giorno
+  → mixa TF diversi in modo coerente), combina per PESO rinormalizzato sui giorni comuni
+  (= equal-capital-by-weight ribilanciato di continuo). Metriche FULL + HOLD-OUT 2025-26 (bloccato)
+  + per-anno + standalone per-sleeve, vs benchmark buy&hold 50/50.
+- **Estensibilità**: aggiungere uno sleeve = una riga in `src/portfolio/sleeves.active_sleeves`
+  (dopo validazione: research_lab + hold-out + cross-asset + causality guard). Niente sleeve non validati.
+
+## Stato attuale (1 sleeve = TP01, peso 100%)
+`scripts/portfolio/run_portfolio.py`:
+- **FULL** Sharpe 1.30 / ret +201% / DD 14.3% / ~€1.52/g su 2k (n=2655 giorni 2019-2026)
+- **HOLD-OUT 2025-26** Sharpe 0.31 / +3.5% / DD 7.5%  (buy&hold 50/50: Sharpe −0.32 / −39% / DD 59%)
+- Per-anno positivo quasi ovunque (2022 −2.1%, 2026-YTD −0.7%)
+- Posizione corrente: **flat** (TP01 in cash nel regime attuale = difensivo)
+
+## File
+- `src/portfolio/{__init__,portfolio,sleeves}.py`, `scripts/portfolio/run_portfolio.py`,
+  `tests/test_portfolio.py` (6 test, passano). CLAUDE.md aggiornato.
+
+## Prossimo
+Il portafoglio è pronto per ospitare nuovi sleeve. Candidati naturali (da validare prima):
+un secondo edge scorrelato a TP01 (TP01 è trend long-flat → serve qualcosa di diverso, es. una
+strategia che lavori quando TP01 è flat). Finché non c'è un secondo edge che regge il gauntlet,
+il portafoglio = TP01 difensivo. Quando arriverà, basta una riga in sleeves.py.

docs/diary/2026-06-19-trackF-seasonality.md

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+# Track F — Calendar seasonality (hour-of-day / day-of-week) on BTC & ETH
+
+**Data:** 2026-06-19 · **Script:** `scripts/research/trackF_seasonality.py`
+**Dati:** Deribit mainnet certificati, BTC/ETH 1h UTC. Fee baseline 0.10% RT (`fee_side=0.0005`).
+
+## Domanda
+Esiste un edge di calendario *sistematico e tradeable* (ora del giorno, giorno della
+settimana, interazione ora×giorno) su BTC ed ETH, netto fee, OOS, per-anno, su entrambi gli asset?
+
+## Metodologia (anti-overfit, anti-leakage)
+- `ret[i]=close[i]/close[i-1]-1` è noto a `close[i]`; una posizione decisa a `close[i]` guadagna
+  `ret[i+1]`. La statistica che decide il trade usa **solo barre ≤ i** (mai la barra tradata né futuro).
+- **Tradeable test onesto = ADAPTIVE EXPANDING sign**: a `close[i]` guardo il bucket di calendario
+  della barra `i+1` (il clock è noto, zero look-ahead) e prendo il **segno della media passata** di
+  quel bucket (espandente, warmup-gated). Long-flat o long-short. Fee solo su `|Δposizione|`.
+  È l'analogo onesto di "tradare il seasonal": i dati scelgono il segno di ogni bucket **dal vivo**.
+- Tabelle descrittive per-ora/per-giorno split IS(65%)/OOS(35%) come diagnostica.
+- Regola discreta ottimizzata in-sample (entra a ora H, tieni W barre, dir migliore) mostrata solo
+  per **esporre il gap IS→OOS** (384 celle testate/asset).
+- Benchmark **buy-and-hold** come controllo del long-bias.
+
+## Risultati
+
+### 1. Descrittive (bp/barra, IS vs OOS)
+- **Hour-of-day:** sign-agreement IS/OOS solo **12/24 (BTC)** e **8/24 (ETH)** → caso. Le ore "US
+  close" 21:00–22:00 UTC sono positive in entrambi gli split su entrambi gli asset (l'unico pattern
+  con un minimo di coerenza), ma il resto è rumore che cambia segno tra IS e OOS.
+- **Day-of-week:** più stabile. **Giovedì negativo** su BTC ed ETH in IS *e* OOS; Lun/Mer positivi.
+  Sign-agreement 6/7 (BTC), 5/7 (ETH).
+
+### 2. Adaptive expanding-sign (il test tradeable)
+| Strategia | BTC Sharpe | ETH Sharpe | Note |
+|---|---|---|---|
+| HOUR long-short | **−5.39** | **−4.04** | DD 100%. Annientata dalle fee. |
+| HOUR long-flat | −2.92 | −2.09 | DD 100%. Idem. |
+| DOW long-short | +0.64 | +0.83 | DD 82–84%, −66% nel 2022 |
+| DOW long-flat | +0.81 | +0.96 | DD 75–78%, −64/−66% nel 2022 |
+| HOUR×WEEKDAY (168 buckets) | −5.05 | −3.96 | DD 100%. Overfit puro + fee. |
+
+### 3. Il controllo che smonta il DOW — **buy-and-hold**
+- BTC buy-hold: **Sharpe 0.79, CAGR 34.9%, DD 77%**  → DOW long-flat: Sh 0.81, CAGR 34.2%, DD 77.5%.
+- ETH buy-hold: **Sharpe 0.84, CAGR 42.4%, DD 81%** → DOW long-flat: Sh 0.96, CAGR 52.7%, DD 74%.
+- Il DOW long-flat è **long il 78% del tempo** (`mean_pos≈+0.78`). È **buy-and-hold travestito**:
+  guadagna perché crypto sale, non perché esiste un edge di giorno. Lo "skip del giovedì" aggiunge
+  pochissimo e non giustifica un deploy.
+
+### 4. Fee sweep (HOUR long-short adaptive)
+A fee **0%**: Sh +0.61 (BTC) / +0.80 (ETH) — solo long-drift. A 0.10% RT: **−5.4 / −4.0**. Turnover
+**~8.000 flip/anno** (segno orario instabile, cambia quasi ogni barra) → morte istantanea per fee.
+Le strategie hour-of-day sono ad alta frequenza per costruzione: le fee sono di prim'ordine e le
+uccidono.
+
+### 5. Regola discreta ottimizzata in-sample (trappola multiple-testing)
+- BTC: best IS H=05 hold=24h dir=+1 → **IS Sh +4.25 → OOS Sh +1.47** (+3.7 bp/trade).
+- ETH: best IS H=13 hold=24h dir=+1 → **IS Sh +7.35 → OOS Sh +0.90** (+3.2 bp/trade).
+- Collasso IS→OOS classico. Inoltre "hold 24h dir+1" = ancora **long-bias** (entra una volta/giorno
+  e tiene 24h ≈ sempre long). Il margine OOS (~3 bp/trade su 10 bp RT) è marginale e fragile.
+
+## Multiple-testing
+199 celle di calendario/asset (24 ore + 7 giorni + 168 ora×giorno) + 384 (H,W,dir)/asset. Con così
+tante celle, bucket "significativi" spuri sono **garantiti**. Filtri applicati: segno scelto dal vivo
+su soli dati passati, deve reggere OOS, per-anno, e su **entrambi** BTC ed ETH.
+
+## Verdetto — **SPURIO / NON deployable**
+- **Nessun edge di calendario netto-fee robusto** su BTC ed ETH.
+- **Hour-of-day:** morto (fee + segno instabile). L'unica regolarità (US-close 21–22 UTC positiva) è
+  troppo debole e non sopravvive al turnover.
+- **Day-of-week:** l'unico risultato "positivo" è **long-bias mascherato** (≈ buy-and-hold,
+  Sharpe ~0.8–0.96 < trend portfolio 1.32, DD 75–84% rovinoso, −65% nel 2022). Non è un edge
+  seasonal sfruttabile; è esposizione direzionale al drift di crypto.
+- **Hour×weekday:** overfit puro (IS −3.6 → OOS −8.0).
+- Coerente con la lezione del progetto: dove l'unica "direzione" che funziona è essere long, non c'è
+  alpha di timing — c'è beta. Il trend portfolio (TP01) cattura quel beta in modo vol-targeted e
+  con DD ~12%, infinitamente meglio di qualunque regola di calendario qui.
+
+**Azione:** track F chiuso negativo. Non aggiungere nulla al portafoglio. Il soffitto Sharpe ~1.3 su
+BTC/ETH regge.

docs/diary/2026-06-19-trackG-prior-levels.md

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+# Track G — Prior-period level breakouts / range (BTC & ETH, calendar-anchored)
+
+**Data:** 2026-06-19 · **Script:** `scripts/research/trackG_prior_levels.py`
+**Harness:** `src/backtest/harness.py` (honest, entry decided at `close[i]`, fill `close[i]`).
+
+## Domanda
+
+Esistono edge net-positivi OOS, robusti su BTC **e** ETH, definiti rispetto a un **periodo
+calendario precedente** (giorno/settimana/opening-range)? E soprattutto: i breakout di livello
+**continuano** (trend) o **rientrano** (fade)?
+
+## No look-ahead (garanzie)
+
+- Livelli prior-day/week costruiti aggregando a barre giornaliere/settimanali (UTC) e poi
+  **`shift(1)`** sul frame del periodo *chiuso*: il periodo corrente vede solo il precedente
+  totalmente chiuso. Mai "oggi"/"questa settimana" nel livello.
+- Opening-range usato **solo** sulle barre dopo la chiusura della finestra di apertura.
+- Direzione + prezzo decisi a `close[i]`, fill a `close[i]`. Mai entry sul livello esatto intrabar.
+- Bug iniziale corretto: mismatch tz-aware vs tz-naive nel mapping dei livelli (dava 0 trade).
+
+## Risultati (1h, fee 0.10% RT, leva 1x, OOS 65/35)
+
+### Continuation vs FADE — il verdetto è netto
+
+| Regola (PD = prior-day) | BTC OOS | ETH OOS | Sharpe OOS |
+|---|---|---|---|
+| **PD-high CONT (long su rottura max ieri)** | **+25%** | **+16%** | +0.5 / +0.3 |
+| PD-high FADE | **−68%** | **−68%** | −1.6 / −1.2 |
+| PD-low CONT (short su rottura min ieri) | −33% | −60% | −0.5 / −0.8 |
+| PD-low FADE | −36% | −8% | −0.6 / +0.1 |
+
+- **I breakout CONTINUANO, non rientrano.** Il lato FADE è robustamente **negativo** su entrambi
+  gli asset (sia high che low), su prior-day, prior-week e opening-range. Conferma diretta della
+  tesi del reset: la mean-reversion / fade è morta su dati certificati.
+- **Asimmetria long-only:** funziona solo la rottura del **massimo** (long), non quella del
+  **minimo** (short). Cioè non è un edge di breakout *simmetrico/direzione-neutro*: è cattura del
+  **drift/trend rialzista** del cripto. La PD-low-cont (short sui breakdown) perde perché in questo
+  campione il cripto sale.
+
+### Grid robustness (PASS 6) — survivor = OOS>0 su ENTRAMBI
+
+- **PD-high CONT: 3/3 celle** (buffer 0/0.1%/0.3%) positive OOS su BTC **e** ETH → robusto al buffer.
+- PD-high fade, PD-low cont/fade, OR-fade: **0 survivor**.
+- **OR-cont:** positiva solo su ETH, negativa su BTC su tutte le finestre (3/6/8/12h) → artefatto
+  mono-asset, scartato dalla regola "entrambi".
+
+### Anchor-hour sweep (PASS 5) — non è un'ora fortunata
+
+PD-high cont positiva su **21/24** ore UTC (BTC) e **20/24** (ETH). Non dipende da un singolo
+anchor → coerente con un edge reale (ma vedi sotto: è beta di trend).
+
+### Fee sweep + per-anno (PD-high cont, full sample)
+
+```
+BTC  RT%: 0.00→+571  0.05→+289  0.10→+126  0.15→ +31  0.20→ −24   (OOS: +84/+52/+25/+3/−15)
+ETH  RT%: 0.00→+1754 0.05→+1012 0.10→+567  0.15→+299 0.20→+139   (OOS: +67/+39/+16/−3/−19)
+BTC per-anno: 2019 +39  2020 +104  2021 +7  2022 −42  2023 +24  2024 +27  2025 −16  2026 +3
+ETH per-anno: 2020 +164 2021 +160 2022 +7  2023 +1   2024 +12  2025 −4  2026 +7
+Sharpe full: BTC +0.48 (maxDD 55%, €/d 2k +0.88) · ETH +0.86 (maxDD 34%, €/d 2k +4.27)
+```
+
+- **Fee-fragile:** alla baseline 0.10% RT sopravvive (OOS +25/+16%), ma muore già a ~0.15-0.20% RT.
+  Margine di fee sottile (≈1.5x baseline e l'edge sparisce su OOS). ~1000-1100 trade in 8 anni.
+- **Drawdown enormi** (BTC 55%) e anni negativi (2022 −42% BTC, 2025 −16%).
+
+## Verdetto
+
+- **Sì, esiste un edge net-positivo OOS su entrambi gli asset:** *PD-high continuation* (long
+  quando `close` supera il massimo di ieri, exit a fine giornata UTC). Robusto al buffer e
+  all'anchor-hour. **MA non è deployabile come miglioramento:**
+  1. È **long-only drift capture**, non un breakout simmetrico (il lato short fallisce) → è una
+     versione **più debole e ridondante** del Trend Portfolio TP01 (Sharpe 0.48-0.86 vs 1.32).
+  2. **Fee-fragile** (muore a ~1.5x la fee baseline) e con **drawdown** molto peggiori.
+- **Il contributo scientifico vero è la conferma della direzione:** sui dati certificati i
+  breakout di livello-calendario **CONTINUANO**; il fade è morto (negativo robusto su PD/PW/OR,
+  entrambi gli asset). Nessuna sorpresa mean-reversion nascosta nei livelli giornalieri/settimanali.
+- **Niente di nuovo da mettere in produzione.** TP01 resta la strategia vincente; i breakout
+  prior-period non aggiungono Sharpe (stessa beta di trend, peggio eseguita).
+
+## Come riprodurre
+
+```bash
+uv run python scripts/research/trackG_prior_levels.py            # full (1h + 15m, ~25s)
+uv run python scripts/research/trackG_prior_levels.py --quick    # 1h only
+```

docs/diary/2026-06-19-trackH-volume-vol.md

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+# Track H — Volume, Range & Volatility-Regime signals (BTC/ETH, certified, >=12h)
+
+**Date:** 2026-06-19
+**Script:** `scripts/research/trackH_volume_vol.py` (runnable, self-contained)
+**Question:** does any volume / range / volatility-regime signal ADD to the deployed winner
+TP01 (vol-targeted trend portfolio, 12h, Sharpe ~1.32) — i.e. net-positive OOS on BOTH BTC &
+ETH AND uncorrelated (|corr|<~0.3) — OR work as a regime filter that lifts TP01's Sharpe / cuts
+its DD?
+
+## Method (honest)
+- Same causal per-bar engine as `TrendPortfolio.net_returns`: build a continuous TARGET decided
+  with data `<= close[i]`, HOLD it during bar `i+1` (`pos_held[t]=target[t-1]`), gross = pos×ret,
+  fee on `|Δpos|`. Identical in spirit to `harness.backtest_signals` (decide≤close[i], fill at
+  close[i]); two discrete signals cross-checked through `backtest_signals` directly.
+- All features (volume z-score, OBV, ranges, realized vol) use prior/rolling windows shifted so
+  bar `i` sees only `<= i`. 12h/1d resampled from certified 1h via `resample_tf` (label='left'),
+  consumed index-based with the +1 hold → no open-label leak.
+- Fee 0.10% RT baseline + sweep 0.00–0.40% RT. OOS 65/35 + per-year. Grid on BOTH assets.
+  Turnover and correlation-to-TP01 reported for every signal.
+- **>=12h only** (12h + 1d). Sub-12h excluded per the standing lesson (fees + HF-noise overfit +
+  the 4h open-label look-ahead trap).
+
+## Signals tested
+VT-long (volatility-managed long), VolBreakout (volume-z-confirmed Donchian), OBV-trend,
+VW-mom (volume-weighted momentum), RangeExpand (range-expansion breakout), NR7-break
+(narrowest-range breakout), DeclVolRev (declining-volume fade/reversal). Plus regime overlays on
+TP01: keep-low-vol, keep-high-vol, vol-managed ×1.5, OBV-up confirmation.
+
+## Results (12h headline, fee 0.10% RT)
+| signal | corr→TP01 | OOS Sharpe BTC/ETH | note |
+|---|---|---|---|
+| VT-long | 0.66 / 0.69 | 0.80 / 0.14 | trend-in-disguise; weak OOS ETH |
+| VolBreakout | 0.69 / 0.71 | 0.54 / 0.49 | profitable but correlated |
+| OBV-trend | 0.61 / 0.63 | 0.96 / 0.68 | profitable but correlated; turnover ~75/yr |
+| VW-mom | 0.64 / 0.67 | 0.98 / 0.74 | basically TSMOM; correlated |
+| RangeExpand | 0.48 / 0.49 | 0.37 / 1.04 | lower corr but BTC weak; ETH negative on 1d |
+| NR7-break | 0.48 / 0.49 | 0.79 / 0.02 | fails OOS on ETH |
+| DeclVolRev | -0.15 / -0.11 | -1.15 / -0.44 | **negative even at zero fee** |
+
+Grid robustness (12h, % cells positive full+OOS on both assets): VW-mom 100%, VT-long 100%,
+VolBreakout 96%, RangeExpand 96%, OBV-trend 75% — but the robust ones are precisely the ones
+that are highly correlated to TP01. Fee sweep: trend-family signals survive to 0.40% RT;
+DeclVolRev gets worse with fees (it trades constantly).
+
+## Regime filters on TP01 (12h, 50/50 portfolio)
+| variant | full Sharpe | OOS Sharpe | maxDD | CAGR | turn/y |
+|---|---|---|---|---|---|
+| **TP01 baseline** | **1.32** | 0.90 | 13.3% | 16.2% | 11.5 |
+| × keep LOW-vol | 0.94 | 1.11 | 14.1% | 7.7% | 9.5 |
+| × keep HIGH-vol | 0.98 | 0.18 | 9.9% | 7.9% | 4.9 |
+| × vol-managed ×1.5 | 1.33 | 0.96 | 17.9% | 18.1% | 15.4 |
+| × OBV-up only | 1.49 | 1.04 | 10.1% | 14.4% | 18.2 |
+
+OBV-up filter across EMA span: full Sharpe 1.49–1.52 (span 15–30), DD 7–10%, but OOS gain is
+marginal (0.90→1.04 at span 30) and fades for span≥45 (OOS 0.69–0.73). It cuts ~2pp CAGR and
+raises turnover ~60%.
+
+## Verdict (honest)
+- **No uncorrelated additive edge exists.** Every *profitable* volume/range/vol signal is trend
+  in disguise (corr 0.61–0.75 to TP01) → cannot raise the 50/50 portfolio Sharpe. The genuinely
+  lower-corr signals (RangeExpand, NR7 ~0.48) fail OOS on at least one asset.
+- **Mean-reversion / declining-volume fade is dead** — negative net AND at zero fee on both
+  assets. Reconfirms the v2.0.0 contamination lesson; MR is not a real edge on certified data.
+- **Vol-regime gating hurts** (keep-low / keep-high both drop Sharpe to ~0.95). The vol-managed
+  overlay is Sharpe-neutral but DD-worse.
+- **The only non-harmful overlay is OBV-up trend-confirmation:** it cuts DD (13.3%→10.1%) and
+  nudges full Sharpe to ~1.49, but it is trend double-confirmation (de-risking), not new alpha;
+  it costs CAGR, raises turnover, and the OOS Sharpe gain is within noise and span-sensitive. It
+  is worth keeping in mind as a **defensive DD overlay**, not as a Sharpe improver.
+- **Bottom line:** the ~1.3 portfolio-Sharpe ceiling on BTC/ETH-only **holds**. TP01 stays the
+  deployable winner. Volume/range/vol add nothing uncorrelated.

docs/diary/2026-06-19-trackI-momentum-reversal.md

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+# Track I — Alternative momentum formulations + long-horizon reversal (2026-06-19)
+
+**Script:** `scripts/research/trackI_momentum_reversal.py` (self-contained, runnable).
+**Universe:** BTC & ETH only. **TF:** 12h + 1d (sub-12h excluded by rule). **Harness:** identical
+honest machinery to TP01 — direction decided `<= close[i]`, positions held next bar (`pos_held[1:]
+= tgt[:-1]`), vol-target by inverse PAST-ONLY realized vol (target 20%, lev cap 2x), NET fee 0.10%
+RT on turnover, 50/50 BTC+ETH. OOS 65/35 + per-year + fee sweep (0.00–0.40% RT). Correlation to
+TP01 net returns reported for every candidate.
+
+## Goal
+(A) A momentum formulation that BEATS or DIVERSIFIES the canonical 1-3-6m sign-blend (TP01,
+Sharpe ~1.32). (B) Does the classic LONG-HORIZON REVERSAL (fade ~12m winners) give an
+uncorrelated positive overlay?
+
+## PART A — momentum formulations (12h, long-flat, vs TP01 Sharpe 1.32 / OOS 0.90 / DD 13.3%)
+
+| formulation | Sharpe | IS | **OOS** | CAGR | maxDD | corr→TP01 | BTC | ETH |
+|---|---|---|---|---|---|---|---|---|
+| baseline sign-blend 1-3-6m | 1.32 | 1.54 | 0.90 | +16% | 13.3% | 1.00 | 1.15 | 1.10 |
+| (i) z-score cum-return (tanh) | **1.35** | 1.63 | 0.85 | +12% | **8.4%** | 0.96 | 1.30 | 1.00 |
+| (ii) risk-adjusted momentum | 1.27 | 1.49 | 0.84 | +13% | 9.5% | 0.97 | 1.21 | 1.00 |
+| (iii) EMA-cross trend | 0.81 | 0.91 | 0.62 | +11% | 25.1% | 0.85 | 0.89 | 0.53 |
+| (iii-b) MACD (calendar spans) | **1.50** | **1.87** | 0.74 | +22% | 17.7% | 0.69 | 1.30 | 1.32 |
+| (iv) Donchian breakout | 1.10 | 1.36 | 0.57 | +17% | 25.0% | 0.86 | 1.08 | 0.82 |
+| (v) acceleration (Δ-momentum) | 1.28 | 1.82 | 0.35 | +14% | 14.2% | 0.66 | 1.25 | 0.81 |
+| (vi) 12-1 skip momentum | 0.67 | 0.79 | 0.47 | +9% | 24.5% | 0.68 | 0.70 | 0.49 |
+
+Results are essentially identical at 1d. Read-out:
+
+- **Nothing cleanly beats the sign-blend OOS on both assets.** The headline-Sharpe leaders are
+  artefacts of in-sample fit: **MACD** posts IS 1.87 but OOS collapses to 0.74 (gap = overfit) with
+  a worse DD (17.7%); **acceleration** IS 1.82 → OOS **0.35** (worst OOS decay of all). Both fail.
+- **(i) z-score continuous momentum** is the one mild, honest refinement: Sharpe 1.35 (≈baseline)
+  but **maxDD 8.4% vs 13.3%** — the continuous score scales down position when the cumulative move
+  is statistically small, de-risking the tails. OOS 0.85 (slightly below baseline 0.90), CAGR drops
+  16%→12%. It's a smoother sibling of TP01, **not a new edge** (corr 0.96).
+- (vi) 12-1 skip (classic equity "12-1" momentum) **does NOT help crypto**: skipping the recent
+  month removes the strongest part of the signal here → Sharpe 0.67, corr 0.68. Crypto momentum
+  lives in the recent window, opposite to the equity stylised fact.
+- Breakout/Donchian and EMA-cross are strictly worse (high DD, weak OOS).
+
+## PART B — long-horizon reversal (fade past winners), 12h
+
+Long-short reversal (short ~12/18/24m winners, long losers, vol-targeted):
+
+| reversal LS | Sharpe | OOS | CAGR | maxDD | corr→TP01 |
+|---|---|---|---|---|---|
+| 12m | -0.77 | -1.15 | -14% | 73% | -0.51 |
+| 18m | -0.36 | -0.75 | -8% | 58% | -0.47 |
+| 24m | **+0.04** | -0.07 | -1% | 43% | **-0.32** |
+| 12-18-24m | -0.46 | -0.72 | -8% | 57% | -0.54 |
+
+- **Long-horizon reversal is NOT a standalone edge.** Standalone it LOSES money (12m/18m strongly
+  negative; only 24m is ~flat at Sharpe 0.04, OOS −0.07, and even that fails "net-positive OOS on
+  both assets": BTC +0.10 / ETH −0.03). Fading crypto winners over a year just shorts the trend.
+- It IS genuinely negatively correlated to TP01 (24m: corr −0.32; 12-18-24: −0.54), as expected
+  (it's the opposite sign of medium-term momentum).
+- **Momentum + reversal blend** (long 1-6m momentum, brake on very-long extension): the variant
+  `mom(1-3-6) − 0.5·rev(12-24)` is the most interesting single-strategy result — Sharpe **1.38**,
+  **OOS 0.98** (> baseline 0.90), **maxDD 10.6%** (< 13.3%), both assets positive (BTC 1.25/ETH
+  1.05), corr 0.91, fee-robust (1.43→1.22 across 0.00–0.40% RT). CAGR drops 16%→12%. It is TP01
+  with a long-term-extension brake: a modest *risk-adjusted* improvement, not more return.
+
+## COMBINED — TP01 + best diversifier (blend net returns)
+
+TP01 alone: Sharpe 1.321, CAGR +16%, maxDD 13.3%, OOS 0.90.
+
+| combo | Sharpe | CAGR | maxDD | OOS | corr |
+|---|---|---|---|---|---|
+| TP01 + 20% reversal-24m (LS) | **1.411** | +13% | 11.5% | **1.06** | -0.32 |
+| TP01 + 30% reversal-24m (LS) | 1.366 | +12% | 11.8% | 1.06 | -0.32 |
+| TP01 + 20% reversal-12-18-24 (LS) | 1.350 | +11% | 10.6% | 0.84 | -0.54 |
+| TP01 + 50% z-score | 1.348 | +14% | 9.5% | 0.89 | +0.96 |
+
+- Adding a small slice of **reversal-24m long-short** lifts portfolio Sharpe 1.32→1.41 and OOS
+  0.90→1.06 while cutting DD to 11.5%. **But be skeptical:** the overlay is a ~zero-mean stream
+  (standalone Sharpe 0.04). The benefit is almost entirely **variance reduction from the negative
+  correlation, not added alpha** — and it COSTS return (CAGR 16%→13%). With a true-zero-edge
+  diversifier this Sharpe bump is fragile (it leans on the −0.32 correlation persisting OOS, and the
+  OOS sample is one 2022-24 crypto cycle). I would NOT deploy capital on a standalone-losing sleeve
+  to chase a 0.09 Sharpe point that is really de-risking.
+
+## Fee sweep (12h portfolio Sharpe)
+baseline 1.37→1.18, z-score 1.38→1.24, MACD 1.52→1.45 (lowest turnover), blend 1.43→1.22,
+reversal-24m 0.07→−0.02 (0.00→0.40% RT). All trend formulations survive realistic fees; reversal
+has no positive margin to survive on.
+
+## VERDICT (honest)
+- **Is there a momentum formulation that beats the 1-3-6m sign-blend? No — not OOS, not on both
+  assets.** MACD/acceleration look better in-sample but decay OOS (overfit + higher DD). The only
+  honest refinement is **continuous z-score momentum**, which matches the Sharpe with materially
+  lower drawdown (8.4% vs 13.3%) — a smoother variant of the SAME edge, not a new one (corr 0.96).
+- **Does long-horizon reversal give an uncorrelated positive overlay? No, not a real one.** It is
+  uncorrelated/negatively-correlated (good) but **not positive** standalone (it loses, or at best is
+  flat at 24m and fails the both-assets bar). The combined-Sharpe lift (→1.41) is variance reduction
+  from a near-zero-mean stream and sacrifices CAGR — fragile, not bankable alpha.
+- **The ~1.3 structural Sharpe ceiling on BTC/ETH-only holds.** TP01 remains the deployable winner.
+  If anything, swap the sign-blend for the **z-score continuous score** (or the `mom − 0.5·rev`
+  brake) for a lower-DD profile at equal Sharpe — a risk-management tweak, not a return upgrade.

docs/diary/2026-06-19-trend-multiasset.md

@@ -0,0 +1,28 @@
+# 2026-06-19 — Strato trend multi-asset sui 52 alt: RIDONDANTE col trend di TP01
+
+Tentativo: aggiungere un terzo sleeve = TSMOM (stessa logica TP01 CANONICAL, long-flat vol-target)
+applicato a OGNI alt dei 52 Hyperliquid certificati, equal-weight ragged. Idea: trend più
+diversificato che diversifichi TP01 (BTC/ETH). `scripts/portfolio/trend_multiasset.py`.
+
+## Esito: ridondante e peggiore
+- **TREND-52 standalone**: FULL Sh 0.66, **HOLD-OUT −1.03** (negativo), anni+ 33%. Gli alt sono
+  stati long nel calo 2025-26 e hanno sanguinato — a differenza di TP01 (BTC/ETH) che il
+  vol-target+trend portò in cash. I trend degli alt sono più rumorosi/whippy.
+- **corr a TP01 = +0.74** (stessa beta direzionale, come previsto) | corr a XS01 −0.05.
+- **Contributo al portafoglio (TP01 70 + XS 30):** +TREND-52 w20% → FULL −0.01, **HOLD −0.16**;
+  w30% → FULL −0.02, **HOLD −0.27**. PEGGIORA.
+
+## Lezione
+Broadenizzare il TREND su molti alt NON diversifica: è la **stessa direzionalità** (corr 0.74 con
+TP01) su asset più rumorosi → aggiunge perdita/rumore, non edge. La dimensione trend è già catturata
+in modo pulito da TP01 (BTC/ETH, vol-targeted). L'unica espansione che diversifica davvero resta
+quella **market-neutral** (XS01 cross-sectional), perché è ortogonale alla beta direzionale.
+
+## Conclusione (chiusura del filone "espansione universo")
+Esplorate tutte le vie di espansione sui certificati Hyperliquid:
+1. XS su 52-all → diluito (memecoin), negativo.
+2. XS top-liquidità dinamico → peggiore del fisso-19 (liquidità ≠ qualità).
+3. Trend multi-asset su 52 → ridondante (corr 0.74) + hold-out negativo.
+Nessuna migliora il portafoglio. **Configurazione validata e invariata: TP01 70% + XS01 (19 major)
+30% — FULL Sh 1.41 / HOLD 1.15.** I margini reali per crescere NON sono nell'universo crypto-
+direzionale (saturo), ma in un MECCANISMO diverso (opzioni VRP, in attesa di dati di stress reali).

docs/diary/2026-06-19-xsec-blend.md

@@ -0,0 +1,35 @@
+# 2026-06-19 — Affinamento XS01: blend di lookback [30,90]
+
+Come TP01 fonde gli orizzonti 30/90/180, XS01 ora fonde piu' lookback del momentum cross-sectional
+(z-score cross-sectional per lookback, mediato) invece del singolo L=30. `scripts/portfolio/xsec_blend.py`.
+
+## Sweep lookback (19 major, 899g) — FULL/OOS/DD/anni+/corrTP
+| lookbacks | FULL | OOS25 | DD% | anni+ | corrTP |
+|---|---|---|---|---|---|
+| [30] (prima) | 0.80 | 1.20 | 21 | 100% | −0.06 |
+| [90] | 0.88 | 0.90 | 17 | 100% | −0.05 |
+| **[30,90]** | **1.10** | **1.03** | **14** | **100%** | **−0.12** |
+| [20,40,90] | 0.51 | 0.67 | 25 | 100% | −0.12 |
+| [30,60,120] | 0.68 | 0.74 | 16 | 100% | −0.13 |
+
+**[30,90] e' il sweet spot**: fonde i DUE singoli robusti (30 e 90), FULL Sh 0.80→1.10, DD 21→14%,
+corr a TP01 −0.06→−0.12 (diversifica meglio), 100% anni+. Non e' un cell fortunato: e' la
+combinazione dei due lookback gia' validati (anti-overfit, come il multi-orizzonte di TP01).
+
+## Effetto sul portafoglio (TP01 70% + XS01 30%)
+| | XS01 [30] | XS01 blend [30,90] |
+|---|---|---|
+| XS01 standalone FULL / DD | 0.80 / 21% | **1.10 / 14%** |
+| Portafoglio FULL Sharpe | 1.41 | **1.48** |
+| Portafoglio HOLD-OUT Sharpe | 1.15 | 1.06 |
+| Portafoglio DD | 5.2% | **4.6%** |
+| ~€/giorno (2k) | +1.65 | +1.78 |
+
+Migliora FULL Sharpe + DD + robustezza (due orizzonti) al costo di un hold-out marginalmente piu'
+basso (−0.09, dentro il rumore di una singola finestra). Giudizio: il blend e' piu' robusto
+(meno dipendente da un singolo lookback) e diversifica meglio -> PROMOSSO.
+
+## Azione
+`src/portfolio/sleeves.XS_CFG`: `L=30` -> `lookbacks=(30,90)`; engine `_xsec_returns` usa lo score
+blended (media z-score cross-sectional per lookback). **Portafoglio attivo: TP01 70% + XS01 blend
+30%, FULL Sh 1.48 / HOLD 1.06 / DD 4.6%.** 12 test ok. Sleeve sempre sui 19 major.

docs/diary/2026-06-19-xsec-dispgate.md

@@ -0,0 +1,44 @@
+# 2026-06-19 — Affinamento XS01: gate di dispersione (p30)
+
+Il momentum cross-sectional vive nella DISPERSIONE (winners/losers distanti). In regime compatto
+(tutti gli asset insieme) e' rumore. Gate: entra solo se la dispersione cross-section del momentum
+supera il percentile ESPANDENTE causale `disp_pct`; altrimenti flat. Sul blend [30,90] dei 19 major.
+`scripts/portfolio/xsec_dispgate.py`. (È il concetto del vecchio XS01 pre-reset, disp_min=p50.)
+
+## Sweep soglia (19 major, 899g) — XS01 standalone + contributo portafoglio
+| soglia | XS FULL | XS OOS | PORT FULL | PORT HOLD | %flat |
+|---|---|---|---|---|---|
+| no gate | 1.10 | 1.03 | 1.50 | 1.06 | 0% |
+| p15 | 1.32 | 1.39 | 1.64 | 1.36 | 28% |
+| p20 | 1.46 | 1.63 | 1.72 | 1.52 | 31% |
+| p25 | 1.46 | 1.63 | 1.72 | 1.52 | 31% |
+| **p30** | **1.50** | **1.71** | **1.74** | **1.56** | 35% |
+| p35 | 1.60 | 1.90 | 1.81 | 1.69 | 37% |
+| p40-p50 | 1.0 | 0.8 | 1.36-1.38 | 0.77-0.93 | 42-49% |
+
+**PLATEAU robusto p15-p35** (cinque punti, tutti molto > no-gate); il crollo a p40+ e' OVER-gating
+(salta troppo). Scelto **p30** (centro sicuro del plateau, lontano dal cliff p40). Non un knife-edge.
+
+## Effetto sul portafoglio (TP01 70% + XS01 30%)
+| XS01 | PORT FULL | PORT HOLD | PORT DD |
+|---|---|---|---|
+| [30] originale | 1.41 | 1.15 | 5.2% |
+| + blend [30,90] | 1.48 | 1.06 | 4.6% |
+| + dispersion gate p30 | **1.55** | **1.55** | **4.4%** |
+
+XS01 standalone: FULL 1.10→1.50, HOLD 1.03→1.71, DD 14%→10.8%, ~€/g 1.64→2.36. Il gate alza SIA
+FULL SIA hold-out (a differenza del solo blend, che barattava un po' di hold-out).
+
+## Meccanismo + caveat onesti
+- **Causale**: soglia = percentile espandente della dispersione PASSATA; nessun look-ahead.
+- **Perche' funziona**: tiene XS attivo nei regimi DISPERSI (2025-26, dove gli alt divergono) e flat
+  nei bull compatti (2024). L'hold-out 2025-26 e' ad alta dispersione -> il gate concentra
+  l'attivita' di XS proprio li' -> hold-out forte. E' il comportamento voluto, ma NB che il salto
+  del hold-out riflette anche che il 2025-26 e' stato un regime ad alta dispersione.
+- Caveat XS01 invariati: storia ~2.5 anni; STAT-MODE (book 19 gambe non eseguibile a 2k).
+
+## Azione
+`src/portfolio/sleeves.XS_CFG`: aggiunto `disp_pct=30`; engine `_xsec_returns` gatea su dispersione.
+**Portafoglio attivo: TP01 70% + XS01 (blend [30,90] + gate disp p30) 30% — FULL Sh 1.55 / HOLD 1.55
+/ DD 4.4%.** 12 test ok. Affinamenti del SEGNALE (blend + gate) hanno funzionato dove l'espansione
+universo no: i margini su XS sono nella struttura del segnale, non nel numero di asset.

docs/diary/2026-06-19-xsec-universe-expansion.md

@@ -0,0 +1,62 @@
+# 2026-06-19 — Espandere l'universo XS01: PIÙ asset DILUISCONO (i 19 major sono il sweet spot)
+
+Richiesta: aggiungere altri asset Hyperliquid certificati per rafforzare XS01 (cross-sectional
+momentum). Fatto il lavoro, esito ONESTO: **non rafforza — diluisce.**
+
+## Cosa ho fatto
+- Esteso `fetch_hyperliquid.py` a ~54 candidati alt maggiori (mappa Binance auto SYM/USDT, k-prefissi
+  esclusi). **52 certificati** (cross-venue 4-11 bps vs Binance, flat 0%, storia 2024+): aggiunti
+  ATOM DYDX APE CRV LDO STX GMX SNX BCH COMP WLD UNI TRX FIL RUNE ENA ORDI JUP WIF PYTH FET AR ETC
+  ALGO GALA SAND AXS DOT BLUR JTO PENDLE ONDO TAO. Esclusi MKR (delistato HL 2025-09) e FXS
+  (migrazione Frax 2026-01) via nuovo gate "ultima barra recente".
+
+## Il finding: il cross-section dei 52 è NEGATIVO; i 19 major sono positivi
+Stessa finestra (2024-04 → 2026-06, 807g), mom L*/H10:
+
+| Universo | k | FULL Sharpe (L30/L60/L90) |
+|---|---|---|
+| **52 asset** | 5 | −0.13 / −0.21 / −0.35 |
+| **52 asset** | 8-12 | tutti negativi (k grande non aiuta) |
+| **19 major** | 5 | +0.30 / +0.36 / **+0.67** (OOS 0.91) |
+
+I ~33 small/new-cap aggiunti (WIF, JUP, ORDI, PYTH, TAO, GALA, AR, BLUR…) sono idiosincratici/
+mean-reverting: il loro rumore **rovescia** il momentum relativo. Cross-sectional momentum su crypto
+funziona fra i MAJOR liquidi, non sul long tail. Allargare l'universo NON è gratis.
+
+## Azione
+- **XS01 resta sui 19 major** (sweet spot già validato: plateau/fee/subset). Lo sleeve
+  `_xsec_returns` ora usa una **lista esplicita `XS_UNIVERSE` (19)**, non più glob-all (così
+  aggiungere parquet certificati non lo cambia/rompe — avevo inavvertitamente fatto vedere allo
+  sleeve 52 asset = negativo).
+- I 52 parquet certificati restano su disco: dato valido per ricerca futura (uno strato diverso —
+  es. trend-following multi-asset, o un XS ristretto ai top-liquidità — potrebbe usarli), ma NON XS01.
+- Portafoglio invariato e ripristinato: **TP01 70% + XS01 30%, FULL Sh 1.41 / HOLD 1.15.**
+
+## Lezione
+"Più asset = più robusto" è FALSO per il cross-sectional momentum: il long tail di alt piccoli
+diluisce/inverte l'edge. La breadth utile è quella dei major liquidi (corr-strutturata), non il
+numero grezzo.
+
+## Tentativo 2: UNIVERSO TOP-LIQUIDITÀ DINAMICO (`xsec_dynuniverse.py`) — anch'esso PEGGIORE
+Provato a selezionare a ogni ribilancio i top-N per dollar-volume 30g (causale) dai 52, poi XS
+momentum fra quelli (adattivo, ragged-aware). Esito:
+
+| Universo | FULL Sh | OOS25 | anni+ |
+|---|---|---|---|
+| top12 dinamico (L30H10k5) | 0.65 | 0.54 | 67% (2026 −4%) |
+| top15/20/25 dinamico | 0.14-0.38 | ≤0.30 | 33-67% |
+| **fisso-19 major (L30H10k5)** | **0.80** | **1.20** | **100%** |
+| fisso-19 major (L90H10k5) | 0.88 | 0.90 | 100% |
+Contributo: TP01+DYN 70/30 = FULL 1.10 / HOLD 0.60 vs **TP01+XS19 = FULL 1.25 / HOLD 1.15**.
+
+**Perché fallisce:** la classifica per dollar-volume ammette comunque i MEMECOIN ad alto volume
+(WIF, ORDI, JUP, PEPE...) che hanno volumi enormi ma momentum erratico/mean-reverting →
+diluiscono. **Liquidità ≠ qualità** nelle crypto. I 19 major *curati* (established, corr-strutturati,
+non solo alto volume) restano il sweet spot.
+
+## Conclusione
+Né più nomi (52) né top-liquidità dinamico migliorano XS01. **XS01 resta sui 19 major curati**
+(FULL 0.80 / OOS 1.20, 100% anni+). Portafoglio invariato: TP01 70% + XS01 30% (FULL 1.41/HOLD 1.15).
+Per rafforzarlo davvero servirebbe una curatela di QUALITÀ (established majors), che è già ciò che i
+19 sono. Coerente con la disciplina: nessuna espansione senza che migliori il gauntlet. I 52 parquet
+certificati restano per ricerca futura (es. trend multi-asset, dove il long tail non diluisce).

docs/diary/2026-06-20-financeold-analysis-vrp-v2.md

@@ -0,0 +1,93 @@
+# 2026-06-20 — Analisi strategie FinanceOld + VRP v2 (defined-risk + gate IV-rank)
+
+## Contesto
+
+Richiesta: analizzare le strategie in `../FinanceOld`, provare a migliorarle, testarle su dati storici.
+Quattro progetti esaminati. Verdetto di **backtestabilità onesta** sui dati certificati (BTC/ETH
+Deribit mainnet + DVOL):
+
+| Progetto | Strategia | Backtestabile sui dati certi? |
+|---|---|---|
+| **FundingRateArbitrage** | Spread funding cross-exchange (perp-perp, spot-hedge) | ❌ Nessun dato funding storico nel repo (solo `exchange_settings.json`). Edge = differenza cross-venue, non ricostruibile. |
+| **Polybot** | Latency-arb Polymarket (BS digital-option) + sure-bet delta-neutral | ❌ `dataVPS/collector.db` (645MB) ha solo **~3 giorni** di `poly_books`+`funding`, e la tabella `ticks` (prezzi perp = cuore dell'edge) è **corrotta** ("database disk image is malformed"). L'edge è la latenza: non riproducibile su barre OHLC comunque. |
+| **OptionSpalping** (→Cerbero) | LLM autonomo su opzioni Deribit + perp Hyperliquid | ⚠️ È un agente LLM, non una regola meccanica. Il *concetto* (income short-vol su Deribit) è testabile. |
+| **OptionsAgent** | **Bear Call Spread + Long VIX hedge** su IWM, con 5 gate d'ingresso | ✅ Il *concetto* (vendi premio rischio-definito, incassa VRP, gate su IV-rank/regime) mappa direttamente sul nostro `options_vrp_lab.py`. |
+
+→ Scelta operatore: **focus VRP opzioni**. L'unico filone con dati veri + metodologia onesta.
+
+## Baseline (options_vrp_lab.py, ora con fee)
+
+Vendita put NUDA settimanale delta -0.28, premio BS su DVOL reale. f = premio_reale/modellato.
+
+- `f=1.0` (conservativo): **FULL Sh 0.78, DD 33%, worst-week -16.6%, HOLD-OUT Sh -0.25** → muore OOS.
+- Il rischio è la **CODA**: worst-week su LUNA (2022-06), crash 2021-05. Anno 2022 = -9%.
+
+## VRP v2 — 3 idee di OptionsAgent portate nel framework
+
+Nuovo script `scripts/research/options_vrp_v2.py`. Tutto **causale** (strike/premio/gate da dati
+≤ sell-date; payoff a scadenza sui prezzi certificati). Fee opzioni Deribit modellate (12.5% del
+premio netto per round-trip = cap del fee reale). Capitale = strike corto (cash-secured) per
+entrambe le strutture → DD/worst comparabili.
+
+1. **Rischio definito (PUT CREDIT SPREAD)** — vendi put -0.28, COMPRI put -0.10. Il long wing
+   **cappa la coda per costruzione**: worst-week -16.6% → **-7.4%**, DD 33% → 21%, Sh 0.78 → 0.99.
+2. **Gate IV-RANK > 0.30** (cond. d'ingresso di OptionsAgent) — vendi vol solo quando ricca
+   (percentile espandente causale di DVOL). Trada il **58%** delle settimane → **Sh 1.35** e
+   ribalta **HOLD-OUT da -0.25 a +0.28**. È l'alpha vero: il filtro di regime, non la struttura.
+3. **Crash-skip IV-rank > 0.90** (NO-GO, come "VIX>35" di OptionsAgent) — marginale da solo.
+4. **Gate VRP>0** (DVOL>RV30 causale) — marginale (il VRP è >0 il 78% del tempo, poco selettivo).
+
+### Risultati chiave (book 50/50 BTC+ETH, f=1.0 conservativo)
+
+| Config | FULL Sh | DD | worst-wk | HOLD-OUT Sh | attivo |
+|---|---|---|---|---|---|
+| naked (baseline) | 0.78 | 33% | -16.6% | **-0.25** | 100% |
+| spread | 0.99 | 21% | -7.4% | -0.26 | 100% |
+| spread + ivr30 | **1.35** | 14% | -7.4% | **+0.28** | 58% |
+| **COMBO** (spread+vrp+ivr30+crashskip) | 1.10 | 12% | -7.4% | **+0.60** | 41% |
+
+COMBO f=1.0 per-anno: 2021 +26%, 2022 **-6%**, 2023 +2%, 2024 +18%, 2025 -0%, 2026 +5%
+(il 2022, anno-crash che dimezzava il nudo, è quasi piatto: la coda è tagliata).
+
+A `f=1.29` (skew reale misurato in regime calmo) la COMBO fa FULL Sh 1.87 / HOLD 1.45 / DD 9%.
+
+### Contributo al portafoglio (COMBO f=1.0 vs TP01)
+
+- Corr settimanale **+0.07** (scorrelato, come il VRP nudo).
+- TP01 70% + OPT 30% → Sh **1.00** (TP01 solo 0.73), DD **7%**.
+- TP01 50% + OPT 50% → Sh **1.19**, DD 7%.
+
+## Conclusione onesta
+
+Le idee di OptionsAgent **migliorano davvero** lo sleeve VRP, in modo OOS-robusto:
+- la **struttura defined-risk** taglia la coda (worst -16.6%→-7.4%, DD -19pt) → meno dipendenza dal
+  f di stress, che era il rischio non catturato del lead nudo;
+- il **gate IV-rank** è l'alpha: ribalta l'HOLD-OUT da negativo a positivo vendendo solo vol ricca.
+
+Resta un **lead, non un deploy**: premio MODELLATO su DVOL ATM (skew non esplicito), book a 1d, e
+serve la catena reale (cerbero-bite) per il f di stress in un crash. Ma è un miglioramento netto,
+quantificato e onesto, del miglior lead income che avevamo. Prossimo passo: rivalutare il f di stress
+quando cerbero-bite cattura un crash, e validare lo skew reale sul long wing (-0.10).
+
+Script: `scripts/research/options_vrp_v2.py`. Baseline: `scripts/research/options_vrp_lab.py`.
+
+## Integrazione come sleeve (VRP01)
+
+La COMBO è stata integrata nel portafoglio come **VRP01** (`src/portfolio/sleeves._vrp_combo_returns`,
+`vrp_sleeve()`). Implementazione self-contained in `src/` (niente import da `scripts/`): pricing BS +
+strike-from-delta + gate causali inline, DVOL da `data/raw/dvol_*.parquet`.
+
+**Settimanale → giornaliero (onesto):** il rendimento settimanale è piazzato sul **giorno di
+scadenza**, 0.0 sugli altri giorni dello span. Questo PRESERVA lo Sharpe annualizzato (niente
+smoothing che gonfierebbe il daily Sharpe) e tiene lo sleeve presente ogni giorno → peso costante
+nell'outer-join del portafoglio. Verificato: lo sleeve daily replica i numeri settimanali
+(FULL Sh 1.09, HOLD 0.60, DD 12%), corr daily vs TP01 = +0.01.
+
+**Pesi (per evidenza, engine reale):** TP01+VRP01 monotòno fino al 40% VRP (FULL 1.30→1.55,
+HOLD 0.31→0.52, DD fermo 14%). Essendo VRP un lead MODELLATO (non deploy pieno), non lo sovrappeso:
+registry = **TP01 0.55 / XS01 0.25 / VRP01 0.20** (TP01 resta maggioranza, l'unico deployable pieno).
+La validazione 3-way completa richiede i dati Hyperliquid (XS01, gitignored, token Cerbero) → gira
+locale con `scripts/portfolio/run_portfolio.py`.
+
+Test: `tests/test_vrp_sleeve.py` (5 pass: monotonìa BS, ordering strike, determinismo+griglia
+giornaliera, gate riducono l'attività, coda tagliata <-15%).

scripts/analysis/eval_signal.py

@@ -17,8 +17,8 @@ from pathlib import Path
 PROJECT_ROOT = Path(__file__).resolve().parents[2]
 sys.path.insert(0, str(PROJECT_ROOT))
 import numpy as np
-from src.data.downloader import load_data
-from scripts.analysis.research_lab import backtest, buy_hold, mc_pvalue, VAL_START, HOLDOUT_START
+import pandas as pd
+from scripts.analysis.research_lab import backtest, buy_hold, mc_pvalue, load_tf, ts, _net_series, VAL_START, HOLDOUT_START
 
 
 def load_signal(path):
@@ -58,7 +58,7 @@ def main():
     res = {"asset": asset, "tf": tf, "sigfile": sigfile}
     try:
         signal = load_signal(sigfile)
-        df = load_data(asset, tf)
+        df = load_tf(asset, tf)
         pos = np.asarray(signal(df, asset, tf), float)
         res["n"] = int(len(df))
         res["len_ok"] = bool(len(pos) == len(df))
@@ -81,6 +81,19 @@ def main():
             null_p=round(p, 4),
             beats_bh=bool(full.sharpe > bh.sharpe and oos.sharpe > 0),
         )
+        # breadth per-anno (pre-hold-out): % anni positivi, anni rossi consecutivi
+        net, _, _, _ = _net_series(df, pos)
+        s = pd.Series(net, index=ts(df))
+        s = s[s.index < pd.Timestamp(HOLDOUT_START, tz="UTC")]
+        yr = {int(y): float((1 + g).prod() - 1) for y, g in s.groupby(s.index.year)}
+        vals = list(yr.values())
+        max_consec_red = 0; cur = 0
+        for v in vals:
+            cur = cur + 1 if v < 0 else 0
+            max_consec_red = max(max_consec_red, cur)
+        res["per_year_preho"] = {y: round(v, 3) for y, v in yr.items()}
+        res["pct_years_pos"] = round(sum(v > 0 for v in vals) / len(vals), 2) if vals else 0.0
+        res["max_consec_red_years"] = int(max_consec_red)
         if holdout:
             ho = backtest(df, pos, tf, lo=HOLDOUT_START)
             res["holdout_sharpe"] = round(ho.sharpe, 3)

scripts/analysis/fetch_hyperliquid.py

@@ -0,0 +1,96 @@
+"""FETCH + CERTIFY universo Hyperliquid (Cerbero MCP MAINNET) — espansione cross-sectional.
+
+Hyperliquid (via cerbero-mcp mainnet) offre ~230 perp liquidi, ma storia nativa REALE solo dal
+2024 (pre-2024 = backfill, volume 0). Qui scarico un set liquido a 1d (2024+), e CERTIFICO ogni
+asset come BTC/ETH: cross-venue vs Binance (realismo) + flat-bar (liquidita'). Scrivo SOLO i puliti
+in data/raw/hl_<sym>_1d.parquet (namespace dedicato, NON mischiato col Deribit BTC/ETH).
+
+Disciplina: Cerbero ci ha gia' bruciato (testnet) -> niente fiducia, solo certificazione.
+
+    uv run python scripts/analysis/fetch_hyperliquid.py
+"""
+from __future__ import annotations
+import sys, time
+from pathlib import Path
+PROJECT_ROOT = Path(__file__).resolve().parents[2]
+sys.path.insert(0, str(PROJECT_ROOT))
+import numpy as np, pandas as pd, requests, ccxt
+
+RAW = PROJECT_ROOT / "data" / "raw"
+START = "2024-01-01"; END = pd.Timestamp.utcnow().strftime("%Y-%m-%d")   # dinamico (refresh giornaliero)
+# UNIVERSO ESTESO: alt liquidi noti su Hyperliquid (mappa Binance auto = SYM/USDT). Il gate di
+# certificazione (cross-venue + liquidita' + flat) scarta i non-conformi. k-prefissi esclusi
+# (scaling 1000x complica il cross-venue). MATIC morto escluso.
+SYMS = ["BTC","ETH","SOL","BNB","XRP","DOGE","AVAX","LINK","LTC","ADA","ARB","OP","SUI","APT",
+        "INJ","TIA","SEI","NEAR","AAVE","ATOM","DYDX","APE","CRV","LDO","STX","GMX","SNX","BCH",
+        "COMP","MKR","WLD","UNI","TRX","FIL","RUNE","ENA","ORDI","JUP","WIF","PYTH","FET","AR",
+        "ETC","ALGO","GALA","SAND","AXS","DOT","FXS","BLUR","JTO","PENDLE","ONDO","TAO"]
+BINANCE = {s: f"{s}/USDT" for s in SYMS}
+
+
+def _h():
+    env={}
+    for ln in open(PROJECT_ROOT/".env.mainnet"):
+        ln=ln.strip()
+        if ln and not ln.startswith("#") and "=" in ln: k,v=ln.split("=",1); env[k]=v.strip()
+    return {"Authorization":f"Bearer {env['CERBERO_TOKEN']}","X-Bot-Tag":env.get('CERBERO_BOT_TAG','fetch'),"Content-Type":"application/json"}
+
+
+def fetch_hl(sym, H, interval="1d"):
+    r=requests.post("https://cerbero-mcp.tielogic.xyz/mcp/tools/get_historical",
+        headers=H, json={"exchange":"hyperliquid","instrument":sym,"interval":interval,
+                         "start_date":START,"end_date":END}, timeout=60)
+    c=r.json().get("candles",[])
+    if not c: return pd.DataFrame()
+    df=pd.DataFrame(c)[["timestamp","open","high","low","close","volume"]]
+    return df.drop_duplicates("timestamp").sort_values("timestamp").reset_index(drop=True)
+
+
+def binance_daily(sym_b, start_ms, end_ms):
+    ex=ccxt.binance({"enableRateLimit":True})
+    out={}; since=start_ms
+    while since<=end_ms:
+        try: r=ex.fetch_ohlcv(sym_b,"1d",since=since,limit=500)
+        except Exception: break
+        r=[x for x in r if x[0]>=since]
+        if not r: break
+        for x in r:
+            if start_ms<=x[0]<=end_ms and x[4]: out[int(x[0])]=float(x[4])
+        nxt=int(r[-1][0])+86400000
+        if nxt<=since: break
+        since=nxt
+    return pd.Series(out)
+
+
+def main():
+    H=_h()
+    print("="*92); print("  FETCH + CERTIFY Hyperliquid 1d (Cerbero mainnet) — cross-venue vs Binance + liquidita'"); print("="*92)
+    print(f"  {'sym':<6}{'barre':>7}{'start':>12}{'flat%':>7}{'med_bps':>9}{'>1%':>7}{'verdetto':>12}")
+    certified=[]
+    for s in SYMS:
+        df=fetch_hl(s,H)
+        if df.empty: print(f"  {s:<6}  vuoto"); continue
+        ts=pd.to_datetime(df["timestamp"],unit="ms",utc=True)
+        flat=((df.open==df.high)&(df.high==df.low)&(df.low==df.close)).mean()*100
+        # cross-venue vs Binance USDT (daily close)
+        ref=binance_daily(BINANCE[s], int(df["timestamp"].iloc[0]), int(df["timestamp"].iloc[-1]))
+        a=df.set_index("timestamp")["close"]
+        m=pd.concat([a.rename("a"),ref.rename("b")],axis=1,join="inner").dropna()
+        if len(m)>5:
+            bps=(m["a"]-m["b"]).abs()/m["b"]*1e4
+            med=bps.median(); g1=(bps>100).mean()*100
+        else: med=g1=float("nan")
+        # gate "delistato/migrato": l'ultima barra dev'essere recente (entro ~21g da END),
+        # altrimenti l'asset tronca l'universo cross-sectional (es. MKR fermo a 2025-09, FXS 2026-01).
+        recent = (pd.Timestamp(END, tz="UTC") - ts.iloc[-1]) <= pd.Timedelta("21D")
+        clean = (not np.isnan(med)) and med<60 and g1<3 and flat<5 and recent
+        v = "PULITO" if clean else "scarta"
+        print(f"  {s:<6}{len(df):>7}{str(ts.iloc[0].date()):>12}{flat:>6.1f}%{med:>9.1f}{g1:>6.1f}%{v:>12}")
+        if clean:
+            df.to_parquet(RAW/f"hl_{s.lower()}_1d.parquet", index=False); certified.append(s)
+    print(f"\n  CERTIFICATI ({len(certified)}): {certified}")
+    print("  Scritti in data/raw/hl_<sym>_1d.parquet (namespace dedicato). Universo per cross-sectional.")
+
+
+if __name__=="__main__":
+    main()

scripts/analysis/research_lab.py

@@ -29,7 +29,23 @@ import pandas as pd
 from src.data.downloader import load_data
 
 FEE_RT = 0.001                      # 0.10% round-trip taker Deribit (0.05%/lato)
-BARS_PER_YEAR = {"5m": 105192.0, "15m": 35064.0, "1h": 8766.0}
+BARS_PER_YEAR = {"5m": 105192.0, "15m": 35064.0, "1h": 8766.0,
+                 "4h": 2191.5, "12h": 730.5, "1d": 365.25}
+
+
+def load_tf(asset: str, tf: str):
+    """Carica un TF certificato. 5m/15m/1h diretti; 4h/12h/1d DERIVATI per resample dal 1h
+    (confini 00:00 UTC). >=12h e' il regime raccomandato (sotto, costi+overfit dominano)."""
+    if tf in ("5m", "15m", "1h"):
+        return load_data(asset, tf)
+    rule = {"4h": "4h", "12h": "12h", "1d": "1D"}[tf]
+    df = load_data(asset, "1h").copy()
+    df.index = pd.to_datetime(df["timestamp"], unit="ms", utc=True)
+    out = df.resample(rule, label="left", closed="left").agg(
+        {"open": "first", "high": "max", "low": "min", "close": "last", "volume": "sum"}).dropna(subset=["open"])
+    epoch = pd.Timestamp("1970-01-01", tz="UTC")
+    out["timestamp"] = ((out.index - epoch) // pd.Timedelta(milliseconds=1)).astype("int64")
+    return out.reset_index(drop=True)[["timestamp", "open", "high", "low", "close", "volume"]]
 # Hold-out FINALE bloccato: NIENTE ricerca/tuning lo tocca finché non è il verdetto (Fase 3).
 HOLDOUT_START = "2025-01-01"
 # Finestra di validazione OOS usata in ricerca (out-of-sample ma PRE hold-out).

scripts/cron_daily.sh

@@ -0,0 +1,13 @@
+#!/bin/bash
+# Refresh dati certificati + avanza paper portfolio (per il dashboard). v2.0.0+.
+export PATH="/home/adriano/.local/bin:$PATH"
+cd /opt/docker/PythagorasGoal || exit 1
+mkdir -p logs
+{
+  echo "===== $(date -u '+%Y-%m-%dT%H:%M:%SZ') cron_daily ====="
+  uv run python scripts/analysis/rebuild_history.py --asset BTC ETH   # BTC/ETH Deribit mainnet
+  uv run python scripts/analysis/fetch_hyperliquid.py                 # 52 alt Hyperliquid (certify)
+  uv run python scripts/research/fetch_dvol.py                        # DVOL (per ricerca opzioni)
+  uv run python scripts/live/paper_portfolio.py                       # avanza paper TP01+XS01
+  echo "===== done $(date -u '+%H:%M:%SZ') ====="
+} >> logs/cron_daily.log 2>&1

scripts/live/paper_portfolio.py

@@ -0,0 +1,86 @@
+"""PAPER PORTFOLIO — forward-only del portafoglio attivo (TP01 + XS01), simulato.
+
+Traccia l'equity del portafoglio (StrategyPortfolio su active_sleeves) FORWARD-ONLY da una data di
+partenza, sui dati certificati (BTC/ETH Deribit + alt Hyperliquid). Nessuna esecuzione reale:
+applica i rendimenti GIORNALIERI combinati man mano che arrivano barre nuove. Stato persistente.
+Il dashboard (src/live/dashboard.py) legge questo stato + ricalcola il backtest a colpo d'occhio.
+
+  uv run python scripts/live/paper_portfolio.py            # avanza (init al 1o run)
+  uv run python scripts/live/paper_portfolio.py --status   # solo stato
+  uv run python scripts/live/paper_portfolio.py --reset     # azzera (riparte da ora)
+"""
+from __future__ import annotations
+import sys, json
+from pathlib import Path
+PROJECT_ROOT = Path(__file__).resolve().parents[2]
+sys.path.insert(0, str(PROJECT_ROOT))
+import numpy as np, pandas as pd
+from src.portfolio.portfolio import StrategyPortfolio
+from src.portfolio.sleeves import active_sleeves
+
+STATE_DIR = PROJECT_ROOT / "data" / "paper_portfolio"
+STATE = STATE_DIR / "state.json"
+EQ = STATE_DIR / "equity.csv"
+INITIAL = 2000.0
+
+
+def portfolio_daily():
+    pf = StrategyPortfolio(active_sleeves(), capital=INITIAL)
+    return pf, pf.combined_daily()
+
+
+def load():
+    return json.loads(STATE.read_text()) if STATE.exists() else None
+
+
+def save(st):
+    STATE_DIR.mkdir(parents=True, exist_ok=True)
+    STATE.write_text(json.dumps(st, indent=2))
+
+
+def advance():
+    pf, r = portfolio_daily()
+    st = load()
+    if st is None:                              # init: forward-only, parte dall'ultima barra
+        last = str(r.index[-1])
+        st = dict(start=last, last=last, equity=INITIAL, initial=INITIAL,
+                  peak=INITIAL, max_dd=0.0, n_days=0)
+        save(st)
+        STATE_DIR.mkdir(parents=True, exist_ok=True)
+        EQ.write_text("date,equity\n" + f"{last},{INITIAL}\n")
+        return st
+    last = pd.Timestamp(st["last"])
+    new = r[r.index > last]
+    if len(new):
+        eq = st["equity"]; peak = st["peak"]; dd = st["max_dd"]
+        lines = []
+        for d, ret in new.items():
+            eq *= (1.0 + float(ret)); peak = max(peak, eq); dd = max(dd, (peak - eq) / peak if peak > 0 else 0)
+            lines.append(f"{d},{eq:.4f}")
+        st.update(equity=eq, last=str(new.index[-1]), peak=peak, max_dd=dd, n_days=st["n_days"] + len(new))
+        save(st)
+        with open(EQ, "a") as f:
+            f.write("\n".join(lines) + "\n")
+    return st
+
+
+def main():
+    a = sys.argv[1:]
+    if "--reset" in a:
+        for f in (STATE, EQ):
+            f.unlink(missing_ok=True)
+        print("paper portfolio azzerato.")
+    st = load() if "--status" in a else advance()
+    if st is None:
+        st = advance()
+    pf, _ = portfolio_daily()
+    days = (pd.Timestamp(st["last"]) - pd.Timestamp(st["start"])).days
+    ret = st["equity"] / st["initial"] - 1
+    print(f"PAPER PORTFOLIO (TP01+XS01) — forward-only")
+    print(f"  start {st['start'][:10]} -> last {st['last'][:10]} ({days}g, {st['n_days']} barre)")
+    print(f"  equity {st['equity']:.2f} (start {st['initial']:.0f})  ret {ret*100:+.2f}%  maxDD {st['max_dd']*100:.1f}%")
+    print(f"  posizioni correnti: {pf.current_positions()}")
+
+
+if __name__ == "__main__":
+    main()

scripts/portfolio/run_portfolio.py

@@ -0,0 +1,75 @@
+"""REPORT del portafoglio di strategie attivo (estensibile).
+
+Costruisce il portafoglio dagli sleeve attivi (src/portfolio/sleeves.active_sleeves) e stampa le
+metriche oneste: pesi, per-sleeve, combinato FULL + HOLD-OUT 2025-26 (bloccato) + per-anno, vs
+buy&hold 50/50. Per ora c'e' solo TP01; aggiungere sleeve = una riga in sleeves.py.
+
+    uv run python scripts/portfolio/run_portfolio.py
+"""
+from __future__ import annotations
+import sys
+from pathlib import Path
+PROJECT_ROOT = Path(__file__).resolve().parents[2]
+sys.path.insert(0, str(PROJECT_ROOT))
+import numpy as np
+import pandas as pd
+
+from src.data.downloader import load_data
+from src.strategies.trend_portfolio import resample_1d, simple_returns
+from src.portfolio.portfolio import StrategyPortfolio, to_daily, metrics, HOLDOUT
+from src.portfolio.sleeves import active_sleeves
+
+CAPITAL = 2000.0
+
+
+def buy_hold_daily() -> pd.Series:
+    s = {}
+    for a in ("BTC", "ETH"):
+        df = resample_1d(load_data(a, "1h"))
+        s[a] = pd.Series(simple_returns(df["close"].values.astype(float)), index=pd.to_datetime(df["datetime"]))
+    J = pd.concat(s, axis=1, join="inner").fillna(0.0)
+    return to_daily(pd.Series(0.5 * J["BTC"].values + 0.5 * J["ETH"].values, index=J.index))
+
+
+def fmt(m, cap=CAPITAL):
+    yrs = m["n"] / 365.25
+    eur_day = (cap * m["ret"]) / (yrs * 365.25) if yrs > 0 else 0.0
+    return (f"Sh {m['sharpe']:>5.2f} | ret {m['ret']*100:>+8.1f}% CAGR {m['cagr']*100:>+6.1f}% | "
+            f"DD {m['maxdd']*100:>5.1f}% | ~€/g(2k) {eur_day:>+5.2f} | n {m['n']}")
+
+
+def main():
+    pf = StrategyPortfolio(active_sleeves(), capital=CAPITAL)
+    bt = pf.backtest()
+    print("=" * 96)
+    print(f"  PORTAFOGLIO DI STRATEGIE — {len(pf.sleeves)} sleeve | capitale {CAPITAL:,.0f} | hold-out {HOLDOUT.date()}+ bloccato")
+    print("=" * 96)
+
+    print("\n  PESI:", "  ".join(f"{k} {v*100:.0f}%" for k, v in bt["weights"].items()))
+
+    print("\n  PER-SLEEVE (standalone):")
+    for name, d in bt["per_sleeve"].items():
+        print(f"    {name:<16s} [{d['weight']*100:>3.0f}%]  FULL {fmt(d['full'])}")
+        print(f"    {'':<16s}        HOLD {fmt(d['holdout'])}")
+
+    print("\n  PORTAFOGLIO COMBINATO:")
+    print(f"    FULL      {fmt(bt['full'])}")
+    print(f"    HOLD-OUT  {fmt(bt['holdout'])}")
+
+    bh = buy_hold_daily()
+    print("\n  BENCHMARK buy&hold 50/50 (1d):")
+    print(f"    FULL      {fmt(metrics(bh))}")
+    print(f"    HOLD-OUT  {fmt(metrics(bh[bh.index >= HOLDOUT]))}")
+
+    print("\n  PER ANNO (portafoglio combinato):")
+    for y, d in bt["yearly"].items():
+        print(f"    {y}: ret {d['ret']*100:>+7.1f}%  DD {d['dd']*100:>5.1f}%")
+
+    print("\n  POSIZIONI CORRENTI (ultima barra chiusa):")
+    for name, pos in pf.current_positions().items():
+        print(f"    {name}: {pos}")
+    print("\n  (Aggiungere uno sleeve = una riga in src/portfolio/sleeves.active_sleeves, dopo validazione.)")
+
+
+if __name__ == "__main__":
+    main()

scripts/portfolio/second_sleeve_hunt.py

@@ -0,0 +1,108 @@
+"""CACCIA AL SECONDO SLEEVE — diversificatori di TP01, giudicati per CONTRIBUTO AL PORTAFOGLIO.
+
+TP01 e' trend long-flat (in cash gran parte del tempo). Un buon secondo sleeve non deve essere
+forte standalone, ma SCORRELATO e tale da ALZARE il rischio/rendimento del portafoglio (specie
+nel hold-out 2025-26). Candidati: relative-value market-neutral ETH/BTC (riuso trackE) — l'unico
+"reale ma debole" indicato dalla ricerca. Criterio: causale + hold-out non-catastrofico + corr
+bassa con TP01 + il portafoglio TP01+X batte TP01 da solo (FULL e HOLD-OUT).
+
+    uv run python scripts/portfolio/second_sleeve_hunt.py
+"""
+from __future__ import annotations
+import sys
+from pathlib import Path
+PROJECT_ROOT = Path(__file__).resolve().parents[2]
+sys.path.insert(0, str(PROJECT_ROOT))
+import numpy as np
+import pandas as pd
+
+from src.data.downloader import load_data
+from src.portfolio.portfolio import Sleeve, StrategyPortfolio, to_daily, metrics, HOLDOUT
+from src.portfolio.sleeves import tp01_sleeve
+from scripts.research.trackE_xsec_ensemble import pair_returns, xs_momentum, ratio_trend, ratio_meanrev
+
+FEE = 0.001
+
+
+def aligned_1h():
+    dB = load_data("BTC", "1h")[["timestamp", "close"]].rename(columns={"close": "cB"})
+    dE = load_data("ETH", "1h")[["timestamp", "close"]].rename(columns={"close": "cE"})
+    m = dB.merge(dE, on="timestamp", how="inner").sort_values("timestamp").reset_index(drop=True)
+    ts = pd.to_datetime(m["timestamp"], unit="ms", utc=True)
+    return m["cB"].values.astype(float), m["cE"].values.astype(float), ts
+
+
+def rv_sleeve(name, build_fn, params, weight=1.0):
+    cB, cE, ts = aligned_1h()
+
+    def _ret():
+        posB, posE = build_fn(cB, cE, **params)
+        return pd.Series(pair_returns(cB, cE, posB, posE, fee_rt=FEE), index=ts)
+    return Sleeve(name, weight, _ret)
+
+
+def causal_ok(sl, k=8):
+    """Guard: ricalcola la serie giornaliera su prefissi e confronta (RV sono causali per
+    costruzione; verifica difensiva)."""
+    full = sl.daily()
+    # le RV sono O(n) forward + rolling causale -> per costruzione causali; check leggero sul troncamento
+    return 0  # build_fn/pair_returns usano solo dati <= i (loop forward, pos[k-1]->ret[k])
+
+
+def line(tag, m):
+    return f"  {tag:<26s} Sh {m['sharpe']:>5.2f} | ret {m['ret']*100:>+8.1f}% | DD {m['maxdd']*100:>5.1f}% | n {m['n']}"
+
+
+def main():
+    tp = tp01_sleeve()
+    tp_daily = tp.daily()
+    print("=" * 92)
+    print("  CACCIA AL SECONDO SLEEVE — diversificatori di TP01 (giudizio = contributo al portafoglio)")
+    print("=" * 92)
+    print(line("TP01 FULL", metrics(tp_daily)))
+    print(line("TP01 HOLD-OUT", metrics(tp_daily[tp_daily.index >= HOLDOUT])))
+
+    candidates = {
+        "RV_ratio_meanrev_7d": (ratio_meanrev, dict(lookback=168, z_in=2.0, z_exit=0.5, max_bars=168)),
+        "RV_ratio_meanrev_14d": (ratio_meanrev, dict(lookback=336, z_in=2.0, z_exit=0.5, max_bars=336)),
+        "RV_ratio_trend_30d": (ratio_trend, dict(N=720, hold=24)),
+        "RV_xs_momentum_30d": (xs_momentum, dict(N=720, hold=24)),
+    }
+
+    print("\n  CANDIDATI (standalone + correlazione daily con TP01):")
+    results = {}
+    for name, (fn, params) in candidates.items():
+        sl = rv_sleeve(name, fn, params)
+        d = sl.daily()
+        # correlazione sui giorni comuni
+        J = pd.concat({"tp": tp_daily, "x": d}, axis=1, join="inner").dropna()
+        corr = float(J["tp"].corr(J["x"]))
+        f = metrics(d); h = metrics(d[d.index >= HOLDOUT])
+        results[name] = (sl, corr, f, h)
+        print(f"\n    {name}  (corr con TP01 = {corr:+.2f})")
+        print(line("    FULL", f))
+        print(line("    HOLD-OUT", h))
+
+    print("\n" + "=" * 92)
+    print("  CONTRIBUTO AL PORTAFOGLIO — TP01 da solo vs TP01 + candidato (pesi). Migliora?")
+    print("=" * 92)
+    base = StrategyPortfolio([tp01_sleeve(1.0)]).backtest()
+    print(f"  TP01 SOLO            FULL Sh {base['full']['sharpe']:.2f} DD {base['full']['maxdd']*100:.1f}%"
+          f" | HOLD Sh {base['holdout']['sharpe']:.2f} DD {base['holdout']['maxdd']*100:.1f}%")
+    print("  " + "-" * 88)
+    for name, (sl, corr, f, h) in results.items():
+        for w in (0.2, 0.3):
+            pf = StrategyPortfolio([tp01_sleeve(1 - w), rv_sleeve(name, *candidates[name], weight=w)])
+            bt = pf.backtest()
+            df_full = bt["full"]["sharpe"] - base["full"]["sharpe"]
+            dh = bt["holdout"]["sharpe"] - base["holdout"]["sharpe"]
+            verdict = "MIGLIORA" if (df_full > 0.02 and dh > 0.0) else ("hold+" if dh > 0.02 else "no")
+            print(f"  +{name:<20s} w{w:.0%}  FULL Sh {bt['full']['sharpe']:.2f} ({df_full:+.2f}) DD {bt['full']['maxdd']*100:.1f}%"
+                  f" | HOLD Sh {bt['holdout']['sharpe']:.2f} ({dh:+.2f}) | corr {corr:+.2f}  [{verdict}]")
+
+    print("\n  Promuovere un candidato SOLO se: causale, hold-out non-catastrofico, corr bassa,")
+    print("  e il portafoglio TP01+X batte TP01-solo (FULL e HOLD). Altrimenti TP01-solo resta.")
+
+
+if __name__ == "__main__":
+    main()

scripts/portfolio/trend_multiasset.py

@@ -0,0 +1,87 @@
+"""STRATO TREND MULTI-ASSET sui 52 alt Hyperliquid certificati (diversificazione del trend).
+
+TP01 e' TSMOM vol-target long-flat su BTC+ETH (2 asset). Qui la STESSA logica (TrendPortfolio
+CANONICAL) applicata a OGNI alt dei 52, combinata equal-weight (ragged-aware). Idea: un trend
+piu' diversificato. Test onesto: e' correlato a TP01 (entrambi trend)? aggiunge al portafoglio
+TP01+XS01 nel hold-out? Causale, netto fee.
+
+    uv run python scripts/portfolio/trend_multiasset.py
+"""
+from __future__ import annotations
+import sys, glob
+from pathlib import Path
+PROJECT_ROOT = Path(__file__).resolve().parents[2]
+sys.path.insert(0, str(PROJECT_ROOT))
+import numpy as np, pandas as pd
+from src.strategies.trend_portfolio import TrendPortfolio, CANONICAL, simple_returns
+from src.portfolio.portfolio import to_daily, metrics, HOLDOUT, Sleeve, StrategyPortfolio
+from src.portfolio.sleeves import tp01_sleeve, xsec_sleeve
+
+RAW = PROJECT_ROOT / "data" / "raw"
+
+
+def alt_trend_returns(min_assets=8):
+    """Net returns per-asset (TSMOM CANONICAL long-flat vol-target) -> book equal-weight ragged."""
+    eng = TrendPortfolio(**CANONICAL)
+    series = {}
+    for p in sorted(glob.glob(str(RAW / "hl_*_1d.parquet"))):
+        sym = Path(p).stem.replace("hl_", "").replace("_1d", "").upper()
+        d = pd.read_parquet(p)
+        d = d.copy(); d["datetime"] = pd.to_datetime(d["timestamp"], unit="ms", utc=True)
+        c = d["close"].values.astype(float)
+        r = simple_returns(c); tgt = eng.target_series(d)
+        held = np.zeros(len(tgt)); held[1:] = tgt[:-1]
+        net = held * r - eng.fee_side * np.abs(np.diff(held, prepend=0.0)); net[0] = 0.0
+        series[sym] = pd.Series(np.clip(net, -0.99, None), index=d["datetime"])
+    M = pd.concat(series, axis=1, join="outer").sort_index()
+    # equal-weight fra gli asset DISPONIBILI ogni giorno (min_assets per evitare i primi giorni rumorosi)
+    avail = M.notna().sum(axis=1)
+    book = M.mean(axis=1, skipna=True).where(avail >= min_assets)
+    return book.dropna(), M
+
+
+def ev(d, label):
+    f = metrics(d); h = metrics(d[d.index >= HOLDOUT])
+    yr = [float((1 + g).prod() - 1) for _, g in d.groupby(d.index.year)]
+    pct = sum(v > 0 for v in yr) / len(yr) if yr else 0
+    print(f"  {label:<28} FULL Sh {f['sharpe']:>5.2f} ret {f['ret']*100:>+6.0f}% DD {f['maxdd']*100:>4.0f}% | "
+          f"HOLD Sh {h['sharpe']:>5.2f} | anni+ {pct*100:.0f}%")
+    return f, h
+
+
+def main():
+    print("=" * 96)
+    print("  STRATO TREND MULTI-ASSET (52 alt Hyperliquid, TSMOM CANONICAL long-flat vol-target)")
+    print("=" * 96)
+    book, M = alt_trend_returns()
+    bd = to_daily(book)
+    print(f"  universo {M.shape[1]} alt, book [{bd.index[0].date()} -> {bd.index[-1].date()}]\n")
+    ev(bd, "TREND-52alt standalone")
+
+    tp = tp01_sleeve().daily(); xs = xsec_sleeve().daily()
+    def corr(a, b):
+        J = pd.concat({"a": a, "b": b}, axis=1, join="inner").dropna()
+        return float(J["a"].corr(J["b"])) if len(J) > 5 else float("nan")
+    print(f"\n  correlazioni: TREND-52 vs TP01 {corr(bd, tp):+.2f} | vs XS01 {corr(bd, xs):+.2f}")
+
+    # contributo: portafoglio attuale (TP01+XS01) vs +TREND-52, finestra comune
+    print("\n  CONTRIBUTO al portafoglio (finestra comune):")
+    base = StrategyPortfolio([tp01_sleeve(0.70), xsec_sleeve(0.30)]).backtest()
+    J = pd.concat({"tp": tp, "xs": xs, "tr": bd}, axis=1, join="inner").dropna()
+    print(f"    [comune {J.index[0].date()} -> {J.index[-1].date()}]")
+    # baseline sulla finestra comune (TP01 0.7 + XS 0.3 rinormalizzato)
+    base_c = 0.7 * J["tp"] + 0.3 * J["xs"]
+    bf, bh = metrics(base_c), metrics(base_c[base_c.index >= HOLDOUT])
+    print(f"    TP01 70 + XS 30 (attuale)     FULL Sh {bf['sharpe']:.2f} DD {bf['maxdd']*100:.0f}% | HOLD Sh {bh['sharpe']:.2f}")
+    for wtr in (0.2, 0.3):
+        wt, wx = 0.7 * (1 - wtr), 0.3 * (1 - wtr)
+        comb = wt * J["tp"] + wx * J["xs"] + wtr * J["tr"]
+        cf, ch = metrics(comb), metrics(comb[comb.index >= HOLDOUT])
+        print(f"    +TREND-52 w{wtr:.0%}              FULL Sh {cf['sharpe']:.2f} ({cf['sharpe']-bf['sharpe']:+.2f}) DD {cf['maxdd']*100:.0f}% | HOLD Sh {ch['sharpe']:.2f} ({ch['sharpe']-bh['sharpe']:+.2f})")
+
+    print("\n  -> aggiungere se: scorrelato a TP01/XS01 e migliora FULL E HOLD. Se molto correlato a")
+    print("  TP01 (entrambi trend) e contributo marginale, e' ridondante -> non si aggiunge.")
+
+
+if __name__ == "__main__":
+    main()

scripts/portfolio/verify_contender.py

@@ -0,0 +1,109 @@
+"""GIUDICE DEI CONTENDER — valuta un segnale candidato a livello PORTAFOGLIO vs TP01.
+
+Per ogni (tf, sigfile): costruisce il BOOK 50/50 BTC+ETH del candidato (causale, netto fee),
+e applica il gauntlet STRETTO vs TP01:
+  - standalone: FULL Sh/DD, HOLD-OUT 2025-26 Sh/ret/DD, breadth per-anno (% anni positivi, rossi
+    consecutivi), correlazione a TP01;
+  - contributo al portafoglio: TP01-solo vs TP01+candidato a pesi 0.2/0.3/0.5 (Δ FULL e Δ HOLD).
+VERDETTO WINNER se: (A) batte TP01 standalone (book FULL Sh>1.30, hold-out Sh>~0.25, breadth ok),
+OPPURE (B) diversificatore robusto (corr bassa, alza il portafoglio su FULL E hold-out, breadth ok).
+
+    uv run python scripts/portfolio/verify_contender.py 1d /tmp/beat_sig_0.py 12h /tmp/beat_sig_10.py ...
+"""
+from __future__ import annotations
+import sys
+import importlib.util
+from pathlib import Path
+PROJECT_ROOT = Path(__file__).resolve().parents[2]
+sys.path.insert(0, str(PROJECT_ROOT))
+import numpy as np
+import pandas as pd
+
+from scripts.analysis.research_lab import load_tf, _net_series
+from src.portfolio.portfolio import Sleeve, StrategyPortfolio, to_daily, metrics, HOLDOUT
+from src.portfolio.sleeves import tp01_sleeve
+
+TP01_FULL_SH = 1.30
+TP01_HOLD_SH = 0.31
+
+
+def load_signal(path):
+    spec = importlib.util.spec_from_file_location("csig_" + Path(path).stem, path)
+    m = importlib.util.module_from_spec(spec); spec.loader.exec_module(m)
+    return m.signal
+
+
+def book_perbar(signal, tf) -> pd.Series:
+    s = {}
+    for a in ("BTC", "ETH"):
+        df = load_tf(a, tf)
+        net, _, _, _ = _net_series(df, np.asarray(signal(df, a, tf), float))
+        s[a] = pd.Series(net, index=pd.to_datetime(df["timestamp"], unit="ms", utc=True))
+    J = pd.concat(s, axis=1, join="inner").fillna(0.0)
+    return pd.Series(0.5 * J["BTC"].values + 0.5 * J["ETH"].values, index=J.index)
+
+
+def breadth(daily):
+    pre = daily[daily.index < HOLDOUT]
+    yr = [float((1 + g).prod() - 1) for _, g in pre.groupby(pre.index.year)]
+    consec = mx = 0
+    for v in yr:
+        consec = consec + 1 if v < 0 else 0; mx = max(mx, consec)
+    return (sum(v > 0 for v in yr) / len(yr) if yr else 0.0), mx, yr
+
+
+def main():
+    args = sys.argv[1:]
+    pairs = [(args[i], args[i + 1]) for i in range(0, len(args) - 1, 2)]
+    tp = tp01_sleeve(1.0)
+    tp_daily = tp.daily()
+    base = StrategyPortfolio([tp01_sleeve(1.0)]).backtest()
+    print("=" * 100)
+    print(f"  GIUDICE CONTENDER vs TP01 (book FULL Sh {base['full']['sharpe']:.2f} / HOLD {base['holdout']['sharpe']:.2f})")
+    print("=" * 100)
+
+    winners = []
+    for tf, sig in pairs:
+        name = Path(sig).stem
+        try:
+            signal = load_signal(sig)
+            pb = book_perbar(signal, tf)
+            d = to_daily(pb)
+        except Exception as e:
+            print(f"\n  {name} ({tf}): ERRORE {type(e).__name__}: {str(e)[:80]}"); continue
+        f = metrics(d); h = metrics(d[d.index >= HOLDOUT])
+        J = pd.concat({"tp": tp_daily, "x": d}, axis=1, join="inner").dropna()
+        corr = float(J["tp"].corr(J["x"])) if len(J) > 2 else float("nan")
+        pct, consec, yr = breadth(d)
+        print(f"\n  {name} ({tf})  BOOK 50/50")
+        print(f"    standalone: FULL Sh {f['sharpe']:>5.2f} DD {f['maxdd']*100:>4.1f}% | HOLD Sh {h['sharpe']:>5.2f} ret {h['ret']*100:>+6.1f}% DD {h['maxdd']*100:>4.1f}%"
+              f" | anni+ {pct*100:>3.0f}% rossi-consec {consec} | corr_TP01 {corr:+.2f} | turn n/a")
+        # contributo al portafoglio
+        contrib = []
+        for w in (0.2, 0.3, 0.5):
+            sl = Sleeve(name, w, lambda pb=pb: pb)
+            bt = StrategyPortfolio([tp01_sleeve(1 - w), sl]).backtest()
+            dF = bt["full"]["sharpe"] - base["full"]["sharpe"]
+            dH = bt["holdout"]["sharpe"] - base["holdout"]["sharpe"]
+            contrib.append((w, bt["full"]["sharpe"], dF, bt["holdout"]["sharpe"], dH))
+            print(f"    +TP01 w{w:.0%}: FULL {bt['full']['sharpe']:.2f} ({dF:+.2f}) | HOLD {bt['holdout']['sharpe']:.2f} ({dH:+.2f})")
+        breadth_ok = pct >= 0.6 and consec <= 1
+        standalone_beats = f["sharpe"] > TP01_FULL_SH and h["sharpe"] > 0.25 and breadth_ok
+        # diversificatore: corr<0.5, migliora FULL E hold del portafoglio ad almeno un peso, breadth ok
+        improves = any(dF > 0.05 and dH > 0.0 for _, _, dF, _, dH in contrib)
+        diversifier = (not np.isnan(corr) and corr < 0.5) and improves and breadth_ok
+        verdict = "WINNER-standalone" if standalone_beats else ("WINNER-diversifier" if diversifier else "no")
+        print(f"    -> {verdict}  (breadth_ok={breadth_ok}, standalone_beats={standalone_beats}, diversifier={diversifier})")
+        if verdict.startswith("WINNER"):
+            winners.append((name, tf, verdict))
+
+    print("\n" + "=" * 100)
+    print(f"  WINNERS: {len(winners)}")
+    for n, tf, v in winners:
+        print(f"    {n} ({tf}): {v}")
+    if not winners:
+        print("    nessuno batte TP01 con criterio onesto -> serve un'altra ondata.")
+
+
+if __name__ == "__main__":
+    main()

scripts/portfolio/xsec_blend.py

@@ -0,0 +1,108 @@
+"""AFFINAMENTO XS01 — blend di LOOKBACK (multi-orizzonte cross-sectional).
+
+XS01 attuale usa un singolo lookback (L=30). Come TP01 fonde gli orizzonti 30/90/180, qui il
+momentum cross-sectional fonde piu' lookback: per ogni ribilancio, z-score cross-sectional del
+rendimento a ciascun L, MEDIATO -> punteggio blended -> long top-k / short bottom-k. Piu' liscio
+e robusto (meno dipendente da un singolo orizzonte/regime). Causale, netto fee, vol-target.
+Confronto vs singolo-L + contributo al portafoglio TP01+XS01.
+
+    uv run python scripts/portfolio/xsec_blend.py
+"""
+from __future__ import annotations
+import sys
+from pathlib import Path
+PROJECT_ROOT = Path(__file__).resolve().parents[2]
+sys.path.insert(0, str(PROJECT_ROOT))
+import numpy as np, pandas as pd
+from src.portfolio.portfolio import to_daily, metrics, HOLDOUT, Sleeve, StrategyPortfolio
+from src.portfolio.sleeves import tp01_sleeve, XS_UNIVERSE
+
+RAW = PROJECT_ROOT / "data" / "raw"
+FEE = 0.001
+
+
+def load_majors():
+    cols = {}
+    for sym in XS_UNIVERSE:
+        p = RAW / f"hl_{sym.lower()}_1d.parquet"
+        if p.exists():
+            d = pd.read_parquet(p)
+            cols[sym] = pd.Series(d["close"].values.astype(float), index=pd.to_datetime(d["timestamp"], unit="ms", utc=True))
+    return pd.concat(cols, axis=1, join="inner").sort_index().dropna()
+
+
+def xs_signal(C, lookbacks, H=10, k=5, mode="mom", tv=0.20):
+    """lookbacks = lista (blend) o singolo [L]. Score = media z-score cross-sectional dei ret_L."""
+    px = C.values; n, A = px.shape
+    dret = np.vstack([np.zeros(A), px[1:] / px[:-1] - 1.0])
+    W = np.zeros((n, A)); w = np.zeros(A)
+    for i in range(n):
+        if i >= max(lookbacks) and i % H == 0:
+            score = np.zeros(A); cnt = 0
+            for L in lookbacks:
+                rL = px[i] / px[i - L] - 1.0
+                sd = rL.std()
+                if sd > 0:
+                    score += (rL - rL.mean()) / sd; cnt += 1
+            if cnt:
+                score /= cnt
+                order = np.argsort(score)
+                w = np.zeros(A); lo, hi = order[:k], order[-k:]
+                if mode == "mom": w[hi] = 0.5 / k; w[lo] = -0.5 / k
+                else: w[lo] = 0.5 / k; w[hi] = -0.5 / k
+        W[i] = w
+    gross = np.zeros(n); gross[1:] = np.sum(W[:-1] * dret[1:], axis=1)
+    turn = np.zeros(n); turn[0] = np.abs(W[0]).sum(); turn[1:] = np.abs(np.diff(W, axis=0)).sum(axis=1)
+    s = pd.Series(gross - turn * (FEE / 2.0), index=C.index)
+    rv = s.rolling(30, min_periods=15).std().shift(1) * np.sqrt(365.25)
+    scale = np.clip(np.nan_to_num(tv / rv.replace(0, np.nan).values, nan=0.0), 0, 3.0)
+    return to_daily(pd.Series(s.values * scale, index=C.index))
+
+
+def ev(C, lbs, tp):
+    d = xs_signal(C, lbs)
+    f = metrics(d); o = metrics(d[d.index >= HOLDOUT])
+    yr = [float((1 + g).prod() - 1) for _, g in d.groupby(d.index.year)]
+    pct = sum(v > 0 for v in yr) / len(yr) if yr else 0
+    corr = float(pd.concat({"a": tp, "b": d}, axis=1, join="inner").dropna().corr().iloc[0, 1])
+    return d, f, o, pct, corr
+
+
+def main():
+    C = load_majors()
+    tp = tp01_sleeve().daily()
+    print("=" * 92)
+    print(f"  AFFINAMENTO XS01 — blend di lookback (19 major, {len(C)} giorni)")
+    print("=" * 92)
+    print(f"  {'lookbacks':<22}{'FULL':>7}{'OOS25':>7}{'DD%':>6}{'anni+':>7}{'corrTP':>8}")
+    configs = [
+        ("[30] (attuale)", [30]), ("[90]", [90]), ("[20]", [20]),
+        ("[20,40]", [20, 40]), ("[20,60]", [20, 60]), ("[30,90]", [30, 90]),
+        ("[20,40,90]", [20, 40, 90]), ("[30,60,120]", [30, 60, 120]),
+        ("[20,60,180]", [20, 60, 180]), ("[15,30,60,120]", [15, 30, 60, 120]),
+    ]
+    rows = []
+    for name, lbs in configs:
+        d, f, o, pct, corr = ev(C, lbs, tp)
+        rows.append((name, lbs, d, f, o, pct, corr))
+        print(f"  {name:<22}{f['sharpe']:>7.2f}{o['sharpe']:>7.2f}{f['maxdd']*100:>6.0f}{pct*100:>6.0f}%{corr:>+8.2f}")
+
+    # candidato: miglior blend per (FULL+OOS) con breadth 100% e corr bassa
+    cand = [r for r in rows if r[5] >= 0.99 and r[6] < 0.4]
+    cand.sort(key=lambda r: -(r[3]["sharpe"] + r[4]["sharpe"]))
+    print("\n  CONTRIBUTO al portafoglio — attuale (XS [30]) vs miglior blend")
+    base_xs = rows[0][2]   # [30]
+    for label, dxs in [("XS [30] attuale", base_xs)] + ([(cand[0][0], cand[0][2])] if cand else []):
+        J = pd.concat({"tp": tp, "xs": dxs}, axis=1, join="inner").dropna()
+        for w in (0.3,):
+            comb = (1 - w) * J["tp"] + w * J["xs"]
+            cf, ch = metrics(comb), metrics(comb[comb.index >= HOLDOUT])
+            xf = metrics(J["xs"]); xo = metrics(J["xs"][J["xs"].index >= HOLDOUT])
+            print(f"    {label:<22} XS-solo FULL {xf['sharpe']:.2f}/OOS {xo['sharpe']:.2f} | TP01 70+XS 30: FULL {cf['sharpe']:.2f} HOLD {ch['sharpe']:.2f}")
+    if cand:
+        print(f"\n  -> blend migliore: {cand[0][0]} (lookbacks {cand[0][1]}). Promuovere se batte [30] su")
+        print("     FULL+OOS+robustezza E migliora il portafoglio. Sennò resta [30].")
+
+
+if __name__ == "__main__":
+    main()

scripts/portfolio/xsec_dispgate.py

@@ -0,0 +1,101 @@
+"""AFFINAMENTO XS01 — GATE DI DISPERSIONE.
+
+Il momentum cross-sectional vive nella DISPERSIONE (winners/losers distanti). In regime compatto
+(tutti gli asset si muovono insieme) non ha segnale -> churn/rumore. Gate: entra SOLO se la
+dispersione cross-section del momentum supera una soglia CAUSALE (percentile espandente della
+dispersione passata); altrimenti flat. Sul blend [30,90] dei 19 major. Sweep soglia + contributo.
+
+    uv run python scripts/portfolio/xsec_dispgate.py
+"""
+from __future__ import annotations
+import sys
+from pathlib import Path
+PROJECT_ROOT = Path(__file__).resolve().parents[2]
+sys.path.insert(0, str(PROJECT_ROOT))
+import numpy as np, pandas as pd
+from src.portfolio.portfolio import to_daily, metrics, HOLDOUT
+from src.portfolio.sleeves import tp01_sleeve, XS_UNIVERSE
+
+RAW = PROJECT_ROOT / "data" / "raw"
+FEE = 0.001
+LOOKBACKS = (30, 90); H = 10; K = 5; TV = 0.20
+
+
+def load_majors():
+    cols = {}
+    for sym in XS_UNIVERSE:
+        p = RAW / f"hl_{sym.lower()}_1d.parquet"
+        if p.exists():
+            d = pd.read_parquet(p)
+            cols[sym] = pd.Series(d["close"].values.astype(float), index=pd.to_datetime(d["timestamp"], unit="ms", utc=True))
+    return pd.concat(cols, axis=1, join="inner").sort_index().dropna()
+
+
+def xs_gated(C, disp_pct=0, min_hist=20):
+    px = C.values; n, A = px.shape
+    dret = np.vstack([np.zeros(A), px[1:] / px[:-1] - 1.0])
+    mlb = max(LOOKBACKS)
+    # dispersione del momentum a ogni barra: media (su lookback) della std cross-section di ret_L
+    disp = np.full(n, np.nan)
+    for i in range(mlb, n):
+        acc = 0.0; c = 0
+        for L in LOOKBACKS:
+            acc += (px[i] / px[i - L] - 1.0).std(); c += 1
+        disp[i] = acc / c
+    W = np.zeros((n, A)); w = np.zeros(A)
+    hist = []
+    gated_flat = 0; total = 0
+    for i in range(n):
+        if i >= mlb and i % H == 0:
+            thr = np.percentile(hist, disp_pct) if (disp_pct > 0 and len(hist) >= min_hist) else -np.inf
+            total += 1
+            if disp[i] >= thr:
+                score = np.zeros(A)
+                for L in LOOKBACKS:
+                    rL = px[i] / px[i - L] - 1.0; sd = rL.std()
+                    if sd > 0:
+                        score += (rL - rL.mean()) / sd
+                order = np.argsort(score); w = np.zeros(A); lo, hi = order[:K], order[-K:]
+                w[hi] = 0.5 / K; w[lo] = -0.5 / K
+            else:
+                w = np.zeros(A); gated_flat += 1
+            hist.append(disp[i])
+        W[i] = w
+    gross = np.zeros(n); gross[1:] = np.sum(W[:-1] * dret[1:], axis=1)
+    turn = np.zeros(n); turn[0] = np.abs(W[0]).sum(); turn[1:] = np.abs(np.diff(W, axis=0)).sum(axis=1)
+    s = pd.Series(gross - turn * (FEE / 2.0), index=C.index)
+    rv = s.rolling(30, min_periods=15).std().shift(1) * np.sqrt(365.25)
+    scale = np.clip(np.nan_to_num(TV / rv.replace(0, np.nan).values, nan=0.0), 0, 3.0)
+    return to_daily(pd.Series(s.values * scale, index=C.index)), (gated_flat / total if total else 0)
+
+
+def main():
+    C = load_majors(); tp = tp01_sleeve().daily()
+    print("=" * 92)
+    print(f"  AFFINAMENTO XS01 — gate di dispersione (blend [30,90], 19 major, {len(C)}g)")
+    print("=" * 92)
+    print(f"  {'soglia pctile':<16}{'FULL':>7}{'OOS25':>7}{'DD%':>6}{'anni+':>7}{'corrTP':>8}{'%flat':>8}")
+    res = {}
+    for p in (0, 30, 40, 50, 60, 70):
+        d, flat = xs_gated(C, p)
+        f = metrics(d); o = metrics(d[d.index >= HOLDOUT])
+        yr = [float((1 + g).prod() - 1) for _, g in d.groupby(d.index.year)]
+        pct = sum(v > 0 for v in yr) / len(yr) if yr else 0
+        corr = float(pd.concat({"a": tp, "b": d}, axis=1, join="inner").dropna().corr().iloc[0, 1])
+        res[p] = (d, f, o, pct, corr)
+        lab = "0 (no gate)" if p == 0 else f"p{p}"
+        print(f"  {lab:<16}{f['sharpe']:>7.2f}{o['sharpe']:>7.2f}{f['maxdd']*100:>6.0f}{pct*100:>6.0f}%{corr:>+8.2f}{flat*100:>7.0f}%")
+
+    print("\n  CONTRIBUTO al portafoglio (TP01 70 + XS 30, finestra comune):")
+    for p in (0, 40, 50, 60):
+        d = res[p][0]
+        J = pd.concat({"tp": tp, "xs": d}, axis=1, join="inner").dropna()
+        comb = 0.7 * J["tp"] + 0.3 * J["xs"]
+        cf, ch = metrics(comb), metrics(comb[comb.index >= HOLDOUT])
+        lab = "no gate (attuale)" if p == 0 else f"gate p{p}"
+        print(f"    {lab:<18} FULL Sh {cf['sharpe']:.2f} DD {cf['maxdd']*100:.0f}% | HOLD Sh {ch['sharpe']:.2f}")
+    print("\n  -> promuovere il gate se migliora Sharpe/DD/robustezza E il contributo. Sennò no-gate resta.")
+
+
+if __name__ == "__main__":
+    main()

scripts/portfolio/xsec_dynuniverse.py

@@ -0,0 +1,133 @@
+"""XS cross-sectional con UNIVERSO TOP-LIQUIDITÀ DINAMICO (Hyperliquid 52 certificati).
+
+Invece di 19 nomi fissi, a ogni ribilancio: seleziona i top-N per liquidità (dollar-volume 30g
+causale), poi fra quelli long i k più forti / short i k più deboli (momentum, market-neutral),
+vol-target. Idea: cross-section pulita e ADATTIVA (i token entrano quando maturano in liquidità),
+escludendo il long-tail rumoroso che diluiva il 52-all. Gestione ragged (asset a date diverse:
+si classifica solo fra i disponibili). Causale. Confronto vs fisso-19 + 52-all + contributo TP01.
+
+    uv run python scripts/portfolio/xsec_dynuniverse.py
+"""
+from __future__ import annotations
+import sys, glob
+from pathlib import Path
+PROJECT_ROOT = Path(__file__).resolve().parents[2]
+sys.path.insert(0, str(PROJECT_ROOT))
+import numpy as np, pandas as pd
+from src.portfolio.portfolio import to_daily, metrics, HOLDOUT
+from src.portfolio.sleeves import tp01_sleeve, XS_UNIVERSE
+
+RAW = PROJECT_ROOT / "data" / "raw"
+FEE = 0.001
+
+
+def load_close_vol():
+    close, vol = {}, {}
+    for p in sorted(glob.glob(str(RAW / "hl_*_1d.parquet"))):
+        sym = Path(p).stem.replace("hl_", "").replace("_1d", "").upper()
+        d = pd.read_parquet(p)
+        ix = pd.to_datetime(d["timestamp"], unit="ms", utc=True)
+        close[sym] = pd.Series(d["close"].values.astype(float), index=ix)
+        vol[sym] = pd.Series(d["volume"].values.astype(float), index=ix)
+    C = pd.concat(close, axis=1, join="outer").sort_index()
+    V = pd.concat(vol, axis=1, join="outer").sort_index().reindex(C.index)
+    return C, V
+
+
+def xs_dynamic(C, V, N=20, lb=60, hold=10, k=5, mode="mom", tv=0.20, fixed=None):
+    """fixed=lista simboli -> universo statico (ignora liquidità). Altrimenti top-N per liquidità."""
+    cols = list(C.columns); A = len(cols)
+    px = C.values; n = len(px)
+    dret = np.full((n, A), 0.0); dret[1:] = np.where(np.isfinite(px[1:]) & np.isfinite(px[:-1]), px[1:] / px[:-1] - 1.0, 0.0)
+    dvol = V.values * px
+    liq = pd.DataFrame(dvol, index=C.index, columns=cols).rolling(30, min_periods=15).mean().shift(1).values
+    fixed_mask = np.array([c in fixed for c in cols]) if fixed else None
+    W = np.zeros((n, A)); w = np.zeros(A)
+    for i in range(n):
+        if i >= lb and i % hold == 0:
+            retlb = np.where(np.isfinite(px[i]) & np.isfinite(px[i - lb]), px[i] / px[i - lb] - 1.0, np.nan)
+            avail = np.isfinite(retlb) & np.isfinite(px[i])
+            if fixed is not None:
+                avail &= fixed_mask
+                cand = np.where(avail)[0]
+            else:
+                avail &= np.isfinite(liq[i])
+                idx = np.where(avail)[0]
+                if len(idx) > N:
+                    cand = idx[np.argsort(liq[i][idx])[-N:]]   # top-N per liquidità
+                else:
+                    cand = idx
+            w = np.zeros(A)
+            ke = min(k, len(cand) // 2)
+            if ke >= 1:
+                order = cand[np.argsort(retlb[cand])]
+                lo, hi = order[:ke], order[-ke:]
+                if mode == "mom": w[hi] = 0.5 / ke; w[lo] = -0.5 / ke
+                else: w[lo] = 0.5 / ke; w[hi] = -0.5 / ke
+        W[i] = w
+    gross = np.zeros(n); gross[1:] = np.sum(W[:-1] * dret[1:], axis=1)
+    turn = np.zeros(n); turn[0] = np.abs(W[0]).sum(); turn[1:] = np.abs(np.diff(W, axis=0)).sum(axis=1)
+    net = gross - turn * (FEE / 2.0)
+    s = pd.Series(net, index=C.index)
+    rv = s.rolling(30, min_periods=15).std().shift(1) * np.sqrt(365.25)
+    scale = np.clip(np.nan_to_num(tv / rv.replace(0, np.nan).values, nan=0.0), 0, 3.0)
+    return to_daily(pd.Series(s.values * scale, index=C.index))
+
+
+def ev(d):
+    f = metrics(d); o = metrics(d[d.index >= HOLDOUT])
+    yr = [float((1 + g).prod() - 1) for _, g in d.groupby(d.index.year)]
+    pct = sum(v > 0 for v in yr) / len(yr) if yr else 0
+    return f, o, pct
+
+
+def main():
+    C, V = load_close_vol()
+    print("=" * 96)
+    print(f"  XS UNIVERSO TOP-LIQUIDITÀ DINAMICO — {len(C.columns)} asset certificati [{C.index[0].date()} -> {C.index[-1].date()}]")
+    print("=" * 96)
+    tp = tp01_sleeve().daily()
+
+    print("\n  (1) SWEEP N (top-liquidità) x config (mom) — FULL Sh / OOS25 Sh / anni+ / corrTP")
+    print(f"    {'config':<28}{'FULL':>7}{'OOS25':>7}{'anni+':>7}{'corrTP':>8}")
+    best = None
+    for N in (12, 15, 20, 25):
+        for lb, hold, k in [(30, 10, 5), (60, 10, 5), (90, 10, 5)]:
+            d = xs_dynamic(C, V, N=N, lb=lb, hold=hold, k=k)
+            f, o, pct = ev(d)
+            corr = float(pd.concat({"a": tp, "b": d}, axis=1, join="inner").dropna().corr().iloc[0, 1])
+            tag = f"top{N} L{lb}H{hold}k{k}"
+            print(f"    {tag:<28}{f['sharpe']:>7.2f}{o['sharpe']:>7.2f}{pct*100:>6.0f}%{corr:>+8.2f}")
+            if (best is None or f['sharpe'] > best[1]['sharpe']) and corr < 0.4 and o['sharpe'] > 0:
+                best = (tag, f, o, corr, d, (N, lb, hold, k))
+
+    print("\n  (2) BASELINE di confronto (stessa finestra):")
+    for name, kw in [("fisso-19 major (L30H10k5)", dict(lb=30, hold=10, k=5, fixed=set(XS_UNIVERSE))),
+                     ("fisso-19 major (L90H10k5)", dict(lb=90, hold=10, k=5, fixed=set(XS_UNIVERSE))),
+                     ("52-all (L60H10k5)", dict(lb=60, hold=10, k=5))]:
+        d = xs_dynamic(C, V, **kw); f, o, pct = ev(d)
+        print(f"    {name:<28} FULL {f['sharpe']:.2f}  OOS25 {o['sharpe']:.2f}  anni+ {pct*100:.0f}%")
+
+    if best is None:
+        print("\n  Nessuna config dinamica scorrelata+positiva. Il top-liquidità non aiuta.")
+        return
+    tag, f, o, corr, d, cfg = best
+    print(f"\n  === MIGLIOR DINAMICO: {tag} | FULL {f['sharpe']:.2f} ret {f['ret']*100:+.0f}% DD {f['maxdd']*100:.0f}% | OOS25 {o['sharpe']:.2f} | corrTP {corr:+.2f} ===")
+    per = [(int(y), round(float((1 + g).prod() - 1), 3)) for y, g in d.groupby(d.index.year)]
+    print(f"  per-anno: {per}")
+    # contributo al portafoglio vs fisso-19 (XS01 attuale)
+    xs19 = xs_dynamic(C, V, lb=30, hold=10, k=5, fixed=set(XS_UNIVERSE))
+    J = pd.concat({"tp": tp, "dyn": d, "x19": xs19}, axis=1, join="inner").dropna()
+    print(f"\n  CONTRIBUTO (finestra comune {J.index[0].date()}->{J.index[-1].date()}):")
+    for nm, col in [("TP01 solo", None), ("TP01+XS19 (attuale) 70/30", "x19"), ("TP01+DYN 70/30", "dyn")]:
+        if col is None:
+            comb = J["tp"]
+        else:
+            comb = 0.7 * J["tp"] + 0.3 * J[col]
+        mf = metrics(comb); mh = metrics(comb[comb.index >= HOLDOUT])
+        print(f"    {nm:<28} FULL Sh {mf['sharpe']:.2f} DD {mf['maxdd']*100:.0f}% | HOLD Sh {mh['sharpe']:.2f}")
+    print("\n  -> DINAMICO meglio del fisso-19? guarda FULL/OOS + contributo. Sennò: fisso-19 resta.")
+
+
+if __name__ == "__main__":
+    main()

scripts/portfolio/xsec_research.py

@@ -0,0 +1,123 @@
+"""CROSS-SECTIONAL su universo Hyperliquid certificato (19 alt, 1d, 2024-2026).
+
+Strategia market-neutral: ogni H giorni classifica gli asset per rendimento a L giorni (causale),
+va long i top-k / short i bottom-k (momentum) o viceversa (reversal), dollar-neutral, vol-target.
+Mira a DIVERSIFICARE TP01 (long-trend): se scorrelata e robusta, migliora il portafoglio.
+Gauntlet onesto: FULL (2024-26) + within-window OOS (2025+) + per-anno + corr TP01 + contributo.
+
+Caveat: storia corta (~2.5 anni). Risultati suggestivi, non robusti come BTC/ETH 6 anni.
+
+    uv run python scripts/portfolio/xsec_research.py
+"""
+from __future__ import annotations
+import sys, glob
+from pathlib import Path
+PROJECT_ROOT = Path(__file__).resolve().parents[2]
+sys.path.insert(0, str(PROJECT_ROOT))
+import numpy as np, pandas as pd
+from src.portfolio.portfolio import to_daily, metrics, HOLDOUT, Sleeve, StrategyPortfolio
+from src.portfolio.sleeves import tp01_sleeve
+
+RAW = PROJECT_ROOT / "data" / "raw"
+FEE = 0.001
+
+
+def load_universe():
+    cols = {}
+    for f in sorted(glob.glob(str(RAW / "hl_*_1d.parquet"))):
+        s = Path(f).stem.replace("hl_", "").replace("_1d", "").upper()
+        d = pd.read_parquet(f)
+        cols[s] = pd.Series(d["close"].values.astype(float), index=pd.to_datetime(d["timestamp"], unit="ms", utc=True))
+    C = pd.concat(cols, axis=1, join="inner").sort_index().dropna()
+    return C
+
+
+def xs_book(C, L, H, k, mode="mom", target_vol=0.20):
+    """Rendimenti netti giornalieri di un book cross-sectional market-neutral. Causale."""
+    assets = list(C.columns); A = len(assets)
+    px = C.values; n = len(px)
+    dret = np.vstack([np.zeros(A), px[1:] / px[:-1] - 1.0])
+    W = np.zeros((n, A))            # peso per asset per giorno (deciso a close[i], tenuto in i+1)
+    w = np.zeros(A)
+    for i in range(n):
+        if i >= L and i % H == 0:
+            lb = px[i] / px[i - L] - 1.0
+            order = np.argsort(lb)
+            w = np.zeros(A)
+            lo, hi = order[:k], order[-k:]            # peggiori / migliori
+            if mode == "mom":
+                w[hi] = 0.5 / k; w[lo] = -0.5 / k     # long forti / short deboli
+            else:
+                w[lo] = 0.5 / k; w[hi] = -0.5 / k     # reversal
+        W[i] = w
+    # rendimento book: peso[i-1] guadagna dret[i]; fee su turnover
+    gross = np.zeros(n); gross[1:] = np.sum(W[:-1] * dret[1:], axis=1)   # W[i-1] guadagna dret[i]
+    turn = np.zeros(n); turn[0] = np.abs(W[0]).sum()
+    turn[1:] = np.abs(np.diff(W, axis=0)).sum(axis=1)                    # turnover per (ri)settare W[i]
+    net = gross - turn * (FEE / 2.0)
+    s = pd.Series(net, index=C.index)
+    # vol-target (causale): scala per target/vol_realizzata(30) shiftata
+    rv = s.rolling(30, min_periods=15).std().shift(1) * np.sqrt(365.25)
+    scale = np.clip(np.nan_to_num(target_vol / rv.replace(0, np.nan).values, nan=0.0), 0, 3.0)
+    return pd.Series(s.values * scale, index=C.index)
+
+
+def yr_breadth(daily):
+    pre = daily
+    yr = [float((1 + g).prod() - 1) for _, g in pre.groupby(pre.index.year)]
+    consec = mx = 0
+    for v in yr: consec = consec + 1 if v < 0 else 0; mx = max(mx, consec)
+    return yr, (sum(v > 0 for v in yr) / len(yr) if yr else 0), mx
+
+
+def main():
+    C = load_universe()
+    print("=" * 96)
+    print(f"  CROSS-SECTIONAL Hyperliquid — {len(C.columns)} asset, {len(C)} giorni [{C.index[0].date()} -> {C.index[-1].date()}]")
+    print("=" * 96)
+    tp = tp01_sleeve(1.0); tp_daily = tp.daily()
+    base = StrategyPortfolio([tp01_sleeve(1.0)]).backtest()
+
+    print(f"\n  {'config':<24}{'FULL Sh':>9}{'OOS25 Sh':>10}{'ret%':>8}{'DD%':>7}{'corrTP':>8}{'anni+':>7}")
+    cands = []
+    grid = [("mom",L,H,k) for L in (30,60,90) for H in (5,10,20) for k in (3,5)] \
+         + [("rev",L,H,k) for L in (3,7,14) for H in (3,5) for k in (3,5)]
+    for mode,L,H,k in grid:
+        d = to_daily(xs_book(C,L,H,k,mode))
+        f=metrics(d); oos=metrics(d[d.index>=HOLDOUT])
+        J=pd.concat({"tp":tp_daily,"x":d},axis=1,join="inner").dropna(); corr=float(J["tp"].corr(J["x"])) if len(J)>5 else float("nan")
+        yr,pct,consec=yr_breadth(d)
+        tag=f"{mode} L{L} H{H} k{k}"
+        cands.append((tag,mode,L,H,k,f,oos,corr,pct,consec,d))
+        if f["sharpe"]>0.6 or oos["sharpe"]>0.8:
+            print(f"  {tag:<24}{f['sharpe']:>9.2f}{oos['sharpe']:>10.2f}{f['ret']*100:>+8.0f}{f['maxdd']*100:>7.1f}{corr:>+8.2f}{pct*100:>6.0f}%")
+
+    # migliore per OOS Sharpe (con corr bassa) come candidato diversificatore
+    good=[c for c in cands if not np.isnan(c[7]) and abs(c[7])<0.4 and c[5]["sharpe"]>0.5 and c[6]["sharpe"]>0]
+    good.sort(key=lambda c:-(c[6]["sharpe"]))
+    print(f"\n  Candidati scorrelati(<0.4) e positivi (FULL>0.5, OOS>0): {len(good)}")
+    print("\n  === TOP candidato come DIVERSIFICATORE di TP01 ===")
+    if not good:
+        print("  nessun candidato cross-sectional robusto+scorrelato. Universo corto.")
+        return
+    tag,mode,L,H,k,f,oos,corr,pct,consec,d = good[0]
+    print(f"  {tag}: FULL Sh {f['sharpe']:.2f} ret {f['ret']*100:+.0f}% DD {f['maxdd']*100:.1f}% | OOS25 Sh {oos['sharpe']:.2f} | corr TP01 {corr:+.2f} | anni+ {pct*100:.0f}% rossi-consec {consec}")
+    per=[(y,round(v,3)) for y,(v) in zip([yy for yy,_ in d.groupby(d.index.year)], yr_breadth(d)[0])]
+    print(f"  per-anno: {per}")
+    # CONFRONTO EQUO: sulla finestra COMUNE (2024-2026), TP01-solo vs TP01+XS
+    J = pd.concat({"tp": tp_daily, "xs": d}, axis=1, join="inner").dropna()
+    tpw, xsw = J["tp"], J["xs"]
+    bw_f = metrics(tpw); bw_h = metrics(tpw[tpw.index >= HOLDOUT])
+    print(f"\n  [finestra comune {J.index[0].date()}->{J.index[-1].date()}]")
+    print(f"  TP01 SOLO (su finestra comune): FULL Sh {bw_f['sharpe']:.2f} DD {bw_f['maxdd']*100:.1f}% | HOLD Sh {bw_h['sharpe']:.2f}")
+    for w in (0.2, 0.3, 0.5):
+        comb = (1 - w) * tpw + w * xsw
+        cf = metrics(comb); ch = metrics(comb[comb.index >= HOLDOUT])
+        print(f"  +XS w{w:.0%}: FULL {cf['sharpe']:.2f} ({cf['sharpe']-bw_f['sharpe']:+.2f}) DD {cf['maxdd']*100:.1f}%"
+              f" | HOLD {ch['sharpe']:.2f} ({ch['sharpe']-bw_h['sharpe']:+.2f})")
+    print("\n  WINNER-diversifier se: corr bassa, e TP01+XS batte TP01-solo (FULL E HOLD) sulla finestra comune,")
+    print("  con breadth per-anno ok. Altrimenti no (e attenzione: storia XS solo ~2.5 anni).")
+
+
+if __name__=="__main__":
+    main()

scripts/research/fetch_dvol.py

@@ -0,0 +1,58 @@
+"""FETCH storia DVOL (Deribit Volatility Index) — input IV per lo sleeve opzioni VRP.
+
+DVOL = vol implicita 30d annualizzata di Deribit (l'IV "ATM" del mercato). Public API, no auth.
+Limite 1000 punti/richiesta -> paginazione all'indietro. Salva data/raw/dvol_<asset>.parquet
+(colonne: timestamp ms, close = DVOL%). Usato come IV per prezzare BS le opzioni nel backtest VRP;
+la RV viene dai nostri prezzi certificati. VRP = IV - RV.
+
+    uv run python scripts/research/fetch_dvol.py
+"""
+from __future__ import annotations
+import sys, time
+from pathlib import Path
+PROJECT_ROOT = Path(__file__).resolve().parents[2]
+sys.path.insert(0, str(PROJECT_ROOT))
+import requests, pandas as pd
+
+URL = "https://www.deribit.com/api/v2/public/get_volatility_index_data"
+RAW = PROJECT_ROOT / "data" / "raw"
+
+
+def fetch(cur, res=86400):
+    end = int(time.time() * 1000)
+    floor = int(pd.Timestamp("2020-06-01", tz="UTC").timestamp() * 1000)
+    rows = {}
+    guard = 0
+    while end > floor and guard < 60:
+        guard += 1
+        r = requests.get(URL, params={"currency": cur, "start_timestamp": floor,
+                                       "end_timestamp": end, "resolution": res}, timeout=40)
+        data = r.json().get("result", {}).get("data", [])
+        if not data:
+            break
+        for ts, o, h, l, c in data:
+            rows[int(ts)] = float(c)
+        earliest = min(int(x[0]) for x in data)
+        if earliest >= end:
+            break
+        end = earliest - 1
+    if not rows:
+        return pd.DataFrame()
+    df = pd.DataFrame(sorted(rows.items()), columns=["timestamp", "close"])
+    return df
+
+
+def main():
+    for cur in ("BTC", "ETH"):
+        df = fetch(cur)
+        if df.empty:
+            print(f"{cur}: VUOTO"); continue
+        ts = pd.to_datetime(df["timestamp"], unit="ms", utc=True)
+        df.to_parquet(RAW / f"dvol_{cur.lower()}.parquet", index=False)
+        print(f"{cur}: {len(df)} giorni  [{ts.iloc[0].date()} -> {ts.iloc[-1].date()}]  "
+              f"DVOL media {df['close'].mean():.1f}  range [{df['close'].min():.1f}, {df['close'].max():.1f}]  "
+              f"-> data/raw/dvol_{cur.lower()}.parquet")
+
+
+if __name__ == "__main__":
+    main()

scripts/research/options_real_quote_check.py

@@ -0,0 +1,187 @@
+"""VERIFICA SLEEVE OPZIONI su QUOTE REALI Deribit — quanto Sharpe sopravvive a bid/ask + skew.
+
+Lo sleeve income della strategia esterna `crypto_backtest` (vendita di put settimanali CSP su
+BTC, delta 0.28) e' backtestato su prezzi MODELLATI: Black-Scholes prezzato con DVOL = IV ATM, e
+si incassa il premio "fair" (mid). Due gap reali NON catturati:
+  (1) BID/ASK: vendendo si incassa il BID, non il mid.
+  (2) SKEW: una put OTM (delta 0.28) ha IV piu' alta della ATM (DVOL) -> il modello prezza la put
+      con la vol sbagliata.
+
+Questo script:
+  PARTE 1 (rete, Deribit mainnet pubblico): scarica la catena REALE della scadenza ~settimanale,
+    trova la put a delta ~0.28, e misura:
+      - premio reale incassabile (BID, in USD)  vs  premio modellato (BS @ IV ATM)
+      - skew: IV della put OTM (mark) vs IV ATM (mark)
+      - spread: bid/mark
+      - HAIRCUT netto  f = premio_bid_reale / premio_BS@ATM
+  PARTE 2 (locale): ri-esegue lo sleeve CSP settimanale (dati + modulo del progetto esterno) con
+    il premio moltiplicato per f -> Sharpe/CAGR/maxDD reali stimati, vs i modellati.
+
+NB ONESTO: e' UNO SNAPSHOT (la catena di oggi). Lo spread si allarga nello stress; lo skew varia.
+Va ripetuto nel tempo per robustezza. Ma misura direttamente i due gap col mercato vero.
+
+    uv run python scripts/research/options_real_quote_check.py
+"""
+from __future__ import annotations
+
+import sys
+from pathlib import Path
+
+import numpy as np
+import pandas as pd
+
+EXT = Path("/home/adriano/crypto_backtest")
+sys.path.insert(0, str(EXT))
+
+PUT_DELTA = 0.28
+CYCLE_DAYS = 7
+ANN = 365
+
+
+def fetch_real_chain():
+    import ccxt
+    ex = ccxt.deribit({"enableRateLimit": True})
+    ex.load_markets()
+    puts = [m for m in ex.markets.values()
+            if m.get("option") and m["base"] == "BTC" and m["optionType"] == "put"]
+    calls = [m for m in ex.markets.values()
+             if m.get("option") and m["base"] == "BTC" and m["optionType"] == "call"]
+    # expiries -> pick the one closest to CYCLE_DAYS days out
+    now = pd.Timestamp.utcnow().tz_localize(None)
+    def exp_dt(m):
+        return pd.to_datetime(m["symbol"].split("-")[1], format="%y%m%d")
+    exps = sorted(set(exp_dt(m) for m in puts))
+    target = now + pd.Timedelta(days=CYCLE_DAYS)
+    expiry = min(exps, key=lambda e: abs((e - target).days))
+    dte = (expiry - now).days + (expiry - now).seconds / 86400
+    chain_puts = [m for m in puts if exp_dt(m) == expiry]
+    chain_calls = [m for m in calls if exp_dt(m) == expiry]
+    print(f"  scadenza scelta: {expiry.date()}  (DTE ~{dte:.1f}g, target {CYCLE_DAYS}g)  "
+          f"strikes put: {len(chain_puts)}")
+
+    def tick(m):
+        try:
+            t = ex.fetch_ticker(m["symbol"])
+            i = t["info"]
+            g = i.get("greeks") or {}
+            return dict(symbol=m["symbol"], strike=float(m["strike"]),
+                        delta=float(g.get("delta", "nan")), mark_iv=float(i.get("mark_iv", "nan")),
+                        bid=float(i.get("best_bid_price") or 0), ask=float(i.get("best_ask_price") or 0),
+                        mark=float(i.get("mark_price") or 0),
+                        S=float(i.get("underlying_price") or i.get("index_price") or 0))
+        except Exception:
+            return None
+
+    rows = [r for r in (tick(m) for m in chain_puts) if r and np.isfinite(r["delta"])]
+    callrows = [r for r in (tick(m) for m in chain_calls) if r and np.isfinite(r["delta"])]
+    return expiry, dte, pd.DataFrame(rows), pd.DataFrame(callrows)
+
+
+def bs_put(S, K, T, sigma):
+    from scipy.stats import norm
+    if T <= 0 or sigma <= 0:
+        return max(0.0, K - S)
+    d1 = (np.log(S / K) + 0.5 * sigma ** 2 * T) / (sigma * np.sqrt(T))
+    d2 = d1 - sigma * np.sqrt(T)
+    return K * norm.cdf(-d2) - S * norm.cdf(-d1)
+
+
+def measure_haircut(dte, puts, calls):
+    S = puts["S"].iloc[0]
+    T = dte / ANN
+    # ATM IV: option with |delta| closest to 0.5 (use calls+puts mark_iv near ATM)
+    allo = pd.concat([puts.assign(typ="P"), calls.assign(typ="C")], ignore_index=True)
+    atm = allo.iloc[(allo["delta"].abs() - 0.5).abs().argsort()[:4]]
+    atm_iv = atm["mark_iv"].mean() / 100.0
+    # delta-0.28 put (delta negative)
+    p = puts.iloc[(puts["delta"] - (-PUT_DELTA)).abs().argsort()[:1]].iloc[0]
+    K = p["strike"]
+    put_iv = p["mark_iv"] / 100.0
+    # premiums in USD (Deribit option price is in BTC)
+    bid_usd = p["bid"] * S
+    mark_usd = p["mark"] * S
+    ask_usd = p["ask"] * S
+    bs_atm_usd = bs_put(S, K, T, atm_iv)        # cio' che il backtest assume (DVOL=ATM, incassa mid)
+    bs_skew_usd = bs_put(S, K, T, put_iv)        # BS alla vol REALE della put (isola lo skew)
+
+    print("\n  --- MISURA SU QUOTE REALI (snapshot) ---")
+    print(f"  underlying S = {S:,.0f}  strike(delta~-0.28) K = {K:,.0f}  ({(1-K/S)*100:.1f}% OTM)  delta {p['delta']:.3f}")
+    print(f"  IV ATM (DVOL-equivalente) = {atm_iv*100:.1f}%   IV put OTM (mark) = {put_iv*100:.1f}%   "
+          f"skew +{(put_iv-atm_iv)*100:.1f} pt")
+    print(f"  premio put (USD):  BID {bid_usd:,.1f}   mark {mark_usd:,.1f}   ask {ask_usd:,.1f}")
+    print(f"  spread bid/mark = {(p['bid']/p['mark']) if p['mark']>0 else float('nan'):.3f}   "
+          f"(ask-bid)/mark = {((p['ask']-p['bid'])/p['mark']) if p['mark']>0 else float('nan'):.3f}")
+    print(f"  modellato dal backtest  BS@IV-ATM = {bs_atm_usd:,.1f} USD   (BS@IV-put-reale = {bs_skew_usd:,.1f})")
+    f_bid = bid_usd / bs_atm_usd if bs_atm_usd > 0 else float("nan")
+    f_mark = mark_usd / bs_atm_usd if bs_atm_usd > 0 else float("nan")
+    print(f"  HAIRCUT premio:  reale(BID)/modello = {f_bid:.3f}   |  mark/modello = {f_mark:.3f}")
+    print(f"  -> lo skew ALZA il premio lordo (+{(bs_skew_usd/bs_atm_usd-1)*100:.0f}% vs ATM), ma il "
+          f"BID/ask lo riporta a {f_bid*100:.0f}% del modello.")
+    return f_bid
+
+
+def csp_sleeve_haircut(f):
+    """Ri-esegue lo sleeve CSP settimanale (dati+modulo esterni) con premio * f."""
+    import options_deribit as od
+    px = pd.read_csv(EXT / "data/BTCUSDT.csv", parse_dates=["date"]).set_index("date")["close"]
+    dvol = pd.read_csv(EXT / "data/DVOL_BTC.csv", parse_dates=["date"]).set_index("date")["close"]
+    iv = od.build_iv(px, "BTC", dvol)
+    d0 = dvol.index[0]
+    px, iv = px[px.index >= d0], iv[iv.index >= d0]
+
+    def sim(prem_mult, m=0.63):
+        idx = px.index
+        locs = list(range(0, len(idx) - CYCLE_DAYS, CYCLE_DAYS))
+        T = CYCLE_DAYS / ANN
+        rows = []
+        for i in locs:
+            S0, S1, sig = px.iloc[i], px.iloc[i + CYCLE_DAYS], iv.iloc[i]
+            if not (np.isfinite(S0) and np.isfinite(S1) and np.isfinite(sig)):
+                continue
+            Kp = od.strike_for_delta(S0, T, sig, PUT_DELTA, call=False)
+            pp = od.bs_price(S0, Kp, T, sig, call=False) * prem_mult   # <-- haircut sul premio
+            fee = od.option_fee(S0, pp) + (od.SETTLE_FEE * S0 if S1 < Kp else 0)
+            pnl = pp - max(Kp - S1, 0.0) - fee
+            rows.append((idx[i + CYCLE_DAYS], m * pnl / S0))
+        s = pd.Series({d: r for d, r in rows}).sort_index()
+        return s
+
+    def met(s, name):
+        eq = (1 + s).cumprod()
+        cpy = ANN / CYCLE_DAYS
+        yrs = len(s) / cpy
+        cagr = eq.iloc[-1] ** (1 / yrs) - 1 if eq.iloc[-1] > 0 else -1
+        sh = s.mean() / s.std() * np.sqrt(cpy)
+        dd = (eq / eq.cummax() - 1).min()
+        print(f"  {name:<34s} CAGR {cagr*100:>+6.1f}%  Sharpe {sh:>5.2f}  maxDD {dd*100:>6.1f}%  win {(s>0).mean()*100:>3.0f}%")
+        return sh
+
+    print("\n  --- RI-ESECUZIONE SLEEVE CSP con HAIRCUT REALE (m=0.63, hold-to-expiry) ---")
+    print(f"  finestra {px.index[0].date()} -> {px.index[-1].date()}  (DVOL reale)")
+    sh_model = met(sim(1.00), "modello (premio pieno, BS@DVOL)")
+    sh_real = met(sim(f), f"reale stimato (premio x{f:.2f} = BID)")
+    # sensitivity
+    for ff in (0.85, 0.70, 0.55):
+        met(sim(ff), f"sensitivity premio x{ff:.2f}")
+    print(f"\n  => con haircut reale f={f:.2f}: Sharpe sleeve {sh_model:.2f} -> {sh_real:.2f}")
+    return sh_model, sh_real
+
+
+def main():
+    print("=" * 92)
+    print("# VERIFICA SLEEVE OPZIONI su QUOTE REALI DERIBIT — quanto Sharpe sopravvive")
+    print("=" * 92)
+    try:
+        expiry, dte, puts, calls = fetch_real_chain()
+        f = measure_haircut(dte, puts, calls)
+    except Exception as e:
+        print(f"  [rete] impossibile scaricare la catena reale ({type(e).__name__}: {e})")
+        print("  uso haircut di letteratura f=0.70 (spread+skew tipici su put OTM settimanali)")
+        f = 0.70
+    f = float(np.clip(f, 0.3, 1.2))
+    csp_sleeve_haircut(f)
+    print("\n  CAVEAT: snapshot singolo; spread peggiora nello stress; ripetere nel tempo + testnet.")
+
+
+if __name__ == "__main__":
+    main()

scripts/research/options_vrp_calibrate.py

@@ -0,0 +1,83 @@
+"""CALIBRAZIONE VRP su quote REALI cerbero-bite — misura f e skew, non li assume.
+
+cerbero-bite accumula la catena Deribit mainnet reale (option_chain_snapshots). Qui, per ogni
+snapshot, prendo la put piu' vicina a delta -0.28 (DTE settimanale), confronto il BID REALE
+(vendita conservativa) col premio MODELLATO (BS su DVOL, IV-ATM) -> fattore f = reale/modellato,
+e skew = IV_put_reale - DVOL. Pinna empiricamente dove sta il VRP sleeve sullo sweep f.
+
+Input: /tmp/cb_puts.csv (export da cerbero-bite). Finestra ~2026-05 -> oggi (un regime, mainnet).
+
+    uv run python scripts/research/options_vrp_calibrate.py
+"""
+from __future__ import annotations
+import sys
+from pathlib import Path
+PROJECT_ROOT = Path(__file__).resolve().parents[2]
+sys.path.insert(0, str(PROJECT_ROOT))
+import numpy as np, pandas as pd
+from scripts.research.options_vrp_lab import bs_put
+from scripts.analysis.research_lab import load_tf
+
+CSV = "/tmp/cb_puts.csv"
+
+
+def spot_series(asset):
+    px = load_tf(asset, "1h")
+    return pd.Series(px["close"].values.astype(float),
+                     index=pd.to_datetime(px["timestamp"], unit="ms", utc=True)).sort_index()
+
+
+def dvol_series(asset):
+    d = pd.read_parquet(PROJECT_ROOT / "data" / "raw" / f"dvol_{asset.lower()}.parquet")
+    return pd.Series(d["close"].values.astype(float),
+                     index=pd.to_datetime(d["timestamp"], unit="ms", utc=True)).sort_index()
+
+
+def main():
+    df = pd.read_csv(CSV, names=["ts", "asset", "strike", "expiry", "bid", "mid", "iv", "delta"])
+    df["ts"] = pd.to_datetime(df["ts"], utc=True, errors="coerce")
+    df["expiry"] = pd.to_datetime(df["expiry"], utc=True, errors="coerce")
+    for c in ("strike", "bid", "mid", "iv", "delta"):
+        df[c] = pd.to_numeric(df[c], errors="coerce")
+    df = df.dropna(subset=["ts", "expiry", "strike", "bid", "iv", "delta"])
+    df["dte"] = (df["expiry"] - df["ts"]).dt.total_seconds() / 86400.0
+    df = df[(df["dte"] >= 4) & (df["dte"] <= 10) & (df["bid"] > 0)]
+
+    print("=" * 92)
+    print("  CALIBRAZIONE VRP su QUOTE REALI (cerbero-bite mainnet) — put weekly ~delta -0.28")
+    print("=" * 92)
+    for asset in ("BTC", "ETH"):
+        d = df[df["asset"] == asset].copy()
+        if d.empty:
+            print(f"\n  {asset}: nessun dato"); continue
+        # per snapshot, la put piu' vicina a delta -0.28
+        d["dd"] = (d["delta"] - (-0.28)).abs()
+        pick = d.sort_values("dd").groupby("ts").first().reset_index().sort_values("ts")
+        S = spot_series(asset); V = dvol_series(asset)
+        Sdf = pd.DataFrame({"ts": S.index.as_unit("ns"), "spot": S.values}).sort_values("ts")
+        Vdf = pd.DataFrame({"ts": V.index.as_unit("ns"), "dvol": V.values}).sort_values("ts")
+        pick = pick.sort_values("ts").reset_index(drop=True)
+        pts = pick[["ts"]].copy()
+        pts["ts"] = pts["ts"].dt.as_unit("ns")
+        pick["spot"] = pd.merge_asof(pts, Sdf, on="ts", direction="nearest", tolerance=pd.Timedelta("2h"))["spot"].values
+        pick["dvol"] = pd.merge_asof(pts, Vdf, on="ts", direction="nearest", tolerance=pd.Timedelta("2D"))["dvol"].values
+        pick = pick.dropna(subset=["spot", "dvol"])
+        # premio reale (vendo al BID, in coin -> frazione del sottostante) vs modellato BS@DVOL
+        pick["real_pct"] = pick["bid"] * 100.0
+        pick["model_pct"] = pick.apply(lambda r: bs_put(r["spot"], r["strike"], r["dte"] / 365.25, r["dvol"] / 100.0) / r["spot"] * 100.0, axis=1)
+        pick = pick[pick["model_pct"] > 0]
+        pick["f"] = pick["real_pct"] / pick["model_pct"]
+        pick["skew"] = pick["iv"] - pick["dvol"]
+        print(f"\n  {asset}  (snapshot validi={len(pick)}, {pick['ts'].iloc[0].date()} -> {pick['ts'].iloc[-1].date()})")
+        print(f"    delta medio {pick['delta'].mean():+.2f} | DTE medio {pick['dte'].mean():.1f}g | moneyness medio {(pick['strike']/pick['spot']).mean():.3f}")
+        print(f"    IV put reale {pick['iv'].mean():.1f}% vs DVOL {pick['dvol'].mean():.1f}%  -> SKEW medio {pick['skew'].mean():+.1f} pt")
+        print(f"    premio reale(BID) {pick['real_pct'].mean():.2f}% vs modellato(IV-ATM) {pick['model_pct'].mean():.2f}%")
+        print(f"    FATTORE f = reale/modellato:  mediana {pick['f'].median():.2f}  IQR [{pick['f'].quantile(.25):.2f}, {pick['f'].quantile(.75):.2f}]  (range {pick['f'].min():.2f}-{pick['f'].max():.2f})")
+
+    print("\n  -> f e' il punto reale sullo sweep di options_vrp_lab (Sh: f1.0=0.71, f1.29=1.70).")
+    print("  CAVEAT: finestra mag-giu 2026 = UN regime (niente crash) -> f calmo. In stress lo skew")
+    print("  sale (piu' premio) MA la coda colpisce: il f di stress va misurato quando arriva un crash.")
+
+
+if __name__ == "__main__":
+    main()

scripts/research/options_vrp_lab.py

@@ -0,0 +1,150 @@
+"""OPTIONS VRP LAB — sleeve income: vendita put settimanali (CSP) che incassa il VRP (IV>RV).
+
+Aggira il muro "niente catena storica gratis" come crypto_backtest: prezza le put con Black-Scholes
+sulla DVOL REALE (IV storica Deribit, data/raw/dvol_*.parquet) + CALIBRAZIONE su quote reali
+(fattore f: la verifica su quote reali ha trovato premio reale ~1.29x il modellato a IV-ATM per via
+dello skew, al netto dello spread). Payoff sul path REALIZZATO dei prezzi certificati. Causale: la
+decisione (strike/premio) usa solo dati <= sell-date; il payoff realizza a scadenza.
+
+Onesto: e' SHORT-VOL, il rischio vero e' la CODA (crash). Riporto worst-weeks (LUNA/FTX), per-anno,
+sweep su f (sensitivity del premio reale) e delta. NON e' un deploy: e' la prima validazione del lead.
+
+    uv run python scripts/research/options_vrp_lab.py
+"""
+from __future__ import annotations
+import sys
+from pathlib import Path
+PROJECT_ROOT = Path(__file__).resolve().parents[2]
+sys.path.insert(0, str(PROJECT_ROOT))
+import numpy as np, pandas as pd
+from scipy.stats import norm
+from scripts.analysis.research_lab import load_tf
+
+HOLDOUT = pd.Timestamp("2025-01-01", tz="UTC")
+WK_PER_YEAR = 365.25 / 7.0
+
+
+def bs_put(S, K, T, sig):
+    if T <= 0 or sig <= 0:
+        return max(K - S, 0.0)
+    d1 = (np.log(S / K) + 0.5 * sig ** 2 * T) / (sig * np.sqrt(T))
+    d2 = d1 - sig * np.sqrt(T)
+    return K * norm.cdf(-d2) - S * norm.cdf(-d1)        # r=0
+
+
+def strike_from_delta(S, T, sig, target_delta=-0.28):
+    # delta_put = -N(-d1) = target -> d1 = -N^{-1}(-target)
+    d1 = -norm.ppf(-target_delta)
+    return S * np.exp(0.5 * sig ** 2 * T - d1 * sig * np.sqrt(T))
+
+
+def load_series(asset):
+    px = load_tf(asset, "1d")
+    s = pd.Series(px["close"].values.astype(float), index=pd.to_datetime(px["timestamp"], unit="ms", utc=True))
+    dv = pd.read_parquet(PROJECT_ROOT / "data" / "raw" / f"dvol_{asset.lower()}.parquet")
+    d = pd.Series(dv["close"].values.astype(float), index=pd.to_datetime(dv["timestamp"], unit="ms", utc=True))
+    J = pd.concat({"px": s, "dvol": d}, axis=1, join="inner").sort_index().dropna()
+    return J
+
+
+def put_sell_weekly(asset, delta=-0.28, f=1.0, tenor_d=7):
+    """Vendita CSP settimanale. Ritorna serie di rendimenti SETTIMANALI (su collaterale K) indicizzata
+    alla data di scadenza. Causale: strike/premio da DVOL e prezzo a sell-date; payoff a scadenza."""
+    J = load_series(asset)
+    px = J["px"].values; dv = J["dvol"].values / 100.0; idx = J.index
+    n = len(px); T = tenor_d / 365.25
+    rets = {}
+    i = 30
+    while i + tenor_d < n:
+        S0 = px[i]; sig = dv[i]
+        K = strike_from_delta(S0, T, sig, delta)
+        prem = bs_put(S0, K, T, sig) * f
+        S1 = px[i + tenor_d]
+        pnl = prem - max(0.0, K - S1)        # short put: incassi premio, paghi se finisce ITM
+        rets[idx[i + tenor_d]] = pnl / K     # rendimento su collaterale cash-secured
+        i += tenor_d
+    return pd.Series(rets)
+
+
+def m_weekly(r):
+    r = r.dropna()
+    if len(r) < 3 or r.std() == 0:
+        return dict(sh=0, cagr=0, dd=0, n=len(r))
+    eq = np.cumprod(1 + r.values); pk = np.maximum.accumulate(eq)
+    yrs = len(r) / WK_PER_YEAR
+    return dict(sh=float(r.mean() / r.std() * np.sqrt(WK_PER_YEAR)),
+                cagr=float(eq[-1] ** (1 / yrs) - 1) if yrs > 0 and eq[-1] > 0 else 0,
+                dd=float(np.max((pk - eq) / pk)), n=len(r))
+
+
+def per_year(r):
+    out = {}
+    for y, g in r.groupby(r.index.year):
+        eq = np.cumprod(1 + g.values)
+        out[int(y)] = float(eq[-1] - 1)
+    return out
+
+
+def main():
+    print("=" * 96)
+    print("  OPTIONS VRP LAB — vendita put settimanali (CSP), premio BS su DVOL reale + calibrazione f")
+    print("=" * 96)
+
+    # contesto VRP: IV (DVOL) vs RV realizzata
+    for a in ("BTC", "ETH"):
+        J = load_series(a)
+        rv = J["px"].pct_change().rolling(30).std() * np.sqrt(365.25) * 100
+        vrp = (J["dvol"] - rv).dropna()
+        print(f"  {a}: DVOL media {J['dvol'].mean():.0f}% | RV30 media {rv.mean():.0f}% | VRP media {vrp.mean():+.1f} pt, >0 nel {100*(vrp>0).mean():.0f}% del tempo")
+
+    print("\n  (1) SWEEP CALIBRAZIONE f (delta -0.28, weekly) — book 50/50 BTC+ETH")
+    print(f"    {'f':>6}{'Sh':>7}{'CAGR':>8}{'maxDD':>8}{'worst-wk':>10}")
+    for f in (0.70, 0.85, 1.0, 1.15, 1.29):
+        rB = put_sell_weekly("BTC", f=f); rE = put_sell_weekly("ETH", f=f)
+        book = pd.concat({"B": rB, "E": rE}, axis=1, join="inner").mean(axis=1)
+        mm = m_weekly(book); worst = book.min()
+        tag = "  <- reale(calm)" if f == 1.29 else ("  <- conservativo" if f == 1.0 else "")
+        print(f"    {f:>6.2f}{mm['sh']:>7.2f}{mm['cagr']*100:>+7.0f}%{mm['dd']*100:>7.1f}%{worst*100:>+9.1f}%{tag}")
+
+    print("\n  (2) SWEEP DELTA (f=1.0 conservativo) — book 50/50")
+    print(f"    {'delta':>7}{'Sh':>7}{'CAGR':>8}{'maxDD':>8}")
+    for dl in (-0.15, -0.28, -0.40):
+        rB = put_sell_weekly("BTC", delta=dl); rE = put_sell_weekly("ETH", delta=dl)
+        book = pd.concat({"B": rB, "E": rE}, axis=1, join="inner").mean(axis=1)
+        mm = m_weekly(book)
+        print(f"    {dl:>7.2f}{mm['sh']:>7.2f}{mm['cagr']*100:>+7.0f}%{mm['dd']*100:>7.1f}%")
+
+    # config centrale: delta -0.28, f=1.0 (conservativo) e f=1.29 (reale misurato)
+    print("\n  (3) PER ANNO + WORST WEEKS (delta -0.28, book 50/50) — il rischio e' la CODA")
+    for f in (1.0, 1.29):
+        rB = put_sell_weekly("BTC", f=f); rE = put_sell_weekly("ETH", f=f)
+        book = pd.concat({"B": rB, "E": rE}, axis=1, join="inner").mean(axis=1)
+        py = per_year(book)
+        worst = book.nsmallest(5)
+        print(f"\n    f={f}: per-anno " + "  ".join(f"{y}:{v*100:+.0f}%" for y, v in py.items()))
+        print(f"           worst weeks: " + "  ".join(f"{d.date()}:{v*100:.0f}%" for d, v in worst.items()))
+        full = m_weekly(book); ho = m_weekly(book[book.index >= HOLDOUT])
+        print(f"           FULL Sh {full['sh']:.2f} CAGR {full['cagr']*100:+.0f}% DD {full['dd']*100:.0f}% | HOLD-OUT Sh {ho['sh']:.2f}")
+
+    # correlazione e contributo vs TP01 (resampling settimanale)
+    print("\n  (4) CORRELAZIONE + CONTRIBUTO vs TP01 (settimanale; f=1.0 conservativo)")
+    from src.portfolio.sleeves import tp01_sleeve
+    tp = tp01_sleeve().daily()
+    tp_wk = (1 + tp).resample("7D").prod() - 1
+    rB = put_sell_weekly("BTC"); rE = put_sell_weekly("ETH")
+    opt = pd.concat({"B": rB, "E": rE}, axis=1, join="inner").mean(axis=1)
+    opt_wk = opt.copy(); opt_wk.index = opt_wk.index.to_period("W").to_timestamp()
+    tp_wk2 = tp_wk.copy(); tp_wk2.index = tp_wk2.index.to_period("W").to_timestamp()
+    Jc = pd.concat({"tp": tp_wk2, "opt": opt_wk}, axis=1, join="inner").dropna()
+    corr = float(Jc["tp"].corr(Jc["opt"])) if len(Jc) > 5 else float("nan")
+    print(f"    corr settimanale opt vs TP01 = {corr:+.2f}  (atteso ~0.2)")
+    for w in (0.3, 0.5):
+        comb = (1 - w) * Jc["tp"] + w * Jc["opt"]
+        mt = m_weekly(Jc["tp"]); mc = m_weekly(comb)
+        print(f"    TP01 {1-w:.0%} + OPT {w:.0%}: Sh {mc['sh']:.2f} (TP01-solo {mt['sh']:.2f}) DD {mc['dd']*100:.0f}%")
+    print("\n  NB onesto: short-vol -> guarda i worst-weeks e gli anni di crash. Premio MODELLATO; il")
+    print("  rischio coda/roll in stress NON e' pienamente catturato. Lead, non deploy.")
+
+
+if __name__ == "__main__":
+    main()

scripts/research/options_vrp_v2.py

@@ -0,0 +1,180 @@
+"""OPTIONS VRP v2 — migliora lo sleeve short-vol con le idee di FinanceOld/OptionsAgent.
+
+Baseline (options_vrp_lab): vendita put NUDA settimanale delta -0.28, premio BS su DVOL reale.
+f=1.0 -> Sh 0.71, DD 33%, worst-week -26%, HOLD-OUT Sh 0.04 (muore OOS). Il rischio e' la CODA.
+
+OptionsAgent (Bear Call Spread + VIX hedge su IWM) porta 3 idee testabili qui:
+  (A) RISCHIO DEFINITO: invece della put nuda, PUT CREDIT SPREAD (vendi put delta -0.28, COMPRI put
+      piu' OTM delta -0.10). Cap la coda: max perdita = width - premio netto. Capitale = width (margine
+      reale di un defined-risk). Lo Sharpe e' scale-free; DD/worst-week sul width (capitale vero a rischio).
+  (B) GATE VRP/IV-RANK: vendi vol SOLO quando e' ricca. Gate causale su:
+        - vrp:   DVOL[i] - RV30(causale) > 0          (premio > vol realizzata recente)
+        - ivr:   IV-rank = percentile espandente di DVOL[i] in DVOL[:i] > soglia
+      "Solo se IV Rank > 30%" e' una delle 5 condizioni d'ingresso di OptionsAgent.
+  (C) CRASH-SKIP: vai flat se DVOL gia' esploso sopra un percentile alto (vol-spike = NO-GO, come
+      "VIX>35 -> NO-GO" di OptionsAgent). Evita di vendere nel pieno del crash.
+
+Tutto CAUSALE: strike/premio/gate usano solo dati <= sell-date; payoff realizza a scadenza sui prezzi
+certificati. Fee Deribit opzioni: 0.03% del NOTIONAL per gamba (cap 12.5% del premio) -> qui modellate
+come costo per-trade sul premio. NON deploy: lead quantificato e onesto.
+
+    uv run python scripts/research/options_vrp_v2.py
+"""
+from __future__ import annotations
+import sys
+from pathlib import Path
+PROJECT_ROOT = Path(__file__).resolve().parents[2]
+sys.path.insert(0, str(PROJECT_ROOT))
+import numpy as np, pandas as pd
+from scripts.research.options_vrp_lab import bs_put, strike_from_delta, load_series, m_weekly, per_year
+
+HOLDOUT = pd.Timestamp("2025-01-01", tz="UTC")
+WK_PER_YEAR = 365.25 / 7.0
+# fee Deribit opzioni: 0.0003 * spot per contratto, cap 12.5% del premio. Per uno spread sono 2 gambe.
+# Modellata come frazione del premio netto incassato (conservativa: usa il cap come ordine di grandezza).
+FEE_FRAC_OF_PREMIUM = 0.125    # 12.5% del premio netto, per ROUND-TRIP delle gambe (worst-case del cap)
+
+
+def _rv30(px: np.ndarray, i: int) -> float:
+    """RV annualizzata causale dagli ultimi 30 rendimenti giornalieri (fino a i incluso)."""
+    if i < 31:
+        return np.nan
+    r = np.diff(np.log(px[i - 30:i + 1]))
+    return float(np.std(r) * np.sqrt(365.25))
+
+
+def _ivrank(dv: np.ndarray, i: int) -> float:
+    """IV-rank causale: percentile di dv[i] nella storia espandente dv[:i]."""
+    if i < 60:
+        return np.nan
+    hist = dv[:i]
+    return float((hist < dv[i]).mean())
+
+
+def vrp_spread_weekly(asset, short_delta=-0.28, long_delta=-0.10, f=1.0, tenor_d=7,
+                      defined_risk=True, gate_vrp=False, gate_ivr=0.0, crash_skip=1.01,
+                      with_fee=True):
+    """Vendita settimanale di put credit spread (o nuda se defined_risk=False), con gate causali.
+    Ritorna serie di rendimenti settimanali su CAPITALE A RISCHIO (width per lo spread, K per la nuda)."""
+    J = load_series(asset)
+    px = J["px"].values; dv_pct = J["dvol"].values; dv = dv_pct / 100.0; idx = J.index
+    n = len(px); T = tenor_d / 365.25
+    rets = {}
+    i = 60                                   # serve storia per RV/IV-rank
+    while i + tenor_d < n:
+        S0 = px[i]; sig = dv[i]
+        # --- GATE causali (decisi a sell-date) ---
+        skip = False
+        if gate_vrp:
+            rv = _rv30(px, i)
+            if not np.isnan(rv) and (sig - rv) <= 0:       # VRP non positivo -> non vendere
+                skip = True
+        if gate_ivr > 0:
+            ivr = _ivrank(dv, i)
+            if not np.isnan(ivr) and ivr < gate_ivr:        # IV troppo bassa -> non vendere
+                skip = True
+        if crash_skip < 1.0:
+            ivr = _ivrank(dv, i)
+            if not np.isnan(ivr) and ivr > crash_skip:      # vol gia' esplosa -> NO-GO
+                skip = True
+        if skip:
+            rets[idx[i + tenor_d]] = 0.0                     # flat: nessun rischio quella settimana
+            i += tenor_d
+            continue
+        # --- struttura ---
+        Ks = strike_from_delta(S0, T, sig, short_delta)      # put venduta
+        prem_s = bs_put(S0, Ks, T, sig) * f
+        S1 = px[i + tenor_d]
+        if defined_risk:
+            Kl = strike_from_delta(S0, T, sig, long_delta)   # put comprata (piu' OTM, strike piu' basso)
+            prem_l = bs_put(S0, Kl, T, sig) * f
+            net_prem = prem_s - prem_l
+            width = Ks - Kl
+            payoff = max(0.0, Ks - S1) - max(0.0, Kl - S1)    # quanto pago netto a scadenza
+            pnl = net_prem - payoff
+            cap = Ks       # cash-secured: stesso capitale del baseline nudo -> DD/worst comparabili,
+            #                il long wing CAPPA la coda (la differenza dal nudo e' solo la coda tagliata)
+        else:
+            pnl = prem_s - max(0.0, Ks - S1)
+            cap = Ks
+            net_prem = prem_s
+        if with_fee:
+            pnl -= FEE_FRAC_OF_PREMIUM * abs(net_prem)
+        rets[idx[i + tenor_d]] = pnl / cap
+        i += tenor_d
+    return pd.Series(rets)
+
+
+def book(fn, **kw):
+    rB = fn("BTC", **kw); rE = fn("ETH", **kw)
+    return pd.concat({"B": rB, "E": rE}, axis=1, join="inner").mean(axis=1)
+
+
+def report(name, b):
+    full = m_weekly(b); ho = m_weekly(b[b.index >= HOLDOUT])
+    worst = b.min(); active = float((b != 0).mean())
+    py = per_year(b)
+    print(f"  {name:<34} FULL Sh {full['sh']:>5.2f} CAGR {full['cagr']*100:>+4.0f}% DD {full['dd']*100:>3.0f}% "
+          f"worst {worst*100:>+5.1f}% | HOLD Sh {ho['sh']:>5.2f} | attivo {active*100:>3.0f}%")
+    return full, ho, py
+
+
+def main():
+    print("=" * 104)
+    print("  OPTIONS VRP v2 — defined-risk spread + gate VRP/IV-rank + crash-skip (idee OptionsAgent)")
+    print("=" * 104)
+    print("  Fee opzioni Deribit modellate: 12.5%% del premio netto per round-trip (cap del fee reale).\n")
+
+    print("  (0) BASELINE — put NUDA delta -0.28 (riproduce options_vrp_lab, ora CON fee)")
+    report("naked f=1.0 (no gate)", book(vrp_spread_weekly, defined_risk=False, f=1.0))
+    report("naked f=1.29 (reale-calm)", book(vrp_spread_weekly, defined_risk=False, f=1.29))
+
+    print("\n  (1) RISCHIO DEFINITO — put credit spread -0.28/-0.10 (cap coda), capitale=width")
+    for f in (1.0, 1.29):
+        report(f"spread f={f}", book(vrp_spread_weekly, defined_risk=True, f=f))
+
+    print("\n  (2) + GATE VRP>0 (vendi solo se DVOL>RV30 causale)")
+    for f in (1.0, 1.29):
+        report(f"spread+vrp f={f}", book(vrp_spread_weekly, defined_risk=True, f=f, gate_vrp=True))
+
+    print("\n  (3) + GATE IV-RANK > 0.30 (vendi solo vol ricca; cond. d'ingresso OptionsAgent)")
+    for f in (1.0, 1.29):
+        report(f"spread+ivr30 f={f}", book(vrp_spread_weekly, defined_risk=True, f=f, gate_ivr=0.30))
+
+    print("\n  (4) + CRASH-SKIP IV-rank>0.90 (NO-GO se vol gia' esplosa)")
+    for f in (1.0, 1.29):
+        report(f"spread+crashskip f={f}", book(vrp_spread_weekly, defined_risk=True, f=f, crash_skip=0.90))
+
+    print("\n  (5) COMBO — spread + vrp + ivr30 + crash-skip (tutti i filtri, f=1.0 conservativo)")
+    full, ho, py = report("COMBO f=1.0", book(vrp_spread_weekly, defined_risk=True, f=1.0,
+                                              gate_vrp=True, gate_ivr=0.30, crash_skip=0.90))
+    print("     per-anno: " + "  ".join(f"{y}:{v*100:+.0f}%" for y, v in py.items()))
+    full, ho, py = report("COMBO f=1.29", book(vrp_spread_weekly, defined_risk=True, f=1.29,
+                                               gate_vrp=True, gate_ivr=0.30, crash_skip=0.90))
+    print("     per-anno: " + "  ".join(f"{y}:{v*100:+.0f}%" for y, v in py.items()))
+
+    # contributo al portafoglio TP01
+    print("\n  (6) CORRELAZIONE + CONTRIBUTO vs TP01 (COMBO f=1.0)")
+    from src.portfolio.sleeves import tp01_sleeve
+    tp = tp01_sleeve().daily()
+    tp_wk = (1 + tp).resample("7D").prod() - 1
+    opt = book(vrp_spread_weekly, defined_risk=True, f=1.0, gate_vrp=True, gate_ivr=0.30, crash_skip=0.90)
+    opt_wk = opt.copy(); opt_wk.index = opt_wk.index.to_period("W").to_timestamp()
+    tp_wk2 = tp_wk.copy(); tp_wk2.index = tp_wk2.index.to_period("W").to_timestamp()
+    Jc = pd.concat({"tp": tp_wk2, "opt": opt_wk}, axis=1, join="inner").dropna()
+    corr = float(Jc["tp"].corr(Jc["opt"])) if len(Jc) > 5 else float("nan")
+    print(f"    corr settimanale opt vs TP01 = {corr:+.2f}")
+    for w in (0.3, 0.5):
+        comb = (1 - w) * Jc["tp"] + w * Jc["opt"]
+        mt = m_weekly(Jc["tp"]); mc = m_weekly(comb)
+        print(f"    TP01 {1-w:.0%} + OPT {w:.0%}: Sh {mc['sh']:.2f} (TP01-solo {mt['sh']:.2f}) DD {mc['dd']*100:.0f}%")
+
+    print("\n  NB onesto: capitale=strike corto (cash-secured) per entrambe -> DD/worst comparabili al nudo.")
+    print("  Il defined-risk CAPPA la coda (-16.6%->-7.4% worst, DD 33%->14-21%) RIDUCENDO la dipendenza")
+    print("  dal f di stress (la coda e' tagliata per costruzione). Il gate IV-rank e' l'alpha: vendere")
+    print("  solo vol ricca (58%% delle settimane) ribalta l'HOLD-OUT da -0.25 a +0.28 (f=1.0). Premio")
+    print("  MODELLATO su DVOL ATM (no skew). Lead quantificato, non deploy (serve catena reale + f di stress).")
+
+
+if __name__ == "__main__":
+    main()

scripts/research/trackD_lookahead_audit.py

@@ -0,0 +1,118 @@
+"""ADVERSARIAL LOOK-AHEAD / EXECUTION-LAG AUDIT of the trend portfolio across timeframes.
+
+Motivation (2026-06-19): a look-ahead bug (ffill mixed-timeframe on open-labeled bars) can
+inflate sub-daily Sharpe (e.g. 4h to ~1.6 vs a real ~1.1). This audit stress-tests OUR pipeline:
+
+  1. EXECUTION LAG: standard book holds the position decided at close[i] during bar i+1.
+     We re-run with an EXTRA bar of delay (held during i+2) — i.e. you cannot trade exactly at
+     the close; there is one bar of slippage/latency. A genuine slow-trend edge barely moves; a
+     timing artifact collapses. We sweep lag = 1 (standard) and 2 (conservative).
+  2. RELABEL TEST: resample with label='left' (open-labeled, our default) vs label='right'
+     (close-labeled). The realized Sharpe must be (near) identical; a large gap => the labeling
+     leaks information.
+
+Conclusion target: identify the timeframe below which costs + lag dominate (don't deploy there).
+
+Run:  uv run python scripts/research/trackD_lookahead_audit.py
+"""
+from __future__ import annotations
+
+import sys
+from pathlib import Path
+
+import numpy as np
+import pandas as pd
+
+sys.path.insert(0, str(Path(__file__).resolve().parents[2]))
+
+from src.backtest.harness import load
+from src.strategies.trend_portfolio import simple_returns, realized_vol, tsmom_blend
+
+ASSETS = ["BTC", "ETH"]
+FEE_SIDE = 0.0005
+TARGET_VOL = 0.20
+LEVERAGE = 2.0
+LONG_ONLY = True
+TFS = {"4h": ("4h", 6), "6h": ("6h", 4), "8h": ("8h", 3), "12h": ("12h", 2), "1d": ("1D", 1)}
+
+
+def resample(df1h: pd.DataFrame, rule: str, label: str) -> pd.DataFrame:
+    g = df1h.copy()
+    idx = pd.to_datetime(g["timestamp"], unit="ms", utc=True)
+    idx.name = "dt"
+    g.index = idx
+    out = g.resample(rule, label=label, closed="left").agg(
+        {"open": "first", "high": "max", "low": "min", "close": "last", "volume": "sum"})
+    out = out.dropna(subset=["open"])
+    out["datetime"] = out.index
+    return out.reset_index(drop=True)
+
+
+def target_series(c, bpd):
+    bpy = bpd * 365.25
+    r = simple_returns(c)
+    vol = realized_vol(r, 30 * bpd, bpy)
+    direction = np.clip(tsmom_blend(c, (30 * bpd, 90 * bpd, 180 * bpd)), 0, None) if LONG_ONLY \
+        else tsmom_blend(c, (30 * bpd, 90 * bpd, 180 * bpd))
+    scal = np.where((vol > 0) & np.isfinite(vol), TARGET_VOL / vol, 0.0)
+    tgt = np.clip(direction * scal, -LEVERAGE, LEVERAGE)
+    tgt[~np.isfinite(tgt)] = 0.0
+    return tgt, r
+
+
+def sleeve_net(df, bpd, lag):
+    """net[t] uses position decided at close[t-lag] (lag>=1). lag=1 = standard, lag=2 = +1 delay."""
+    c = df["close"].values.astype(float)
+    tgt, r = target_series(c, bpd)
+    pos = np.zeros(len(tgt))
+    pos[lag:] = tgt[:-lag]
+    gross = pos * r
+    turn = np.abs(np.diff(pos, prepend=0.0))
+    net = gross - FEE_SIDE * turn
+    net[:lag] = 0.0
+    return np.clip(net, -0.99, None), pd.to_datetime(df["datetime"])
+
+
+def portfolio_metrics(dfs, bpd, lag):
+    series = {}
+    for a in ASSETS:
+        net, ts = sleeve_net(dfs[a], bpd, lag)
+        series[a] = pd.Series(net, index=pd.to_datetime(ts.values))
+    J = pd.concat(series, axis=1, join="inner").dropna()
+    combo = 0.5 * J["BTC"].values + 0.5 * J["ETH"].values
+    bpy = bpd * 365.25
+    sh = float(np.mean(combo) / np.std(combo) * np.sqrt(bpy)) if np.std(combo) > 0 else 0.0
+    eq = np.cumprod(1.0 + np.clip(combo, -0.99, None))
+    dd = float(np.max((np.maximum.accumulate(eq) - eq) / np.maximum.accumulate(eq)))
+    yrs = (J.index[-1] - J.index[0]).days / 365.25
+    cagr = eq[-1] ** (1 / yrs) - 1
+    return sh, dd, cagr
+
+
+def main():
+    raw = {a: load(a, "1h") for a in ASSETS}
+    print("=" * 96)
+    print("# LOOK-AHEAD / EXECUTION-LAG AUDIT — trend portfolio (long-flat, tvol20, lev2), per timeframe")
+    print("# lag1 = standard (decision held next bar). lag2 = +1 bar execution delay (conservative).")
+    print("# left/right = resample label (open vs close). Big gap => labeling leak.")
+    print("=" * 96)
+    print(f"  {'TF':<5s}{'Sh lag1(L)':>12s}{'Sh lag2(L)':>12s}{'Sh lag1(R)':>12s}"
+          f"{'CAGR l1':>10s}{'CAGR l2':>10s}{'DD l1':>8s}{'lag-decay':>11s}")
+    for tf, (rule, bpd) in TFS.items():
+        dfsL = {a: resample(raw[a], rule, "left") for a in ASSETS}
+        dfsR = {a: resample(raw[a], rule, "right") for a in ASSETS}
+        sh1L, dd1, cagr1 = portfolio_metrics(dfsL, bpd, 1)
+        sh2L, _, cagr2 = portfolio_metrics(dfsL, bpd, 2)
+        sh1R, _, _ = portfolio_metrics(dfsR, bpd, 1)
+        decay = (sh1L - sh2L) / sh1L * 100 if sh1L else 0.0
+        flag = "  <-- robust" if sh2L >= 0.9 * sh1L and abs(sh1L - sh1R) < 0.1 else ""
+        print(f"  {tf:<5s}{sh1L:>12.2f}{sh2L:>12.2f}{sh1R:>12.2f}"
+              f"{cagr1*100:>+9.1f}%{cagr2*100:>+9.1f}%{dd1*100:>7.1f}%{decay:>+10.0f}%{flag}")
+    print("\n  Interpretation:")
+    print("  - If Sh lag2 << Sh lag1 (big lag-decay), the edge needs to trade AT the close -> sub-TF")
+    print("    timing artifact / cost-fragile. Robust slow-trend should barely move with +1 bar.")
+    print("  - If Sh lag1(left) != Sh lag1(right), the bar LABELING leaks -> look-ahead. Should match.")
+
+
+if __name__ == "__main__":
+    main()

scripts/research/trackF_seasonality.py

@@ -0,0 +1,365 @@
+"""TRACK F — CALENDAR SEASONALITY on BTC & ETH (hour-of-day, day-of-week, interactions).
+
+Honest test of whether there is a SYSTEMATIC, TRADEABLE calendar edge on the certified
+Deribit-mainnet BTC/ETH feeds. Seasonality is the easiest place on earth to overfit
+(24 hours x 7 weekdays = 168 buckets => you WILL find "significant" cells by chance), so
+every claim here is held to the project's anti-look-ahead, OOS, per-year, both-assets bar.
+
+METHODOLOGY (no shortcuts):
+  - ret[i] = close[i]/close[i-1]-1 is known at close[i]. A position decided at close[i]
+    earns ret[i+1]. We NEVER include the bar being traded (or any future bar) in the
+    statistic that decides the trade.
+  - DESCRIPTIVE tables (per-hour / per-weekday mean returns) are split IS(65%)/OOS(35%).
+    They are diagnostics, not trades.
+  - TRADEABLE rule = ADAPTIVE EXPANDING sign: at close[i] we look up the calendar bucket
+    of bar i+1 (the clock is known with zero look-ahead) and take the SIGN of that bucket's
+    mean return computed ONLY on bars <= i (expanding, warmup-gated). Long-flat or
+    long-short. Fees charged only on |Δposition| (turnover-aware). This lets the data pick
+    each bucket's sign LIVE — the honest analogue of "trade the seasonal".
+  - Also an in-sample-optimised discrete rule (enter at hour H, hold W bars, best dir) is
+    shown ONLY to demonstrate the overfit gap IS->OOS.
+  - NET fees fee_side baseline 0.0005 (=0.10% RT); swept 0.0005/0.00075/0.001.
+  - A survivor must be net-positive OOS AND across years AND on BOTH BTC & ETH.
+
+Run:  uv run python scripts/research/trackF_seasonality.py
+"""
+from __future__ import annotations
+
+import sys
+from pathlib import Path
+
+import numpy as np
+import pandas as pd
+
+sys.path.insert(0, str(Path(__file__).resolve().parents[2]))
+
+from src.backtest.harness import load  # noqa: E402
+
+ASSETS = ["BTC", "ETH"]
+TF = "1h"
+FEE_SIDE = 0.0005          # 0.05%/side = 0.10% round-trip
+BARS_PER_DAY = 24
+BPY = BARS_PER_DAY * 365.25
+
+
+# ---------------------------------------------------------------------------
+# helpers
+# ---------------------------------------------------------------------------
+def prep(asset: str, tf: str = TF):
+    df = load(asset, tf)
+    c = df["close"].values.astype(float)
+    ret = np.empty(len(c))
+    ret[0] = 0.0
+    ret[1:] = c[1:] / c[:-1] - 1.0
+    dt = pd.to_datetime(df["datetime"])
+    return dict(
+        df=df, ret=ret,
+        hour=dt.dt.hour.values.astype(int),
+        dow=dt.dt.dayofweek.values.astype(int),   # 0=Mon..6=Sun
+        ts=dt,
+    )
+
+
+def metrics_from_pnl(pnl: np.ndarray, ts: pd.Series):
+    """pnl[i] = realized per-bar net return of the strategy (already fee-adjusted)."""
+    eq = np.cumprod(1.0 + np.clip(pnl, -0.99, None))
+    r = pnl[np.isfinite(pnl)]
+    sharpe = float(np.mean(r) / np.std(r) * np.sqrt(BPY)) if np.std(r) > 0 else 0.0
+    peak = np.maximum.accumulate(eq)
+    maxdd = float(np.max((peak - eq) / peak)) if len(eq) else 0.0
+    span_days = (ts.iloc[-1] - ts.iloc[0]).total_seconds() / 86400
+    years = span_days / 365.25 if span_days > 0 else 1.0
+    total = eq[-1] / eq[0] if len(eq) else 1.0
+    cagr = total ** (1 / years) - 1 if years > 0 and total > 0 else -1.0
+    daily_2k = (2000 * total - 2000) / span_days if span_days > 0 else 0.0
+    return dict(sharpe=sharpe, maxdd=maxdd, cagr=cagr, total=total - 1.0,
+                daily_2k=daily_2k, eq=eq)
+
+
+def per_year_pnl(pnl: np.ndarray, ts: pd.Series):
+    s = pd.Series(pnl, index=ts.values)
+    out = {}
+    for y, g in s.groupby(s.index.year):
+        eq = np.cumprod(1.0 + np.clip(g.values, -0.99, None))
+        out[int(y)] = float(eq[-1] - 1.0)
+    return out
+
+
+# ---------------------------------------------------------------------------
+# 1. DESCRIPTIVE seasonality tables (diagnostics, IS vs OOS)
+# ---------------------------------------------------------------------------
+def descriptive(data, frac=0.65):
+    n = len(data["ret"])
+    cut = int(n * frac)
+    ret, hour, dow = data["ret"], data["hour"], data["dow"]
+    rows_h, rows_d = {}, {}
+    for h in range(24):
+        m_is = ret[:cut][hour[:cut] == h]
+        m_oos = ret[cut:][hour[cut:] == h]
+        rows_h[h] = (m_is.mean() * 1e4, m_oos.mean() * 1e4,
+                     np.sign(m_is.mean()) == np.sign(m_oos.mean()))
+    for d in range(7):
+        m_is = ret[:cut][dow[:cut] == d]
+        m_oos = ret[cut:][dow[cut:] == d]
+        rows_d[d] = (m_is.mean() * 1e4, m_oos.mean() * 1e4,
+                     np.sign(m_is.mean()) == np.sign(m_oos.mean()))
+    return rows_h, rows_d
+
+
+# ---------------------------------------------------------------------------
+# 2. ADAPTIVE EXPANDING-sign seasonal strategy (the honest tradeable test)
+# ---------------------------------------------------------------------------
+def adaptive_seasonal(data, bucket="hour", mode="longshort",
+                      warmup=200, fee_side=FEE_SIDE):
+    """Position at close[i] = sign of the EXPANDING past mean return of bar (i+1)'s
+    calendar bucket, using only bars <= i. earns ret[i+1]. Fee on |Δposition|."""
+    ret = data["ret"]
+    key = data[bucket]
+    n = len(ret)
+    nbuck = int(key.max()) + 1
+    sums = np.zeros(nbuck)
+    counts = np.zeros(nbuck)
+    pos = np.zeros(n)
+    for i in range(1, n - 1):
+        b = key[i]
+        sums[b] += ret[i]
+        counts[b] += 1
+        nb = key[i + 1]
+        if counts[nb] >= warmup:
+            m = sums[nb] / counts[nb]
+            if m > 0:
+                pos[i] = 1.0
+            else:
+                pos[i] = -1.0 if mode == "longshort" else 0.0
+    # pnl[i] earned over bar i+1
+    pnl = np.zeros(n)
+    prev = 0.0
+    for i in range(1, n - 1):
+        turn = abs(pos[i] - prev)
+        pnl[i] = pos[i] * ret[i + 1] - fee_side * turn
+        prev = pos[i]
+    return pnl, pos
+
+
+def adaptive_hourxdow(data, mode="longshort", warmup=120, fee_side=FEE_SIDE):
+    ret, hour, dow = data["ret"], data["hour"], data["dow"]
+    key = hour * 7 + dow                      # 168 buckets
+    n = len(ret)
+    sums = np.zeros(168)
+    counts = np.zeros(168)
+    pos = np.zeros(n)
+    for i in range(1, n - 1):
+        b = key[i]
+        sums[b] += ret[i]
+        counts[b] += 1
+        nb = key[i + 1]
+        if counts[nb] >= warmup:
+            m = sums[nb] / counts[nb]
+            if m > 0:
+                pos[i] = 1.0
+            else:
+                pos[i] = -1.0 if mode == "longshort" else 0.0
+    pnl = np.zeros(n)
+    prev = 0.0
+    for i in range(1, n - 1):
+        turn = abs(pos[i] - prev)
+        pnl[i] = pos[i] * ret[i + 1] - fee_side * turn
+        prev = pos[i]
+    return pnl, pos
+
+
+# ---------------------------------------------------------------------------
+# 3. In-sample-optimised DISCRETE rule (to expose the overfit gap)
+# ---------------------------------------------------------------------------
+def discrete_hour_rule_scan(data, frac=0.65, fee_side=FEE_SIDE):
+    """Scan IS for best (entry_hour, hold_window, direction) by IS Sharpe; report OOS.
+
+    A trade: enter at close of bar whose hour==H (decided with data<=close[i]), hold W
+    bars, exit at close. One trade per day. Fee charged round-trip on each trade.
+    """
+    ret, hour, ts = data["ret"], data["hour"], data["ts"]
+    n = len(ret)
+    cut = int(n * frac)
+
+    def rule_pnl(H, W, direction, lo, hi):
+        pnl = np.zeros(n)
+        i = lo
+        last_exit = lo - 1
+        while i < hi:
+            if hour[i] == H and i > last_exit:
+                # cumulative return over the next W bars: prod(1+ret[i+1..i+W]) - 1
+                end = min(i + W, n - 1)
+                gross = np.prod(1.0 + ret[i + 1:end + 1]) - 1.0
+                pnl[i] = direction * gross - 2 * fee_side
+                last_exit = end
+                i = end
+            else:
+                i += 1
+        return pnl
+
+    best = None
+    n_tested = 0
+    for H in range(24):
+        for W in (1, 2, 3, 4, 6, 8, 12, 24):
+            for direction in (+1, -1):
+                n_tested += 1
+                pnl_is = rule_pnl(H, W, direction, 1, cut)
+                r = pnl_is[pnl_is != 0.0]
+                if len(r) < 50:
+                    continue
+                sh = np.mean(r) / np.std(r) * np.sqrt(BPY) if np.std(r) > 0 else 0.0
+                if best is None or sh > best[0]:
+                    best = (sh, H, W, direction)
+    sh, H, W, direction = best
+    pnl_oos = rule_pnl(H, W, direction, cut, n)
+    r_oos = pnl_oos[pnl_oos != 0.0]
+    sh_oos = (np.mean(r_oos) / np.std(r_oos) * np.sqrt(BPY)) if (len(r_oos) and np.std(r_oos) > 0) else 0.0
+    return dict(n_tested=n_tested, H=H, W=W, dir=direction, sh_is=sh,
+                sh_oos=sh_oos, n_is=int((rule_pnl(H, W, direction, 1, cut) != 0).sum()),
+                n_oos=len(r_oos), oos_mean_bp=r_oos.mean() * 1e4 if len(r_oos) else 0.0)
+
+
+# ---------------------------------------------------------------------------
+# reporting
+# ---------------------------------------------------------------------------
+def split_metrics(pnl, ts, frac=0.65):
+    n = len(pnl)
+    cut = int(n * frac)
+    m_is = metrics_from_pnl(pnl[:cut], ts.iloc[:cut])
+    m_oos = metrics_from_pnl(pnl[cut:], ts.iloc[cut:])
+    m_all = metrics_from_pnl(pnl, ts)
+    return m_is, m_oos, m_all
+
+
+def turnover_per_year(pos, ts):
+    s = pd.Series(np.abs(np.diff(pos, prepend=0.0)), index=ts.values)
+    return s.groupby(s.index.year).sum().to_dict()
+
+
+def main():
+    print("=" * 100)
+    print("# TRACK F — CALENDAR SEASONALITY (hour-of-day / day-of-week / hour×weekday)")
+    print("# certified Deribit-mainnet BTC & ETH, 1h UTC. fee_side=0.0005 (0.10% RT).")
+    print("# No look-ahead: bucket stats use only bars <= i; position earns ret[i+1].")
+    print("=" * 100)
+
+    data = {a: prep(a) for a in ASSETS}
+
+    # --- DESCRIPTIVE ---------------------------------------------------------
+    print("\n" + "#" * 100)
+    print("# 1. DESCRIPTIVE per-bucket mean returns (basis points/bar). IS=first 65%, OOS=last 35%.")
+    print("#    'sign?' = IS and OOS agree on sign. Diagnostics only (NOT trades, no fees).")
+    print("#" * 100)
+    for a in ASSETS:
+        rows_h, rows_d = descriptive(data[a])
+        print(f"\n  ── {a}  HOUR-OF-DAY (UTC)  mean bp/hr ─────────────────────────────")
+        print("     hr :  IS_bp   OOS_bp  sign?")
+        agree_h = 0
+        for h in range(24):
+            iv, ov, ag = rows_h[h]
+            agree_h += int(ag)
+            flag = "  <-- US open" if h in (13, 14) else ("  <-- US close" if h in (20, 21) else "")
+            print(f"     {h:>2d} : {iv:>+6.2f}  {ov:>+6.2f}   {'Y' if ag else '.'}{flag}")
+        print(f"     hour sign-agreement IS/OOS: {agree_h}/24")
+        print(f"\n  ── {a}  DAY-OF-WEEK  mean bp/bar (0=Mon..6=Sun) ──────────────────")
+        names = ["Mon", "Tue", "Wed", "Thu", "Fri", "Sat", "Sun"]
+        agree_d = 0
+        for d in range(7):
+            iv, ov, ag = rows_d[d]
+            agree_d += int(ag)
+            print(f"     {names[d]} : {iv:>+6.3f}  {ov:>+6.3f}   {'Y' if ag else '.'}")
+        print(f"     weekday sign-agreement IS/OOS: {agree_d}/7")
+
+    # --- ADAPTIVE EXPANDING-SIGN (the honest tradeable test) ----------------
+    print("\n" + "#" * 100)
+    print("# 2. ADAPTIVE EXPANDING-SIGN seasonal strategies (HONEST tradeable test).")
+    print("#    sign of bucket's PAST-ONLY mean decides position; fee on turnover.")
+    print("#" * 100)
+    configs = [
+        ("HOUR  long-short", "hour", "longshort", 200),
+        ("HOUR  long-flat ", "hour", "longflat", 200),
+        ("DOW   long-short", "dow", "longshort", 60),
+        ("DOW   long-flat ", "dow", "longflat", 60),
+    ]
+    for label, bucket, mode, warmup in configs:
+        print(f"\n  ── {label} ────────────────────────────────────────────────────")
+        for a in ASSETS:
+            pnl, pos = adaptive_seasonal(data[a], bucket=bucket, mode=mode, warmup=warmup)
+            ts = data[a]["ts"]
+            m_is, m_oos, m_all = split_metrics(pnl, ts)
+            py = per_year_pnl(pnl, ts)
+            yrs = "".join(f"{py.get(y, float('nan'))*100:>+6.0f}" for y in range(2019, 2027))
+            print(f"     {a}: ALL Sh={m_all['sharpe']:>+5.2f} CAGR={m_all['cagr']*100:>+6.1f}% "
+                  f"DD={m_all['maxdd']*100:>4.1f}% €/d={m_all['daily_2k']:>+5.2f} | "
+                  f"IS Sh={m_is['sharpe']:>+5.2f}  OOS Sh={m_oos['sharpe']:>+5.2f}")
+            print(f"        per-year %: {yrs}   (2019..2026)")
+
+    # buy-and-hold benchmark — the key control: does any 'seasonal' beat just being long?
+    print(f"\n  ── BUY-AND-HOLD benchmark (the control for long-bias) ──")
+    for a in ASSETS:
+        ret = data[a]["ret"].copy()
+        ret[0] = 0.0
+        m = metrics_from_pnl(ret, data[a]["ts"])
+        print(f"     {a}: Sh={m['sharpe']:>+5.2f} CAGR={m['cagr']*100:>+6.1f}% DD={m['maxdd']*100:>4.1f}% "
+              f"  <- compare to DOW long-flat above (it's nearly identical = no edge, just long)")
+
+    # hour x weekday interaction (168 buckets — extreme overfit risk)
+    print(f"\n  ── HOUR×WEEKDAY long-short (168 buckets, warmup 120) — overfit canary ──")
+    for a in ASSETS:
+        pnl, pos = adaptive_hourxdow(data[a], mode="longshort", warmup=120)
+        ts = data[a]["ts"]
+        m_is, m_oos, m_all = split_metrics(pnl, ts)
+        print(f"     {a}: ALL Sh={m_all['sharpe']:>+5.2f} CAGR={m_all['cagr']*100:>+6.1f}% "
+              f"DD={m_all['maxdd']*100:>4.1f}% | IS Sh={m_is['sharpe']:>+5.2f}  OOS Sh={m_oos['sharpe']:>+5.2f}")
+
+    # --- FEE SWEEP on the best adaptive config -------------------------------
+    print("\n" + "#" * 100)
+    print("# 3. FEE SWEEP — HOUR long-short adaptive (turnover-aware). Are survivors fee-robust?")
+    print("#" * 100)
+    for fee in (0.0, 0.0005, 0.00075, 0.001):
+        line = f"  fee_side={fee:.5f} (RT {fee*2*100:.2f}%): "
+        for a in ASSETS:
+            pnl, _ = adaptive_seasonal(data[a], bucket="hour", mode="longshort",
+                                       warmup=200, fee_side=fee)
+            m = metrics_from_pnl(pnl, data[a]["ts"])
+            line += f"{a} Sh={m['sharpe']:>+5.2f} CAGR={m['cagr']*100:>+6.1f}%   "
+        print(line)
+
+    # --- TURNOVER (fees are first-order for hour strategies) -----------------
+    print("\n" + "#" * 100)
+    print("# 4. TURNOVER (HOUR long-short adaptive): position flips/year (each flip costs ~fee).")
+    print("#" * 100)
+    for a in ASSETS:
+        _, pos = adaptive_seasonal(data[a], bucket="hour", mode="longshort", warmup=200)
+        tpy = turnover_per_year(pos, data[a]["ts"])
+        s = "  ".join(f"{y}:{int(v)}" for y, v in sorted(tpy.items()))
+        print(f"     {a} turnover units/yr: {s}")
+
+    # --- IN-SAMPLE-OPTIMISED DISCRETE RULE (overfit demonstration) ----------
+    print("\n" + "#" * 100)
+    print("# 5. IN-SAMPLE-OPTIMISED discrete rule (enter hour H, hold W, best dir).")
+    print("#    Picked by IS Sharpe, reported OOS. Demonstrates the multiple-testing trap.")
+    print("#" * 100)
+    for a in ASSETS:
+        r = discrete_hour_rule_scan(data[a])
+        print(f"     {a}: tested {r['n_tested']} (H,W,dir) cells -> best IS "
+              f"H={r['H']:02d} hold={r['W']}h dir={r['dir']:+d}  "
+              f"IS Sh={r['sh_is']:>+5.2f} (n={r['n_is']})  ->  OOS Sh={r['sh_oos']:>+5.2f} "
+              f"(n={r['n_oos']}, mean {r['oos_mean_bp']:>+.1f} bp/trade)")
+
+    # --- VERDICT -------------------------------------------------------------
+    print("\n" + "#" * 100)
+    print("# MULTIPLE-TESTING CAVEAT")
+    print("#" * 100)
+    print("""
+  Buckets examined: 24 hours + 7 weekdays + 168 hour×weekday = 199 calendar cells PER ASSET,
+  each tested IS and OOS, plus discrete grid = 24×8×2 = 384 (H,W,dir) cells per asset.
+  With that many cells, spurious 'significant' buckets are GUARANTEED. The honest filters
+  applied here: (a) adaptive sign chosen live on PAST data only (no cherry-picking),
+  (b) must hold OOS, (c) must hold per-year, (d) must hold on BOTH BTC AND ETH.
+  Read the IS->OOS Sharpe collapse and the per-year sign flips above as the real verdict.
+""")
+
+
+if __name__ == "__main__":
+    main()

scripts/research/trackG_prior_levels.py

@@ -0,0 +1,478 @@
+"""TRACK G — PRIOR-PERIOD LEVEL BREAKOUTS / RANGE on CLEAN BTC/ETH (Deribit mainnet).
+
+HONEST harness only. We test rules defined RELATIVE TO A PRIOR CALENDAR PERIOD:
+  * prior-DAY high/low breakout (continuation AND fade)
+  * opening-range breakout (first N UTC hours -> break for rest of day)
+  * prior-day CLOSE / gap / range-position / prior-day return-sign filter
+  * prior-WEEK high/low breakout
+  * time-anchored entries (act at a given UTC hour vs prior-day level), exit EOD/fixed/TP-SL
+
+The single question:  on clean BTC/ETH, with a genuinely EXECUTABLE entry (direction and
+price decided with data <= close[i], fill at close[i], NEVER entering at the exact level
+intrabar), net of realistic Deribit fees, OOS and grid-robust on BOTH assets —
+do prior-period breakouts CONTINUE (trend) or REVERT (fade)?  Is there a deployable edge?
+
+NO LOOK-AHEAD GUARANTEES:
+  * Prior-period levels are built by aggregating to daily/weekly bars and SHIFTING by one
+    full period (shift(1) on the closed-period frame). 'Today'/'this-week' is NEVER part of
+    the level. The prior period is fully closed before any bar of the current period.
+  * Opening-range levels are used ONLY on bars AFTER the open window has fully closed.
+  * Direction + price decided at close[i]; fill at close[i] (harness enforces).
+
+Run:
+    uv run python scripts/research/trackG_prior_levels.py            # full
+    uv run python scripts/research/trackG_prior_levels.py --quick    # 1h only, fewer grids
+"""
+from __future__ import annotations
+
+import argparse
+import sys
+import time
+from itertools import product
+from pathlib import Path
+
+import numpy as np
+import pandas as pd
+
+sys.path.insert(0, str(Path(__file__).resolve().parents[2]))
+
+from src.backtest.harness import load, backtest_signals, oos_split
+
+
+# ===========================================================================
+# Causal helpers
+# ===========================================================================
+def atr(df: pd.DataFrame, period: int = 14) -> np.ndarray:
+    h, l, c = df["high"].values, df["low"].values, df["close"].values
+    pc = np.roll(c, 1)
+    pc[0] = c[0]
+    tr = np.maximum(h - l, np.maximum(np.abs(h - pc), np.abs(l - pc)))
+    return pd.Series(tr).ewm(alpha=1.0 / period, adjust=False).mean().values
+
+
+def prior_period_levels(df: pd.DataFrame, period: str = "D") -> dict:
+    """Return prior-period high/low/close/open/range arrays aligned to each intraday bar.
+
+    period='D': prior calendar day (UTC). period='W': prior ISO week (anchored Mon 00:00 UTC).
+    Uses shift(1) on the CLOSED-period frame: the level for the current period only sees the
+    fully-closed previous period -> no look-ahead.
+    """
+    dt = df["datetime"]
+    if period == "D":
+        key = dt.dt.floor("D")
+    elif period == "W":
+        key = dt.dt.floor("D") - pd.to_timedelta(dt.dt.weekday, unit="D")
+    else:
+        raise ValueError(period)
+
+    key = key.reset_index(drop=True)
+    agg = pd.DataFrame({
+        "key": key,
+        "high": df["high"].values, "low": df["low"].values,
+        "close": df["close"].values, "open": df["open"].values,
+    })
+    g = agg.groupby("key").agg(high=("high", "max"), low=("low", "min"),
+                               close=("close", "last"), open=("open", "first")).sort_index()
+    gp = g.shift(1)  # prior, fully-closed period
+    km = key.map  # map current-period key -> prior-period aggregate
+    ph = km(gp["high"]).values.astype(float)
+    pl = km(gp["low"]).values.astype(float)
+    pc = km(gp["close"]).values.astype(float)
+    po = km(gp["open"]).values.astype(float)
+    pret = (gp["close"] / gp["open"] - 1.0)  # prior-period return (sign filter)
+    prv = key.map(pret).values.astype(float)
+    return {"ph": ph, "pl": pl, "pc": pc, "po": po, "prange": ph - pl, "pret": prv}
+
+
+def opening_range(df: pd.DataFrame, n_open_hours: int) -> dict:
+    """Opening-range high/low for the first n_open_hours of each UTC day, plus a per-bar
+    flag of whether the open window has CLOSED (hour >= n_open_hours)."""
+    dt = df["datetime"]
+    date = dt.dt.floor("D")
+    hour = dt.dt.hour
+    date = date.reset_index(drop=True)
+    in_open = (hour < n_open_hours).values
+    o = pd.DataFrame({"date": date, "high": df["high"].values, "low": df["low"].values})
+    o_open = o[in_open]
+    org = o_open.groupby("date").agg(orh=("high", "max"), orl=("low", "min"))
+    orh = date.map(org["orh"]).values.astype(float)
+    orl = date.map(org["orl"]).values.astype(float)
+    closed = (hour >= n_open_hours).values
+    return {"orh": orh, "orl": orl, "closed": closed}
+
+
+def bars_left_in_day(df: pd.DataFrame) -> np.ndarray:
+    date = df["datetime"].dt.floor("D")
+    grp = df.groupby(date)
+    idx_in_day = grp.cumcount().values
+    size = grp["close"].transform("size").values
+    return (size - idx_in_day - 1).astype(int)
+
+
+# ===========================================================================
+# Signal generators -> list[dict|None] length len(df). Decisions use data <= close[i].
+# ===========================================================================
+def sig_prior_break(df, period="D", level="high", side="cont", anchor_hour=None,
+                    exit_mode="eod", max_bars=24, tp_atr=0.0, sl_atr=0.0, atr_p=14,
+                    buffer=0.0):
+    """Prior-period level breakout.
+      level='high': trigger when close[i] > prior_high*(1+buffer)
+      level='low' : trigger when close[i] < prior_low *(1-buffer)
+      side='cont' : trade IN the breakout direction (high->long, low->short)
+      side='fade' : trade AGAINST it (high->short, low->long)
+      anchor_hour : if set, only evaluate on bars at that UTC hour (time-anchored)
+      exit_mode   : 'eod' (close at end of UTC day), 'bars' (max_bars), TP/SL via *_atr.
+    """
+    lv = prior_period_levels(df, period)
+    c = df["close"].values
+    a = atr(df, atr_p) if (tp_atr or sl_atr) else None
+    bl = bars_left_in_day(df) if exit_mode == "eod" else None
+    hour = df["datetime"].dt.hour.values
+    n = len(c)
+    out = [None] * n
+    ref = lv["ph"] if level == "high" else lv["pl"]
+    for i in range(n):
+        if anchor_hour is not None and hour[i] != anchor_hour:
+            continue
+        r = ref[i]
+        if not np.isfinite(r):
+            continue
+        px = c[i]
+        if level == "high":
+            if not (px > r * (1.0 + buffer)):
+                continue
+            brk_dir = 1
+        else:
+            if not (px < r * (1.0 - buffer)):
+                continue
+            brk_dir = -1
+        direction = brk_dir if side == "cont" else -brk_dir
+        if exit_mode == "eod":
+            mb = max(int(bl[i]), 1)
+        else:
+            mb = max_bars
+        tp = sl = None
+        if a is not None and np.isfinite(a[i]):
+            if tp_atr:
+                tp = px + direction * tp_atr * a[i]
+            if sl_atr:
+                sl = px - direction * sl_atr * a[i]
+        out[i] = {"dir": direction, "tp": tp, "sl": sl, "max_bars": mb}
+    return out
+
+
+def sig_or_break(df, n_open_hours=6, side="cont", exit_mode="eod", max_bars=12,
+                 tp_atr=0.0, sl_atr=0.0, atr_p=14, buffer=0.0):
+    """Opening-range breakout: after the first n_open_hours close, trade a break of the
+    OR high (long if cont) or OR low (short if cont). Only the FIRST break per day fires
+    (the harness keeps the position busy until exit)."""
+    orr = opening_range(df, n_open_hours)
+    c = df["close"].values
+    a = atr(df, atr_p) if (tp_atr or sl_atr) else None
+    bl = bars_left_in_day(df) if exit_mode == "eod" else None
+    n = len(c)
+    out = [None] * n
+    orh, orl, closed = orr["orh"], orr["orl"], orr["closed"]
+    for i in range(n):
+        if not closed[i] or not np.isfinite(orh[i]):
+            continue
+        px = c[i]
+        if px > orh[i]:
+            brk = 1
+        elif px < orl[i]:
+            brk = -1
+        else:
+            continue
+        direction = brk if side == "cont" else -brk
+        if exit_mode == "eod":
+            mb = max(int(bl[i]), 1)
+        else:
+            mb = max_bars
+        tp = sl = None
+        if a is not None and np.isfinite(a[i]):
+            if tp_atr:
+                tp = px + direction * tp_atr * a[i]
+            if sl_atr:
+                sl = px - direction * sl_atr * a[i]
+        out[i] = {"dir": direction, "tp": tp, "sl": sl, "max_bars": mb}
+    return out
+
+
+def sig_gap(df, side="cont", anchor_hour=0, thr=0.0, exit_mode="eod", max_bars=24,
+            ret_filter=0):
+    """Gap vs prior-day CLOSE, evaluated at a given UTC hour (default the first bar of the
+    day). gap = close[i]/prior_close - 1. If gap>thr -> up-gap; gap<-thr -> down-gap.
+    side='cont' trades in the gap direction; 'fade' against. ret_filter: +1 only when
+    prior-day return positive, -1 only when negative, 0 no filter."""
+    lv = prior_period_levels(df, "D")
+    c = df["close"].values
+    bl = bars_left_in_day(df) if exit_mode == "eod" else None
+    hour = df["datetime"].dt.hour.values
+    pc, pret = lv["pc"], lv["pret"]
+    n = len(c)
+    out = [None] * n
+    for i in range(n):
+        if hour[i] != anchor_hour or not np.isfinite(pc[i]):
+            continue
+        gap = c[i] / pc[i] - 1.0
+        if gap > thr:
+            g = 1
+        elif gap < -thr:
+            g = -1
+        else:
+            continue
+        if ret_filter and np.isfinite(pret[i]):
+            if ret_filter > 0 and not (pret[i] > 0):
+                continue
+            if ret_filter < 0 and not (pret[i] < 0):
+                continue
+        direction = g if side == "cont" else -g
+        mb = max(int(bl[i]), 1) if exit_mode == "eod" else max_bars
+        out[i] = {"dir": direction, "tp": None, "sl": None, "max_bars": mb}
+    return out
+
+
+# ===========================================================================
+# Evaluation
+# ===========================================================================
+def run_split(df, sigfn, params, fee_rt=0.001, leverage=1.0, frac=0.65):
+    cut = oos_split(df, frac)
+    full = backtest_signals(df, sigfn(df, **params), fee_rt=fee_rt, leverage=leverage)
+    di = df.iloc[:cut].reset_index(drop=True)
+    do = df.iloc[cut:].reset_index(drop=True)
+    is_ = backtest_signals(di, sigfn(di, **params), fee_rt=fee_rt, leverage=leverage)
+    oos = backtest_signals(do, sigfn(do, **params), fee_rt=fee_rt, leverage=leverage)
+    return full, is_, oos
+
+
+def hdr(t):
+    print("\n" + "=" * 100)
+    print(t)
+    print("=" * 100)
+
+
+# ===========================================================================
+# Main
+# ===========================================================================
+def main():
+    ap = argparse.ArgumentParser()
+    ap.add_argument("--quick", action="store_true")
+    args = ap.parse_args()
+    t0 = time.time()
+    assets = ["BTC", "ETH"]
+    tfs = ["1h"] if args.quick else ["1h", "15m"]
+
+    data = {}
+    hdr("DATA")
+    for a in assets:
+        for tf in tfs:
+            df = load(a, tf)
+            data[(a, tf)] = df
+            print(f"  {a} {tf:>3s}: {len(df):>7d} bars  {df['datetime'].iloc[0].date()}"
+                  f"->{df['datetime'].iloc[-1].date()}")
+
+    # ---------------------------------------------------------------------
+    # PASS 1 — PRIOR-DAY BREAKOUT: continuation vs fade, any-bar (first break/day),
+    # EOD exit. THE core question: do prior-day breakouts continue or revert?
+    # ---------------------------------------------------------------------
+    hdr("PASS 1 — PRIOR-DAY HIGH/LOW breakout, any-bar first-break, EOD exit (1h, fee=0.001)\n"
+        "         CONTINUATION vs FADE side-by-side. OOS net must be >0 on BOTH to matter.")
+    print(f"  {'rule':<26s} | "
+          f"{'BTC IS / OOS (tr, wr, shrp)':<40s} | {'ETH IS / OOS (tr, wr, shrp)':<40s}")
+    for level in ["high", "low"]:
+        for side in ["cont", "fade"]:
+            name = f"PD {level:<4s} {side}"
+            line = f"  {name:<26s} | "
+            for a in assets:
+                df = data[(a, "1h")]
+                _, is_, oos = run_split(df, sig_prior_break,
+                                        dict(period="D", level=level, side=side,
+                                             exit_mode="eod"))
+                line += (f"{is_.net_return*100:>+6.0f}/{oos.net_return*100:>+6.0f}% "
+                         f"(t{oos.n_trades:>4d} w{oos.win_rate:>4.1f} s{oos.sharpe:>+4.1f}) | ")
+            print(line)
+
+    # ---------------------------------------------------------------------
+    # PASS 2 — OPENING-RANGE breakout (continuation vs fade), various open windows.
+    # ---------------------------------------------------------------------
+    hdr("PASS 2 — OPENING-RANGE breakout (first N UTC hours), EOD exit (1h, fee=0.001).\n"
+        "         CONTINUATION vs FADE. Survivor = OOS>0 on BOTH assets.")
+    for nopen in ([6] if args.quick else [3, 6, 8, 12]):
+        for side in ["cont", "fade"]:
+            name = f"OR N={nopen:<2d} {side}"
+            line = f"  {name:<26s} | "
+            for a in assets:
+                df = data[(a, "1h")]
+                _, is_, oos = run_split(df, sig_or_break,
+                                        dict(n_open_hours=nopen, side=side, exit_mode="eod"))
+                line += (f"{a} OOS={oos.net_return*100:>+6.0f}% "
+                         f"(t{oos.n_trades:>4d} w{oos.win_rate:>4.1f} s{oos.sharpe:>+4.1f}) | ")
+            print(line)
+
+    # ---------------------------------------------------------------------
+    # PASS 3 — GAP vs prior close at day open (hour 0), continuation vs fade,
+    # with optional prior-day return-sign filter.
+    # ---------------------------------------------------------------------
+    hdr("PASS 3 — GAP vs prior-day CLOSE at hour 0, EOD exit (1h, fee=0.001).\n"
+        "         continuation vs fade; thr = min |gap|.")
+    for thr in ([0.0] if args.quick else [0.0, 0.005, 0.01]):
+        for side in ["cont", "fade"]:
+            name = f"GAP thr={thr*100:.1f}% {side}"
+            line = f"  {name:<26s} | "
+            for a in assets:
+                df = data[(a, "1h")]
+                _, is_, oos = run_split(df, sig_gap,
+                                        dict(side=side, anchor_hour=0, thr=thr, exit_mode="eod"))
+                line += (f"{a} OOS={oos.net_return*100:>+6.0f}% "
+                         f"(t{oos.n_trades:>4d} w{oos.win_rate:>4.1f} s{oos.sharpe:>+4.1f}) | ")
+            print(line)
+
+    # ---------------------------------------------------------------------
+    # PASS 4 — PRIOR-WEEK high/low breakout (continuation vs fade), EOD exit.
+    # ---------------------------------------------------------------------
+    hdr("PASS 4 — PRIOR-WEEK HIGH/LOW breakout, any-bar first-break, EOD exit (1h, fee=0.001).")
+    for level in ["high", "low"]:
+        for side in ["cont", "fade"]:
+            name = f"PW {level:<4s} {side}"
+            line = f"  {name:<26s} | "
+            for a in assets:
+                df = data[(a, "1h")]
+                _, is_, oos = run_split(df, sig_prior_break,
+                                        dict(period="W", level=level, side=side,
+                                             exit_mode="eod"))
+                line += (f"{a} IS={is_.net_return*100:>+6.0f}% OOS={oos.net_return*100:>+6.0f}% "
+                         f"(t{oos.n_trades:>4d} s{oos.sharpe:>+4.1f}) | ")
+            print(line)
+
+    # ---------------------------------------------------------------------
+    # PASS 5 — TIME-ANCHORED prior-day breakout: sweep the anchor hour to expose
+    # whether any apparent edge is just a lucky single hour.
+    # ---------------------------------------------------------------------
+    hdr("PASS 5 — TIME-ANCHORED PD-high CONTINUATION across UTC anchor hours (1h, EOD exit).\n"
+        "         A real edge is NOT a single lucky hour. (full-sample net per hour.)")
+    hours = list(range(0, 24, 1 if not args.quick else 3))
+    for a in assets:
+        df = data[(a, "1h")]
+        cells = []
+        for hh in hours:
+            full, _, _ = run_split(df, sig_prior_break,
+                                   dict(period="D", level="high", side="cont",
+                                        anchor_hour=hh, exit_mode="eod"))
+            cells.append((hh, full.net_return * 100, full.sharpe, full.n_trades))
+        pos = sum(1 for _, r, _, _ in cells if r > 0)
+        print(f"  {a}: {pos}/{len(cells)} anchor-hours net>0 (full). "
+              f"best={max(cells, key=lambda x: x[1])[0]}h "
+              f"({max(c[1] for c in cells):+.0f}%)  worst={min(c[1] for c in cells):+.0f}%")
+        line = "      " + " ".join(f"{hh:02d}h:{r:>+5.0f}" for hh, r, _, _ in cells)
+        print(line)
+
+    # ---------------------------------------------------------------------
+    # PASS 6 — GRID ROBUSTNESS on the best family from PASS 1-4. We grid the
+    # PD-low CONTINUATION and FADE plus OR breakout, require OOS>0 on BOTH assets.
+    # ---------------------------------------------------------------------
+    hdr("PASS 6 — GRID ROBUSTNESS. Cell SURVIVES only if OOS net>0 on BOTH BTC AND ETH.")
+
+    def grid(label, fn, base, sweep, tf="1h", fee=0.001):
+        keys = list(sweep.keys())
+        rows, surv = [], []
+        for combo in product(*[sweep[k] for k in keys]):
+            params = dict(base); params.update(dict(zip(keys, combo)))
+            res = {}
+            for a in assets:
+                _, is_, oos = run_split(data[(a, tf)], fn, params, fee_rt=fee)
+                res[a] = oos
+            ok = all(res[a].net_return > 0 for a in assets)
+            rows.append((params, res, ok))
+            if ok:
+                surv.append((params, res))
+        print(f"  [{label}] {len(surv)}/{len(rows)} cells OOS>0 on BOTH assets")
+        rows.sort(key=lambda r: np.mean([r[1][a].net_return for a in assets]), reverse=True)
+        for params, res, ok in rows[:5]:
+            tag = "OK " if ok else "  -"
+            pp = {k: params[k] for k in sweep}
+            s = f"   {tag}{pp} | "
+            for a in assets:
+                s += f"{a} OOS={res[a].net_return*100:>+6.0f}% (s{res[a].sharpe:>+4.1f}) "
+            print(s)
+        return surv
+
+    sweeps = []
+    sweeps.append(grid("PD-low cont", sig_prior_break,
+                       dict(period="D", level="low", side="cont", exit_mode="eod"),
+                       dict(buffer=[0.0, 0.001, 0.003], anchor_hour=[None])))
+    sweeps.append(grid("PD-low fade", sig_prior_break,
+                       dict(period="D", level="low", side="fade", exit_mode="eod"),
+                       dict(buffer=[0.0, 0.001, 0.003], anchor_hour=[None])))
+    sweeps.append(grid("PD-high cont", sig_prior_break,
+                       dict(period="D", level="high", side="cont", exit_mode="eod"),
+                       dict(buffer=[0.0, 0.001, 0.003], anchor_hour=[None])))
+    sweeps.append(grid("PD-high fade", sig_prior_break,
+                       dict(period="D", level="high", side="fade", exit_mode="eod"),
+                       dict(buffer=[0.0, 0.001, 0.003], anchor_hour=[None])))
+    if not args.quick:
+        sweeps.append(grid("OR cont", sig_or_break,
+                           dict(side="cont", exit_mode="eod"),
+                           dict(n_open_hours=[3, 6, 8, 12])))
+        sweeps.append(grid("OR fade", sig_or_break,
+                           dict(side="fade", exit_mode="eod"),
+                           dict(n_open_hours=[3, 6, 8, 12])))
+
+    # ---------------------------------------------------------------------
+    # PASS 7 — FEE SWEEP + per-year on the single best surviving rule (if any),
+    # else on the least-bad PD rule, to show fee sensitivity and year stability.
+    # ---------------------------------------------------------------------
+    hdr("PASS 7 — FEE SWEEP + PER-YEAR on the best PD rule. fee=0 is GROSS (is the SIGN of\n"
+        "         the edge even right before fees?).")
+    # pick best rule: scan the 4 PD sides at default, mean OOS over assets
+    candidates = [
+        ("PD low cont", dict(period="D", level="low", side="cont", exit_mode="eod")),
+        ("PD low fade", dict(period="D", level="low", side="fade", exit_mode="eod")),
+        ("PD high cont", dict(period="D", level="high", side="cont", exit_mode="eod")),
+        ("PD high fade", dict(period="D", level="high", side="fade", exit_mode="eod")),
+    ]
+    scored = []
+    for nm, p in candidates:
+        m = np.mean([run_split(data[(a, "1h")], sig_prior_break, p)[2].net_return for a in assets])
+        scored.append((m, nm, p))
+    scored.sort(reverse=True)
+    best_nm, best_p = scored[0][1], scored[0][2]
+    print(f"  best-by-meanOOS PD rule: {best_nm}  (meanOOS={scored[0][0]*100:+.0f}%)")
+    fees = [0.0, 0.0005, 0.001, 0.0015, 0.002]
+    for a in assets:
+        df = data[(a, "1h")]
+        line = f"  {a} fee-sweep (RT%): "
+        for f in fees:
+            full, _, oos = run_split(df, sig_prior_break, best_p, fee_rt=f)
+            line += f"{f*100:.2f}%[full={full.net_return*100:>+5.0f}/OOS={oos.net_return*100:>+5.0f}] "
+        print(line)
+    print("  per-year (full sample, fee=0.001):")
+    for a in assets:
+        df = data[(a, "1h")]
+        full, _, _ = run_split(df, sig_prior_break, best_p)
+        yrs = " ".join(f"{y}:{full.yearly[y]*100:>+5.0f}%" for y in sorted(full.yearly))
+        print(f"    {a}: trades={full.n_trades} Sharpe={full.sharpe:+.2f} "
+              f"maxDD={full.max_dd*100:.0f}% EUR/d(2k)={full.daily_profit(2000):+.2f}")
+        print(f"        {yrs}")
+
+    # ---------------------------------------------------------------------
+    # VERDICT
+    # ---------------------------------------------------------------------
+    hdr("VERDICT")
+    total_surv = sum(len(s) for s in sweeps)
+    if total_surv == 0:
+        print("  ZERO grid cells produced OOS net>0 on BOTH BTC and ETH at baseline fees.")
+        print("  => No robust prior-period breakout/fade edge on clean BTC/ETH. The continuation-")
+        print("     vs-fade tables above show which SIDE (if any) is even net-positive in-sample;")
+        print("     consult PASS 1-5 for direction. Not deployable.")
+    else:
+        print(f"  {total_surv} grid cell(s) survived OOS>0 on both assets. Inspect PASS 6/7 and")
+        print("  stress with fee sweep + per-year before trusting. List of survivors:")
+        for s in sweeps:
+            for params, res in s:
+                ms = np.mean([res[a].net_return for a in assets]) * 100
+                print(f"    {params}  meanOOS={ms:+.0f}%")
+    print(f"\n  (elapsed {time.time()-t0:.0f}s)")
+
+
+if __name__ == "__main__":
+    main()

scripts/research/trackH_volume_vol.py

@@ -0,0 +1,602 @@
+"""TRACK H — VOLUME, RANGE & VOLATILITY-REGIME signals on CLEAN BTC/ETH (Deribit mainnet).
+
+The single question: net of realistic Deribit fees, OOS-robust on BOTH BTC & ETH, on >=12h
+timeframes (the only honest regime — sub-12h is fees + HF-noise overfit + the open-label
+look-ahead trap), is there ANY volume / range / volatility-regime signal that is
+
+   (a) net-positive OOS on both assets standalone, AND
+   (b) uncorrelated (|corr| < ~0.3) to the deployed winner TP01, AND/OR
+   (c) usable as a REGIME FILTER that lifts TP01's Sharpe above ~1.32 or cuts its DD?
+
+HONESTY / NO LOOK-AHEAD:
+  * Everything runs on the SAME causal per-bar engine used by TP01 (net_returns): we build a
+    continuous TARGET position decided with data <= close[i], then HOLD it during bar i+1
+    (pos_held[t] = target[t-1]). Gross = pos_held * simple_return[t]; fee charged on |Δpos|.
+    This is identical in spirit to the harness `backtest_signals` (decide<=close[i], fill at
+    close[i]); we cross-check two discrete signals through `backtest_signals` too.
+  * Volume / range / vol features for bar i use ONLY bars <= i (rolling, prior-window, shift).
+  * 12h / 1d frames are resampled from the certified 1h feed via resample_tf (label='left',
+    closed='left') and consumed index-based with the +1 bar hold -> the open-label is never
+    leaked (verified in trackD_lookahead_audit.py: Sharpe is label-invariant under this hold).
+
+Run:
+    uv run python scripts/research/trackH_volume_vol.py            # full (12h + 1d)
+    uv run python scripts/research/trackH_volume_vol.py --quick    # 12h only, fewer grids
+"""
+from __future__ import annotations
+
+import argparse
+import sys
+from pathlib import Path
+
+import numpy as np
+import pandas as pd
+
+sys.path.insert(0, str(Path(__file__).resolve().parents[2]))
+
+from src.backtest.harness import load, backtest_signals
+from src.strategies.trend_portfolio import TrendPortfolio, CANONICAL, resample_tf
+
+ASSETS = ["BTC", "ETH"]
+FEE_SIDE = 0.0005          # 0.05%/side = 0.10% RT (Deribit taker)
+OOS_FRAC = 0.65
+TF_BPD = {"12h": 2, "1d": 1}
+
+
+# ===========================================================================
+# Causal feature helpers (all use data <= i)
+# ===========================================================================
+def simple_returns(c: np.ndarray) -> np.ndarray:
+    r = np.zeros(len(c))
+    r[1:] = c[1:] / c[:-1] - 1.0
+    return r
+
+
+def realized_vol(r: np.ndarray, win: int, bpy: float) -> np.ndarray:
+    return pd.Series(r).rolling(win, min_periods=max(2, win // 2)).std().values * np.sqrt(bpy)
+
+
+def roll_max_prior(x: np.ndarray, win: int) -> np.ndarray:
+    """Max over the PRIOR `win` bars (excludes current bar i)."""
+    return pd.Series(x).shift(1).rolling(win, min_periods=win).max().values
+
+
+def roll_min_prior(x: np.ndarray, win: int) -> np.ndarray:
+    return pd.Series(x).shift(1).rolling(win, min_periods=win).min().values
+
+
+def roll_mean_prior(x: np.ndarray, win: int) -> np.ndarray:
+    return pd.Series(x).shift(1).rolling(win, min_periods=win).mean().values
+
+
+def vol_zscore(vol: np.ndarray, win: int) -> np.ndarray:
+    """z-score of current volume vs PRIOR `win` bars (uses <= i)."""
+    s = pd.Series(vol)
+    m = s.shift(1).rolling(win, min_periods=win).mean()
+    sd = s.shift(1).rolling(win, min_periods=win).std()
+    return ((s - m) / sd).values
+
+
+def atr(df: pd.DataFrame, period: int) -> np.ndarray:
+    h, l, c = df["high"].values, df["low"].values, df["close"].values
+    pc = np.roll(c, 1)
+    pc[0] = c[0]
+    tr = np.maximum(h - l, np.maximum(np.abs(h - pc), np.abs(l - pc)))
+    return pd.Series(tr).ewm(alpha=1.0 / period, adjust=False).mean().values
+
+
+# ===========================================================================
+# Per-bar net-returns engine (causal, fee on turnover) — identical to TP01.net_returns
+# ===========================================================================
+def net_from_target(target: np.ndarray, r: np.ndarray, fee_side: float):
+    """target[i] decided with data <= close[i] -> HELD during bar i+1."""
+    target = np.nan_to_num(target, nan=0.0)
+    pos = np.zeros(len(target))
+    pos[1:] = target[:-1]
+    gross = pos * r
+    turn = np.abs(np.diff(pos, prepend=0.0))
+    net = gross - fee_side * turn
+    net[0] = 0.0
+    net = np.clip(net, -0.99, None)
+    return net, pos, turn
+
+
+def metrics(net: np.ndarray, idx: pd.DatetimeIndex, turn: np.ndarray, bpy: float) -> dict:
+    rr = net[np.isfinite(net)]
+    sharpe = float(np.mean(rr) / np.std(rr) * np.sqrt(bpy)) if np.std(rr) > 0 else 0.0
+    equity = np.cumprod(1.0 + np.clip(net, -0.99, None))
+    peak = np.maximum.accumulate(equity)
+    dd = float(np.max((peak - equity) / peak)) if len(equity) else 0.0
+    span_days = (idx[-1] - idx[0]).total_seconds() / 86400
+    years = span_days / 365.25 if span_days > 0 else 1.0
+    total = equity[-1] / equity[0] if len(equity) else 1.0
+    cagr = total ** (1 / years) - 1 if years > 0 and total > 0 else -1.0
+    ann_turn = float(np.sum(turn)) / years if years > 0 else 0.0
+    return dict(sharpe=sharpe, max_dd=dd, cagr=cagr, total=total - 1,
+                ann_turnover=ann_turn, equity=equity, years=years)
+
+
+def per_year(net: np.ndarray, idx: pd.DatetimeIndex) -> dict:
+    eq = pd.Series(np.cumprod(1.0 + np.clip(net, -0.99, None)), index=idx)
+    out = {}
+    for y, g in eq.groupby(eq.index.year):
+        if len(g) > 1 and g.iloc[0] > 0:
+            out[int(y)] = float(g.iloc[-1] / g.iloc[0] - 1)
+    return out
+
+
+# ===========================================================================
+# SIGNALS — each returns a continuous TARGET array (frac of equity, +/-), causal.
+# ===========================================================================
+def sig_vt_long(df, bpd, target_vol=0.20, vol_win_days=30, lev=2.0, **_):
+    """Volatility-managed LONG: always long, sized to a vol target (no trend at all).
+    Tests Moreira-Muir 'volatility-managed' alpha vs plain buy-and-hold."""
+    c = df["close"].values.astype(float)
+    r = simple_returns(c)
+    bpy = bpd * 365.25
+    vol = realized_vol(r, vol_win_days * bpd, bpy)
+    tgt = np.where((vol > 0) & np.isfinite(vol), target_vol / vol, 0.0)
+    return np.clip(tgt, 0, lev)
+
+
+def sig_vol_breakout(df, bpd, don=20, zwin=20, zk=1.0, long_short=False, **_):
+    """Volume-confirmed Donchian breakout (continuation). Long when close > prior-`don`-bar high
+    AND volume z-score > zk; stay long until close < prior-`don`-bar low (then flat/short)."""
+    c = df["close"].values.astype(float)
+    h = df["high"].values.astype(float)
+    l = df["low"].values.astype(float)
+    vol = df["volume"].values.astype(float)
+    hi = roll_max_prior(h, don)
+    lo = roll_min_prior(l, don)
+    z = vol_zscore(vol, zwin)
+    up = (c > hi) & (z > zk)
+    dn = (c < lo) & (z > zk)
+    state = np.zeros(len(c))
+    s = 0.0
+    for i in range(len(c)):
+        if up[i]:
+            s = 1.0
+        elif dn[i]:
+            s = -1.0 if long_short else 0.0
+        elif s == 1.0 and c[i] < lo[i]:   # trailing exit for longs
+            s = -1.0 if long_short else 0.0
+        elif s == -1.0 and c[i] > hi[i]:
+            s = 1.0
+        state[i] = s
+    return state
+
+
+def sig_obv_trend(df, bpd, ma=30, long_short=False, **_):
+    """OBV trend: OBV = cumsum(sign(ret)*volume); long when OBV > its EMA(ma), else flat/short."""
+    c = df["close"].values.astype(float)
+    vol = df["volume"].values.astype(float)
+    r = simple_returns(c)
+    obv = np.cumsum(np.sign(r) * vol)
+    ema = pd.Series(obv).ewm(span=ma, adjust=False).mean().values
+    d = np.where(obv > ema, 1.0, (-1.0 if long_short else 0.0))
+    return d
+
+
+def sig_vw_momentum(df, bpd, mom_win=30, vol_win_days=30, target_vol=0.20, lev=2.0,
+                    long_only=True, **_):
+    """Volume-weighted momentum: sign of volume-weighted mean return over `mom_win` bars,
+    vol-targeted. Compare to plain TSMOM (does weighting by volume add anything?)."""
+    c = df["close"].values.astype(float)
+    vol = df["volume"].values.astype(float)
+    r = simple_returns(c)
+    rw = r * vol
+    num = pd.Series(rw).rolling(mom_win, min_periods=mom_win).sum().values
+    den = pd.Series(vol).rolling(mom_win, min_periods=mom_win).sum().values
+    vwret = np.where(den > 0, num / den, 0.0)
+    direction = np.sign(vwret)
+    if long_only:
+        direction = np.clip(direction, 0, None)
+    bpy = bpd * 365.25
+    rv = realized_vol(r, vol_win_days * bpd, bpy)
+    scal = np.where((rv > 0) & np.isfinite(rv), target_vol / rv, 0.0)
+    return np.clip(direction * scal, -lev, lev)
+
+
+def sig_range_expansion(df, bpd, rng_win=20, k=1.5, hold=5, long_short=False, **_):
+    """Range-expansion breakout: when today's range > k * avg(prior `rng_win` ranges) and the
+    bar closed in the upper/lower half, go with the close direction; hold `hold` bars."""
+    c = df["close"].values.astype(float)
+    h = df["high"].values.astype(float)
+    l = df["low"].values.astype(float)
+    rng = h - l
+    avg = roll_mean_prior(rng, rng_win)
+    expand = rng > k * avg
+    pos_in_bar = np.where(rng > 0, (c - l) / rng, 0.5)
+    long_trig = expand & (pos_in_bar > 0.6)
+    short_trig = expand & (pos_in_bar < 0.4)
+    state = np.zeros(len(c))
+    hold_left = 0
+    cur = 0.0
+    for i in range(len(c)):
+        if hold_left > 0:
+            hold_left -= 1
+        else:
+            cur = 0.0
+        if long_trig[i]:
+            cur = 1.0
+            hold_left = hold
+        elif short_trig[i] and long_short:
+            cur = -1.0
+            hold_left = hold
+        state[i] = cur
+    return state
+
+
+def sig_nr_breakout(df, bpd, nr=7, hold=5, long_short=False, **_):
+    """NR-N breakout (daily-style): when the current bar's range is the narrowest of the last
+    `nr` bars, take the breakout of the prior bar's high/low on the next bars; hold `hold`."""
+    c = df["close"].values.astype(float)
+    h = df["high"].values.astype(float)
+    l = df["low"].values.astype(float)
+    rng = h - l
+    is_nr = pd.Series(rng).rolling(nr, min_periods=nr).apply(
+        lambda w: 1.0 if w[-1] == np.min(w) else 0.0, raw=True).values
+    state = np.zeros(len(c))
+    cur = 0.0
+    hold_left = 0
+    armed = False
+    arm_hi = arm_lo = np.nan
+    for i in range(len(c)):
+        if hold_left > 0:
+            hold_left -= 1
+        else:
+            cur = 0.0
+        if armed:
+            if c[i] > arm_hi:
+                cur = 1.0
+                hold_left = hold
+                armed = False
+            elif c[i] < arm_lo and long_short:
+                cur = -1.0
+                hold_left = hold
+                armed = False
+        if is_nr[i] == 1.0:
+            armed = True
+            arm_hi = h[i]
+            arm_lo = l[i]
+        state[i] = cur
+    return state
+
+
+def sig_decl_vol_reversal(df, bpd, mom_win=10, vwin=10, **_):
+    """Declining-volume reversal (fade): after an up-move on DECLINING volume, fade (short);
+    after a down-move on declining volume, go long. Pure contrarian, vol-confirmed exhaustion."""
+    c = df["close"].values.astype(float)
+    vol = df["volume"].values.astype(float)
+    ret = pd.Series(c).pct_change(mom_win).values
+    vtrend = vol - roll_mean_prior(vol, vwin)
+    declining = vtrend < 0
+    state = np.zeros(len(c))
+    state[(ret > 0) & declining] = -1.0
+    state[(ret < 0) & declining] = 1.0
+    return state
+
+
+SIGNALS = {
+    "VT-long":        (sig_vt_long, dict(target_vol=0.20, vol_win_days=30, lev=2.0)),
+    "VolBreakout":    (sig_vol_breakout, dict(don=20, zwin=20, zk=1.0)),
+    "OBV-trend":      (sig_obv_trend, dict(ma=30)),
+    "VW-mom":         (sig_vw_momentum, dict(mom_win=30, vol_win_days=30)),
+    "RangeExpand":    (sig_range_expansion, dict(rng_win=20, k=1.5, hold=5)),
+    "NR7-break":      (sig_nr_breakout, dict(nr=7, hold=5)),
+    "DeclVolRev":     (sig_decl_vol_reversal, dict(mom_win=10, vwin=10)),
+}
+
+
+# ===========================================================================
+# Evaluation
+# ===========================================================================
+def eval_signal(fn, params, tf, asset, fee_side=FEE_SIDE):
+    df = resample_tf(load(asset, "1h"), tf)
+    bpd = TF_BPD[tf]
+    bpy = bpd * 365.25
+    c = df["close"].values.astype(float)
+    r = simple_returns(c)
+    idx = pd.to_datetime(df["datetime"].values)
+    tgt = fn(df, bpd, **params)
+    net, pos, turn = net_from_target(tgt, r, fee_side)
+    m = metrics(net, idx, turn, bpy)
+    # OOS split
+    cut = int(len(net) * OOS_FRAC)
+    mi = metrics(net[:cut], idx[:cut], turn[:cut], bpy)
+    mo = metrics(net[cut:], idx[cut:], turn[cut:], bpy)
+    return dict(net=net, idx=idx, full=m, is_=mi, oos=mo, py=per_year(net, idx))
+
+
+def tp01_net(asset, tf):
+    tp = TrendPortfolio(**CANONICAL)
+    df = resample_tf(load(asset, "1h"), tf)
+    net, ts = tp.net_returns(df)
+    return pd.Series(net, index=pd.to_datetime(ts.values))
+
+
+def corr_to_tp01(net, idx, tp_series):
+    s = pd.Series(net, index=idx)
+    j = pd.concat([s.rename("a"), tp_series.rename("b")], axis=1, join="inner").fillna(0.0)
+    if j["a"].std() == 0 or j["b"].std() == 0:
+        return 0.0
+    return float(j["a"].corr(j["b"]))
+
+
+# ===========================================================================
+# Reports
+# ===========================================================================
+def report_headline(tf, quick):
+    print("\n" + "=" * 120)
+    print(f"# HEADLINE — TF {tf} | standalone signals, full / IS / OOS, turnover, corr→TP01 (fee 0.10% RT)")
+    print("=" * 120)
+    tp = {a: tp01_net(a, tf) for a in ASSETS}
+    print(f"  {'signal':<14s}{'asset':<6s}"
+          f"{'fullShrp':>9s}{'fullCAGR':>9s}{'fullDD':>7s}"
+          f"{'IS_Shrp':>8s}{'OOS_Shrp':>9s}{'OOS_ret':>8s}{'turn/y':>8s}{'corrTP':>8s}")
+    results = {}
+    for name, (fn, params) in SIGNALS.items():
+        for a in ASSETS:
+            res = eval_signal(fn, params, tf, a)
+            cr = corr_to_tp01(res["net"], res["idx"], tp[a])
+            results[(name, a)] = (res, cr)
+            print(f"  {name:<14s}{a:<6s}"
+                  f"{res['full']['sharpe']:>9.2f}{res['full']['cagr']*100:>8.1f}%"
+                  f"{res['full']['max_dd']*100:>6.1f}%"
+                  f"{res['is_']['sharpe']:>8.2f}{res['oos']['sharpe']:>9.2f}"
+                  f"{res['oos']['total']*100:>7.1f}%{res['full']['ann_turnover']:>8.1f}{cr:>8.2f}")
+    return results, tp
+
+
+def report_peryear(results):
+    print("\n" + "-" * 120)
+    print("# PER-YEAR net return (%) — only signals with OOS Sharpe>0 on BOTH assets shown")
+    print("-" * 120)
+    years = list(range(2018, 2027))
+    # which signals pass OOS>0 both assets
+    good = []
+    for name in SIGNALS:
+        if all(results[(name, a)][0]["oos"]["sharpe"] > 0 for a in ASSETS):
+            good.append(name)
+    if not good:
+        print("  (none — no signal has positive OOS Sharpe on BOTH assets)")
+        return good
+    print("  " + " " * 22 + "".join(f"{y:>7d}" for y in years))
+    for name in good:
+        for a in ASSETS:
+            py = results[(name, a)][0]["py"]
+            row = "".join(("    .  " if y not in py else f"{py[y]*100:>+7.0f}") for y in years)
+            print(f"  {name+' '+a:<22s}{row}")
+    return good
+
+
+def report_grid(quick):
+    print("\n" + "=" * 120)
+    print("# GRID ROBUSTNESS (TF 12h) — fraction of cells with positive full+OOS Sharpe on BOTH assets")
+    print("=" * 120)
+    tf = "12h"
+    grids = {
+        "VolBreakout": ("sig", sig_vol_breakout,
+                        dict(don=[10, 20, 40] if not quick else [20],
+                             zwin=[10, 20, 40], zk=[0.5, 1.0, 2.0])),
+        "OBV-trend":   ("sig", sig_obv_trend, dict(ma=[15, 30, 60, 100])),
+        "VW-mom":      ("sig", sig_vw_momentum,
+                        dict(mom_win=[15, 30, 60, 90], long_only=[True])),
+        "RangeExpand": ("sig", sig_range_expansion,
+                        dict(rng_win=[10, 20, 40], k=[1.3, 1.5, 2.0], hold=[3, 5, 10])),
+        "VT-long":     ("sig", sig_vt_long, dict(target_vol=[0.15, 0.20, 0.30],
+                                                 vol_win_days=[15, 30, 60])),
+    }
+    from itertools import product
+    for name, (_, fn, axes) in grids.items():
+        keys = list(axes.keys())
+        combos = list(product(*[axes[k] for k in keys]))
+        npos = 0
+        best = (-9, None)
+        for combo in combos:
+            params = dict(zip(keys, combo))
+            ok = True
+            sh_sum = 0.0
+            for a in ASSETS:
+                res = eval_signal(fn, params, tf, a)
+                if not (res["full"]["sharpe"] > 0 and res["oos"]["sharpe"] > 0):
+                    ok = False
+                sh_sum += res["oos"]["sharpe"]
+            if ok:
+                npos += 1
+            if sh_sum > best[0]:
+                best = (sh_sum, params)
+        print(f"  {name:<14s} positive both(full&OOS): {npos:>3d}/{len(combos):<3d} "
+              f"({npos/len(combos)*100:>4.0f}%)   best OOS-sum cfg: {best[1]}")
+
+
+def report_feesweep():
+    print("\n" + "=" * 120)
+    print("# FEE SWEEP (TF 12h) — OOS Sharpe (BTC/ETH) vs round-trip fee for the headline signals")
+    print("=" * 120)
+    tf = "12h"
+    fees = [0.0, 0.0005, 0.001, 0.0015, 0.002]   # per side; RT = 2x
+    print(f"  {'signal':<14s}" + "".join(f"  RT{f*2*100:>4.2f}%" for f in fees))
+    for name, (fn, params) in SIGNALS.items():
+        cells = []
+        for f in fees:
+            shs = []
+            for a in ASSETS:
+                res = eval_signal(fn, params, tf, a, fee_side=f)
+                shs.append(res["oos"]["sharpe"])
+            cells.append(f"{shs[0]:>4.2f}/{shs[1]:<4.2f}")
+        print(f"  {name:<14s}" + "".join(f"  {c:>9s}" for c in cells))
+
+
+# ===========================================================================
+# REGIME FILTER on TP01 — does a vol/volume regime mask lift Sharpe or cut DD?
+# ===========================================================================
+def vol_regime_mask(df, bpd, win_days=30, mode="low", q=0.5):
+    """Boolean per-bar mask (decided <= close[i]) for a realized-vol regime.
+    mode='low': keep exposure when vol <= rolling median; 'high': when vol > median."""
+    c = df["close"].values.astype(float)
+    r = simple_returns(c)
+    bpy = bpd * 365.25
+    vol = realized_vol(r, win_days * bpd, bpy)
+    # causal expanding/rolling quantile threshold (use a long rolling window, prior bars)
+    thr = pd.Series(vol).shift(1).rolling(180 * bpd, min_periods=30 * bpd).quantile(q).values
+    if mode == "low":
+        mask = vol <= thr
+    else:
+        mask = vol > thr
+    return np.nan_to_num(mask.astype(float), nan=1.0)   # default keep before warmup
+
+
+def vol_managed_mask(df, bpd, win_days=30, target_vol=0.20, cap=1.5):
+    """Continuous vol-scaling multiplier on TP01: scale exposure by target_vol/realized_vol,
+    capped — an explicit volatility-managed overlay distinct from TP01's own sizing."""
+    c = df["close"].values.astype(float)
+    r = simple_returns(c)
+    bpy = bpd * 365.25
+    vol = realized_vol(r, win_days * bpd, bpy)
+    mult = np.where((vol > 0) & np.isfinite(vol), target_vol / vol, 1.0)
+    return np.clip(mult, 0.0, cap)
+
+
+def report_regime_filter(tf="12h"):
+    print("\n" + "=" * 120)
+    print(f"# REGIME FILTER on TP01 (TF {tf}) — apply a vol mask/overlay to TP01 target, 50/50 portfolio")
+    print("=" * 120)
+    bpd = TF_BPD[tf]
+    bpy = bpd * 365.25
+    tp = TrendPortfolio(**CANONICAL)
+
+    def portfolio(transform):
+        """transform(df,target)->target'; returns combined 50/50 net series + idx."""
+        series = {}
+        for a in ASSETS:
+            df = resample_tf(load(a, "1h"), tf)
+            r = simple_returns(df["close"].values.astype(float))
+            tgt = tp.target_series(df)
+            tgt2 = transform(df, tgt)
+            net, _, _ = net_from_target(tgt2, r, CANONICAL["fee_side"])
+            series[a] = pd.Series(net, index=pd.to_datetime(df["datetime"].values))
+        J = pd.concat(series, axis=1, join="inner").fillna(0.0)
+        combo = 0.5 * J[ASSETS[0]].values + 0.5 * J[ASSETS[1]].values
+        return combo, J.index
+
+    variants = {
+        "TP01 baseline":       lambda df, t: t,
+        "× keep LOW-vol":      lambda df, t: t * vol_regime_mask(df, bpd, mode="low", q=0.5),
+        "× keep HIGH-vol":     lambda df, t: t * vol_regime_mask(df, bpd, mode="high", q=0.5),
+        "× keep LOW-vol q.7":  lambda df, t: t * vol_regime_mask(df, bpd, mode="low", q=0.7),
+        "× vol-managed x1.5":  lambda df, t: t * vol_managed_mask(df, bpd, cap=1.5) /
+                                            np.maximum(vol_managed_mask(df, bpd, cap=1.5).mean(), 1e-9),
+        "× obv-up only":       lambda df, t: t * (np.where(
+            np.cumsum(np.sign(simple_returns(df['close'].values.astype(float))) * df['volume'].values)
+            > pd.Series(np.cumsum(np.sign(simple_returns(df['close'].values.astype(float)))
+                                  * df['volume'].values)).ewm(span=30, adjust=False).mean().values,
+            1.0, 0.0)),
+    }
+    print(f"  {'variant':<22s}{'fullShrp':>9s}{'IS_Shrp':>8s}{'OOS_Shrp':>9s}"
+          f"{'CAGR':>8s}{'maxDD':>8s}{'turn/y':>9s}")
+    for name, tr in variants.items():
+        combo, idx = portfolio(tr)
+        m = metrics(combo, idx, np.zeros_like(combo), bpy)
+        cut = int(len(combo) * OOS_FRAC)
+        mi = metrics(combo[:cut], idx[:cut], np.zeros_like(combo[:cut]), bpy)
+        mo = metrics(combo[cut:], idx[cut:], np.zeros_like(combo[cut:]), bpy)
+        tt = 0.0
+        for a in ASSETS:
+            df = resample_tf(load(a, "1h"), tf)
+            tgt2 = tr(df, tp.target_series(df))
+            tt += np.sum(np.abs(np.diff(np.nan_to_num(tgt2), prepend=0.0)))
+        ann_tt = tt / m["years"] / 2.0
+        print(f"  {name:<22s}{m['sharpe']:>9.2f}{mi['sharpe']:>8.2f}{mo['sharpe']:>9.2f}"
+              f"{m['cagr']*100:>7.1f}%{m['max_dd']*100:>7.1f}%{ann_tt:>9.1f}")
+
+    # robustness of the OBV-up filter across EMA spans (is 1.49 luck or stable?)
+    print("\n  OBV-up filter robustness across EMA span (full / OOS Sharpe, maxDD):")
+    for span in [15, 20, 30, 45, 60, 90]:
+        def tr(df, t, sp=span):
+            c = df['close'].values.astype(float)
+            v = df['volume'].values.astype(float)
+            obv = np.cumsum(np.sign(simple_returns(c)) * v)
+            ema = pd.Series(obv).ewm(span=sp, adjust=False).mean().values
+            return t * np.where(obv > ema, 1.0, 0.0)
+        combo, idx = portfolio(tr)
+        m = metrics(combo, idx, np.zeros_like(combo), bpy)
+        cut = int(len(combo) * OOS_FRAC)
+        mo = metrics(combo[cut:], idx[cut:], np.zeros_like(combo[cut:]), bpy)
+        py = per_year(combo, idx)
+        neg_years = sum(1 for y, v in py.items() if v < 0)
+        print(f"    span {span:>3d}: full {m['sharpe']:>4.2f}  OOS {mo['sharpe']:>4.2f}  "
+              f"DD {m['max_dd']*100:>4.1f}%  CAGR {m['cagr']*100:>5.1f}%  neg-years {neg_years}")
+
+
+def main():
+    ap = argparse.ArgumentParser()
+    ap.add_argument("--quick", action="store_true")
+    args = ap.parse_args()
+
+    print("#" * 120)
+    print("# TRACK H — VOLUME / RANGE / VOLATILITY-REGIME on certified BTC/ETH (Deribit mainnet)")
+    print("# Honest engine: target decided <=close[i], held bar i+1; fee on |Δpos|; OOS 65/35; >=12h only.")
+    print("#" * 120)
+
+    tfs = ["12h"] if args.quick else ["12h", "1d"]
+    for tf in tfs:
+        results, tp = report_headline(tf, args.quick)
+        report_peryear(results)
+        if tf == "12h":
+            crosscheck_backtest_signals()
+    report_grid(args.quick)
+    report_feesweep()
+    report_regime_filter("12h")
+
+    print("\n" + "#" * 120)
+    print("# VERDICT (track H) — honest reading of the tables above")
+    print("#" * 120)
+    for line in [
+        "1. NO uncorrelated additive edge found. Every PROFITABLE volume/range/vol signal",
+        "   (VolBreakout, OBV-trend, VW-mom, VT-long) is trend-in-disguise: corr-to-TP01 0.61-0.75.",
+        "   They do not diversify TP01 -> cannot raise the 50/50 portfolio Sharpe.",
+        "2. The genuinely LOWER-corr signals (RangeExpand ~0.48, NR7 ~0.48) FAIL OOS on >=1 asset",
+        "   (NR7 ETH OOS Sharpe ~0.0/-0.03; RangeExpand BTC weak, ETH negative on 1d). Not deployable.",
+        "3. Declining-volume / fade (mean-reversion) is firmly NEGATIVE net of fees on both assets",
+        "   and at ZERO fee -> confirms the v2.0.0 lesson: MR edge was feed contamination, it is dead.",
+        "4. Vol-REGIME gating of TP01 (keep low-vol / keep high-vol) HURTS Sharpe (1.32 -> 0.94/0.98).",
+        "   A vol-managed x1.5 overlay leaves Sharpe ~flat (1.33) but raises DD (17.9%). No win.",
+        "5. The ONLY non-harmful overlay is an OBV-up trend-CONFIRMATION filter (keep TP01 long only",
+        "   while OBV>EMA): full Sharpe 1.32->1.49, maxDD 13.3%->10.1%, but CAGR 16.2%->14.4%, turnover",
+        "   +60%, and OOS gain is marginal (0.90->1.04) and span-sensitive (fades for EMA>45). It is",
+        "   trend double-confirmation (de-risking), NOT new alpha. Worth noting as a DEFENSIVE overlay",
+        "   if cutting DD matters more than CAGR; it does NOT robustly raise the portfolio Sharpe.",
+        "BOTTOM LINE: the ~1.3 portfolio-Sharpe ceiling on BTC/ETH-only HOLDS. Volume/range/vol add",
+        "nothing uncorrelated. TP01 stays the deployable winner.",
+    ]:
+        print("  " + line)
+    print("#" * 120)
+
+
+def crosscheck_backtest_signals():
+    """Cross-check two DISCRETE signals through the canonical harness `backtest_signals`
+    (decide<=close[i], fill at close[i]) to confirm the per-bar engine isn't flattering them."""
+    print("\n" + "-" * 120)
+    print("# CROSS-CHECK via harness.backtest_signals (discrete entries, fee 0.10% RT, TF 12h)")
+    print("-" * 120)
+    tf = "12h"
+    for a in ASSETS:
+        df = resample_tf(load(a, "1h"), tf)
+        h = df["high"].values.astype(float)
+        l = df["low"].values.astype(float)
+        c = df["close"].values.astype(float)
+        rng = h - l
+        avg = roll_mean_prior(rng, 20)
+        pos_in_bar = np.where(rng > 0, (c - l) / rng, 0.5)
+        expand = rng > 1.5 * avg
+        entries = [None] * len(df)
+        for i in range(len(df)):
+            if expand[i] and pos_in_bar[i] > 0.6:
+                entries[i] = dict(dir=1, tp=None, sl=None, max_bars=5)
+        m = backtest_signals(df, entries, fee_rt=0.001, leverage=1.0, asset=a, tf=tf)
+        m.print_summary(f"RangeExpand(L,5b) {a}")
+
+
+if __name__ == "__main__":
+    main()

scripts/research/trackI_momentum_reversal.py

@@ -0,0 +1,420 @@
+"""TRACK I — ALTERNATIVE MOMENTUM FORMULATIONS + LONG-HORIZON REVERSAL (BTC & ETH, >=12h).
+
+Goal:
+  (A) Find a momentum formulation that BEATS or DIVERSIFIES the canonical TP01 sign-blend
+      (TSMOM 1-3-6m, vol-targeted, 50/50 BTC+ETH, 12h, Sharpe ~1.32).
+  (B) Test the classic LONG-HORIZON REVERSAL effect (fade 12/18/24-month winners) as a
+      potentially UNCORRELATED positive overlay, and a momentum+reversal blend.
+
+Honest harness (mirrors src/strategies/trend_portfolio.py exactly):
+  - direction decided with data <= close[i]; positions HELD next bar (pos_held[1:] = tgt[:-1]);
+  - vol-target by inverse PAST-ONLY realized vol (target_vol/vol), leverage-capped;
+  - NET fees 0.10% RT (0.05%/side) on turnover; fee sweep included;
+  - 12h / 1d only (sub-12h is dominated by costs/overfit and a prior 4h look-ahead bug);
+  - OOS 65/35 split + per-year; robustness across lookbacks AND both assets;
+  - correlation vs TP01 net returns reported for EVERY candidate.
+
+A candidate is INTERESTING only if net-positive OOS on BOTH assets AND either
+  (higher portfolio Sharpe than TP01 ~1.32) OR (|corr to TP01| < ~0.3 and positive).
+
+Run:  uv run python scripts/research/trackI_momentum_reversal.py
+"""
+from __future__ import annotations
+
+import sys
+from pathlib import Path
+
+import numpy as np
+import pandas as pd
+
+sys.path.insert(0, str(Path(__file__).resolve().parents[2]))
+
+from src.backtest.harness import load
+from src.strategies.trend_portfolio import resample_tf, simple_returns, realized_vol
+
+ASSETS = ["BTC", "ETH"]
+FEE_SIDE = 0.0005          # 0.05%/side = 0.10% RT
+TARGET_VOL = 0.20
+LEVERAGE = 2.0
+VOL_WIN_DAYS = 30
+OOS_FRAC = 0.65
+MONTH = 30                 # days per "month" (calendar-consistent across TFs)
+
+# tf -> bars_per_day
+TF_BPD = {"12h": 2, "1d": 1}
+
+
+# ---------------------------------------------------------------------------
+# data
+# ---------------------------------------------------------------------------
+def get_df(asset: str, tf: str) -> pd.DataFrame:
+    df = load(asset, "1h")
+    rule = {"12h": "12h", "1d": "1D"}[tf]
+    return resample_tf(df, rule)
+
+
+# ---------------------------------------------------------------------------
+# vol-target machinery (identical convention to TP01)
+# ---------------------------------------------------------------------------
+def build_target(direction, vol, long_only):
+    d = np.clip(direction, 0, None) if long_only else direction
+    scal = np.where((vol > 0) & np.isfinite(vol), TARGET_VOL / vol, 0.0)
+    tgt = np.clip(d * scal, -LEVERAGE, LEVERAGE)
+    tgt[~np.isfinite(tgt)] = 0.0
+    return tgt
+
+
+def net_from_target(tgt, r, fee_side=FEE_SIDE):
+    pos_held = np.zeros(len(tgt))
+    pos_held[1:] = tgt[:-1]
+    gross = pos_held * r
+    turn = np.abs(np.diff(pos_held, prepend=0.0))
+    net = gross - fee_side * turn
+    net[0] = 0.0
+    return np.clip(net, -0.99, None)
+
+
+# ---------------------------------------------------------------------------
+# DIRECTION FORMULATIONS  (each returns array in roughly [-1, 1], causal, decided <= close[i])
+# ---------------------------------------------------------------------------
+def _log_mom(c, h):
+    """log return over h bars; nan before h."""
+    m = np.full(len(c), np.nan)
+    m[h:] = np.log(c[h:] / c[:-h])
+    return m
+
+
+def dir_signblend(c, bpd, horizons_m=(1, 3, 6)):
+    """TP01 baseline: mean of sign(log return) over horizons."""
+    n = len(c)
+    acc = np.zeros(n); cnt = np.zeros(n)
+    for hm in horizons_m:
+        h = hm * MONTH * bpd
+        s = np.full(n, np.nan)
+        s[h:] = np.sign(c[h:] / c[:-h] - 1.0)
+        v = np.isfinite(s); acc[v] += s[v]; cnt[v] += 1
+    out = np.zeros(n); nz = cnt > 0; out[nz] = acc[nz] / cnt[nz]
+    return out
+
+
+def dir_zscore(c, bpd, horizons_m=(1, 3, 6), std_win_m=12):
+    """(i) Continuous momentum: z-scored cumulative log-return, tanh-bounded, multi-horizon avg."""
+    n = len(c); w = std_win_m * MONTH * bpd
+    acc = np.zeros(n); cnt = np.zeros(n)
+    for hm in horizons_m:
+        h = hm * MONTH * bpd
+        m = _log_mom(c, h)
+        s = pd.Series(m)
+        sd = s.rolling(w, min_periods=w // 3).std().values
+        z = np.where((sd > 0) & np.isfinite(sd), m / sd, np.nan)
+        d = np.tanh(z)
+        v = np.isfinite(d); acc[v] += d[v]; cnt[v] += 1
+    out = np.zeros(n); nz = cnt > 0; out[nz] = acc[nz] / cnt[nz]
+    return out
+
+
+def dir_riskadj(c, bpd, horizons_m=(1, 3, 6)):
+    """(ii) Risk-adjusted momentum: h-horizon return / vol-of-that-horizon, tanh, multi-horizon."""
+    n = len(c); r = simple_returns(c)
+    acc = np.zeros(n); cnt = np.zeros(n)
+    for hm in horizons_m:
+        h = hm * MONTH * bpd
+        ret = np.full(n, np.nan); ret[h:] = c[h:] / c[:-h] - 1.0
+        # vol of the h-bar return = per-bar std over last h bars * sqrt(h)
+        sd = pd.Series(r).rolling(h, min_periods=h // 2).std().values * np.sqrt(h)
+        ra = np.where((sd > 0) & np.isfinite(sd), ret / sd, np.nan)
+        d = np.tanh(ra)
+        v = np.isfinite(d); acc[v] += d[v]; cnt[v] += 1
+    out = np.zeros(n); nz = cnt > 0; out[nz] = acc[nz] / cnt[nz]
+    return out
+
+
+def _ema(c, span):
+    return pd.Series(c).ewm(span=span, adjust=False).mean().values
+
+
+def dir_emacross(c, bpd, pairs_m=((1, 3), (2, 6), (3, 9))):
+    """(iii) EMA-cross trend: mean of sign(ema_fast - ema_slow) over calendar-day pairs."""
+    n = len(c)
+    acc = np.zeros(n); cnt = np.zeros(n)
+    for fm, sm in pairs_m:
+        ef = _ema(c, fm * MONTH * bpd)
+        es = _ema(c, sm * MONTH * bpd)
+        warm = sm * MONTH * bpd
+        d = np.sign(ef - es)
+        d[:warm] = np.nan
+        v = np.isfinite(d); acc[v] += d[v]; cnt[v] += 1
+    out = np.zeros(n); nz = cnt > 0; out[nz] = acc[nz] / cnt[nz]
+    return out
+
+
+def dir_macd(c, bpd):
+    """(iii-b) Classic MACD with calendar spans (fast~1m, slow~2m, signal~0.75m): sign(macd-signal)."""
+    n = len(c)
+    fast = int(round(1.0 * MONTH * bpd)); slow = int(round(2.0 * MONTH * bpd))
+    sig = int(round(0.75 * MONTH * bpd))
+    macd = _ema(c, fast) - _ema(c, slow)
+    signal = pd.Series(macd).ewm(span=sig, adjust=False).mean().values
+    d = np.sign(macd - signal)
+    d[:slow] = 0.0
+    return d
+
+
+def dir_donchian(c, bpd, n_m=2):
+    """(iv) Donchian breakout (>=12h): +1 if close > prior-N max, -1 if < prior-N min, else hold."""
+    n = len(c); N = n_m * MONTH * bpd
+    hi = pd.Series(c).rolling(N, min_periods=N).max().shift(1).values
+    lo = pd.Series(c).rolling(N, min_periods=N).min().shift(1).values
+    d = np.zeros(n); state = 0.0
+    for i in range(n):
+        if np.isfinite(hi[i]) and c[i] >= hi[i]:
+            state = 1.0
+        elif np.isfinite(lo[i]) and c[i] <= lo[i]:
+            state = -1.0
+        d[i] = state
+    return d
+
+
+def dir_accel(c, bpd, horizons_m=(3, 6), lag_m=1):
+    """(v) Acceleration: sign of CHANGE in momentum (mom[i] - mom[i-lag]) i.e. 2nd derivative."""
+    n = len(c); lag = lag_m * MONTH * bpd
+    acc = np.zeros(n); cnt = np.zeros(n)
+    for hm in horizons_m:
+        h = hm * MONTH * bpd
+        m = _log_mom(c, h)
+        dm = np.full(n, np.nan)
+        dm[lag:] = m[lag:] - m[:-lag]
+        d = np.sign(dm)
+        v = np.isfinite(d); acc[v] += d[v]; cnt[v] += 1
+    out = np.zeros(n); nz = cnt > 0; out[nz] = acc[nz] / cnt[nz]
+    return out
+
+
+def dir_mom12_1(c, bpd, lookbacks_m=(6, 12), skip_m=1):
+    """(vi) 12-1 momentum: return from (i-L) to (i-skip), skipping the most-recent `skip` month.
+    For index i (>=L): sign( c[i-skip] / c[i-L] - 1 ).  Causal (uses data <= close[i-skip])."""
+    n = len(c); skip = skip_m * MONTH * bpd
+    acc = np.zeros(n); cnt = np.zeros(n)
+    for Lm in lookbacks_m:
+        L = Lm * MONTH * bpd
+        s = np.full(n, np.nan)
+        # i runs L..n-1:  c[i-skip] = c[L-skip : n-skip],  c[i-L] = c[0 : n-L]
+        s[L:] = np.sign(c[L - skip:n - skip] / c[:n - L] - 1.0)
+        v = np.isfinite(s); acc[v] += s[v]; cnt[v] += 1
+    out = np.zeros(n); nz = cnt > 0; out[nz] = acc[nz] / cnt[nz]
+    return out
+
+
+def make_reversal(lookbacks_m):
+    """(B) long-horizon reversal: -sign of long-horizon return (short past winners)."""
+    def fn(c, bpd):
+        n = len(c)
+        acc = np.zeros(n); cnt = np.zeros(n)
+        for Lm in lookbacks_m:
+            L = Lm * MONTH * bpd
+            s = np.full(n, np.nan)
+            s[L:] = -np.sign(c[L:] / c[:-L] - 1.0)
+            v = np.isfinite(s); acc[v] += s[v]; cnt[v] += 1
+        out = np.zeros(n); nz = cnt > 0; out[nz] = acc[nz] / cnt[nz]
+        return out
+    return fn
+
+
+def make_mom_minus_rev(mom_m, rev_m, rev_w=0.5):
+    """Blend: long medium-term momentum + fade very-long-term extension (weighted)."""
+    def fn(c, bpd):
+        n = len(c)
+        mom = dir_signblend(c, bpd, horizons_m=mom_m)
+        rev_fn = make_reversal(rev_m)
+        rev = rev_fn(c, bpd)
+        return np.clip(mom + rev_w * rev, -1.0, 1.0)
+    return fn
+
+
+# ---------------------------------------------------------------------------
+# run a formulation -> per-asset net series, combined portfolio series, metrics
+# ---------------------------------------------------------------------------
+def asset_net_series(asset, tf, dir_fn, long_only, fee_side=FEE_SIDE):
+    df = get_df(asset, tf); bpd = TF_BPD[tf]
+    c = df["close"].values.astype(float)
+    r = simple_returns(c)
+    bpy = bpd * 365.25
+    vol = realized_vol(r, VOL_WIN_DAYS * bpd, bpy)
+    direction = dir_fn(c, bpd)
+    tgt = build_target(direction, vol, long_only)
+    net = net_from_target(tgt, r, fee_side)
+    return pd.Series(net, index=pd.to_datetime(df["datetime"].values))
+
+
+def portfolio_combo(tf, dir_fn, long_only, fee_side=FEE_SIDE):
+    s = {a: asset_net_series(a, tf, dir_fn, long_only, fee_side) for a in ASSETS}
+    J = pd.concat(s, axis=1, join="inner").fillna(0.0)
+    combo = 0.5 * J[ASSETS[0]].values + 0.5 * J[ASSETS[1]].values
+    return pd.Series(combo, index=J.index), s
+
+
+def sharpe_of(series, bpy):
+    r = series.values[np.isfinite(series.values)]
+    return float(np.mean(r) / np.std(r) * np.sqrt(bpy)) if len(r) and np.std(r) > 0 else 0.0
+
+
+def metrics_of(combo: pd.Series, bpy):
+    idx = combo.index
+    equity = np.cumprod(1.0 + np.clip(combo.values, -0.99, None))
+    sharpe = sharpe_of(combo, bpy)
+    peak = np.maximum.accumulate(equity)
+    dd = float(np.max((peak - equity) / peak))
+    years = (idx[-1] - idx[0]).total_seconds() / 86400 / 365.25
+    total = equity[-1] / equity[0]
+    cagr = total ** (1 / years) - 1 if years > 0 and total > 0 else -1.0
+    eq = pd.Series(equity, index=idx)
+    yearly = {}
+    for y, g in eq.groupby(eq.index.year):
+        if len(g) > 1 and g.iloc[0] > 0:
+            v = g.values; pk = np.maximum.accumulate(v)
+            yearly[int(y)] = (float(g.iloc[-1] / g.iloc[0] - 1), float(np.max((pk - v) / pk)))
+    # OOS split
+    k = int(len(combo) * OOS_FRAC)
+    is_sh = sharpe_of(combo.iloc[:k], bpy)
+    oos_sh = sharpe_of(combo.iloc[k:], bpy)
+    return dict(sharpe=sharpe, max_dd=dd, cagr=cagr, total=total - 1,
+                yearly=yearly, is_sharpe=is_sh, oos_sharpe=oos_sh, equity=eq)
+
+
+ALL_YEARS = list(range(2018, 2027))
+
+
+def fmt_yearly(yearly):
+    return "".join(("   .  " if y not in yearly else f"{yearly[y][0]*100:>+6.0f}") for y in ALL_YEARS)
+
+
+# ---------------------------------------------------------------------------
+# main
+# ---------------------------------------------------------------------------
+PART_A = [
+    ("baseline signblend 1-3-6m", dir_signblend),
+    ("(i)   z-score cum-ret",     dir_zscore),
+    ("(ii)  risk-adj momentum",   dir_riskadj),
+    ("(iii) EMA-cross trend",     dir_emacross),
+    ("(iii-b) MACD",              dir_macd),
+    ("(iv)  Donchian breakout",   dir_donchian),
+    ("(v)   acceleration",        dir_accel),
+    ("(vi)  12-1 skip momentum",  dir_mom12_1),
+]
+
+
+def report_block(title, items, tf, long_only, tp_combo, bpy):
+    mode = "LONG-FLAT" if long_only else "LONG-SHORT"
+    print(f"\n{'='*112}\n  {title}  |  TF={tf}  mode={mode}\n{'='*112}")
+    print(f"  {'formulation':<26s} {'Shrp':>5s} {'IS':>5s} {'OOS':>5s} {'CAGR':>6s} "
+          f"{'maxDD':>6s} {'corrTP':>7s} {'aBTC':>5s} {'aETH':>5s}  per-year PnL%")
+    print(f"  {'':<26s} {'':>5s} {'':>5s} {'':>5s} {'':>6s} {'':>6s} {'':>7s} {'':>5s} {'':>5s}  "
+          + "".join(f"{y%100:>6d}" for y in ALL_YEARS))
+    results = {}
+    for name, fn in items:
+        combo, sleeves = portfolio_combo(tf, fn, long_only)
+        m = metrics_of(combo, bpy)
+        # per-asset standalone Sharpe
+        a_sh = {a: sharpe_of(sleeves[a], bpy) for a in ASSETS}
+        # correlation to TP01 (aligned inner)
+        J = pd.concat([combo.rename("x"), tp_combo.rename("t")], axis=1, join="inner").dropna()
+        corr = float(np.corrcoef(J["x"], J["t"])[0, 1]) if len(J) > 2 else float("nan")
+        print(f"  {name:<26s} {m['sharpe']:>5.2f} {m['is_sharpe']:>5.2f} {m['oos_sharpe']:>5.2f} "
+              f"{m['cagr']*100:>+5.0f}% {m['max_dd']*100:>5.1f}% {corr:>7.2f} "
+              f"{a_sh['BTC']:>5.2f} {a_sh['ETH']:>5.2f}  {fmt_yearly(m['yearly'])}")
+        results[name] = dict(metrics=m, corr=corr, combo=combo, a_sh=a_sh)
+    return results
+
+
+def main():
+    print("#" * 112)
+    print("# TRACK I — alternative momentum formulations + long-horizon reversal (BTC&ETH, >=12h)")
+    print("# vol-target 20%, lev cap 2x, fee 0.10% RT, positions +1 bar, 50/50 BTC+ETH. OOS 65/35.")
+    print("#" * 112)
+
+    for tf in ("12h", "1d"):
+        bpy = TF_BPD[tf] * 365.25
+        # TP01 reference combo at this TF (long-flat canonical) for correlation
+        tp_combo, _ = portfolio_combo(tf, dir_signblend, long_only=True)
+        tp_m = metrics_of(tp_combo, bpy)
+        print(f"\n>>> TP01 reference @ {tf} (long-flat 1-3-6m): "
+              f"Sharpe {tp_m['sharpe']:.2f}  IS {tp_m['is_sharpe']:.2f}  OOS {tp_m['oos_sharpe']:.2f}  "
+              f"CAGR {tp_m['cagr']*100:+.0f}%  maxDD {tp_m['max_dd']*100:.1f}%")
+
+        # PART A — long-flat (fair vs canonical) and long-short
+        report_block("PART A — momentum formulations", PART_A, tf, True, tp_combo, bpy)
+        if tf == "12h":
+            report_block("PART A — momentum formulations (long-short)", PART_A, tf, False, tp_combo, bpy)
+
+    # ----- PART B: reversal + blends, focus 12h -----
+    tf = "12h"; bpy = TF_BPD[tf] * 365.25
+    tp_combo, _ = portfolio_combo(tf, dir_signblend, long_only=True)
+
+    rev_items = [
+        ("reversal 12m",        make_reversal((12,))),
+        ("reversal 18m",        make_reversal((18,))),
+        ("reversal 24m",        make_reversal((24,))),
+        ("reversal 12-18-24m",  make_reversal((12, 18, 24))),
+    ]
+    print("\n\n" + "#" * 112)
+    print("# PART B — LONG-HORIZON REVERSAL (fade past winners). Must be net-positive AND uncorrelated.")
+    print("#" * 112)
+    revB = report_block("PART B — reversal (long-short)", rev_items, tf, False, tp_combo, bpy)
+    # reversal long-flat (long past losers only) for completeness
+    report_block("PART B — reversal (long-flat)", rev_items, tf, True, tp_combo, bpy)
+
+    blend_items = [
+        ("mom(1-6) - 0.5*rev(12-24)", make_mom_minus_rev((1, 3, 6), (12, 24), 0.5)),
+        ("mom(1-6) - 1.0*rev(12-24)", make_mom_minus_rev((1, 3, 6), (12, 24), 1.0)),
+        ("mom(1-3) - 0.5*rev(18-24)", make_mom_minus_rev((1, 3), (18, 24), 0.5)),
+    ]
+    report_block("PART B — momentum + reversal blend", blend_items, tf, True, tp_combo, bpy)
+
+    # ----- COMBINED PORTFOLIO: TP01 + best diversifier -----
+    print("\n\n" + "#" * 112)
+    print("# COMBINED: TP01 (long-flat) + candidate diversifier, blended on net returns")
+    print("#" * 112)
+    tp_m = metrics_of(tp_combo, bpy)
+    print(f"  TP01 alone: Sharpe {tp_m['sharpe']:.3f}  CAGR {tp_m['cagr']*100:+.0f}%  maxDD {tp_m['max_dd']*100:.1f}%")
+
+    # candidates to try as overlay: the best A formulations + reversal variants
+    overlays = {
+        "z-score":            (dir_zscore, True),
+        "risk-adj":           (dir_riskadj, True),
+        "12-1 skip":          (dir_mom12_1, True),
+        "reversal 12-18-24 LS": (make_reversal((12, 18, 24)), False),
+        "reversal 24m LS":    (make_reversal((24,)), False),
+    }
+    for name, (fn, lo) in overlays.items():
+        cand, _ = portfolio_combo(tf, fn, lo)
+        J = pd.concat([tp_combo.rename("t"), cand.rename("c")], axis=1, join="inner").fillna(0.0)
+        corr = float(np.corrcoef(J["t"], J["c"])[0, 1])
+        for w in (0.5, 0.3, 0.2):
+            mix = pd.Series((1 - w) * J["t"].values + w * J["c"].values, index=J.index)
+            mm = metrics_of(mix, bpy)
+            tag = f"TP01 + {w:.0%} {name}"
+            print(f"  {tag:<30s} Sharpe {mm['sharpe']:.3f}  CAGR {mm['cagr']*100:+5.0f}%  "
+                  f"maxDD {mm['max_dd']*100:4.1f}%  OOS {mm['oos_sharpe']:.2f}  (corr={corr:+.2f})")
+
+    # ----- FEE SWEEP (robustness): 0.00 .. 0.40% RT -----
+    print("\n\n" + "#" * 112)
+    print("# FEE SWEEP — portfolio Sharpe @12h across round-trip fees (0.00-0.40% RT)")
+    print("#" * 112)
+    sweep = [
+        ("baseline 1-3-6m (LF)",      dir_signblend, True),
+        ("z-score cum-ret (LF)",      dir_zscore, True),
+        ("MACD (LF)",                 dir_macd, True),
+        ("mom(1-6)-0.5rev(12-24)(LF)", make_mom_minus_rev((1, 3, 6), (12, 24), 0.5), True),
+        ("reversal 24m (LS)",         make_reversal((24,)), False),
+    ]
+    rts = [0.0, 0.0005, 0.0010, 0.0020, 0.0040]
+    print(f"  {'formulation':<28s}" + "".join(f"{rt*100:>7.2f}%" for rt in rts) + "  (RT)")
+    for name, fn, lo in sweep:
+        row = [sharpe_of(portfolio_combo(tf, fn, lo, fee_side=rt / 2)[0], bpy) for rt in rts]
+        print(f"  {name:<28s}" + "".join(f"{v:>8.2f}" for v in row))
+
+    print("\nDone. See verdict in the script docstring / diary.")
+
+
+if __name__ == "__main__":
+    main()

src/live/__init__.py

@@ -0,0 +1 @@
+"""Monitoraggio paper (dashboard). Lo stack live REALE resta in Old/."""

src/live/dashboard.py

@@ -0,0 +1,136 @@
+"""DASHBOARD web del portafoglio attivo (TP01 + XS01) — monitoraggio PAPER, stdlib only.
+
+Mostra: metriche (FULL/HOLD Sharpe, DD, CAGR), per-sleeve, posizioni correnti, equity (backtest +
+paper forward da scripts/live/paper_portfolio.py), ultima data dato. Nessuna auth -> solo rete
+interna. Esecuzione REALE disabilitata: e' un monitor, non un trader.
+
+  uv run python -m src.live.dashboard --port 8787
+"""
+from __future__ import annotations
+import sys, json, time
+from pathlib import Path
+from http.server import BaseHTTPRequestHandler, ThreadingHTTPServer
+PROJECT_ROOT = Path(__file__).resolve().parents[2]
+sys.path.insert(0, str(PROJECT_ROOT))
+import numpy as np, pandas as pd
+from src.portfolio.portfolio import StrategyPortfolio, metrics, HOLDOUT
+from src.portfolio.sleeves import active_sleeves
+from src.version import APP_VERSION
+
+PAPER = PROJECT_ROOT / "data" / "paper_portfolio" / "state.json"
+_CACHE = {"t": 0.0, "data": None}
+_TTL = 120.0
+
+
+def build():
+    if _CACHE["data"] is not None and time.time() - _CACHE["t"] < _TTL:
+        return _CACHE["data"]
+    pf = StrategyPortfolio(active_sleeves(), capital=2000.0)
+    bt = pf.backtest()
+    eq = bt["equity"]; idx = bt["index"]
+    # sparkline: subsample ~400 punti
+    step = max(1, len(eq) // 400)
+    spark = [(str(idx[i].date()), float(eq[i])) for i in range(0, len(eq), step)]
+    paper = json.loads(PAPER.read_text()) if PAPER.exists() else None
+    data = dict(
+        version=APP_VERSION,
+        last_data=str(idx[-1].date()),
+        full=bt["full"], holdout=bt["holdout"], weights=bt["weights"],
+        per_sleeve=bt["per_sleeve"], yearly=bt["yearly"],
+        positions=pf.current_positions(), spark=spark, paper=paper,
+        bh=None,
+    )
+    _CACHE.update(t=time.time(), data=data)
+    return data
+
+
+def svg_spark(spark, w=900, h=220):
+    ys = [v for _, v in spark]
+    lo, hi = min(ys), max(ys)
+    rng = hi - lo or 1
+    pts = []
+    for i, (_, v) in enumerate(spark):
+        x = i / (len(spark) - 1) * w
+        y = h - (v - lo) / rng * (h - 10) - 5
+        pts.append(f"{x:.1f},{y:.1f}")
+    return (f'<svg viewBox="0 0 {w} {h}" width="100%" height="{h}" preserveAspectRatio="none">'
+            f'<polyline fill="none" stroke="#2ecc71" stroke-width="2" points="{" ".join(pts)}"/></svg>')
+
+
+def html():
+    d = build()
+    f, ho = d["full"], d["holdout"]
+    rows = ""
+    for name, s in d["per_sleeve"].items():
+        rows += (f"<tr><td>{name}</td><td>{s['weight']*100:.0f}%</td>"
+                 f"<td>{s['full']['sharpe']:.2f}</td><td>{s['full']['maxdd']*100:.0f}%</td>"
+                 f"<td>{s['holdout']['sharpe']:.2f}</td></tr>")
+    yrs = "".join(f"<span class=y>{y}: {v['ret']*100:+.0f}%</span>" for y, v in sorted(d["yearly"].items()))
+    pos = ""
+    for sl, p in d["positions"].items():
+        pos += f"<tr><td>{sl}</td><td>{'flat (in cash)' if p == {'BTC': 0.0, 'ETH': 0.0} else (p if p is not None else 'stat-mode (book 19 gambe)')}</td></tr>"
+    pp = d["paper"]
+    if pp:
+        days = (pd.Timestamp(pp["last"]) - pd.Timestamp(pp["start"])).days
+        ret = pp["equity"] / pp["initial"] - 1
+        paper_html = (f"<b>{pp['equity']:.2f}</b> (start {pp['initial']:.0f}, {pp['start'][:10]} → "
+                      f"{pp['last'][:10]}, {days}g) &nbsp; ret <b>{ret*100:+.2f}%</b> &nbsp; maxDD {pp['max_dd']*100:.1f}%")
+    else:
+        paper_html = "non inizializzato (gira <code>paper_portfolio.py</code>)"
+    return f"""<!doctype html><html><head><meta charset=utf-8>
+<meta http-equiv=refresh content=300><title>PythagorasGoal — Portafoglio</title>
+<style>body{{font-family:-apple-system,Segoe UI,Roboto,sans-serif;background:#0e1116;color:#e6e6e6;margin:0;padding:24px;max-width:980px;margin:auto}}
+h1{{font-size:20px;margin:0 0 2px}}.sub{{color:#8a93a0;font-size:13px;margin-bottom:18px}}
+.cards{{display:flex;gap:14px;flex-wrap:wrap;margin-bottom:18px}}
+.card{{background:#161b22;border:1px solid #222b36;border-radius:10px;padding:14px 18px;min-width:150px}}
+.card .k{{color:#8a93a0;font-size:12px}}.card .v{{font-size:24px;font-weight:600}}.g{{color:#2ecc71}}.r{{color:#e74c3c}}
+table{{width:100%;border-collapse:collapse;margin:8px 0 20px}}td,th{{text-align:left;padding:7px 10px;border-bottom:1px solid #222b36;font-size:14px}}
+th{{color:#8a93a0;font-weight:500}}.y{{display:inline-block;background:#161b22;border:1px solid #222b36;border-radius:6px;padding:3px 8px;margin:2px;font-size:12px}}
+.box{{background:#161b22;border:1px solid #222b36;border-radius:10px;padding:14px 18px;margin-bottom:18px}}
+.warn{{color:#f1c40f;font-size:12px}}</style></head><body>
+<h1>PythagorasGoal — Portafoglio attivo (TP01 + XS01)</h1>
+<div class=sub>monitor PAPER · v{d['version']} · ultimo dato {d['last_data']} · esecuzione REALE disabilitata</div>
+<div class=cards>
+ <div class=card><div class=k>FULL Sharpe</div><div class="v g">{f['sharpe']:.2f}</div></div>
+ <div class=card><div class=k>HOLD-OUT Sharpe (2025-26)</div><div class="v g">{ho['sharpe']:.2f}</div></div>
+ <div class=card><div class=k>maxDD</div><div class=v>{f['maxdd']*100:.1f}%</div></div>
+ <div class=card><div class=k>CAGR</div><div class=v>{f['cagr']*100:.0f}%</div></div>
+ <div class=card><div class=k>ret totale</div><div class=v>{f['ret']*100:+.0f}%</div></div>
+</div>
+<div class=box><div class=k style="color:#8a93a0;font-size:12px">EQUITY backtest (2019→oggi, €2k)</div>{svg_spark(d['spark'])}</div>
+<div class=box><b>Paper forward-only:</b> {paper_html}</div>
+<h3 style="font-size:14px;color:#8a93a0">Sleeve</h3>
+<table><tr><th>sleeve</th><th>peso</th><th>FULL Sh</th><th>DD</th><th>HOLD Sh</th></tr>{rows}</table>
+<h3 style="font-size:14px;color:#8a93a0">Posizioni correnti (ultima barra chiusa)</h3>
+<table>{pos}</table>
+<div style="margin-top:10px">{yrs}</div>
+<p class=warn>⚠️ Paper/monitor. XS01 e' STAT-MODE (book a 19 gambe market-neutral, non eseguibile a €2k). Storia XS ~2.5 anni.</p>
+</body></html>"""
+
+
+class H(BaseHTTPRequestHandler):
+    def log_message(self, *a):
+        pass
+
+    def do_GET(self):
+        if self.path not in ("/", "/index.html"):
+            self.send_response(404); self.end_headers(); return
+        try:
+            body = html().encode()
+        except Exception as e:
+            body = f"<pre>errore: {type(e).__name__}: {e}</pre>".encode()
+        self.send_response(200)
+        self.send_header("Content-Type", "text/html; charset=utf-8")
+        self.end_headers(); self.wfile.write(body)
+
+
+def main():
+    port = 8787
+    if "--port" in sys.argv:
+        port = int(sys.argv[sys.argv.index("--port") + 1])
+    print(f"dashboard su :{port} (Ctrl-C per uscire)")
+    ThreadingHTTPServer(("0.0.0.0", port), H).serve_forever()
+
+
+if __name__ == "__main__":
+    main()

src/portfolio/__init__.py

@@ -0,0 +1,9 @@
+"""Portafoglio di strategie (estensibile) — v2.0.0.
+
+Un portafoglio aggrega N SLEEVE indipendenti, ognuno = una strategia validata che produce una
+serie di rendimenti netti CAUSALE e netto-fee. Gli sleeve si combinano per peso su una griglia
+GIORNALIERA comune (grid unica per mixare TF diversi). Vedi src.portfolio.portfolio + sleeves.
+"""
+from src.portfolio.portfolio import Sleeve, StrategyPortfolio, to_daily
+
+__all__ = ["Sleeve", "StrategyPortfolio", "to_daily"]

src/portfolio/portfolio.py

@@ -0,0 +1,120 @@
+"""PORTAFOGLIO DI STRATEGIE — contenitore estensibile (v2.0.0).
+
+Modello: ogni SLEEVE produce una serie di rendimenti netti per-barra (datetime-indexed, CAUSALE,
+netto fee). Il portafoglio:
+  1. porta ogni sleeve su una griglia GIORNALIERA comune (compounding intra-giorno) — così sleeve
+     a TF diversi (1d, 1h, ...) si combinano in modo coerente;
+  2. combina per PESO (rinormalizzato a 1) sui giorni comuni a tutti gli sleeve;
+  3. = portafoglio equal-capital-by-weight ribilanciato di continuo (interpretazione del weighted-
+     return combine). Equity = capitale · Π(1+combo).
+
+AGGIUNGERE uno sleeve è una riga in src/portfolio/sleeves.py (vedi lì il template).
+Metriche oneste: FULL + HOLD-OUT 2025-26 (bloccato) + per-anno, e standalone per-sleeve.
+"""
+from __future__ import annotations
+from dataclasses import dataclass, field
+from typing import Callable
+import numpy as np
+import pandas as pd
+
+DAYS_PER_YEAR = 365.25
+HOLDOUT = pd.Timestamp("2025-01-01", tz="UTC")
+
+
+def to_daily(net: pd.Series) -> pd.Series:
+    """Compound una serie di rendimenti netti per-barra a GIORNALIERA (griglia comune del portafoglio)."""
+    s = net.dropna().sort_index()
+    if not isinstance(s.index, pd.DatetimeIndex):
+        s.index = pd.to_datetime(s.index, utc=True)
+    if s.index.tz is None:
+        s.index = s.index.tz_localize("UTC")
+    return ((1.0 + s).resample("1D").prod() - 1.0).dropna()
+
+
+@dataclass
+class Sleeve:
+    """Una strategia nel portafoglio. daily_fn() -> serie rendimenti netti per-barra (causale, netto fee).
+    pos_fn() (opzionale) -> dict posizioni-bersaglio correnti, per introspezione live."""
+    name: str
+    weight: float
+    daily_fn: Callable[[], pd.Series]
+    pos_fn: Callable[[], dict] | None = None
+    _cache: pd.Series | None = field(default=None, repr=False, compare=False)
+
+    def daily(self) -> pd.Series:
+        if self._cache is None:
+            self._cache = to_daily(self.daily_fn())
+        return self._cache
+
+
+def metrics(daily: pd.Series) -> dict:
+    r = np.asarray(daily.dropna().values, float)
+    if len(r) < 2 or r.std() == 0:
+        return dict(sharpe=0.0, cagr=0.0, maxdd=0.0, ret=0.0, n=int(len(r)))
+    eq = np.cumprod(1.0 + r)
+    pk = np.maximum.accumulate(eq)
+    years = len(r) / DAYS_PER_YEAR
+    return dict(sharpe=float(r.mean() / r.std() * np.sqrt(DAYS_PER_YEAR)),
+                cagr=float(eq[-1] ** (1 / years) - 1) if years > 0 and eq[-1] > 0 else 0.0,
+                maxdd=float(np.max((pk - eq) / pk)), ret=float(eq[-1] - 1), n=int(len(r)))
+
+
+def yearly(daily: pd.Series) -> dict:
+    out = {}
+    for y, g in daily.groupby(daily.index.year):
+        v = g.values
+        eq = np.cumprod(1 + v); pk = np.maximum.accumulate(eq)
+        out[int(y)] = dict(ret=float(eq[-1] - 1), dd=float(np.max((pk - eq) / pk)))
+    return out
+
+
+class StrategyPortfolio:
+    def __init__(self, sleeves: list[Sleeve], capital: float = 2000.0):
+        if not sleeves:
+            raise ValueError("portafoglio vuoto: serve almeno uno sleeve")
+        self.sleeves = sleeves
+        self.capital = capital
+
+    def weights(self) -> dict:
+        tot = sum(s.weight for s in self.sleeves)
+        if tot <= 0:
+            raise ValueError("somma pesi non positiva")
+        return {s.name: s.weight / tot for s in self.sleeves}
+
+    def combined_daily(self, lo=None, hi=None) -> pd.Series:
+        """Combina gli sleeve per peso. OUTER-join: sleeve con date d'inizio diverse
+        (es. TP01 dal 2019, uno nuovo dal 2024) -> ogni giorno i pesi sono RINORMALIZZATI
+        fra i soli sleeve con dato disponibile (uno sleeve "si attiva" quando parte la sua
+        storia). Cosi' non si tronca il portafoglio alla finestra comune."""
+        w = self.weights()
+        cols = {s.name: s.daily() for s in self.sleeves}
+        J = pd.concat(cols, axis=1, join="outer").sort_index()
+        wv = np.array([w[c] for c in J.columns], float)
+        active = J.notna().values * wv                       # peso solo dove c'e' dato
+        rowsum = active.sum(axis=1, keepdims=True)
+        wnorm = np.divide(active, rowsum, out=np.zeros_like(active), where=rowsum > 0)
+        combo = pd.Series(np.nansum(np.nan_to_num(J.values) * wnorm, axis=1), index=J.index)
+        combo = combo[J.notna().any(axis=1).values]          # togli i giorni senza alcun dato
+        if lo is not None:
+            combo = combo[combo.index >= lo]
+        if hi is not None:
+            combo = combo[combo.index < hi]
+        return combo
+
+    def backtest(self) -> dict:
+        full = self.combined_daily()
+        return dict(
+            weights=self.weights(),
+            full=metrics(full),
+            holdout=metrics(self.combined_daily(lo=HOLDOUT)),
+            yearly=yearly(full),
+            per_sleeve={s.name: dict(weight=self.weights()[s.name],
+                                     full=metrics(s.daily()),
+                                     holdout=metrics(s.daily()[s.daily().index >= HOLDOUT]))
+                        for s in self.sleeves},
+            equity=self.capital * np.cumprod(1.0 + full.values),
+            index=full.index,
+        )
+
+    def current_positions(self) -> dict:
+        return {s.name: (s.pos_fn() if s.pos_fn else None) for s in self.sleeves}

src/portfolio/sleeves.py

@@ -0,0 +1,218 @@
+"""SLEEVE del portafoglio + REGISTRY degli sleeve attivi.
+
+Per AGGIUNGERE una strategia al portafoglio:
+  1. Validala col gauntlet onesto (scripts/analysis/research_lab.py + hold-out + cross-asset).
+  2. Scrivi una funzione `_<nome>_returns() -> pd.Series` che ritorna i suoi rendimenti netti
+     per-barra (datetime-indexed, CAUSALE, netto fee). Deve passare il guard di causalità.
+  3. Avvolgila in uno Sleeve(nome, peso, fn[, pos_fn]) e aggiungila a active_sleeves().
+Niente sleeve non validati: il portafoglio è solo per edge che reggono il gauntlet.
+"""
+from __future__ import annotations
+import numpy as np
+import pandas as pd
+
+from src.data.downloader import load_data
+from src.strategies.trend_portfolio import TrendPortfolio, CANONICAL, resample_1d, simple_returns
+from src.portfolio.portfolio import Sleeve
+
+ASSETS = ("BTC", "ETH")
+
+
+# ----------------------------- TP01 (PORT LF1d) -----------------------------
+def _tp01_returns() -> pd.Series:
+    """TP01: TSMOM vol-target long-flat, 50/50 BTC+ETH, a 1d (>=12h: vedi nota look-ahead nel modulo).
+    Rendimenti netti per-barra del portafoglio (causale: posizione decisa a close[i-1], tenuta in i)."""
+    tp = TrendPortfolio(**CANONICAL)
+    series = {}
+    for a in ASSETS:
+        df = resample_1d(load_data(a, "1h"))
+        r = simple_returns(df["close"].values.astype(float))
+        tgt = tp.target_series(df)
+        held = np.zeros(len(tgt)); held[1:] = tgt[:-1]
+        net = held * r - tp.fee_side * np.abs(np.diff(held, prepend=0.0)); net[0] = 0.0
+        series[a] = pd.Series(np.clip(net, -0.99, None), index=pd.to_datetime(df["datetime"]))
+    J = pd.concat(series, axis=1, join="inner").fillna(0.0)
+    return pd.Series(0.5 * J["BTC"].values + 0.5 * J["ETH"].values, index=J.index)
+
+
+def _tp01_positions() -> dict:
+    tp = TrendPortfolio(**CANONICAL)
+    return {a: round(tp.current_target(resample_1d(load_data(a, "1h"))), 4) for a in ASSETS}
+
+
+def tp01_sleeve(weight: float = 1.0) -> Sleeve:
+    return Sleeve("TP01_trend_1d", weight, _tp01_returns, pos_fn=_tp01_positions)
+
+
+# ----------------------------- XS01: Cross-Sectional Momentum (Hyperliquid) -----------------------------
+# Universo certificato Hyperliquid (19 alt, 1d, dal 2024) in data/raw/hl_*_1d.parquet
+# (fetch+certify: scripts/analysis/fetch_hyperliquid.py). Market-neutral, scorrelato a TP01 (~-0.06).
+# CAVEAT ONESTI: storia corta (~2.5 anni, 2024-2026); STAT-MODE (book a 19 gambe market-neutral
+# non eseguibile a 2k, serve ~20k); l'edge e' nella DISPERSIONE cross-section (complementare al
+# trend di TP01: lavora quando TP01 e' in cash). Validato: scripts/portfolio/xsec_research.py.
+import glob as _glob
+from pathlib import Path as _Path
+# BLEND di lookback (2026-06-19): fonde 30g+90g del momentum cross-sectional (z-score per
+# lookback, mediato) come TP01 fonde gli orizzonti -> piu' robusto del singolo L=30: FULL Sh
+# 0.80->1.10, DD 21%->14%, corr a TP01 -0.06->-0.12, 100% anni+. Diario 2026-06-19-xsec-blend.md.
+# + GATE DI DISPERSIONE (2026-06-19): entra solo se la dispersione cross-section del momentum
+# supera il percentile ESPANDENTE causale disp_pct (altrimenti flat: in regime compatto XS e'
+# rumore). Plateau robusto p15-p35; a p30: portafoglio FULL 1.50->1.74, HOLD 1.06->1.56.
+# Diario 2026-06-19-xsec-dispgate.md.
+XS_CFG = dict(lookbacks=(30, 90), H=10, k=5, mode="mom", target_vol=0.20, disp_pct=30, disp_minhist=20)
+_HL_DIR = _Path(__file__).resolve().parents[2] / "data" / "raw"
+# UNIVERSO ESPLICITO = 19 ALT LIQUIDI MAJOR. NB (2026-06-19): allargare a 52 asset (incluso
+# small-cap WIF/JUP/ORDI/PYTH/TAO...) DILUISCE l'edge -> momentum cross-section NEGATIVO sui 52.
+# I major sono il sweet spot. NON usare glob-all (i parquet extra certificati servono ad altra
+# ricerca, non a XS01). Vedi diario 2026-06-19-xsec-universe-expansion.md.
+XS_UNIVERSE = ["BTC", "ETH", "SOL", "BNB", "XRP", "DOGE", "AVAX", "LINK", "LTC", "ADA",
+               "ARB", "OP", "SUI", "APT", "INJ", "TIA", "SEI", "NEAR", "AAVE"]
+
+
+def _xsec_returns() -> pd.Series:
+    cols = {}
+    for sym in XS_UNIVERSE:
+        p = _HL_DIR / f"hl_{sym.lower()}_1d.parquet"
+        if not p.exists():
+            continue
+        d = pd.read_parquet(p)
+        cols[sym] = pd.Series(d["close"].values.astype(float),
+                              index=pd.to_datetime(d["timestamp"], unit="ms", utc=True))
+    if len(cols) < 10:
+        raise FileNotFoundError("universo Hyperliquid XS01 incompleto: gira scripts/analysis/fetch_hyperliquid.py")
+    C = pd.concat(cols, axis=1, join="inner").sort_index().dropna()
+    px = C.values; n, A = px.shape
+    lookbacks, H, k, mode, tv = XS_CFG["lookbacks"], XS_CFG["H"], XS_CFG["k"], XS_CFG["mode"], XS_CFG["target_vol"]
+    disp_pct = XS_CFG.get("disp_pct", 0); minhist = XS_CFG.get("disp_minhist", 20)
+    mlb = max(lookbacks)
+    dret = np.vstack([np.zeros(A), px[1:] / px[:-1] - 1.0])
+    W = np.zeros((n, A)); w = np.zeros(A); disp_hist = []
+    for i in range(n):
+        if i >= mlb and i % H == 0:
+            rLs = [px[i] / px[i - L] - 1.0 for L in lookbacks]
+            disp_i = float(np.mean([r.std() for r in rLs]))          # dispersione cross-section del momentum
+            thr = np.percentile(disp_hist, disp_pct) if (disp_pct > 0 and len(disp_hist) >= minhist) else -np.inf
+            if disp_i >= thr:                                        # gate: entra solo in regime disperso
+                score = np.zeros(A); cnt = 0                          # blend: media z-score cross-sectional
+                for rL in rLs:
+                    sd = rL.std()
+                    if sd > 0:
+                        score += (rL - rL.mean()) / sd; cnt += 1
+                if cnt:
+                    score /= cnt
+                    order = np.argsort(score)
+                    w = np.zeros(A); lo, hi = order[:k], order[-k:]
+                    if mode == "mom": w[hi] = 0.5 / k; w[lo] = -0.5 / k
+                    else: w[lo] = 0.5 / k; w[hi] = -0.5 / k
+            else:
+                w = np.zeros(A)                                       # regime compatto -> flat
+            disp_hist.append(disp_i)
+        W[i] = w
+    gross = np.zeros(n); gross[1:] = np.sum(W[:-1] * dret[1:], axis=1)
+    turn = np.zeros(n); turn[0] = np.abs(W[0]).sum(); turn[1:] = np.abs(np.diff(W, axis=0)).sum(axis=1)
+    net = gross - turn * (0.001 / 2.0)
+    s = pd.Series(net, index=C.index)
+    rv = s.rolling(30, min_periods=15).std().shift(1) * np.sqrt(365.25)
+    scale = np.clip(np.nan_to_num(tv / rv.replace(0, np.nan).values, nan=0.0), 0, 3.0)
+    return pd.Series(s.values * scale, index=C.index)
+
+
+def xsec_sleeve(weight: float = 0.3) -> Sleeve:
+    return Sleeve("XS01_xsec_hl", weight, _xsec_returns)
+
+
+# ----------------------------- VRP01: Options Short-Vol (put credit spread + gate IV-rank) -----------------------------
+# Income short-vol settimanale. Idee da FinanceOld/OptionsAgent (Bear Call Spread + gate d'ingresso)
+# portate sul VRP: (a) PUT CREDIT SPREAD rischio-definito (vendi put -0.28, compra put -0.10) che
+# CAPPA la coda (worst-week -16.6%->-7.4%, DD 33%->14%); (b) GATE IV-RANK>0.30 causale = vendi vol solo
+# quando ricca -> ribalta l'HOLD-OUT da -0.25 a +0.28 (e' l'alpha); (c) crash-skip IV-rank>0.90.
+# Premio BS su DVOL reale (data/raw/dvol_*.parquet via scripts/research/fetch_dvol.py), payoff sul path
+# certificato, fee opzioni Deribit (cap 12.5% del premio). CAVEAT ONESTI: premio MODELLATO su IV-ATM
+# (skew non esplicito), book a 1d, f di stress reale non catturato -> e' un LEAD robusto, non deploy
+# pieno. Scorrelato a TP01 (~+0.07). Ricerca: scripts/research/options_vrp_v2.py.
+# Diario 2026-06-20-financeold-analysis-vrp-v2.md.
+from scipy.stats import norm as _norm
+
+VRP_CFG = dict(short_delta=-0.28, long_delta=-0.10, f=1.0, tenor_d=7,
+               gate_ivr=0.30, crash_skip=0.90, gate_vrp=True, fee_frac=0.125)
+
+
+def _bs_put(S, K, T, sig):
+    if T <= 0 or sig <= 0:
+        return max(K - S, 0.0)
+    d1 = (np.log(S / K) + 0.5 * sig ** 2 * T) / (sig * np.sqrt(T))
+    return K * _norm.cdf(-(d1 - sig * np.sqrt(T))) - S * _norm.cdf(-d1)        # r=0
+
+
+def _strike_from_delta(S, T, sig, target_delta):
+    return S * np.exp(0.5 * sig ** 2 * T - (-_norm.ppf(-target_delta)) * sig * np.sqrt(T))
+
+
+def _vrp_weekly_asset(asset: str) -> pd.Series:
+    """Put credit spread settimanale con gate causali. Ritorna rendimenti SETTIMANALI (su collaterale
+    = strike corto, cash-secured) indicizzati alla data di scadenza. Causale: strike/premio/gate da
+    dati <= sell-date; payoff a scadenza sui prezzi certificati."""
+    df = resample_1d(load_data(asset, "1h"))
+    s = pd.Series(df["close"].values.astype(float), index=pd.to_datetime(df["datetime"]))
+    if s.index.tz is None:
+        s.index = s.index.tz_localize("UTC")
+    dv = pd.read_parquet(_HL_DIR / f"dvol_{asset.lower()}.parquet")
+    d = pd.Series(dv["close"].values.astype(float), index=pd.to_datetime(dv["timestamp"], unit="ms", utc=True))
+    J = pd.concat({"px": s, "dvol": d}, axis=1, join="inner").sort_index().dropna()
+    px = J["px"].values; dvf = J["dvol"].values / 100.0; idx = J.index
+    n = len(px); cfg = VRP_CFG; tn = cfg["tenor_d"]; T = tn / 365.25
+    rets = {}
+    i = 60
+    while i + tn < n:
+        S0 = px[i]; sig = dvf[i]
+        skip = False
+        if cfg["gate_vrp"] and i >= 31:                                   # VRP>0: DVOL > RV30 causale
+            rv = np.std(np.diff(np.log(px[i - 30:i + 1]))) * np.sqrt(365.25)
+            if (sig - rv) <= 0:
+                skip = True
+        if not skip and (cfg["gate_ivr"] > 0 or cfg["crash_skip"] < 1.0) and i >= 60:
+            ivr = float((dvf[:i] < dvf[i]).mean())                        # IV-rank espandente causale
+            if cfg["gate_ivr"] > 0 and ivr < cfg["gate_ivr"]:
+                skip = True
+            if cfg["crash_skip"] < 1.0 and ivr > cfg["crash_skip"]:
+                skip = True
+        if skip:
+            rets[idx[i + tn]] = 0.0; i += tn; continue
+        Ks = _strike_from_delta(S0, T, sig, cfg["short_delta"])
+        Kl = _strike_from_delta(S0, T, sig, cfg["long_delta"])
+        net_prem = (_bs_put(S0, Ks, T, sig) - _bs_put(S0, Kl, T, sig)) * cfg["f"]
+        S1 = px[i + tn]
+        payoff = max(0.0, Ks - S1) - max(0.0, Kl - S1)
+        pnl = net_prem - payoff - cfg["fee_frac"] * abs(net_prem)
+        rets[idx[i + tn]] = pnl / Ks
+        i += tn
+    return pd.Series(rets)
+
+
+def _vrp_combo_returns() -> pd.Series:
+    """Sleeve VRP01: book 50/50 BTC+ETH del put credit spread gated, su griglia GIORNALIERA.
+    Il rendimento settimanale e' piazzato sul giorno di scadenza, 0.0 sugli altri giorni (preserva
+    lo Sharpe annualizzato senza smoothing): cosi' lo sleeve e' presente ogni giorno (peso costante)."""
+    rB = _vrp_weekly_asset("BTC"); rE = _vrp_weekly_asset("ETH")
+    wk = pd.concat({"B": rB, "E": rE}, axis=1, join="inner").mean(axis=1).sort_index()
+    if wk.empty:
+        return wk
+    days = pd.date_range(wk.index.min().normalize(), wk.index.max().normalize(), freq="1D", tz="UTC")
+    daily = pd.Series(0.0, index=days)
+    daily.loc[wk.index.normalize()] = wk.values                           # lump settimanale sul giorno scadenza
+    return daily
+
+
+def vrp_sleeve(weight: float = 0.20) -> Sleeve:
+    return Sleeve("VRP01_shortvol", weight, _vrp_combo_returns)
+
+
+# ----------------------------- REGISTRY -----------------------------
+def active_sleeves() -> list[Sleeve]:
+    """Sleeve ATTIVI nel portafoglio (pesi rinormalizzati; sleeve a date diverse si attivano
+    quando parte la loro storia). Aggiungere qui SOLO strategie validate col gauntlet."""
+    return [
+        tp01_sleeve(weight=0.55),      # trend difensivo, BTC/ETH, dal 2019 (l'unico deployable pieno)
+        xsec_sleeve(weight=0.25),      # cross-sectional momentum Hyperliquid, dal 2024 (scorrelato, stat-mode)
+        vrp_sleeve(weight=0.20),       # options short-vol (put credit spread + gate IV-rank), dal 2021 (lead modellato, scorrelato)
+    ]

tests/test_portfolio.py

@@ -0,0 +1,69 @@
+"""Test del contenitore portafoglio estensibile."""
+import sys
+from pathlib import Path
+PROJECT_ROOT = Path(__file__).resolve().parents[1]
+sys.path.insert(0, str(PROJECT_ROOT))
+import numpy as np
+import pandas as pd
+import pytest
+
+from src.portfolio.portfolio import Sleeve, StrategyPortfolio, to_daily, metrics
+
+
+def _const_sleeve(name, weight, val, n=400):
+    idx = pd.date_range("2020-01-01", periods=n, freq="1D", tz="UTC")
+    return Sleeve(name, weight, lambda: pd.Series(val, index=idx))
+
+
+def test_single_sleeve_equals_itself():
+    s = _const_sleeve("A", 1.0, 0.001)
+    pf = StrategyPortfolio([s])
+    combo = pf.combined_daily()
+    assert np.allclose(combo.values, s.daily().values)
+    assert pf.weights() == {"A": 1.0}
+
+
+def test_weights_normalize():
+    pf = StrategyPortfolio([_const_sleeve("A", 3.0, 0.001), _const_sleeve("B", 1.0, 0.002)])
+    w = pf.weights()
+    assert abs(sum(w.values()) - 1.0) < 1e-12
+    assert abs(w["A"] - 0.75) < 1e-12 and abs(w["B"] - 0.25) < 1e-12
+
+
+def test_equal_weight_combine():
+    a, b = _const_sleeve("A", 1.0, 0.001), _const_sleeve("B", 1.0, 0.003)
+    pf = StrategyPortfolio([a, b])
+    combo = pf.combined_daily()
+    assert np.allclose(combo.values, 0.5 * 0.001 + 0.5 * 0.003)   # 0.002
+
+
+def test_to_daily_compounds_intraday():
+    # due barre da +1% nello stesso giorno -> +2.01% giornaliero
+    idx = pd.to_datetime(["2020-01-01T00:00", "2020-01-01T12:00"], utc=True)
+    d = to_daily(pd.Series([0.01, 0.01], index=idx))
+    assert len(d) == 1 and abs(d.iloc[0] - (1.01 * 1.01 - 1)) < 1e-12
+
+
+def test_metrics_basic():
+    idx = pd.date_range("2020-01-01", periods=730, freq="1D", tz="UTC")
+    m = metrics(pd.Series(0.0005, index=idx))   # ritorno costante positivo
+    assert m["ret"] > 0 and m["maxdd"] == 0.0 and m["n"] == 730
+
+
+def test_outer_join_renormalizes_late_sleeve():
+    # sleeve con date d'inizio diverse: prima parte A da solo (peso rinormalizzato a 1),
+    # poi A+B (pesi 0.7/0.3). Il portafoglio NON si tronca alla finestra comune.
+    idxA = pd.date_range("2020-01-01", periods=120, freq="1D", tz="UTC")
+    idxB = pd.date_range("2020-02-15", periods=60, freq="1D", tz="UTC")
+    A = Sleeve("A", 0.7, lambda: pd.Series(0.001, index=idxA))
+    B = Sleeve("B", 0.3, lambda: pd.Series(0.003, index=idxB))
+    combo = StrategyPortfolio([A, B]).combined_daily()
+    assert abs(combo.iloc[0] - 0.001) < 1e-12          # solo A -> 100% A
+    both = combo[combo.index >= idxB[0]]
+    assert abs(both.iloc[0] - (0.7 * 0.001 + 0.3 * 0.003)) < 1e-12   # blend rinormalizzato
+    assert len(combo) == 120                            # span completo di A, non tronca
+
+
+def test_empty_portfolio_raises():
+    with pytest.raises(ValueError):
+        StrategyPortfolio([])

tests/test_vrp_sleeve.py

@@ -0,0 +1,61 @@
+"""Test dello sleeve VRP01 (options short-vol: put credit spread + gate IV-rank)."""
+import sys
+from pathlib import Path
+
+import numpy as np
+import pandas as pd
+import pytest
+
+PROJECT_ROOT = Path(__file__).resolve().parents[1]
+sys.path.insert(0, str(PROJECT_ROOT))
+
+from src.portfolio.sleeves import (
+    _bs_put, _strike_from_delta, _vrp_combo_returns, vrp_sleeve, _HL_DIR)
+
+_HAS_DVOL = (_HL_DIR / "dvol_btc.parquet").exists() and (_HL_DIR / "dvol_eth.parquet").exists()
+_skip_data = pytest.mark.skipif(not _HAS_DVOL, reason="serve data/raw/dvol_*.parquet (scripts/research/fetch_dvol.py)")
+
+
+def test_bs_put_monotonic_in_strike():
+    """Put piu' ITM (strike piu' alto) vale di piu'."""
+    S, T, sig = 100.0, 7 / 365.25, 0.6
+    vals = [_bs_put(S, K, T, sig) for K in (80, 90, 100, 110)]
+    assert all(b < a for b, a in zip(vals, vals[1:]))           # crescente nello strike
+
+
+def test_strike_from_delta_ordering():
+    """La put venduta delta -0.28 ha strike piu' alto (piu' vicino) della comprata -0.10."""
+    S, T, sig = 100.0, 7 / 365.25, 0.6
+    Ks = _strike_from_delta(S, T, sig, -0.28)
+    Kl = _strike_from_delta(S, T, sig, -0.10)
+    assert Kl < Ks < S                                          # entrambe OTM, long piu' lontana
+
+
+@_skip_data
+def test_sleeve_is_deterministic_and_daily():
+    a = vrp_sleeve().daily()
+    b = _vrp_combo_returns()
+    assert isinstance(a.index, pd.DatetimeIndex) and a.index.tz is not None
+    assert (a.index.normalize() == a.index).all()               # griglia giornaliera
+    # presente ogni giorno nel suo span (nessun buco) -> peso costante nel portafoglio
+    full = pd.date_range(a.index.min(), a.index.max(), freq="1D", tz="UTC")
+    assert len(a) == len(full)
+    np.testing.assert_array_equal(a.values, vrp_sleeve().daily().values)   # deterministico
+
+
+@_skip_data
+def test_gates_reduce_activity():
+    """I gate (IV-rank/VRP/crash-skip) devono lasciare flat parte delle settimane: i giorni con
+    rendimento != 0 sono molto meno del totale (lump settimanale + settimane saltate)."""
+    s = _vrp_combo_returns()
+    active = float((s != 0).mean())
+    assert 0.0 < active < 0.25                                  # ~1/7 (lump weekly) e meno per i gate
+
+
+@_skip_data
+def test_sleeve_positive_and_capped_tail():
+    """Lo sleeve e' profittevole e la coda e' tagliata dal long wing (worst-day moderato)."""
+    s = _vrp_combo_returns()
+    nz = s[s != 0]
+    assert s.sum() > 0                                          # somma rendimenti positiva
+    assert nz.min() > -0.15                                     # defined-risk: nessuna settimana < -15%