feat(risk): filtro trend per alzare Acc e ridurre DD + modello portafoglio

Filtro opzionale trend_max/ema_long su tutte le fade (MR01/MR02/MR03/MR07):
salta i segnali quando |close-EMA200|/ATR supera la soglia (non fadare un trend
o crollo estremo). Con trend_max=3.0 (default in strategies.yml): accuratezza su
e DD giu' su 7/8 sleeve, drastico su ETH (MR01 71->26%, MR02 42->25%,
MR03 66->34%, MR07 46->21%); edge OOS confermato. MR03 BTC: filtro disattivo
(unico sleeve dove peggiora entrambe).

Scartate come non robuste: vol-target sizing e skip-alta-volatilita' (peggiorano
sia Acc che DD). Aggiunto modello di portafoglio equipesato su sotto-conti
indipendenti: DD aggregato ~14% full / ~10% OOS sul paniere di 8 sleeve, contro
20-70% del singolo -> vera leva anti-drawdown.

Banco di prova: scripts/analysis/risk_improvements.py, risk_portfolio.py.
Helper trend_distance() in fade_base. CLAUDE.md e diario aggiornati.

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

.gitignore

@@ -16,3 +16,4 @@ data/processed/
 *.pt
 *.pth
 notebooks/.ipynb_checkpoints/
+data/paper_trades/

CLAUDE.md

@@ -9,9 +9,10 @@ Progetto di ricerca: riconoscimento pattern frattali per trading algoritmico su
 - **Linguaggio:** Python 3.11+
 - **Package manager:** uv (dipendenze in `pyproject.toml`, lock in `uv.lock`)
 - **Dati:** Parquet in `data/raw/` (non committati, ~70 MB)
-- **ML:** scikit-learn (GradientBoosting), PyTorch (LSTM)
+- **ML:** scikit-learn (GradientBoostingClassifier)
 - **Analisi:** numpy, pandas, scipy
 - **API dati:** Cerbero MCP su `cerbero-mcp.tielogic.xyz` (Deribit, Bybit, Hyperliquid), ccxt/Binance come fallback
+- **Config:** pyyaml per `strategies.yml`
 
 ## Struttura
 
@@ -22,12 +23,22 @@ src/backtest/          → engine di backtesting (engine.py)
 src/strategies/        → classe base Strategy ABC + indicatori condivisi
   base.py              → Strategy, Signal, BacktestResult, YearlyStats
   indicators.py        → keltner_ratio, detect_squeezes, ema, atr, rv, correlation
-scripts/strategies/    → strategie attive (SQ01-SQ04, ML01)
+src/live/              → paper trading live multi-strategia
-scripts/waste/         → strategie scartate (W01-W22 + REF originali)
+  multi_runner.py      → orchestratore: carica YAML, fetch candele, tick worker
-scripts/analysis/      → script di confronto e report
+  strategy_worker.py   → worker indipendente: capital, trade log, stato persistente.
+                         Exit guidati da strategia (TP/SL/max_bars via Signal.metadata),
+                         fallback hold_bars/stop -2%. Usa fee_rt della strategia.
+  strategy_loader.py   → import dinamico classi Strategy da scripts/strategies/
+  cerbero_client.py    → client HTTP per Cerbero MCP (Deribit testnet)
+  signal_engine.py     → squeeze + ML real-time (legacy ML01, ora in waste) + validazione OOS
+  telegram_notifier.py → notifiche Telegram per trade
+scripts/strategies/    → strategie con edge validato OOS (solo MR01_bollinger_fade)
+scripts/waste/         → strategie scartate (W01-W28 + famiglia squeeze SQ/MT/ML/AD/CM/PD)
+scripts/analysis/      → ricerca/validazione OOS fee-aware (strategy_research, oos_validation, ...)
+strategies.yml         → config multi-strategy paper trader
 docs/diary/            → diario di ricerca giornaliero
+docs/specs/            → specifiche di design
 data/raw/              → file .parquet OHLCV (gitignored)
-data/processed/        → modelli salvati (gitignored)
 ```
 
 ## Comandi
@@ -35,8 +46,12 @@ data/processed/        → modelli salvati (gitignored)
 ```bash
 uv sync                                              # installa dipendenze
 uv run python -m src.data.downloader                  # scarica dati storici
-uv run python scripts/strategies/SQ02_squeeze_antifake_vol.py  # miglior strategia robusta
+uv run python scripts/strategies/MR01_bollinger_fade.py        # strategia attiva (mean-reversion)
-uv run python scripts/strategies/ML01_squeeze_gbm.py  # squeeze + ML (GBM)
+uv run python scripts/analysis/strategy_research.py            # ricerca strategie fee-aware OOS
+uv run python scripts/analysis/oos_validation.py               # perche' la famiglia squeeze e' scartata
+uv run python scripts/analysis/validate_worker_mr01.py         # replay worker reale su MR01
+uv run python -m src.live.multi_runner                # paper trading live multi-strategia
+docker compose up -d                                  # deploy Docker
 uv run pytest                                         # test
 ```
 
@@ -53,36 +68,84 @@ df = load_data("ETH", "15m")  # carica un asset/timeframe
 Fonte primaria: Cerbero MCP (endpoint `/mcp-deribit/tools/get_historical`).
 Token observer: nel file `secrets/observer.token` del progetto CerberoSuite.
 
-## Strategia vincente
-
-**Squeeze + ML ibrida** (script 13):
-
-1. Rileva squeeze di volatilità (Bollinger dentro Keltner)
-2. Al rilascio dello squeeze, estrai feature strutturali dalla finestra
-3. GradientBoosting predice direzione con walk-forward training
-4. Trade solo se modello ha confidenza ≥ 70%
-
-Configurazione migliore: ETH 15m, BBw=14, squeeze threshold=0.8, breakout=3 barre, leva 3x, position 15%.
-
-Risultato backtestato: 76.9% accuracy, 118% annuo, 4.2% drawdown, €13.78/giorno da €1.000.
-
 ## Strategie attive
 
-| Codice | Nome | Tipo | Accuracy | Note |
+> **LEZIONE CRITICA (2026-05-28).** L'intera famiglia squeeze-breakout (SQ01-04,
-|--------|------|------|----------|------|
+> MT01, ML01, AD01, CM01, PD01) è stata **scartata in `scripts/waste/`**: le
-| SQ01 | Squeeze Base | Regole | 76.7% | Squeeze breakout puro, baseline |
+> accuratezze storiche 76-82% erano un **artefatto di look-ahead**. Quei backtest
-| SQ02 | Antifake+Vol | Regole | 79.7% | **Miglior robusto** — 9 anni, Sharpe 5.01 |
+> decidono la direzione con `sign(close[i]-close[i-1])` (la candela di breakout `i`)
-| SQ03 | All Filters | Regole | 79.2% | Cross-asset + timing + long squeeze |
+> ma entrano a `close[i-1]` — cioè comprano *prima* della candela che usano per
-| SQ04 | Ultimate | Regole | 81.6% | Max accuracy ma concentrato 2018 |
+> scegliere la direzione. Dal vivo il worker scopre il breakout solo a `close[i]`
-| ML01 | Squeeze+GBM | ML | 78.8% | Walk-forward, €12/day, DD basso |
+> ed entra lì: l'edge sparisce (win-rate ~47%, lancio di moneta). Sotto ingresso
+> onesto e fee reali **tutte perdono, anche a fee zero**. Inoltre i breakout
+> *rientrano* (mean-reversion > continuation). Vedi `scripts/analysis/oos_validation.py`
+> e `intrabar_test.py`.
 
-Tutte le strategie estendono `src.strategies.base.Strategy` con interfaccia comune:
+Tutte le strategie estendono `src.strategies.base.Strategy`
-`generate_signals() → backtest() → report()`.
+(`generate_signals() → backtest()`). Le strategie mean-reversion condividono
+`src.strategies.fade_base.FadeStrategy` (backtest intrabar TP/SL/max_bars).
+**Strategie con edge netto validato OOS fee-aware (tutte fade/mean-reversion):**
+
+| Codice | Nome | Meccanismo | Edge OOS netto (1h, fee 0.10% RT) | DD | Note |
+|--------|------|-----------|-----------------------------------|----|------|
+| **MR01** | Bollinger Fade | banda std attorno a SMA | BTC +201% / ETH +1238% | 15-72% | Fada la banda, TP alla media, SL ad ATR |
+| **MR02** | Donchian Fade | estremi canale H/L | BTC +172% / ETH enorme | 30-42% | Fada la rottura del canale, TP al centro |
+| **MR03** | Keltner Fade | canale ATR attorno a EMA | BTC +112% / ETH +886% | 20-66% | Banda indipendente da Bollinger |
+| **MR07** | Return Reversal | z dei rendimenti di barra | BTC +105% / ETH +195% | 25-46% | Fada il movimento estremo, exit in ATR; esposizione ~8% |
+
+**Lezione confermata:** l'edge è sempre *mean-reversion* (i breakout rientrano).
+Il trend-following (Donchian trend, RSI cross) e gli oscillatori senza filtro
+(RSI revert, ADX-filtered fade) perdono netti → restano scartati.
+
+Ogni strategia è robusta su **tutta** la sua griglia parametri (entrambi gli asset
+→ tutte positive OOS) e su **tutte** le fee 0.00-0.20% RT (margine ampio).
+MR01 validato col worker reale: BTC +196% / ETH +251% OOS (nov 2023→mag 2026).
+Ricerca completa: `scripts/analysis/strategy_research.py` (MR01) e
+`scripts/analysis/strategy_research_v2.py` (MR02/MR03/MR07).
+Validazione live-path: `scripts/analysis/oos_validation.py`.
+
+**Filtro trend (riduzione DD + aumento Acc).** Tutte le fade accettano i parametri
+opzionali `trend_max` / `ema_long`: saltano i segnali quando il prezzo è troppo
+esteso rispetto al trend di fondo (`|close − EMA(ema_long)| / ATR(14) > trend_max`),
+cioè quando si starebbe fadando un trend/crollo estremo. Con `trend_max=3.0`,
+`ema_long=200` (default in `strategies.yml`): accuratezza su tutti gli sleeve
+e DD giù drasticamente su ETH (MR01 71%→26%, MR02 42%→25%, MR03 66%→34%,
+MR07 46%→21%), edge OOS confermato (vedi `scripts/analysis/risk_portfolio.py`).
+Unica eccezione: MR03 BTC, dove il filtro peggiora entrambe → lasciato disattivo.
+Leva non robusta scartate: vol-target sizing e skip-alta-volatilità (peggiorano).
+
+**Portafoglio.** Diversificare su sotto-conti indipendenti equipesati (le 4 strategie
+× BTC/ETH, pos 0.15 ciascuno) abbatte il DD aggregato: ~14% full / ~10% OOS sul
+paniere di 8 sleeve, contro il 20-70% del singolo. È la vera leva anti-drawdown.
+
+**Metodologia obbligatoria per ogni nuova strategia** (per non ripetere l'errore squeeze):
+1. Ingresso eseguibile: direzione e prezzo decisi con dati **fino a `close[i]`**, mai `close[i-1]` con direzione da `i`.
+2. Backtest **NETTO** dopo fee realistiche Deribit (**0.10% RT** taker, non 0.20%) + leva.
+3. Validazione **out-of-sample** (held-out) + robustezza su griglia parametri + sweep fee.
+4. Crea script in `scripts/strategies/`, aggiungi a `MODULE_MAP` (`strategy_loader.py`) e a `strategies.yml`.
+
+Strategie scartate storiche in `scripts/waste/` (W01-W28 + la famiglia squeeze).
+
+**Verso €50/giorno.** Con 4 strategie indipendenti (MR01/MR02/MR03/MR07) × 2 asset
+(BTC/ETH) su €1000 ciascuna, il PnL medio storico aggregato è ben oltre €50/giorno;
+ma quei numeri sono backtest a leva 3x su 8 anni e includono anni eccezionali (es.
+ETH 2024). Stima onesta: il target è *plausibile* su un portafoglio diversificato di
+queste fade, ma va confermato col paper trader live prima di rischiare capitale reale.
+
+## Multi-Strategy Paper Trader
+
+Orchestratore che esegue N strategie in parallelo su dati live Cerbero, ognuna con €1000 USDC virtuali indipendenti.
+
+**Config:** `strategies.yml` — lista strategie con asset, tf, sizing, parametri. Attualmente solo MR01 (BTC/ETH 1h).
+**Persistenza:** `data/paper_trades/{strategy}___{asset}__{tf}/` con `trades.jsonl` (append-only) + `status.json` (resume al restart, include tp/sl/max_bars).
+**Hot-add:** aggiungi riga YAML → `docker compose restart` → storico intatto.
+**Exit strategia:** se un `Signal` porta `tp`/`sl`/`max_bars` in `metadata` (come MR01), il worker esce su take-profit/stop-loss/time-limit a quei livelli; altrimenti usa il fallback `hold_bars`/stop -2%.
+**Notifiche:** Telegram per ogni trade (richiede `.env` con `TELEGRAM_BOT_TOKEN` e `TELEGRAM_CHAT_ID`).
 
 ## Convenzioni
 
-- Strategie in `scripts/strategies/` con codice univoco (SQ01, ML01, ...).
+- Strategie in `scripts/strategies/` con codice univoco (MR01, ...).
-- Script scartati in `scripts/waste/` con prefisso W01-W22.
+- Script scartati in `scripts/waste/` (W01-W28 + famiglia squeeze).
 - Diario in `docs/diary/YYYY-MM-DD.md`. Aggiornare dopo ogni esperimento significativo.
 - Nessun dato sensibile nei commit (token, chiavi API). Usare `.gitignore`.
 - Verificare sempre assenza di data leakage prima di fidarsi dei risultati. In particolare: `returns[i-w : i]` include `close[i]` che è un candle nel futuro — usare `returns[i-w : i-1]`.
@@ -90,5 +153,8 @@ Tutte le strategie estendono `src.strategies.base.Strategy` con interfaccia comu
 ## Attenzione
 
 - **Data leakage:** è stata trovata e corretta nello script 05. Ogni volta che si usano rendimenti logaritmici (`np.diff(np.log(close))`), ricordare che `returns[k]` usa `close[k+1]`. I feature devono fermarsi a `returns[i-2]` se il prezzo corrente è `close[i-1]`.
-- **Fee:** sempre 0.1% per lato (0.2% round-trip). Includere nel backtest.
+- **Fee:** Deribit perp reale = taker ~0.05%/lato (**0.10% round-trip**), maker ~0%. Usare 0.10% RT come baseline (lo 0.20% storico era pessimista 2x). Includere SEMPRE nel backtest: sono vincolo di prim'ordine, molte operazioni = morte per fee. Il worker usa `strategy.fee_rt` (MR01 = 0.001).
 - **Leva:** testato con 3x. Aumentare a 5x migliora i rendimenti ma raddoppia il drawdown.
+- **GBM:** GradientBoostingClassifier di scikit-learn. Ensemble di alberi decisionali sequenziali. Walk-forward per evitare leakage temporale.
+- **Cerbero `get_historical` (fix 2026-05-28):** `end_date` come data nuda è inclusivo dell'intera giornata fino all'ultima candela chiusa (es. `end=oggi` arriva fino ad ora, non più a mezzanotte); accettati anche timestamp con orario (`...T14:00:00`, naive=UTC); nessun cap a ~5000 righe (paginazione interna). Il client passa già `end=oggi`, ora corretto. Prima del fix il paper trader restava a zero trade perché il feed era fermo a mezzanotte.
+- **Dati ETH Deribit 15m:** 14-30%/anno di candele *flat* (O=H=L=C, volume 0, run fino a ~54h) per bassa liquidità del perpetuo. Verificato (2026-05-28): escluderle NON cambia i backtest (Δacc ≤0.5pp) → edge robusto. Resta un caveat operativo (slippage/fill in trading reale, irrilevante per paper). BTC pulito eccetto picco ~8% nel 2024.

Dockerfile

@@ -8,7 +8,9 @@ COPY pyproject.toml uv.lock ./
 RUN uv sync --frozen --no-dev
 
 COPY src/ src/
+COPY scripts/strategies/ scripts/strategies/
+COPY strategies.yml strategies.yml
 
 VOLUME /app/data
 
-CMD ["uv", "run", "python", "-m", "src.live.paper_trader"]
+CMD ["uv", "run", "python", "-m", "src.live.multi_runner"]

README.md

@@ -8,80 +8,189 @@ Partendo da un capitale iniziale di €1.000, raggiungere un profitto medio di
 
 ## Risultati
 
-Tredici strategie testate su dati storici 2018–2026 (BTC e ETH, timeframe 5m / 15m / 1h). Le migliori cinque:
+> ⚠️ **Revisione 2026-05-28.** La famiglia squeeze-breakout (SQ/MT/ML/AD/CM/PD, con
+> accuracy storiche dichiarate 76-82%) è stata **scartata**: quei numeri erano un
+> **artefatto di look-ahead**. I backtest decidevano la direzione dalla candela di
+> breakout `close[i]` ma entravano a `close[i-1]` — impossibile dal vivo. Sotto
+> ingresso onesto (`close[i]`) e fee reali, l'edge sparisce e tutte perdono, anche
+> a fee zero. Dettagli e prove: `scripts/analysis/oos_validation.py`.
 
-| # | Strategia | Accuracy | ROI annuo | Max DD | €/giorno |
+Dopo una validazione **out-of-sample, fee-aware** di tutte le famiglie, l'unica con
-|---|-----------|----------|-----------|--------|----------|
+edge netto reale è il **mean-reversion** (i breakout *rientrano*, non continuano):
-| 1 | ETH 15m Squeeze + ML ibrida | 76.9% | 118% | 4.2% | €13.78 |
-| 2 | ETH 1h Squeeze + Vol | 83.9% | 22% | 2.0% | €0.71 |
-| 3 | BTC 15m Squeeze + ML ibrida | 78.8% | 69% | 7.0% | €5.51 |
-| 4 | ETH 1h Squeeze (BBw=30) | 82.8% | 47% | 3.2% | €1.77 |
-| 5 | ETH Walk-Forward ML | 57.7% | 38% | 47% | €3.12 |
 
-La strategia vincente (#1) opera su ETH a 15 minuti con ~1 trade al giorno, leva 3x e drawdown contenuto al 4.2%.
+| Codice | Strategia | Mercato | Edge OOS netto | Max DD | Robustezza |
+|--------|-----------|---------|----------------|--------|------------|
+| **MR01** | Bollinger Fade (mean-reversion) | BTC 1h | **+196 / +201%** | 15% | ✅ |
+| **MR01** | Bollinger Fade (mean-reversion) | ETH 1h | **+251%** | ~25% | ⚠️ DD alto |
+
+Netto dopo **fee realistiche Deribit 0.10% RT** (taker), leva 3x, pos 15%, su finestra
+held-out (nov 2023→mag 2026). MR01 è positivo su **tutta** la griglia parametri
+(`n∈{14,20,30,50}` × `k∈{2.0,2.5,3.0}`) e per **ogni** livello di fee 0.00-0.20% RT —
+margine di sicurezza ampio, niente parametro fortunato. Ri-validato col worker live reale.
 
 ## Come funziona
 
-### Volatility Squeeze Breakout
+### MR01 — Bollinger Fade (mean-reversion)
 
-Il meccanismo centrale sfrutta i cicli naturali di compressione ed espansione della volatilità:
+La strategia attiva sfrutta il fatto, emerso dai dati, che su BTC/ETH a 1h gli estremi
+di prezzo **rientrano verso la media** più di quanto proseguano:
 
-1. **Compressione** — le Bollinger Bands entrano dentro i Keltner Channel (il prezzo si muove sempre meno, accumulando "energia").
+1. **Bollinger Bands** (window `n`, `k` deviazioni standard) sul close.
-2. **Breakout** — le bande escono dal canale. Un impulso direzionale parte.
+2. **Entry** — quando il close esce *sotto* la banda inferiore → **long** (o *sopra* la superiore → **short**). Ingresso a `close[i]`, eseguibile dal vivo.
-3. **Conferma ML** — un modello GradientBoosting, addestrato su feature strutturali e frattali della finestra precedente, conferma la direzione e filtra i segnali deboli.
+3. **Take-profit** alla media mobile (il rientro atteso).
+4. **Stop-loss** a `sl_atr × ATR` oltre l'estremo; **time-limit** a `max_bars`.
 
-### Feature frattali
+Nessun look-ahead: direzione e livelli sono calcolati con dati fino a `close[i]`.
 
-- Rapporti body/shadow normalizzati su finestre multiple (12, 24, 48 candele)
+### Perché lo squeeze breakout è stato abbandonato
-- Momentum, volatilità, skewness, kurtosis dei rendimenti logaritmici
+
-- Autocorrelazione lag-1
+L'ipotesi originale era opposta — *continuazione* dopo la compressione di volatilità
-- Profilo volumetrico e spike detection
+(Bollinger dentro Keltner → breakout direzionale). Su dati storici sembrava dare
-- Durata della fase di squeeze e rapporto di espansione Keltner
+76-82% di accuracy, ma era un **artefatto di look-ahead**: il backtest entrava a
-- Posizione del prezzo rispetto al range recente e ATR normalizzato
+`close[i-1]` con direzione decisa da `close[i]`. Replicando l'esecuzione reale
+(ingresso a `close[i]`) l'edge collassa al ~47% (lancio di moneta) e i costi fanno
+il resto. Il test sui breakout intra-barra a 5m conferma che il movimento *rientra*
+subito (mean-reversion), giustificando MR01. Tutta la famiglia squeeze è in `scripts/waste/`.
+
+### Lezione metodologica
+
+Ogni nuova strategia deve passare: (1) **ingresso eseguibile** senza look-ahead,
+(2) backtest **netto** dopo fee realistiche (0.10% RT Deribit), (3) validazione
+**out-of-sample** + robustezza su griglia parametri + sweep fee. Strumenti in
+`scripts/analysis/` (`strategy_research.py`, `oos_validation.py`, `intrabar_test.py`).
 
 ## Struttura progetto
 
 ```
 PythagorasGoal/
 ├── src/
-│   ├── data/          # Download e gestione dati storici (Cerbero MCP + Binance)
+│   ├── data/              # Download e gestione dati (Cerbero MCP + Binance)
-│   ├── fractal/       # Indicatori frattali: Hurst, Higuchi FD, self-similarity
+│   ├── fractal/           # Indicatori frattali: Hurst, Higuchi FD, self-similarity
-│   ├── backtest/      # Motore di backtesting con fee e metriche
+│   ├── backtest/          # Motore di backtesting con fee e metriche
-│   ├── strategies/    # (predisposto per strategie modulari)
+│   ├── strategies/        # Classe base Strategy ABC + indicatori condivisi
-│   ├── nn/            # (predisposto per reti neurali)
+│   │   ├── base.py        # Strategy, Signal, BacktestResult, YearlyStats
-│   └── utils/
+│   │   └── indicators.py  # keltner_ratio, detect_squeezes, ema, atr, rv, corr
-├── scripts/           # Script di analisi e test (01–13)
+│   └── live/              # Paper trading live su Deribit testnet
+│       ├── multi_runner.py     # Orchestratore multi-strategia
+│       ├── strategy_worker.py  # Worker indipendente con stato persistente
+│       ├── strategy_loader.py  # Import dinamico classi Strategy
+│       ├── cerbero_client.py   # Client HTTP per Cerbero MCP
+│       ├── signal_engine.py    # Squeeze + ML real-time (legacy) + validazione OOS
+│       └── telegram_notifier.py
+├── scripts/
+│   ├── strategies/        # Strategie con edge validato OOS (solo MR01_bollinger_fade)
+│   ├── waste/             # Strategie scartate (W01-W28 + famiglia squeeze SQ/MT/ML/AD/CM/PD)
+│   └── analysis/          # Ricerca/validazione OOS fee-aware (strategy_research, oos_validation, ...)
+├── strategies.yml         # Config multi-strategy paper trader
 ├── data/
-│   ├── raw/           # Parquet OHLCV (non committati, ~70 MB)
+│   └── raw/               # Parquet OHLCV (gitignored, ~70 MB)
-│   └── processed/     # Modelli salvati
 ├── docs/
-│   └── diary/         # Diario di ricerca giornaliero
+│   ├── diary/             # Diario di ricerca giornaliero
-├── tests/
+│   └── specs/             # Specifiche di design
-├── pyproject.toml
+├── Dockerfile
-└── README.md
+├── docker-compose.yml
+└── pyproject.toml
 ```
 
+## Strategie attive
+
+Tutte le strategie estendono `src.strategies.base.Strategy` (`generate_signals() → backtest()`).
+
+| Codice | Script | Tipo | Descrizione |
+|--------|--------|------|-------------|
+| **MR01** | `MR01_bollinger_fade.py` | Mean-reversion | Fada la banda di Bollinger, TP alla media, SL ad ATR. Unica con edge netto validato OOS. |
+
+La famiglia squeeze (SQ01-04, ML01, MT01, PD01, CM01, AD01) è in `scripts/waste/`:
+edge storico = artefatto di look-ahead (vedi sezione *Come funziona*).
+
+Per eseguire il backtest della strategia:
+
+```bash
+uv run python scripts/strategies/MR01_bollinger_fade.py
+```
+
+Per la ricerca/validazione fee-aware out-of-sample:
+
+```bash
+uv run python scripts/analysis/strategy_research.py     # screening famiglie + deep-dive MR01
+uv run python scripts/analysis/oos_validation.py        # perche' la famiglia squeeze e' scartata
+uv run python scripts/analysis/validate_worker_mr01.py  # replay del worker live su MR01
+```
+
+## Paper Trading Live
+
+Il multi-strategy runner esegue N strategie in parallelo su dati live da Cerbero MCP, ognuna con €1000 USDC virtuali indipendenti. Se un `Signal` porta `tp`/`sl`/`max_bars` in `metadata` (come MR01), il worker chiude su take-profit alla media / stop-loss ad ATR / time-limit; altrimenti usa il fallback `hold_bars`/stop -2%.
+
+### Avvio
+
+```bash
+# Locale
+uv run python -m src.live.multi_runner
+
+# Docker
+docker compose up -d
+```
+
+### Configurazione
+
+Le strategie attive sono definite in `strategies.yml`:
+
+```yaml
+defaults:
+  capital: 1000
+  position_size: 0.15
+  leverage: 3
+
+strategies:
+  - name: MR01_bollinger_fade
+    asset: BTC
+    tf: 1h
+    enabled: true
+    params:
+      bb_window: 50
+      k: 2.5
+      sl_atr: 2.0
+      max_bars: 24
+```
+
+Per aggiungere una strategia: nuova riga in `strategies.yml`, poi `docker compose restart`. Lo storico delle strategie esistenti rimane intatto.
+
+### Persistenza
+
+Ogni strategia ha la sua directory in `data/paper_trades/`:
+
+```
+data/paper_trades/
+  MR01_bollinger_fade__BTC__1h/
+    trades.jsonl    # Storico trade append-only
+    status.json     # Stato corrente (resume al restart, include tp/sl/max_bars)
+```
+
+Notifiche Telegram per ogni trade (richiede `TELEGRAM_BOT_TOKEN` e `TELEGRAM_CHAT_ID` in `.env`).
+
 ## Setup
 
 ```bash
-# Clona il repository
+# Clona e installa
 git clone <repo-url> && cd PythagorasGoal
-
-# Installa dipendenze (richiede uv)
 uv sync
 
-# Scarica dati storici (~70 MB, richiede connessione)
+# Scarica dati storici (~70 MB)
 uv run python -m src.data.downloader
 
-# Esegui la strategia ibrida vincente
+# Backtest strategia attiva
-uv run python scripts/13_squeeze_ml_hybrid.py
+uv run python scripts/strategies/MR01_bollinger_fade.py
+
+# Paper trading live
+uv run python -m src.live.multi_runner
 ```
 
 ### Requisiti
 
 - Python ≥ 3.11
 - [uv](https://docs.astral.sh/uv/) come package manager
-- Accesso a Cerbero MCP (`cerbero-mcp.tielogic.xyz`) per i dati Deribit, oppure Binance via ccxt come fallback
+- Accesso a Cerbero MCP (`cerbero-mcp.tielogic.xyz`) per dati Deribit live
+- Docker (opzionale, per deploy su VPS)
 
 ## Dati
 
@@ -90,25 +199,7 @@ uv run python scripts/13_squeeze_ml_hybrid.py
 | BTC | 5m / 15m / 1h | 883K / 294K / 74K | 2018-01 → oggi |
 | ETH | 5m / 15m / 1h | 882K / 294K / 74K | 2018-01 → oggi |
 
-Fonte primaria: Deribit perpetual via Cerbero MCP. Fallback per il periodo antecedente: Binance spot via ccxt. Formato: Apache Parquet.
+Fonte primaria: Deribit perpetual via Cerbero MCP. Fallback: Binance spot via ccxt. Formato: Apache Parquet.
-
-## Strategie testate
-
-| Script | Approccio | Esito |
-|--------|-----------|-------|
-| 01 | Pattern candlestick discreti (U/D/0) | Nessun edge |
-| 02 | DTW pattern matching | Troppo lento, edge minimo |
-| 03 | Proiezione FFT (ispirata al paper) | Random (49.8%) |
-| 04 | GBM su feature frattali (Hurst, FD) | 63.6% a soglia 0.65 |
-| 05 | GBM multi-window (corretto data leakage) | 58.9% |
-| 06 | GBM su feature strutturali normalizzate | 58.6%, +57.5% return |
-| 07 | LSTM su sequenze candele | 58.4%, comparabile a GBM |
-| 08 | Ensemble multi-timeframe (1h + 15m) | 59.2% (consensus 2/3) |
-| 09 | Walk-forward ML | 57.7%, Sharpe 7.4, €3.12/day |
-| 10 | Ensemble 5 modelli alta precisione | In corso |
-| 11 | **Volatility Squeeze Breakout** | **83.9%**, approccio strutturale |
-| 12 | Report finale e simulazione crescita | — |
-| 13 | **Squeeze + ML ibrida** | **76.9%**, 118% ann, €13.78/day |
 
 ## Riferimenti
 

docker-compose.yml

@@ -1,16 +1,17 @@
 services:
   paper-trader:
     build: .
-    container_name: pythagoras-paper
+    container_name: pythagoras-multi
     restart: unless-stopped
     volumes:
       - ./data:/app/data
+      - ./strategies.yml:/app/strategies.yml:ro
     env_file:
       - .env
     environment:
       - PYTHONUNBUFFERED=1
     healthcheck:
-      test: ["CMD", "python", "-c", "import json; s=json.load(open('/app/data/paper_trades/status.json')); assert s['last_update']"]
+      test: ["CMD", "python", "-c", "import os; assert any(f.endswith('status.json') for r,d,fs in os.walk('/app/data/paper_trades') for f in fs)"]
       interval: 120s
       timeout: 10s
       retries: 3

docs/diary/2026-05-28.md

@@ -0,0 +1,193 @@
+# 2026-05-28 — Giorno 3: Bug dati Cerbero, paper trader fermo, fix MT01 multi-timeframe
+
+### 12:20 — Sintomo: paper trader live a zero trade
+
+**Cosa:** check del container `pythagoras-multi` (multi-strategy paper trader, 6 strategie).
+**Reale:** container healthy da ore, ma **0 trade** su tutte le strategie, tutte FLAT a €1000.
+Primo falso indizio: `last_bar_ts: 0` in tutti gli `status.json`. Indagando il worker,
+quel campo si aggiorna **solo a posizione aperta** (contatore `hold_bars`), non ad ogni
+candela → non è la causa. Il loop era vivo (status.json riscritti ogni 60s).
+**Lezione:** non fidarsi del nome di un campo; verificare nel codice quando viene scritto.
+L'healthcheck del container controlla solo l'esistenza di `status.json`, non la freschezza
+→ un loop bloccato risulterebbe comunque "healthy".
+
+### 12:45 — Causa radice: bug lato Cerbero MCP `get_historical`
+
+**Cosa:** probe dirette all'endpoint `/mcp-deribit/tools/get_historical`.
+**Reale:** due bug lato server:
+1. **`end_date` data-nuda tronca a mezzanotte:** `end=oggi` restituiva candele solo fino a
+   `oggi 00:00`. Il `df` live finiva sempre alla barra di mezzanotte e **non avanzava** durante
+   la giornata → nessun breakout fresco sull'ultima barra → nessun ingresso (condizione worker
+   `last_signal.idx >= last_idx - 1`).
+2. **Cap a ~5000 righe** che ignora `start_date`: una richiesta di 365g a 15m restituiva ~52
+   giorni. Ecco perché ML01 si addestrava su soli 88 samples (overfit, train_acc 100%).
+**Lezione:** lo zero-trade non era nelle strategie ma nel feed dati. Sempre validare la
+freschezza/copertura dei dati prima di sospettare la logica.
+
+### 13:30 — Fix lato Cerbero + verifica
+
+**Cosa:** report passato al dev di `cerbero-mcp`; fix deployato (riavvio container) + doc
+aggiornata in `cerbero-mcp/docs/API_REFERENCE.md`.
+**Reale dopo deploy (verificato con probe):**
+- `end=oggi` (data nuda) → ultima candela = ora corrente (age ~3 min). ✅
+- 365g a 15m → **35.099 candele**, span 365.6g, nessun cap. ✅
+- Supportati anche timestamp con orario (`...T14:00:00`, naive = UTC). ✅
+
+Nostro client (`src/live/cerbero_client.py`) invariato: passa già `end=oggi`, ora corretto.
+**Lezione:** "trust but verify" — la doc dichiarava i fix prima che fossero deployati; solo
+la probe diretta ha confermato cosa era davvero attivo sul server.
+
+### 14:00 — Problema residuo: MT01 usava un trend 1h STANTIO
+
+**Cosa:** check di tutte le strategie sul percorso di codice reale con dati freschi.
+**Reale:**
+- Tutte le 6 strategie girano senza crash; SQ01/SQ02 generano molti segnali.
+- **MT01 leggeva il trend 1h dal parquet statico** (`load_data(asset,"1h")`), non da Cerbero.
+  Il parquet finiva a mezzanotte → per ogni barra 15m di oggi `searchsorted` cadeva oltre la
+  fine e si agganciava sempre alla candela di mezzanotte (gap 14.8h). La conferma
+  multi-timeframe — il cuore di MT01 — era di fatto congelata e il gap cresce ogni giorno.
+- In `data/raw/` mancavano del tutto i parquet **15m** (`btc_15m`, `eth_15m`) → backtest 15m rotti.
+**Lezione:** una strategia live che dipende da un file statico ha un punto cieco temporale;
+il dato live e quello di backtest devono provenire da fonti coerenti.
+
+### 14:30 — Fix MT01: trend 1h live da Cerbero
+
+**Cosa:** modifica al runner perché MT01 prenda l'1h live, non dal parquet.
+- `MT01.generate_signals` accetta un `df_1h` opzionale (fallback al parquet se assente).
+- `StrategyWorker.tick(df, df_1h=None)` lo inoltra ai signal.
+- `multi_runner` fa fetch 1h live (resolution 60) per gli asset MT01 ad ogni poll (`htf_cache`).
+**Reale (verificato a codice montato, pre-rebuild):** gap del trend 1h sull'ultima barra
+**0.75h** (fresco) contro **14.8h** col parquet statico. Segnali invariati sullo storico.
+**Lezione:** isolare la dipendenza dal file statico rende MT01 immune al drift tra un
+`download_all()` e l'altro.
+
+### 14:55 — Rigenerazione dati + rebuild
+
+**Cosa:** `download_asset` per 15m+1h (saltati 1m/5m, lenti e inutilizzati), poi
+`docker compose up -d --build` (il codice `src/` è baked nell'immagine).
+**Reale:** parquet rigenerati con storia completa 2018→2026 e freschi (15m fino alle 14:45,
+1h fino alle 14:00). Container ripartito: 6 strategie attive, ML01 riaddestrato su **534
+samples** (anno pieno), MT01 senza errori, fetch 1h live OK.
+
+### 15:00 — Regressione backtest sui dati rigenerati
+
+**Cosa:** rilanciati i backtest per confermare che i numeri documentati si riproducano sui
+dati ricreati da zero (BTC/ETH 15m, hold=3, fee 0.2% RT, leva 3x, pos 15%).
+**Reale:** accuratezze e drawdown **identici**, solo +1/+3 trade dalle barre recenti in più.
+
+| Strategia | Ottenuto | Documentato | Esito |
+|---|---|---|---|
+| SQ01 BTC 15m | 76.7% / DD 6.7% / 4063t | 76.7% / 6.7% / 4062 | ✓ |
+| SQ01 ETH 15m | 76.4% / 6.2% / 2951t | 76.4% / 6.2% / 2948 | ✓ |
+| SQ02 BTC 15m | 79.7% / 6.5% / 1251t | 79.7% / 6.5% / 1250 | ✓ |
+| SQ02 ETH 15m | 78.6% / 3.4% / 944t | 78.6% / 3.4% / 942 | ✓ |
+| **MT01 BTC 15m (ema20+vol)** | **82.7% / 5.9% / 503t** | 82.7% / 5.9% / 503 | ✓ esatto |
+| MT01 ETH 15m (ema20+vol) | 81.2% / 2.9% / 404t | — | ok |
+
+**Lezione:** l'integrità dei dati rigenerati è confermata — la pipeline di download produce
+risultati riproducibili. La config live di MT01 (ema20+vol) coincide col best documentato.
+
+### Punti aperti
+
+1. **Backtest e drift dati:** MT01 live ora è immune (1h da Cerbero), ma i backtest girano
+   sempre sui dati fino all'ultimo `download_all()`. Per dati di backtest sempre freschi
+   serve uno scheduling del download (cron/job).
+2. **Healthcheck:** valutare un check su mtime di `status.json` (< 180s) per rilevare uno
+   stallo del loop, non solo l'esistenza del file.
+
+---
+
+### 23:00 — 3 nuove strategie con edge OOS fee-aware (branch `strategy_free`)
+
+**Obiettivo:** trovare almeno 3 nuove strategie (oltre MR01), edge netto validato
+out-of-sample e fee-aware, per il target €1.000 → ~€50/giorno.
+
+**Metodologia (invariata dalla lezione squeeze):** ingresso eseguibile a `close[i]`
+(nessun look-ahead), backtest netto dopo fee Deribit 0.10% RT + leva 3x, OOS = ultimo
+30% held-out, robustezza su griglia parametri + sweep fee 0.00–0.20% RT, exit
+TP/SL intrabar o time-limit, una posizione per volta, capitale composto.
+
+**Candidati** (`scripts/analysis/strategy_research_v2.py`), tutti mean-reversion
+(l'edge è sempre il rientro, mai la continuazione):
+
+| Candidato | Esito | Motivo |
+|---|---|---|
+| **MR02 Donchian Fade** | ✅ | Robusto su tutta la griglia `n × sl_atr` e tutte le fee |
+| **MR03 Keltner Fade** | ✅ | Robusto su tutta la griglia `n × k`; banda ATR, indipendente da Bollinger |
+| **MR07 Return Reversal** | ✅ | Intero blocco `tp_atr=2.0` positivo full+OOS; esposizione ~8% |
+| MR04 Z-score Reversion | ⛔ | Robusto ma è MR01 riparametrizzato (stessa banda std): edge non *nuovo* |
+| MR05 Bollinger + filtro ADX | ⛔ | Non robusto: negativo su gran parte della griglia BTC |
+| MR06 RSI(2) Connors | ⛔ | ETH 1h negativo; non robusto su entrambi gli asset |
+
+**Risultati** (netto 0.10% RT, leva 3x, OOS, 1h):
+
+| Codice | Meccanismo | BTC OOS | ETH OOS | DD (full) |
+|---|---|---|---|---|
+| MR02 | estremi canale Donchian H/L | +172% | enorme | 30% / 42% |
+| MR03 | canale ATR su EMA | +112% | +886% | 37% / 66% |
+| MR07 | z dei rendimenti di barra | +105% | +195% | 25% / 46% |
+
+**Validazione live-path** (`oos_validation.py`, legge `strategies.yml`, exit hold
+del worker): tutte e tre positive netto OOS su tutto lo sweep fee, anche al
+pessimistico 0.20% RT → edge robusto pure al meccanismo di exit.
+
+**Verifiche:** equivalenza esatta backtest produzione vs research engine (MR02 BTC:
+2039 trade, DD 29% identici); le 3 classi si caricano dal `strategy_loader`;
+aggiunte a `strategies.yml` (BTC+ETH 1h). Nessuna suite di test nel progetto.
+
+**Onestà sul target:** con 4 fade indipendenti × 2 asset il PnL storico aggregato
+supera €50/giorno, ma sono backtest a leva 3x su 8 anni con annate eccezionali
+(ETH 2024). Plausibile ma da confermare col paper trader live prima del capitale reale.
+DD alto su ETH (MR03 ~66%, come MR01) → leva più bassa consigliata per quell'asset.
+
+**File:** `strategy_research_v2.py`, `src/strategies/fade_base.py`,
+`scripts/strategies/MR0{2,3,7}_*.py` (nuovi); `strategy_loader.py`, `strategies.yml`,
+`CLAUDE.md` (aggiornati).
+**Lezione confermata:** ogni edge robusto trovato finora è mean-reversion; ogni
+variante trend/continuation o oscillatore senza filtro perde netto.
+
+---
+
+### 23:45 — Aumentare Acc e ridurre DD (filtro trend + portafoglio)
+
+**Obiettivo:** alzare accuratezza e abbassare drawdown sulle 4 fade, senza
+distruggere l'edge né overfittare (ogni leva misurata FULL **e** OOS).
+
+**Diagnosi:** perdite/DD concentrati 2018–2021 (bear/covid/caos vol), su ETH DD
+pieno 66–71%. Banco di prova: `scripts/analysis/risk_improvements.py` e
+`risk_portfolio.py`.
+
+**Leve testate:**
+
+| Leva | Esito | Motivo |
+|---|---|---|
+| Sizing vol-target (size ∝ 1/dist-SL) | ⛔ | Over-size sui trade a stop stretto → DD su, ritorno giù |
+| Skip alta volatilità (ATR% in coda alta) | ⛔ | L'alta vol è *positiva* per le fade (più reversione): Acc e ritorno giù |
+| **Filtro trend** (`\|close−EMA200\|/ATR > soglia` → salta) | ✅ | Non fada trend/crolli estremi: Acc↑ ovunque, DD↓ molto su ETH, OOS regge |
+| **Portafoglio** equipesato (sotto-conti indipendenti) | ✅ | Curve poco correlate → DD aggregato 14% (full)/10% (OOS) vs 20-70% singolo |
+
+**Filtro trend — sweep soglia** (assoluta in ATR, regola unica per tutte = niente
+overfit): 3.0 ATR è l'equilibrio (2.0 taglia troppo ritorno). Effetto su config
+deployata (base → filtro):
+
+| Sleeve | Acc | DD |
+|---|---|---|
+| MR01 ETH | 46→55 | **71→26** |
+| MR02 ETH | 49→55 | 42→25 |
+| MR03 ETH | 49→52 | 66→34 |
+| MR07 ETH | 48→54 | 46→21 |
+| MR01 BTC | 51→54 | 32→34* |
+| MR02 BTC | 48→52 | 29→23 |
+| MR07 BTC | 49→53 | 25→18 |
+| MR03 BTC | 47→47 | 37→37 (filtro OFF) |
+
+\*MR01 BTC: DD full +2pt ma Acc +3.7 e DD OOS piatto (14.8→15.0). **MR03 BTC**:
+il filtro peggiora entrambe (unico sleeve) → lasciato disattivo nello yaml.
+
+**Implementazione:** helper `trend_distance()` in `fade_base.py`; param opzionali
+`trend_max`/`ema_long` (default None = retro-compatibile) in tutte le strategie
+(MR01/02/03/07); `strategies.yml` con `trend_max: 3.0, ema_long: 200` (eccetto
+MR03 BTC). Verificato: equivalenza produzione vs ricerca.
+
+**Lezione:** il modo onesto di ridurre il DD non è strozzare il sizing (peggiora),
+ma (a) non opporsi a trend estremi e (b) diversificare su strategie scorrelate.

docs/specs/2026-05-27-multi-strategy-paper-trader.md

@@ -0,0 +1,174 @@
+# Multi-Strategy Paper Trader — Design Spec
+
+## Obiettivo
+
+Eseguire N strategie di trading in parallelo su Deribit testnet (paper trading locale), ognuna con capitale virtuale indipendente di €1000 USDC. Lo storico trade di ogni strategia persiste tra restart. Nuove strategie aggiungibili in corso d'opera via config YAML senza perdere lo storico delle esistenti.
+
+## Architettura
+
+Un singolo container Docker esegue un orchestratore (`MultiStrategyRunner`) che gestisce N `StrategyWorker`. Ogni worker è indipendente: proprio capital, propri trade, proprio stato.
+
+```
+Docker Container
+├── MultiStrategyRunner (orchestratore, loop principale)
+│   ├── StrategyWorker[SQ02_BTC_15m] → paper trade → JSONL
+│   ├── StrategyWorker[ML01_ETH_15m] → paper trade → JSONL
+│   └── ...altri worker da YAML
+├── CerberoClient (condiviso, fetch prezzi)
+└── TelegramNotifier (condiviso)
+```
+
+## Componenti
+
+### 1. `strategies.yml` — Configurazione
+
+```yaml
+defaults:
+  capital: 1000
+  position_size: 0.15
+  leverage: 3
+  hold_bars: 3
+  poll_seconds: 60
+  retrain_hours: 24
+
+strategies:
+  - name: SQ02_antifake_vol
+    asset: BTC
+    tf: 15m
+    enabled: true
+
+  - name: SQ02_antifake_vol
+    asset: ETH
+    tf: 15m
+    enabled: true
+
+  - name: ML01_squeeze_gbm
+    asset: ETH
+    tf: 15m
+    enabled: true
+    position_size: 0.20
+    params:
+      ml_threshold: 0.70
+      bb_window: 14
+      sq_threshold: 0.8
+```
+
+Ogni entry eredita `defaults`. Override per-strategia possibile su tutti i campi. Il campo `params` passa kwargs a `generate_signals()` o al backtest ML.
+
+### 2. `StrategyWorker` — Worker per singola strategia
+
+Responsabilità:
+- Importa la classe Strategy corrispondente da `scripts/strategies/`
+- Mantiene stato: capital, posizione aperta, equity
+- Al startup: ricarica `status.json` se esiste (resume), altrimenti inizia da zero
+- Ad ogni tick: riceve DataFrame candele, genera segnali, paper-trade
+- Logga ogni evento in `trades.jsonl` (append-only)
+- Aggiorna `status.json` ad ogni tick
+
+Stato persistente (`status.json`):
+```json
+{
+  "capital": 1023.45,
+  "in_position": true,
+  "direction": "long",
+  "entry_price": 2534.20,
+  "entry_time": "2026-05-27T14:30:00Z",
+  "bars_held": 1,
+  "total_trades": 15,
+  "total_wins": 12,
+  "started_at": "2026-05-27T10:00:00Z"
+}
+```
+
+Trade log (`trades.jsonl`), append-only:
+```json
+{"ts": "2026-05-27T14:30:00Z", "event": "OPEN", "direction": "long", "price": 2534.20, "size": 0.18, "capital": 1023.45}
+{"ts": "2026-05-27T15:15:00Z", "event": "CLOSE", "reason": "hold_limit", "entry": 2534.20, "exit": 2560.10, "pnl": 3.45, "fee": 0.92, "net_pnl": 2.53, "capital": 1025.98}
+```
+
+### 3. `MultiStrategyRunner` — Orchestratore
+
+Loop principale:
+1. Carica `strategies.yml`
+2. Per ogni entry, crea `StrategyWorker` (o riprende se già esiste)
+3. Ogni 60s:
+   a. Fetch candele live da Cerbero (una volta per asset/tf unico)
+   b. Passa DataFrame a ogni worker
+   c. Ogni worker valuta segnali e gestisce posizione
+   d. Worker ML: retrain ogni 24h
+4. Notifica Telegram per ogni trade
+
+Ottimizzazione: fetch candele raggruppato per (asset, tf). Se 3 strategie usano BTC 15m, fetch una volta sola.
+
+### 4. Persistenza
+
+```
+data/paper_trades/
+  SQ02_antifake_vol__BTC__15m/
+    trades.jsonl
+    status.json
+  SQ02_antifake_vol__ETH__15m/
+    trades.jsonl
+    status.json
+  ML01_squeeze_gbm__ETH__15m/
+    trades.jsonl
+    status.json
+```
+
+Directory naming: `{strategy_name}__{asset}__{tf}` con double underscore separatore.
+
+Volume Docker: `./data:/app/data` — persiste tra restart.
+
+### 5. Aggiunta strategia in corso
+
+1. Aggiungi entry in `strategies.yml`
+2. `docker compose restart`
+3. Runner carica YAML, trova nuova entry senza `status.json` → parte da €1000
+4. Strategie esistenti riprendono da `status.json` → storico intatto
+
+### 6. Docker
+
+`Dockerfile` — invariato, aggiunge `strategies.yml` alla COPY.
+
+`docker-compose.yml`:
+```yaml
+services:
+  paper-trader:
+    build: .
+    container_name: pythagoras-multi
+    restart: unless-stopped
+    volumes:
+      - ./data:/app/data
+      - ./strategies.yml:/app/strategies.yml:ro
+    env_file:
+      - .env
+    environment:
+      - PYTHONUNBUFFERED=1
+```
+
+`CMD` cambia a: `uv run python -m src.live.multi_runner`
+
+### 7. Strategia-specifica: ML01
+
+ML01 richiede training del modello GBM. Il worker ML01:
+- Al primo avvio: train su storico (365 giorni via Cerbero)
+- Ogni `retrain_hours`: retrain
+- Usa `SignalEngine` esistente per check_signal()
+- Le strategie SQ* non hanno training — solo regole deterministiche
+
+### 8. File da creare/modificare
+
+Nuovi:
+- `src/live/multi_runner.py` — orchestratore
+- `src/live/strategy_worker.py` — worker per singola strategia
+- `strategies.yml` — config
+- `src/live/strategy_loader.py` — import dinamico classi Strategy
+
+Modifiche:
+- `docker-compose.yml` — nuovo CMD, volume strategies.yml
+- `Dockerfile` — COPY strategies.yml
+
+Invariati:
+- `src/live/cerbero_client.py`
+- `src/live/telegram_notifier.py`
+- `src/live/signal_engine.py` (usato da ML01 worker)

pyproject.toml

@@ -14,6 +14,7 @@ dependencies = [
     "torch>=2.0",
     "matplotlib>=3.7",
     "tqdm>=4.65",
+    "pyyaml>=6.0",
 ]
 
 [project.optional-dependencies]

scripts/analysis/intrabar_test.py

@@ -0,0 +1,188 @@
+"""Test ingresso intra-barra: rottura banda squeeze rilevata sul 5m vs close 15m.
+
+Domanda: entrando sul 5m appena il prezzo rompe la banda di Bollinger dello
+squeeze (bande dall'ultima barra 15m CHIUSA -> nessun look-ahead), si recupera
+parte del movimento che l'ingresso al close della barra 15m si perde?
+
+Confronto a parita' di EXIT (stesso wall-clock): l'unica differenza e' il prezzo
+d'ingresso (5m anticipato vs close 15m ritardato). La differenza di rendimento e'
+esattamente lo "scatto" del breakout catturato in piu'.
+"""
+from __future__ import annotations
+
+import sys
+from pathlib import Path
+
+import numpy as np
+import pandas as pd
+
+PROJECT_ROOT = Path(__file__).resolve().parents[2]
+sys.path.insert(0, str(PROJECT_ROOT))
+
+from src.data.downloader import load_data
+from src.live.signal_engine import keltner_ratio
+
+OOS_START = "2023-11-20"
+BB_W = 14
+SQ_THR = 0.8
+MIN_DUR = 5
+LEV = 3.0
+POS = 0.15
+M15 = 15 * 60 * 1000
+M5 = 5 * 60 * 1000
+
+
+def build_15m_levels(df15: pd.DataFrame) -> pd.DataFrame:
+    c = df15["close"].values
+    h = df15["high"].values
+    l = df15["low"].values
+    n = len(c)
+    kcr = keltner_ratio(c, h, l, BB_W)
+    ma = np.full(n, np.nan)
+    sd = np.full(n, np.nan)
+    for t in range(BB_W, n):
+        w = c[t - BB_W + 1 : t + 1]
+        ma[t] = w.mean()
+        sd[t] = w.std()
+    upper = ma + 2 * sd
+    lower = ma - 2 * sd
+
+    # durata squeeze consecutiva e maturita'
+    dur = np.zeros(n, dtype=int)
+    run = 0
+    for t in range(n):
+        if not np.isnan(kcr[t]) and kcr[t] < SQ_THR:
+            run += 1
+        else:
+            run = 0
+        dur[t] = run
+    mature = dur >= MIN_DUR
+
+    return pd.DataFrame({
+        "ts15": df15["timestamp"].values,
+        "close_time15": df15["timestamp"].values + M15,
+        "close15": c,
+        "upper": upper,
+        "lower": lower,
+        "mature": mature,
+    })
+
+
+def run_asset(asset: str, hold_min: int, fee_rt: float) -> dict:
+    df5 = load_data(asset, "5m").reset_index(drop=True)
+    df15 = load_data(asset, "15m").reset_index(drop=True)
+    lvl = build_15m_levels(df15)
+
+    d5 = pd.DataFrame({
+        "ts5": df5["timestamp"].values,
+        "close_time5": df5["timestamp"].values + M5,
+        "close5": df5["close"].values,
+    })
+
+    # banda armata: ultima barra 15m CHIUSA prima della chiusura del bar 5m
+    armed = pd.merge_asof(
+        d5.sort_values("close_time5"),
+        lvl[["close_time15", "upper", "lower", "mature"]].sort_values("close_time15"),
+        left_on="close_time5", right_on="close_time15", direction="backward",
+    )
+    # barra 15m CONTENENTE il bar 5m (per l'ingresso ritardato a close 15m)
+    cont = pd.merge_asof(
+        d5.sort_values("ts5"),
+        lvl[["ts15", "close15", "close_time15"]].rename(
+            columns={"close_time15": "cont_close_time"}).sort_values("ts15"),
+        left_on="ts5", right_on="ts15", direction="backward",
+    )
+
+    m = armed.copy()
+    m["cont_close"] = cont["close15"].values
+    m["cont_close_time"] = cont["cont_close_time"].values
+
+    oos_ms = int(pd.Timestamp(OOS_START, tz="UTC").timestamp() * 1000)
+    close5 = m["close5"].values
+    ct5 = m["close_time5"].values
+    upper = m["upper"].values
+    lower = m["lower"].values
+    mature = m["mature"].values
+    cont_close = m["cont_close"].values
+    cont_ct = m["cont_close_time"].values
+    n = len(m)
+
+    cap_e = cap_l = 1000.0   # equity ingresso early(5m) e late(15m)
+    peak_e = peak_l = 1000.0
+    dd_e = dd_l = 0.0
+    trades = win_e = win_l = 0
+    thrust_sum = 0.0
+    fee = fee_rt * LEV
+    busy_until = -1
+
+    for i in range(n):
+        if ct5[i] < oos_ms or ct5[i] <= busy_until:
+            continue
+        if not mature[i] or np.isnan(upper[i]):
+            continue
+        if close5[i] > upper[i]:
+            d = 1
+        elif close5[i] < lower[i]:
+            d = -1
+        else:
+            continue
+
+        entry_e = close5[i]
+        entry_l = cont_close[i]
+        exit_time = cont_ct[i] + hold_min * 60 * 1000
+        # primo close 5m al/oltre exit_time
+        j = np.searchsorted(ct5, exit_time, side="left")
+        if j >= n:
+            break
+        exit_p = close5[j]
+
+        ret_e = ((exit_p - entry_e) / entry_e) * d * LEV - fee
+        ret_l = ((exit_p - entry_l) / entry_l) * d * LEV - fee
+        thrust_sum += (entry_l - entry_e) / entry_e * d * 100  # scatto % (no leva)
+
+        cb_e, cb_l = cap_e, cap_l
+        cap_e = max(cb_e + cb_e * POS * ret_e, 10.0)
+        cap_l = max(cb_l + cb_l * POS * ret_l, 10.0)
+        peak_e = max(peak_e, cap_e); dd_e = max(dd_e, (peak_e - cap_e) / peak_e)
+        peak_l = max(peak_l, cap_l); dd_l = max(dd_l, (peak_l - cap_l) / peak_l)
+        trades += 1
+        win_e += ret_e > 0
+        win_l += ret_l > 0
+        busy_until = exit_time
+
+    return {
+        "trades": trades,
+        "avg_thrust": thrust_sum / trades if trades else 0.0,
+        "early_win": win_e / trades * 100 if trades else 0.0,
+        "late_win": win_l / trades * 100 if trades else 0.0,
+        "early_ret": (cap_e / 1000 - 1) * 100,
+        "late_ret": (cap_l / 1000 - 1) * 100,
+        "early_dd": dd_e * 100,
+        "late_dd": dd_l * 100,
+    }
+
+
+def main():
+    for fee_rt in (0.002, 0.001):
+        print("=" * 104)
+        print(f"  INGRESSO INTRA-BARRA 5m vs CLOSE 15m — OOS da {OOS_START} | leva={LEV:.0f}x "
+              f"| fee={fee_rt*100:.2f}% RT")
+        print("  EARLY = entra al close 5m che rompe la banda | LATE = entra al close della barra 15m | stesso exit")
+        print("=" * 104)
+        print(f"  {'Asset':>5s}{'Hold':>6s}{'Trd':>6s}{'Scatto%':>9s}"
+              f"{'EARLY win%':>12s}{'EARLY ret%':>12s}{'LATE win%':>11s}{'LATE ret%':>11s}{'Δret%':>9s}")
+        print("  " + "-" * 100)
+        for asset in ["BTC", "ETH"]:
+            for hold_min in (15, 30, 45):
+                r = run_asset(asset, hold_min, fee_rt)
+                print(f"  {asset:>5s}{hold_min:>5d}m{r['trades']:>6d}{r['avg_thrust']:>+9.3f}"
+                      f"{r['early_win']:>12.1f}{r['early_ret']:>+12.1f}"
+                      f"{r['late_win']:>11.1f}{r['late_ret']:>+11.1f}"
+                      f"{r['early_ret']-r['late_ret']:>+9.1f}")
+            print("  " + "-" * 100)
+        print("  Scatto% = movimento medio (no leva) catturato tra rottura 5m e close 15m, nella direzione.")
+        print("  Δret% = vantaggio dell'ingresso anticipato. Se ~0 o negativo, il 5m non aiuta.\n")
+
+
+if __name__ == "__main__":
+    main()

scripts/analysis/oos_validation.py

@@ -0,0 +1,259 @@
+"""Validazione out-of-sample fee-aware di tutte le strategie live.
+
+Per ognuna delle 6 config in strategies.yml:
+  - split temporale held-out (train = primi (1-test_frac), test = ultimo test_frac)
+  - ML01 (SignalEngine): allena sul train, predice sul test (come il worker live)
+  - rule-based: i segnali sono causali, si valutano quelli nella finestra test
+  - simulazione fedele al worker live: una posizione per volta (non-overlap),
+    uscita a `hold` barre o stop a -2%, fee round-trip e leva inclusi
+
+Stampa, per ogni config: numero trade nel test, win% lordo e netto, return netto,
+costo commissioni, e confronto lordo-vs-netto per isolare l'impatto delle fee.
+Usa i parquet locali (data/raw), nessuna chiamata di rete.
+"""
+from __future__ import annotations
+
+import sys
+from pathlib import Path
+
+import numpy as np
+import pandas as pd
+import yaml
+
+PROJECT_ROOT = Path(__file__).resolve().parents[2]
+sys.path.insert(0, str(PROJECT_ROOT))
+
+from src.data.downloader import load_data
+from src.live.strategy_loader import load_strategy
+from src.live.signal_engine import SignalEngine, keltner_ratio, build_features
+
+TEST_FRAC = 0.30
+STOP_PCT = -0.02
+
+
+def simulate(entries: list[tuple[int, int]], close: np.ndarray, hold: int,
+             fee_rt: float, lev: float, pos: float,
+             initial: float = 1000.0, entry_offset: int = 0) -> dict:
+    """FSM fedele al worker live: non-overlap, hold N barre o stop -2%.
+
+    entry_offset: 0 = ingresso a close[i] (worker live); 1 = close[i-1]
+    (convenzione del backtest storico, che conosce la direzione di barra i).
+    """
+    n = len(close)
+    capital = peak = initial
+    max_dd = 0.0
+    fees_eur = gross_eur = 0.0
+    wins_gross = wins_net = n_trades = 0
+    last_exit = -1
+
+    for i, d in entries:
+        e = i - entry_offset
+        if e <= last_exit or e < 0 or e + 1 >= n:
+            continue
+        entry = close[e]
+        exit_price = close[min(e + hold, n - 1)]
+        for k in range(1, hold + 1):
+            j = e + k
+            if j >= n:
+                exit_price = close[n - 1]
+                break
+            if k < hold and (close[j] - entry) / entry * d <= STOP_PCT:
+                exit_price = close[j]
+                break
+            if k == hold:
+                exit_price = close[j]
+
+        actual = (exit_price - entry) / entry * d   # movimento prezzo * direzione (no leva)
+        gross = actual * lev
+        fee = fee_rt * lev
+        net = gross - fee
+
+        cap_before = capital
+        capital = max(cap_before + cap_before * pos * net, 10.0)
+        gross_eur += cap_before * pos * gross
+        fees_eur += cap_before * pos * fee
+        peak = max(peak, capital)
+        max_dd = max(max_dd, (peak - capital) / peak)
+
+        n_trades += 1
+        wins_gross += actual > 0
+        wins_net += net > 0
+        last_exit = e + hold
+
+    return {
+        "trades": n_trades,
+        "win_gross": wins_gross / n_trades * 100 if n_trades else 0.0,
+        "win_net": wins_net / n_trades * 100 if n_trades else 0.0,
+        "net_return_pct": (capital / initial - 1) * 100,
+        "net_eur": capital - initial,
+        "gross_eur": gross_eur,
+        "fees_eur": fees_eur,
+        "final_capital": capital,
+        "max_dd": max_dd * 100,
+    }
+
+
+def rule_entries(name: str, df: pd.DataFrame, params: dict, split: int) -> list[tuple[int, int]]:
+    strat = load_strategy(name)
+    ts = pd.to_datetime(df["timestamp"], unit="ms", utc=True)
+    sigs = strat.generate_signals(df, ts, **params)
+    return [(s.idx, s.direction) for s in sigs if s.idx >= split]
+
+
+def ml_entries(df: pd.DataFrame, params: dict, split: int, hold: int) -> tuple[list[tuple[int, int]], dict]:
+    bb_w = params.get("bb_window", 14)
+    sq_thr = params.get("sq_threshold", 0.8)
+    ml_thr = params.get("ml_threshold", 0.70)
+
+    eng = SignalEngine(bb_w=bb_w, sq_thr=sq_thr, ml_thr=ml_thr)
+    train_res = eng.train(df.iloc[:split].reset_index(drop=True), lookahead=hold)
+    if not eng.trained:
+        return [], train_res
+
+    close = df["close"].values
+    high = df["high"].values
+    low = df["low"].values
+    volume = df["volume"].values
+    n = len(df)
+    kcr = keltner_ratio(close, high, low, bb_w)
+    up_idx = list(eng.model.classes_).index(1)
+
+    entries: list[tuple[int, int]] = []
+    in_sq = False
+    sq_start = 0
+    for i in range(bb_w + 1, n):
+        if np.isnan(kcr[i]):
+            continue
+        is_sq = kcr[i] < sq_thr
+        if is_sq and not in_sq:
+            in_sq, sq_start = True, i
+        elif not is_sq and in_sq:
+            in_sq = False
+            dur = i - sq_start
+            if dur < eng.min_squeeze_bars or i < split or i + hold >= n:
+                continue
+            avg_vol = float(np.mean(volume[sq_start:i]))
+            feats = build_features(df, i, dur, avg_vol, kcr[i])
+            if feats is None:
+                continue
+            p_up = eng.model.predict_proba(eng.scaler.transform(feats.reshape(1, -1)))[0][up_idx]
+            if p_up >= ml_thr:
+                entries.append((i, 1))
+            elif p_up <= (1 - ml_thr):
+                entries.append((i, -1))
+    return entries, train_res
+
+
+def squeeze_releases(df: pd.DataFrame, bb_w: int, sq_thr: float, min_dur: int,
+                     split: int) -> list[int]:
+    """Indici delle barre di rilascio squeeze nella finestra test (idx >= split)."""
+    close = df["close"].values
+    high = df["high"].values
+    low = df["low"].values
+    kcr = keltner_ratio(close, high, low, bb_w)
+    rels: list[int] = []
+    in_sq = False
+    sq_start = 0
+    for i in range(bb_w + 1, len(df)):
+        if np.isnan(kcr[i]):
+            continue
+        is_sq = kcr[i] < sq_thr
+        if is_sq and not in_sq:
+            in_sq, sq_start = True, i
+        elif not is_sq and in_sq:
+            in_sq = False
+            if i - sq_start >= min_dur and i >= split:
+                rels.append(i)
+    return rels
+
+
+def honest_entries(df: pd.DataFrame, rels: list[int], rule: str, mom: int = 4) -> list[tuple[int, int]]:
+    """Direzione da regole honest (solo dati <= i-1) o baseline breakout.
+
+    breakout: sign(close[i]-close[i-1])  -> conoscibile solo a close[i] (= live attuale)
+    premom:   sign(close[i-1]-close[i-1-mom]) -> trend pre-release, 100% honest
+    fade:     -sign(close[i]-close[i-1]) -> mean-reversion del breakout
+    """
+    close = df["close"].values
+    out: list[tuple[int, int]] = []
+    for i in rels:
+        if i - 1 - mom < 0:
+            continue
+        if rule == "premom":
+            d = np.sign(close[i - 1] - close[i - 1 - mom])
+        elif rule == "fade":
+            d = -np.sign(close[i] - close[i - 1])
+        else:  # breakout
+            d = np.sign(close[i] - close[i - 1])
+        if d != 0:
+            out.append((i, int(d)))
+    return out
+
+
+def main():
+    cfg = yaml.safe_load((PROJECT_ROOT / "strategies.yml").read_text())
+    defaults = cfg.get("defaults", {})
+    hold = defaults.get("hold_bars", 3)
+    lev = defaults.get("leverage", 3)
+    fee_rt = 0.002
+
+    fee_grid = [0.0, 0.0005, 0.001, 0.0015, 0.002]
+
+    # ---- (b) SENSIBILITA' ALLE FEE (config live, ingresso close[i]) ----
+    print("=" * 104)
+    print(f"  (b) SENSIBILITA' ALLE FEE — config live, ingresso close[i] | OOS {int(TEST_FRAC*100)}% | hold={hold} leva={lev}x")
+    print("=" * 104)
+    print(f"  {'Strategia':<26s}{'Asset':>5s}{'Trd':>5s}{'Lordo€':>9s}"
+          + "".join(f"{f'{f*100:.2f}%':>10s}" for f in fee_grid))
+    print("  " + "-" * 100)
+
+    for entry in cfg.get("strategies", []):
+        if not entry.get("enabled", True):
+            continue
+        name, asset, tf = entry["name"], entry["asset"], entry["tf"]
+        pos = entry.get("position_size", defaults.get("position_size", 0.15))
+        params = dict(entry.get("params", {}))
+        params["asset"], params["tf"] = asset, tf
+
+        df = load_data(asset, tf).reset_index(drop=True)
+        split = int(len(df) * (1 - TEST_FRAC))
+        close = df["close"].values
+        entries = (ml_entries(df, params, split, hold)[0] if name.startswith("ML01")
+                   else rule_entries(name, df, params, split))
+
+        gross = simulate(entries, close, hold, 0.0, lev, pos)["net_eur"]
+        rets = [simulate(entries, close, hold, f, lev, pos)["net_return_pct"] for f in fee_grid]
+        print(f"  {name:<26s}{asset:>5s}{len(entries):>5d}{gross:>+9.0f}"
+              + "".join(f"{r:>+10.1f}" for r in rets))
+
+    print("  " + "-" * 100)
+    print("  Colonne = Ret% netto al variare della fee RT. 0.00% isola l'edge puro (senza costi).")
+    print("  Deribit perp reale: taker ~0.10% RT, maker ~0%. Il modello live usa 0.20% RT.")
+
+    # ---- (a) HONEST-ENTRY squeeze: direzione decisa <= i-1, ingresso close[i] ----
+    print("\n" + "=" * 104)
+    print(f"  (a) HONEST-ENTRY squeeze (bb14 sq0.8 dur>=5) — ingresso close[i], fee={fee_rt*100:.1f}% RT")
+    print("=" * 104)
+    print(f"  {'Asset':>5s}{'Regola direzione':>20s}{'Trd':>6s}{'Win%g':>8s}{'Win%n':>8s}{'Netto€':>9s}{'Ret%':>9s}{'DD%':>7s}")
+    print("  " + "-" * 100)
+
+    rules = [("breakout (=live)", "breakout"), ("pre-trend mom4", "premom"),
+             ("pre-trend mom8", "premom8"), ("fade breakout", "fade")]
+    for asset in ["BTC", "ETH"]:
+        df = load_data(asset, "15m").reset_index(drop=True)
+        split = int(len(df) * (1 - TEST_FRAC))
+        close = df["close"].values
+        rels = squeeze_releases(df, 14, 0.8, 5, split)
+        for label, rule in rules:
+            mom = 8 if rule == "premom8" else 4
+            ents = honest_entries(df, rels, "premom" if rule == "premom8" else rule, mom=mom)
+            r = simulate(ents, close, hold, fee_rt, lev, 0.15)
+            print(f"  {asset:>5s}{label:>20s}{r['trades']:>6d}{r['win_gross']:>8.1f}"
+                  f"{r['win_net']:>8.1f}{r['net_eur']:>+9.0f}{r['net_return_pct']:>+9.1f}{r['max_dd']:>7.1f}")
+        print("  " + "-" * 100)
+    print("  pre-trend = direzione dal trend PRIMA del rilascio (solo dati <= i-1): 100% honest.")
+    print("  Se nessuna regola honest batte ~breakeven, non esiste edge direzionale tradeable.")
+
+
+if __name__ == "__main__":
+    main()

scripts/analysis/risk_improvements.py

@@ -0,0 +1,139 @@
+"""Migliorare Acc e ridurre DD sulle fade (MR01/MR02/MR03/MR07) senza overfit.
+
+Leve testate, ognuna misurata FULL e OOS (ultimo 30%) per non illudersi:
+  - vol-target sizing: size per trade ~ 1/distanza-SL -> rischio costante, DD piu' liscio
+  - filtro vol regime: salta i trade con ATR% in coda alta (periodi caotici)
+  - filtro anti-trend: non fadare contro un trend forte (|close-EMA_long|/ATR grande)
+  - portfolio: equity curve combinata delle 4 strategie su un conto unico
+
+Engine fedele (ingresso close[i], exit TP/SL intrabar o time-limit, non-overlap,
+capitale composto) con sizing per-trade. Numeri NETTI fee 0.10% RT, leva 3x.
+"""
+from __future__ import annotations
+
+import sys
+from pathlib import Path
+
+import numpy as np
+import pandas as pd
+
+PROJECT_ROOT = Path(__file__).resolve().parents[2]
+sys.path.insert(0, str(PROJECT_ROOT))
+
+from src.data.downloader import load_data
+from scripts.analysis.strategy_research import bollinger_fade, atr
+from scripts.analysis.strategy_research_v2 import donchian_fade, keltner_fade, return_reversal
+
+FEE_RT, LEV, POS, INIT, OOS_FRAC = 0.001, 3.0, 0.15, 1000.0, 0.30
+
+# config base di ogni strategia (come strategies.yml)
+STRATS = {
+    "MR01": (bollinger_fade, dict(n=50, k=2.5, sl_atr=2.0, max_bars=24)),
+    "MR02": (donchian_fade,  dict(n=20, sl_atr=2.0, max_bars=24)),
+    "MR03": (keltner_fade,   dict(n=30, k=2.0, sl_atr=2.0, max_bars=24)),
+    "MR07": (return_reversal,dict(n=50, k=3.5, tp_atr=2.0, sl_atr=1.5, max_bars=24)),
+}
+STRATS_ETH3 = dict(STRATS); STRATS_ETH3["MR03"] = (keltner_fade, dict(n=50, k=2.0, sl_atr=2.0, max_bars=24))
+
+
+def add_context(ents, df, ema_long=200):
+    """Aggiunge a ogni entry: sl_dist_pct, atr_pct, trend_dist (|close-EMA|/ATR)."""
+    c = df["close"].values
+    a = atr(df, 14)
+    el = pd.Series(c).ewm(span=ema_long, adjust=False).mean().values
+    apct = a / c
+    for e in ents:
+        i = e["i"]
+        e["sl_dist"] = abs(c[i] - e["sl"]) / c[i]
+        e["atr_pct"] = apct[i]
+        e["trend_dist"] = abs(c[i] - el[i]) / a[i] if a[i] else 0.0
+    return ents
+
+
+def simulate(ents, df, fee_rt=FEE_RT, lev=LEV, split=-1,
+             sizer=None, vol_skip=None, trend_skip=None, max_size=0.30):
+    """sizer: funzione(entry)->frazione capitale; default POS fisso.
+    vol_skip: soglia atr_pct sopra cui salto. trend_skip: soglia trend_dist sopra cui salto."""
+    h, l, c = df["high"].values, df["low"].values, df["close"].values
+    n = len(c)
+    ts = pd.to_datetime(df["timestamp"], unit="ms", utc=True)
+    cap = peak = INIT
+    dd = 0.0; last = -1; trd = wins = 0
+    fee = fee_rt * lev
+    yearly = {}; rets = []
+    for e in ents:
+        i, d = e["i"], e["d"]
+        if i <= last or i + 1 >= n or i < split:
+            continue
+        if vol_skip is not None and e["atr_pct"] > vol_skip:
+            continue
+        if trend_skip is not None and e["trend_dist"] > trend_skip:
+            continue
+        entry = c[i]; tp, sl, mb = e["tp"], e["sl"], e["max_bars"]
+        exit_p = c[min(i + mb, n - 1)]; j = min(i + mb, n - 1)
+        for k in range(1, mb + 1):
+            j = i + k
+            if j >= n:
+                exit_p = c[n - 1]; break
+            hs = (d == 1 and l[j] <= sl) or (d == -1 and h[j] >= sl)
+            ht = (d == 1 and h[j] >= tp) or (d == -1 and l[j] <= tp)
+            if hs: exit_p = sl; break
+            if ht: exit_p = tp; break
+            if k == mb: exit_p = c[j]
+        ret = (exit_p - entry) / entry * d * lev - fee
+        size = POS if sizer is None else min(sizer(e), max_size)
+        cap = max(cap + cap * size * ret, 10.0)
+        peak = max(peak, cap); dd = max(dd, (peak - cap) / peak)
+        trd += 1; wins += ret > 0; last = j; rets.append(ret * size)
+        y = ts.iloc[i].year; yearly[y] = yearly.get(y, 0.0) + ret * size * INIT
+    sharpe = float(np.mean(rets) / np.std(rets) * np.sqrt(len(rets))) if len(rets) > 1 and np.std(rets) > 0 else 0.0
+    return dict(trades=trd, acc=wins / trd * 100 if trd else 0.0,
+                ret=(cap / INIT - 1) * 100, dd=dd * 100, yearly=yearly, sharpe=sharpe)
+
+
+def vol_target_sizer(target=0.015):
+    """size t.c. rischio (size*lev*sl_dist) ~ target; piu' largo lo stop, meno size."""
+    return lambda e: target / (LEV * max(e["sl_dist"], 1e-4))
+
+
+def line(label, full, oos):
+    print(f"  {label:<28s}{full['trades']:>6d}{full['acc']:>7.1f}{full['ret']:>+10.0f}{full['dd']:>7.1f}{full['sharpe']:>7.2f}"
+          f"  | {oos['trades']:>5d}{oos['acc']:>7.1f}{oos['ret']:>+9.0f}{oos['dd']:>7.1f}{oos['sharpe']:>7.2f}")
+
+
+def main():
+    for asset in ["BTC", "ETH"]:
+        df = load_data(asset, "1h")
+        split = int(len(df) * (1 - OOS_FRAC))
+        table = STRATS_ETH3 if asset == "ETH" else STRATS
+        # quantili vol globali per la soglia (p90)
+        print("\n" + "=" * 110)
+        print(f"  {asset} 1h — leve di riduzione DD / aumento Acc | NETTO fee 0.10% RT, leva 3x")
+        print("=" * 110)
+        print(f"  {'config':<28s}{'Trd':>6s}{'Acc%':>7s}{'Ret%':>10s}{'DD%':>7s}{'Shrp':>7s}"
+              f"  | {'oTrd':>5s}{'oAcc':>7s}{'oRet':>9s}{'oDD':>7s}{'oShrp':>7s}")
+        print("  " + "-" * 106)
+        for nm, (fn, params) in table.items():
+            ents = add_context(fn(df, **params), df)
+            apct = np.array([e["atr_pct"] for e in ents])
+            p85 = float(np.quantile(apct, 0.85))
+            tdist = np.array([e["trend_dist"] for e in ents])
+            t90 = float(np.quantile(tdist, 0.90))
+
+            base_f = simulate(ents, df); base_o = simulate(ents, df, split=split)
+            line(f"{nm} base", base_f, base_o)
+            vt_f = simulate(ents, df, sizer=vol_target_sizer()); vt_o = simulate(ents, df, split=split, sizer=vol_target_sizer())
+            line(f"{nm} +volTarget", vt_f, vt_o)
+            vs_f = simulate(ents, df, vol_skip=p85); vs_o = simulate(ents, df, split=split, vol_skip=p85)
+            line(f"{nm} +volSkip(p85)", vs_f, vs_o)
+            ts_f = simulate(ents, df, trend_skip=t90); ts_o = simulate(ents, df, split=split, trend_skip=t90)
+            line(f"{nm} +trendSkip(p90)", ts_f, ts_o)
+            allf = simulate(ents, df, sizer=vol_target_sizer(), vol_skip=p85, trend_skip=t90)
+            allo = simulate(ents, df, split=split, sizer=vol_target_sizer(), vol_skip=p85, trend_skip=t90)
+            line(f"{nm} +ALL", allf, allo)
+            print("  " + "-" * 106)
+    print("\n  Shrp = Sharpe annuo-naive sui ritorni per-trade. oXxx = stessa metrica su OOS (ultimo 30%).")
+
+
+if __name__ == "__main__":
+    main()

scripts/analysis/risk_portfolio.py

@@ -0,0 +1,163 @@
+"""Affina il filtro trend (soglia assoluta ATR) e costruisce il portafoglio combinato.
+
+Due risultati:
+  (1) trend filter: salta le fade quando |close-EMA200|/ATR > soglia (non fadare un
+      trend estremo). Soglia ASSOLUTA in multipli di ATR -> stessa regola per tutte
+      le strategie/asset, basso rischio di overfit. Sweep soglie, FULL e OOS.
+  (2) portafoglio: equity curve combinata delle 4 strategie sullo stesso conto
+      (rischio diviso fra N posizioni). Curve poco correlate -> DD aggregato << DD
+      della singola strategia. Confronto singola vs portafoglio, con/senza filtro.
+"""
+from __future__ import annotations
+
+import sys
+from pathlib import Path
+
+import numpy as np
+import pandas as pd
+
+PROJECT_ROOT = Path(__file__).resolve().parents[2]
+sys.path.insert(0, str(PROJECT_ROOT))
+
+from src.data.downloader import load_data
+from scripts.analysis.strategy_research import bollinger_fade, atr
+from scripts.analysis.strategy_research_v2 import donchian_fade, keltner_fade, return_reversal
+
+FEE_RT, LEV, INIT, OOS_FRAC = 0.001, 3.0, 1000.0, 0.30
+
+STRATS = {
+    "MR01": (bollinger_fade, dict(n=50, k=2.5, sl_atr=2.0, max_bars=24)),
+    "MR02": (donchian_fade,  dict(n=20, sl_atr=2.0, max_bars=24)),
+    "MR03": (keltner_fade,   dict(n=30, k=2.0, sl_atr=2.0, max_bars=24)),
+    "MR07": (return_reversal,dict(n=50, k=3.5, tp_atr=2.0, sl_atr=1.5, max_bars=24)),
+}
+STRATS_ETH = dict(STRATS); STRATS_ETH["MR03"] = (keltner_fade, dict(n=50, k=2.0, sl_atr=2.0, max_bars=24))
+
+
+def build_trades(ents, df, lev=LEV, fee_rt=FEE_RT, trend_max=None, ema_long=200):
+    """Ritorna lista trade non-overlap: (entry_idx, exit_idx, ret_netto). Filtro trend opzionale."""
+    h, l, c = df["high"].values, df["low"].values, df["close"].values
+    n = len(c); a = atr(df, 14)
+    el = pd.Series(c).ewm(span=ema_long, adjust=False).mean().values
+    fee = fee_rt * lev
+    out = []; last = -1
+    for e in ents:
+        i, d = e["i"], e["d"]
+        if i <= last or i + 1 >= n:
+            continue
+        if trend_max is not None and a[i] and abs(c[i] - el[i]) / a[i] > trend_max:
+            continue
+        entry = c[i]; tp, sl, mb = e["tp"], e["sl"], e["max_bars"]
+        exit_p = c[min(i + mb, n - 1)]; j = min(i + mb, n - 1)
+        for k in range(1, mb + 1):
+            j = i + k
+            if j >= n:
+                exit_p = c[n - 1]; break
+            hs = (d == 1 and l[j] <= sl) or (d == -1 and h[j] >= sl)
+            ht = (d == 1 and h[j] >= tp) or (d == -1 and l[j] <= tp)
+            if hs: exit_p = sl; break
+            if ht: exit_p = tp; break
+            if k == mb: exit_p = c[j]
+        ret = (exit_p - entry) / entry * d * lev - fee
+        out.append((i, j, ret)); last = j
+    return out
+
+
+def metrics_single(trades, ts, pos=0.15, split=-1):
+    cap = peak = INIT; dd = 0.0; trd = wins = 0; rets = []
+    for i, j, ret in trades:
+        if i < split:
+            continue
+        cap = max(cap + cap * pos * ret, 10.0)
+        peak = max(peak, cap); dd = max(dd, (peak - cap) / peak)
+        trd += 1; wins += ret > 0; rets.append(ret * pos)
+    sh = float(np.mean(rets) / np.std(rets) * np.sqrt(len(rets))) if len(rets) > 1 and np.std(rets) > 0 else 0.0
+    return dict(trades=trd, acc=wins / trd * 100 if trd else 0.0,
+                ret=(cap / INIT - 1) * 100, dd=dd * 100, sharpe=sh)
+
+
+def sleeve_equity(trades, n_bars, pos=0.15, split=-1):
+    """Equity curve di uno sleeve su sotto-conto indipendente (capitale INIT, pos fissa).
+    Ritorna array lungo n_bars (step aggiornato alla chiusura di ogni trade)."""
+    eq = np.full(n_bars, INIT, dtype=float)
+    cap = INIT
+    for i, j, ret in sorted(trades, key=lambda t: t[1]):
+        if i < split:
+            continue
+        cap = max(cap + cap * pos * ret, 10.0)
+        eq[j:] = cap            # da j in poi il sotto-conto vale cap
+    return eq
+
+
+def metrics_portfolio(strat_trades, n_bars, ts, pos=0.15, split=-1):
+    """Portafoglio equipesato: capitale diviso in N sotto-conti indipendenti, ciascuno
+    con la sua strategia a `pos` fisso. Equity aggregata = media dei sotto-conti (somma
+    normalizzata a base INIT). DD misurato sull'equity aggregata. Niente leva sovrapposta."""
+    sleeves = [sleeve_equity(tr, n_bars, pos=pos, split=split) for tr in strat_trades.values()]
+    agg = np.mean(sleeves, axis=0)            # media -> base INIT, diversificazione reale
+    # restringi alla finestra effettiva (da split in poi se OOS)
+    lo = max(split, 0)
+    agg = agg[lo:]
+    peak = np.maximum.accumulate(agg)
+    dd = float(np.max((peak - agg) / peak) * 100)
+    trd = sum(1 for tr in strat_trades.values() for i, _, _ in tr if i >= split)
+    wins = sum(1 for tr in strat_trades.values() for i, _, r in tr if i >= split and r > 0)
+    return dict(trades=trd, acc=wins / trd * 100 if trd else 0.0,
+                ret=(agg[-1] / INIT - 1) * 100, dd=dd, sharpe=0.0)
+
+
+def main():
+    # ---------- (1) sweep soglia trend ----------
+    print("=" * 104)
+    print("  (1) FILTRO TREND |close-EMA200|/ATR > soglia -> SALTA | NETTO fee 0.10% RT, leva 3x")
+    print("=" * 104)
+    print(f"  {'Strat/Asset':<14s}{'soglia':>8s}{'Trd':>6s}{'Acc%':>7s}{'Ret%':>9s}{'DD%':>7s}"
+          f"  | {'oAcc':>6s}{'oRet':>9s}{'oDD':>7s}{'oShrp':>7s}")
+    print("  " + "-" * 100)
+    thresholds = [None, 4.0, 3.0, 2.5, 2.0]
+    for asset in ["BTC", "ETH"]:
+        df = load_data(asset, "1h"); ts = pd.to_datetime(df["timestamp"], unit="ms", utc=True)
+        split = int(len(df) * (1 - OOS_FRAC))
+        table = STRATS_ETH if asset == "ETH" else STRATS
+        for nm, (fn, params) in table.items():
+            ents = fn(df, **params)
+            for thr in thresholds:
+                tr = build_trades(ents, df, trend_max=thr)
+                f = metrics_single(tr, ts); o = metrics_single(tr, ts, split=split)
+                lab = "base" if thr is None else f"{thr}ATR"
+                print(f"  {nm+' '+asset:<14s}{lab:>8s}{f['trades']:>6d}{f['acc']:>7.1f}{f['ret']:>+9.0f}{f['dd']:>7.1f}"
+                      f"  | {o['acc']:>6.1f}{o['ret']:>+9.0f}{o['dd']:>7.1f}{o['sharpe']:>7.2f}")
+            print("  " + "-" * 100)
+
+    # ---------- (2) portafoglio combinato ----------
+    print("\n" + "=" * 104)
+    print("  (2) PORTAFOGLIO equipesato: capitale diviso in N sotto-conti indipendenti")
+    print("      (pos 0.15 ciascuno, filtro trend 3.0 ATR). DD aggregato vs singola strategia.")
+    print("=" * 104)
+    print(f"  {'Universo':<26s}{'Trd':>6s}{'Acc%':>7s}{'Ret%':>10s}{'DD%':>7s}{'':>7s}"
+          f"  | {'oAcc':>6s}{'oRet':>9s}{'oDD':>7s}{'':>7s}")
+    print("  " + "-" * 100)
+    all_trades = {}
+    for asset in ["BTC", "ETH"]:
+        df = load_data(asset, "1h"); ts = pd.to_datetime(df["timestamp"], unit="ms", utc=True)
+        split = int(len(df) * (1 - OOS_FRAC)); n = len(df)
+        table = STRATS_ETH if asset == "ETH" else STRATS
+        st = {f"{nm}_{asset}": build_trades(fn(df, **p), df, trend_max=3.0) for nm, (fn, p) in table.items()}
+        all_trades.update(st)
+        f = metrics_portfolio(st, n, ts); o = metrics_portfolio(st, n, ts, split=split)
+        print(f"  {'Portafoglio '+asset+' (4 strat)':<26s}{f['trades']:>6d}{f['acc']:>7.1f}{f['ret']:>+10.0f}{f['dd']:>7.1f}{f['sharpe']:>7.2f}"
+              f"  | {o['acc']:>6.1f}{o['ret']:>+9.0f}{o['dd']:>7.1f}{o['sharpe']:>7.2f}")
+    # globale 8 sleeve
+    df0 = load_data("BTC", "1h"); ts0 = pd.to_datetime(df0["timestamp"], unit="ms", utc=True)
+    split0 = int(len(df0) * (1 - OOS_FRAC))
+    f = metrics_portfolio(all_trades, len(df0), ts0); o = metrics_portfolio(all_trades, len(df0), ts0, split=split0)
+    print("  " + "-" * 100)
+    print(f"  {'GLOBALE BTC+ETH (8 sleeve)':<26s}{f['trades']:>6d}{f['acc']:>7.1f}{f['ret']:>+10.0f}{f['dd']:>7.1f}{f['sharpe']:>7.2f}"
+          f"  | {o['acc']:>6.1f}{o['ret']:>+9.0f}{o['dd']:>7.1f}{o['sharpe']:>7.2f}")
+    print("\n  Nota: ogni sleeve gira su un sotto-conto indipendente (pos 0.15); l'equity di")
+    print("  portafoglio e' la media dei sotto-conti. Curve poco correlate => DD aggregato")
+    print("  molto piu' basso del DD del singolo sleeve (la vera leva anti-drawdown).")
+
+
+if __name__ == "__main__":
+    main()

scripts/analysis/strategy_research.py

@@ -0,0 +1,258 @@
+"""Ricerca strategie fee-aware, OOS, oltre la famiglia squeeze.
+
+Lezioni apprese (squeeze breakout = nessun edge):
+  - le FEE sono vincolo di prim'ordine -> default fee realistica Deribit 0.10% RT
+    (taker 0.05%/lato, maker ~0%); poche operazioni meglio di molte
+  - i breakout RIENTRANO -> si esplora mean-reversion, non continuation
+  - ogni numero e' NETTO dopo fee+leva, su finestra held-out + per anno
+
+Engine realistico: ingresso a close[i] (eseguibile), uscita su TP/SL intrabar
+(high/low) o time-limit, una posizione per volta (non-overlap), capitale composto.
+"""
+from __future__ import annotations
+
+import sys
+from pathlib import Path
+
+import numpy as np
+import pandas as pd
+
+PROJECT_ROOT = Path(__file__).resolve().parents[2]
+sys.path.insert(0, str(PROJECT_ROOT))
+
+from src.data.downloader import load_data
+
+FEE_RT = 0.001          # Deribit perp realistico: taker 0.05%/lato
+LEV = 3.0
+POS = 0.15
+OOS_FRAC = 0.30
+BARS_PER_YEAR = {"15m": 35040, "1h": 8760, "4h": 2190, "1d": 365}
+
+
+# ----------------------------- dati -----------------------------
+def get_df(asset: str, tf: str) -> pd.DataFrame:
+    """tf nativo (15m,1h) o resample da 1h (4h,1d)."""
+    if tf in ("15m", "1h"):
+        return load_data(asset, tf).reset_index(drop=True)
+    base = load_data(asset, "1h").copy()
+    base["dt"] = pd.to_datetime(base["timestamp"], unit="ms", utc=True)
+    base = base.set_index("dt")
+    rule = {"4h": "4h", "1d": "1D"}[tf]
+    agg = base.resample(rule).agg(
+        {"open": "first", "high": "max", "low": "min", "close": "last", "volume": "sum"}
+    ).dropna()
+    agg["timestamp"] = agg.index.asi8 // 10**6
+    return agg.reset_index(drop=True)
+
+
+# --------------------------- indicatori ---------------------------
+def atr(df: pd.DataFrame, n: 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).rolling(n).mean().values
+
+
+def rsi(close: np.ndarray, n: int = 14) -> np.ndarray:
+    d = np.diff(close, prepend=close[0])
+    up = pd.Series(np.where(d > 0, d, 0.0)).ewm(alpha=1/n, adjust=False).mean()
+    dn = pd.Series(np.where(d < 0, -d, 0.0)).ewm(alpha=1/n, adjust=False).mean()
+    rs = up / dn.replace(0, np.nan)
+    return (100 - 100 / (1 + rs)).values
+
+
+# --------------------------- engine ---------------------------
+def simulate(entries: list[dict], df: pd.DataFrame, fee_rt: float = FEE_RT,
+             lev: float = LEV, pos: float = POS) -> dict:
+    """entries: dict con i(idx), d(+1/-1), tp(prezzo), sl(prezzo), max_bars."""
+    h, l, c = df["high"].values, df["low"].values, df["close"].values
+    n = len(c)
+    cap = peak = 1000.0
+    max_dd = 0.0
+    fee = fee_rt * lev
+    trades = wins = 0
+    last_exit = -1
+    bars_in = 0
+    ts = pd.to_datetime(df["timestamp"], unit="ms", utc=True)
+    yearly: dict[int, float] = {}
+
+    for e in entries:
+        i, d = e["i"], e["d"]
+        if i <= last_exit or i + 1 >= n:
+            continue
+        entry = c[i]
+        tp, sl, mb = e["tp"], e["sl"], e["max_bars"]
+        exit_p = c[min(i + mb, n - 1)]
+        for k in range(1, mb + 1):
+            j = i + k
+            if j >= n:
+                exit_p = c[n - 1]; break
+            hit_sl = (d == 1 and l[j] <= sl) or (d == -1 and h[j] >= sl)
+            hit_tp = (d == 1 and h[j] >= tp) or (d == -1 and l[j] <= tp)
+            if hit_sl:                      # conservativo: SL prima del TP nello stesso bar
+                exit_p = sl; break
+            if hit_tp:
+                exit_p = tp; break
+            if k == mb:
+                exit_p = c[j]
+        ret = (exit_p - entry) / entry * d * lev - fee
+        cb = cap
+        cap = max(cb + cb * pos * ret, 10.0)
+        peak = max(peak, cap); max_dd = max(max_dd, (peak - cap) / peak)
+        trades += 1; wins += ret > 0; bars_in += min(mb, j - i)
+        last_exit = j
+        yearly[ts.iloc[i].year] = yearly.get(ts.iloc[i].year, 0.0) + ret * 100
+    return {
+        "trades": trades,
+        "win": wins / trades * 100 if trades else 0.0,
+        "ret": (cap / 1000 - 1) * 100,
+        "dd": max_dd * 100,
+        "yearly": yearly,
+        "exposure": bars_in / n * 100,
+    }
+
+
+# --------------------------- strategie ---------------------------
+def bollinger_fade(df, n=20, k=2.0, sl_atr=2.0, max_bars=24):
+    """Mean-reversion: fada il close oltre la banda, TP alla media, SL = k_atr*ATR."""
+    c = df["close"].values
+    ma = pd.Series(c).rolling(n).mean().values
+    sd = pd.Series(c).rolling(n).std().values
+    a = atr(df, 14)
+    up, lo = ma + k * sd, ma - k * sd
+    ents = []
+    for i in range(n + 14, len(c)):
+        if np.isnan(up[i]) or np.isnan(a[i]):
+            continue
+        if c[i] < lo[i] and c[i - 1] >= lo[i - 1]:          # appena sotto la banda
+            ents.append({"i": i, "d": 1, "tp": ma[i], "sl": c[i] - sl_atr * a[i], "max_bars": max_bars})
+        elif c[i] > up[i] and c[i - 1] <= up[i - 1]:
+            ents.append({"i": i, "d": -1, "tp": ma[i], "sl": c[i] + sl_atr * a[i], "max_bars": max_bars})
+    return ents
+
+
+def rsi_revert(df, n=14, lo=30, hi=70, sl_atr=2.0, max_bars=24, ma_n=20):
+    """RSI mean-reversion: long su RSI<lo che risale, TP alla media mobile."""
+    c = df["close"].values
+    r = rsi(c, n)
+    ma = pd.Series(c).rolling(ma_n).mean().values
+    a = atr(df, 14)
+    ents = []
+    for i in range(max(n, ma_n) + 1, len(c)):
+        if np.isnan(r[i]) or np.isnan(ma[i]) or np.isnan(a[i]):
+            continue
+        if r[i - 1] < lo <= r[i]:
+            ents.append({"i": i, "d": 1, "tp": ma[i], "sl": c[i] - sl_atr * a[i], "max_bars": max_bars})
+        elif r[i - 1] > hi >= r[i]:
+            ents.append({"i": i, "d": -1, "tp": ma[i], "sl": c[i] + sl_atr * a[i], "max_bars": max_bars})
+    return ents
+
+
+def donchian_trend(df, n=20, sl_atr=2.0, tp_atr=6.0, max_bars=120):
+    """Trend-following: breakout canale Donchian, TP/SL in multipli di ATR."""
+    h, l, c = df["high"].values, df["low"].values, df["close"].values
+    hh = pd.Series(h).rolling(n).max().shift(1).values
+    ll = pd.Series(l).rolling(n).min().shift(1).values
+    a = atr(df, 14)
+    ents = []
+    for i in range(n + 14, len(c)):
+        if np.isnan(hh[i]) or np.isnan(a[i]):
+            continue
+        if c[i] > hh[i]:
+            ents.append({"i": i, "d": 1, "tp": c[i] + tp_atr * a[i], "sl": c[i] - sl_atr * a[i], "max_bars": max_bars})
+        elif c[i] < ll[i]:
+            ents.append({"i": i, "d": -1, "tp": c[i] - tp_atr * a[i], "sl": c[i] + sl_atr * a[i], "max_bars": max_bars})
+    return ents
+
+
+STRATS = {
+    "BOLL_fade k2 m24":   (bollinger_fade, dict(n=20, k=2.0, sl_atr=2.0, max_bars=24)),
+    "BOLL_fade k2.5 m24": (bollinger_fade, dict(n=20, k=2.5, sl_atr=2.0, max_bars=24)),
+    "RSI_revert 30/70":   (rsi_revert, dict(n=14, lo=30, hi=70, sl_atr=2.0, max_bars=24)),
+    "RSI_revert 25/75":   (rsi_revert, dict(n=14, lo=25, hi=75, sl_atr=2.0, max_bars=24)),
+    "DONCH_trend n20":    (donchian_trend, dict(n=20, sl_atr=2.0, tp_atr=6.0, max_bars=120)),
+    "DONCH_trend n50":    (donchian_trend, dict(n=50, sl_atr=2.0, tp_atr=8.0, max_bars=200)),
+}
+
+
+def deep_dive():
+    print("\n" + "#" * 120)
+    print("  APPROFONDIMENTO BOLLINGER FADE (mean-reversion) — l'unica famiglia con edge netto")
+    print("#" * 120)
+
+    cases = [("BTC", "1h"), ("ETH", "1h"), ("BTC", "4h"), ("ETH", "4h")]
+    base = dict(n=20, k=2.5, sl_atr=2.0, max_bars=24)
+
+    # --- per anno (config base k2.5/n20) ---
+    print(f"\n  [1] PnL NETTO per anno — n=20 k=2.5 sl=2ATR | fee {FEE_RT*100:.2f}% RT")
+    all_years = sorted({y for a, tf in cases for y in simulate(bollinger_fade(get_df(a, tf), **base), get_df(a, tf))["yearly"]})
+    print(f"  {'Asset/TF':<10s}" + "".join(f"{y:>8d}" for y in all_years) + f"{'TOT%':>9s}{'DD%':>6s}")
+    for a, tf in cases:
+        df = get_df(a, tf)
+        r = simulate(bollinger_fade(df, **base), df)
+        row = "".join(f"{r['yearly'].get(y, 0):>+8.0f}" for y in all_years)
+        print(f"  {a+' '+tf:<10s}{row}{r['ret']:>+9.0f}{r['dd']:>6.0f}")
+
+    # --- sensibilita' fee ---
+    print(f"\n  [2] SENSIBILITA' FEE — Ret% FULL / OOS (n=20 k=2.5)")
+    fees = [0.0, 0.0005, 0.001, 0.002]
+    print(f"  {'Asset/TF':<10s}" + "".join(f"{f'{f*100:.2f}%RT':>22s}" for f in fees))
+    print(f"  {'':<10s}" + "".join(f"{'full':>11s}{'oos':>11s}" for _ in fees))
+    for a, tf in cases:
+        df = get_df(a, tf)
+        ents = bollinger_fade(df, **base)
+        split = int(len(df) * (1 - OOS_FRAC))
+        oents = [e for e in ents if e["i"] >= split]
+        cells = ""
+        for f in fees:
+            cells += f"{simulate(ents, df, fee_rt=f)['ret']:>+11.0f}{simulate(oents, df, fee_rt=f)['ret']:>+11.0f}"
+        print(f"  {a+' '+tf:<10s}{cells}")
+
+    # --- griglia parametri (robustezza) su BTC/ETH 1h ---
+    print(f"\n  [3] GRIGLIA PARAMETRI — Ret%OOS (DD%) | fee {FEE_RT*100:.2f}% RT, deve essere stabile")
+    for a in ["BTC", "ETH"]:
+        df = get_df(a, "1h")
+        split = int(len(df) * (1 - OOS_FRAC))
+        print(f"\n  {a} 1h     " + "".join(f"{f'k={k}':>16s}" for k in [2.0, 2.5, 3.0]))
+        for n in [14, 20, 30, 50]:
+            cells = ""
+            for k in [2.0, 2.5, 3.0]:
+                ents = [e for e in bollinger_fade(df, n=n, k=k, sl_atr=2.0, max_bars=24) if e["i"] >= split]
+                r = simulate(ents, df)
+                cell = f"{r['ret']:+.0f}({r['dd']:.0f})"
+                cells += f"{cell:>16s}"
+            print(f"   n={n:<4d}{cells}")
+
+
+def main():
+    print("=" * 120)
+    print(f"  RICERCA STRATEGIE — NETTO dopo fee {FEE_RT*100:.2f}% RT | leva {LEV:.0f}x | pos {POS*100:.0f}% "
+          f"| OOS = ultimo {int(OOS_FRAC*100)}%")
+    print("=" * 120)
+    print(f"  {'Strategia':<20s}{'Asset':>5s}{'TF':>5s}{'Trd':>6s}{'Tr/yr':>7s}{'Win%':>7s}"
+          f"{'Ret%FULL':>10s}{'Ret%OOS':>10s}{'DD%':>7s}{'Exp%':>7s}{'AnniPos':>9s}")
+    print("  " + "-" * 116)
+
+    for label, (fn, params) in STRATS.items():
+        for asset in ["BTC", "ETH"]:
+            for tf in ["1h", "4h"]:
+                df = get_df(asset, tf)
+                ents = fn(df, **params)
+                full = simulate(ents, df)
+                split = int(len(df) * (1 - OOS_FRAC))
+                oos = simulate([e for e in ents if e["i"] >= split], df)
+                yrs = full["yearly"]
+                pos_yrs = sum(1 for v in yrs.values() if v > 0)
+                tr_yr = full["trades"] / max(len(yrs), 1)
+                flag = "  <<<" if oos["ret"] > 0 and full["ret"] > 0 and pos_yrs >= max(len(yrs) - 1, 1) else ""
+                print(f"  {label:<20s}{asset:>5s}{tf:>5s}{full['trades']:>6d}{tr_yr:>7.0f}{full['win']:>7.1f}"
+                      f"{full['ret']:>+10.1f}{oos['ret']:>+10.1f}{full['dd']:>7.1f}{full['exposure']:>7.1f}"
+                      f"{f'{pos_yrs}/{len(yrs)}':>9s}{flag}")
+        print("  " + "-" * 116)
+    print("  Ret%FULL/OOS = ritorno NETTO composto su €1000. AnniPos = anni con PnL netto>0.")
+    print("  <<< = positivo full+OOS e robusto (quasi tutti gli anni positivi).")
+    deep_dive()
+
+
+if __name__ == "__main__":
+    main()

scripts/analysis/strategy_research_v2.py

@@ -0,0 +1,306 @@
+"""Ricerca v2 — nuove strategie oltre MR01, stessa metodologia fee-aware OOS.
+
+Lezioni ereditate (vedi strategy_research.py / oos_validation.py):
+  - mean-reversion ha edge, continuation/trend NO (i breakout rientrano)
+  - fee = vincolo di prim'ordine -> default Deribit 0.10% RT, poche operazioni meglio
+  - ingresso ESEGUIBILE a close[i] (mai look-ahead con direzione da barra i)
+  - ogni numero NETTO dopo fee+leva, su finestra held-out (OOS=ultimo 30%) + per anno
+
+Nuovi candidati (tutti fade/mean-reversion con ingresso onesto):
+  MR02 donchian_fade  - fade rottura canale Donchian (opposto del trend che muore)
+  MR03 keltner_fade   - fade canale Keltner (ATR), TP alla EMA media
+  MR04 zscore_revert  - fade deviazione z-score estrema, TP alla media
+  MR05 boll_fade_adx  - Bollinger fade con filtro regime ADX (solo mercato laterale)
+
+Engine identico a strategy_research.simulate (ingresso close[i], exit TP/SL intrabar
+high/low o time-limit, non-overlap, capitale composto).
+"""
+from __future__ import annotations
+
+import sys
+from pathlib import Path
+
+import numpy as np
+import pandas as pd
+
+PROJECT_ROOT = Path(__file__).resolve().parents[2]
+sys.path.insert(0, str(PROJECT_ROOT))
+
+# riusa engine, dati e indicatori gia' validati
+from scripts.analysis.strategy_research import (
+    FEE_RT, LEV, POS, OOS_FRAC, get_df, atr, rsi, simulate,
+)
+
+
+# --------------------------- indicatori extra ---------------------------
+def ema(x: np.ndarray, n: int) -> np.ndarray:
+    return pd.Series(x).ewm(span=n, adjust=False).mean().values
+
+
+def adx(df: pd.DataFrame, n: int = 14) -> np.ndarray:
+    """Average Directional Index: misura la forza del trend (alto=trend, basso=range)."""
+    h, l, c = df["high"].values, df["low"].values, df["close"].values
+    up = h - np.roll(h, 1)
+    dn = np.roll(l, 1) - l
+    up[0] = dn[0] = 0.0
+    plus_dm = np.where((up > dn) & (up > 0), up, 0.0)
+    minus_dm = np.where((dn > up) & (dn > 0), dn, 0.0)
+    pc = np.roll(c, 1); pc[0] = c[0]
+    tr = np.maximum(h - l, np.maximum(np.abs(h - pc), np.abs(l - pc)))
+    atr_n = pd.Series(tr).ewm(alpha=1/n, adjust=False).mean().values
+    pdi = 100 * pd.Series(plus_dm).ewm(alpha=1/n, adjust=False).mean().values / np.where(atr_n == 0, np.nan, atr_n)
+    mdi = 100 * pd.Series(minus_dm).ewm(alpha=1/n, adjust=False).mean().values / np.where(atr_n == 0, np.nan, atr_n)
+    dx = 100 * np.abs(pdi - mdi) / np.where((pdi + mdi) == 0, np.nan, pdi + mdi)
+    return pd.Series(dx).ewm(alpha=1/n, adjust=False).mean().values
+
+
+# --------------------------- strategie nuove ---------------------------
+def donchian_fade(df, n=20, sl_atr=2.0, max_bars=24):
+    """MR02 — fade rottura canale Donchian: rompe sopra max-N => short verso il mid.
+
+    Coerente con 'i breakout rientrano': l'opposto di donchian_trend (che fallisce).
+    Ingresso a close[i] sulla barra che chiude oltre il canale precedente.
+    TP al centro del canale, SL = sl_atr*ATR oltre l'estremo.
+    """
+    h, l, c = df["high"].values, df["low"].values, df["close"].values
+    hh = pd.Series(h).rolling(n).max().shift(1).values
+    ll = pd.Series(l).rolling(n).min().shift(1).values
+    a = atr(df, 14)
+    ents = []
+    for i in range(n + 14, len(c)):
+        if np.isnan(hh[i]) or np.isnan(a[i]):
+            continue
+        mid = (hh[i] + ll[i]) / 2.0
+        if c[i] > hh[i] and c[i - 1] <= hh[i - 1]:          # rottura rialzista => fade short
+            ents.append({"i": i, "d": -1, "tp": mid, "sl": c[i] + sl_atr * a[i], "max_bars": max_bars})
+        elif c[i] < ll[i] and c[i - 1] >= ll[i - 1]:        # rottura ribassista => fade long
+            ents.append({"i": i, "d": 1, "tp": mid, "sl": c[i] - sl_atr * a[i], "max_bars": max_bars})
+    return ents
+
+
+def keltner_fade(df, n=20, k=2.0, sl_atr=2.0, max_bars=24):
+    """MR03 — fade canale Keltner (EMA +/- k*ATR), TP alla EMA media.
+
+    Come Bollinger ma banda basata su ATR (volatilita' di range) invece che std:
+    reagisce diversamente ai gap. Ingresso quando close esce dalla banda.
+    """
+    c = df["close"].values
+    e = ema(c, n)
+    a = atr(df, n)
+    up, lo = e + k * a, e - k * a
+    ents = []
+    for i in range(n + 1, len(c)):
+        if np.isnan(up[i]) or np.isnan(a[i]):
+            continue
+        if c[i] < lo[i] and c[i - 1] >= lo[i - 1]:
+            ents.append({"i": i, "d": 1, "tp": e[i], "sl": c[i] - sl_atr * a[i], "max_bars": max_bars})
+        elif c[i] > up[i] and c[i - 1] <= up[i - 1]:
+            ents.append({"i": i, "d": -1, "tp": e[i], "sl": c[i] + sl_atr * a[i], "max_bars": max_bars})
+    return ents
+
+
+def zscore_revert(df, n=50, z=2.0, sl_atr=2.5, max_bars=24):
+    """MR04 — fade deviazione z-score estrema dalla media, TP alla media.
+
+    z = (close-ma)/std. Entra quando |z| supera la soglia (close fuori); chiude
+    quando torna alla media. Banda di Bollinger riparametrizzata in z (equivalente
+    a k=z) ma con SL piu' largo e finestra lunga: poche operazioni, alta selettivita'.
+    """
+    c = df["close"].values
+    ma = pd.Series(c).rolling(n).mean().values
+    sd = pd.Series(c).rolling(n).std().values
+    a = atr(df, 14)
+    ents = []
+    for i in range(n + 14, len(c)):
+        if np.isnan(ma[i]) or sd[i] == 0 or np.isnan(a[i]):
+            continue
+        zi = (c[i] - ma[i]) / sd[i]
+        zp = (c[i - 1] - ma[i - 1]) / sd[i - 1] if sd[i - 1] else 0.0
+        if zi <= -z and zp > -z:
+            ents.append({"i": i, "d": 1, "tp": ma[i], "sl": c[i] - sl_atr * a[i], "max_bars": max_bars})
+        elif zi >= z and zp < z:
+            ents.append({"i": i, "d": -1, "tp": ma[i], "sl": c[i] + sl_atr * a[i], "max_bars": max_bars})
+    return ents
+
+
+def boll_fade_adx(df, n=50, k=2.5, sl_atr=2.0, max_bars=24, adx_max=25.0):
+    """MR05 — Bollinger fade SOLO in regime laterale (ADX < adx_max).
+
+    Il fade soffre quando c'e' trend forte (il prezzo continua oltre la banda).
+    Filtro ADX: opera solo quando la forza del trend e' bassa -> meno trade, edge piu' pulito.
+    """
+    c = df["close"].values
+    ma = pd.Series(c).rolling(n).mean().values
+    sd = pd.Series(c).rolling(n).std().values
+    a = atr(df, 14)
+    ax = adx(df, 14)
+    up, lo = ma + k * sd, ma - k * sd
+    ents = []
+    for i in range(n + 14, len(c)):
+        if np.isnan(up[i]) or np.isnan(a[i]) or np.isnan(ax[i]):
+            continue
+        if ax[i] >= adx_max:                 # trend forte: niente fade
+            continue
+        if c[i] < lo[i] and c[i - 1] >= lo[i - 1]:
+            ents.append({"i": i, "d": 1, "tp": ma[i], "sl": c[i] - sl_atr * a[i], "max_bars": max_bars})
+        elif c[i] > up[i] and c[i - 1] <= up[i - 1]:
+            ents.append({"i": i, "d": -1, "tp": ma[i], "sl": c[i] + sl_atr * a[i], "max_bars": max_bars})
+    return ents
+
+
+def rsi2_fade(df, rsi_n=2, lo=10, hi=90, ma_n=200, tp_atr=2.0, sl_atr=3.0, max_bars=24):
+    """MR06 — Connors RSI(2) pullback in direzione del trend, TP/SL in ATR.
+
+    Meccanismo distinto da MR01/MR03: non usa bande di prezzo ma l'oscillatore
+    RSI(2), che satura su micro-estremi. Filtro di trend con SMA lunga:
+      - close SOPRA la SMA (uptrend) + RSI(2) < lo (dip) -> long, target rimbalzo
+      - close SOTTO la SMA (downtrend) + RSI(2) > hi (pop) -> short
+    TP = tp_atr*ATR a favore, SL = sl_atr*ATR contro. Compra il ritracciamento
+    nel trend, non il contro-trend.
+    """
+    c = df["close"].values
+    r = rsi(c, rsi_n)
+    ma = pd.Series(c).rolling(ma_n).mean().values
+    a = atr(df, 14)
+    ents = []
+    for i in range(ma_n + 14, len(c)):
+        if np.isnan(r[i]) or np.isnan(ma[i]) or np.isnan(a[i]):
+            continue
+        if r[i] < lo and c[i] > ma[i]:            # dip in uptrend -> long
+            ents.append({"i": i, "d": 1, "tp": c[i] + tp_atr * a[i], "sl": c[i] - sl_atr * a[i], "max_bars": max_bars})
+        elif r[i] > hi and c[i] < ma[i]:          # pop in downtrend -> short
+            ents.append({"i": i, "d": -1, "tp": c[i] - tp_atr * a[i], "sl": c[i] + sl_atr * a[i], "max_bars": max_bars})
+    return ents
+
+
+def return_reversal(df, n=50, k=3.5, tp_atr=2.0, sl_atr=1.5, max_bars=24):
+    """MR07 — fade movimento di barra estremo (return reversal).
+
+    Misura il rendimento dell'ultima barra in unita' di deviazione standard rolling
+    dei rendimenti. Se |ret| > k*sigma, fada nella direzione opposta; TP/SL in ATR.
+    Meccanismo distinto: usa la volatilita' dei RENDIMENTI, non i livelli di prezzo.
+    Config robusta (k=3.5, tp=2ATR, sl=1.5ATR): positivo full+OOS BTC e ETH 1h,
+    DD piu' contenuto (BTC 25% / ETH 46%).
+    """
+    c = df["close"].values
+    ret = np.zeros_like(c)
+    ret[1:] = np.diff(c) / c[:-1]
+    sig = pd.Series(ret).rolling(n).std().values
+    a = atr(df, 14)
+    ents = []
+    for i in range(n + 14, len(c)):
+        if np.isnan(sig[i]) or sig[i] == 0 or np.isnan(a[i]):
+            continue
+        z = ret[i] / sig[i]
+        if z <= -k:                                # crollo di barra -> fade long
+            ents.append({"i": i, "d": 1, "tp": c[i] + tp_atr * a[i], "sl": c[i] - sl_atr * a[i], "max_bars": max_bars})
+        elif z >= k:                               # spike di barra -> fade short
+            ents.append({"i": i, "d": -1, "tp": c[i] - tp_atr * a[i], "sl": c[i] + sl_atr * a[i], "max_bars": max_bars})
+    return ents
+
+
+CANDIDATES = {
+    "MR02 donch_fade n20":  (donchian_fade, dict(n=20, sl_atr=2.0, max_bars=24)),
+    "MR02 donch_fade n50":  (donchian_fade, dict(n=50, sl_atr=2.0, max_bars=24)),
+    "MR03 kelt_fade k2":    (keltner_fade, dict(n=20, k=2.0, sl_atr=2.0, max_bars=24)),
+    "MR03 kelt_fade k2.5":  (keltner_fade, dict(n=20, k=2.5, sl_atr=2.0, max_bars=24)),
+    "MR04 zscore z2 n50":   (zscore_revert, dict(n=50, z=2.0, sl_atr=2.5, max_bars=24)),
+    "MR04 zscore z2.5 n50": (zscore_revert, dict(n=50, z=2.5, sl_atr=2.5, max_bars=24)),
+    "MR05 boll_adx n50":    (boll_fade_adx, dict(n=50, k=2.5, sl_atr=2.0, max_bars=24, adx_max=25)),
+    "MR05 boll_adx n20":    (boll_fade_adx, dict(n=20, k=2.5, sl_atr=2.0, max_bars=24, adx_max=25)),
+    "MR06 rsi2 10/90":      (rsi2_fade, dict(rsi_n=2, lo=10, hi=90, ma_n=200, tp_atr=2.0, sl_atr=3.0, max_bars=24)),
+    "MR06 rsi2 5/95":       (rsi2_fade, dict(rsi_n=2, lo=5, hi=95, ma_n=200, tp_atr=2.0, sl_atr=3.0, max_bars=24)),
+    "MR07 retrev k3.5":     (return_reversal, dict(n=50, k=3.5, tp_atr=2.0, sl_atr=1.5, max_bars=24)),
+    "MR07 retrev k3.0":     (return_reversal, dict(n=50, k=3.0, tp_atr=2.0, sl_atr=1.5, max_bars=24)),
+}
+
+
+def table():
+    print("=" * 122)
+    print(f"  RICERCA v2 — NETTO dopo fee {FEE_RT*100:.2f}% RT | leva {LEV:.0f}x | pos {POS*100:.0f}% "
+          f"| OOS = ultimo {int(OOS_FRAC*100)}%")
+    print("=" * 122)
+    print(f"  {'Strategia':<22s}{'Asset':>5s}{'TF':>5s}{'Trd':>6s}{'Tr/yr':>7s}{'Win%':>7s}"
+          f"{'Ret%FULL':>10s}{'Ret%OOS':>10s}{'DD%':>7s}{'Exp%':>7s}{'AnniPos':>9s}")
+    print("  " + "-" * 118)
+    for label, (fn, params) in CANDIDATES.items():
+        for asset in ["BTC", "ETH"]:
+            for tf in ["1h", "4h"]:
+                df = get_df(asset, tf)
+                ents = fn(df, **params)
+                full = simulate(ents, df)
+                split = int(len(df) * (1 - OOS_FRAC))
+                oos = simulate([e for e in ents if e["i"] >= split], df)
+                yrs = full["yearly"]
+                pos_yrs = sum(1 for v in yrs.values() if v > 0)
+                tr_yr = full["trades"] / max(len(yrs), 1)
+                robust = oos["ret"] > 0 and full["ret"] > 0 and pos_yrs >= max(len(yrs) - 1, 1)
+                flag = "  <<<" if robust else ""
+                print(f"  {label:<22s}{asset:>5s}{tf:>5s}{full['trades']:>6d}{tr_yr:>7.0f}{full['win']:>7.1f}"
+                      f"{full['ret']:>+10.1f}{oos['ret']:>+10.1f}{full['dd']:>7.1f}{full['exposure']:>7.1f}"
+                      f"{f'{pos_yrs}/{len(yrs)}':>9s}{flag}")
+        print("  " + "-" * 118)
+    print("  <<< = positivo full+OOS e robusto (quasi tutti gli anni positivi).")
+
+
+def deep_dive():
+    """Robustezza dei 3 candidati promossi: fee sweep + griglia parametri OOS."""
+    split_of = lambda df: int(len(df) * (1 - OOS_FRAC))
+    fees = [0.0, 0.0005, 0.001, 0.002]
+
+    print("\n" + "#" * 122)
+    print("  APPROFONDIMENTO MR02 / MR03 / MR05 — robustezza fee + griglia (deve restare positivo)")
+    print("#" * 122)
+
+    # --- MR02 Donchian Fade ---
+    print(f"\n  [MR02 donchian_fade] SENSIBILITA' FEE — Ret% FULL/OOS (n=20)")
+    print(f"  {'Asset/TF':<10s}" + "".join(f"{f'{f*100:.2f}%RT':>22s}" for f in fees))
+    print(f"  {'':<10s}" + "".join(f"{'full':>11s}{'oos':>11s}" for _ in fees))
+    for a, tf in [("BTC", "1h"), ("ETH", "1h"), ("BTC", "4h"), ("ETH", "4h")]:
+        df = get_df(a, tf); sp = split_of(df)
+        ents = donchian_fade(df, n=20, sl_atr=2.0, max_bars=24)
+        oents = [e for e in ents if e["i"] >= sp]
+        cells = "".join(f"{simulate(ents, df, fee_rt=f)['ret']:>+11.0f}{simulate(oents, df, fee_rt=f)['ret']:>+11.0f}" for f in fees)
+        print(f"  {a+' '+tf:<10s}{cells}")
+    print(f"\n  [MR02] GRIGLIA n x sl_atr — Ret%OOS(DD%) | fee {FEE_RT*100:.2f}% RT")
+    for a in ["BTC", "ETH"]:
+        df = get_df(a, "1h"); sp = split_of(df)
+        print(f"\n  {a} 1h     " + "".join(f"{f'sl={s}':>16s}" for s in [1.5, 2.0, 3.0]))
+        for n in [10, 20, 30, 50]:
+            cells = ""
+            for s in [1.5, 2.0, 3.0]:
+                r = simulate([e for e in donchian_fade(df, n=n, sl_atr=s, max_bars=24) if e["i"] >= sp], df)
+                cell = "%+.0f(%.0f)" % (r["ret"], r["dd"])
+                cells += f"{cell:>16s}"
+            print(f"   n={n:<4d}{cells}")
+
+    # --- MR03 Keltner Fade ---
+    print(f"\n  [MR03 keltner_fade] GRIGLIA n x k — Ret%OOS(DD%) | fee {FEE_RT*100:.2f}% RT")
+    for a in ["BTC", "ETH"]:
+        df = get_df(a, "1h"); sp = split_of(df)
+        print(f"\n  {a} 1h     " + "".join(f"{f'k={k}':>16s}" for k in [1.5, 2.0, 2.5]))
+        for n in [14, 20, 30, 50]:
+            cells = ""
+            for k in [1.5, 2.0, 2.5]:
+                r = simulate([e for e in keltner_fade(df, n=n, k=k, sl_atr=2.0, max_bars=24) if e["i"] >= sp], df)
+                cell = "%+.0f(%.0f)" % (r["ret"], r["dd"])
+                cells += f"{cell:>16s}"
+            print(f"   n={n:<4d}{cells}")
+
+    # --- MR05 Bollinger Fade + ADX ---
+    print(f"\n  [MR05 boll_fade_adx] GRIGLIA n x adx_max — Ret%OOS(DD%) | fee {FEE_RT*100:.2f}% RT")
+    for a in ["BTC", "ETH"]:
+        df = get_df(a, "1h"); sp = split_of(df)
+        print(f"\n  {a} 1h     " + "".join(f"{f'adx<{x}':>16s}" for x in [20, 25, 30]))
+        for n in [20, 30, 50]:
+            cells = ""
+            for x in [20, 25, 30]:
+                r = simulate([e for e in boll_fade_adx(df, n=n, k=2.5, sl_atr=2.0, max_bars=24, adx_max=x) if e["i"] >= sp], df)
+                cell = "%+.0f(%.0f)" % (r["ret"], r["dd"])
+                cells += f"{cell:>16s}"
+            print(f"   n={n:<4d}{cells}")
+
+
+if __name__ == "__main__":
+    table()
+    deep_dive()

scripts/analysis/validate_worker_mr01.py

@@ -0,0 +1,69 @@
+"""Re-validazione: il StrategyWorker REALE tradi MR01 con edge netto?
+
+Guida il worker vero (generate_signals + nuova logica exit TP/SL/max_bars) su
+finestre mobili di dati 1h storici, simulando il polling live. Conferma che
+sulla finestra OOS l'edge netto (dopo fee 0.10% RT) sopravvive alla meccanica
+del worker (exit su prezzo corrente, piu' conservativa del backtest high/low).
+"""
+from __future__ import annotations
+
+import contextlib
+import os
+import sys
+from pathlib import Path
+
+PROJECT_ROOT = Path(__file__).resolve().parents[2]
+sys.path.insert(0, str(PROJECT_ROOT))
+
+from src.data.downloader import load_data
+from src.live.strategy_loader import load_strategy
+from src.live.strategy_worker import StrategyWorker
+
+OOS_FRAC = 0.30
+WIN = 250  # barre per finestra di poll (warmup bb_window=50 + ATR)
+
+
+def replay(asset: str, params: dict):
+    df = load_data(asset, "1h").reset_index(drop=True)
+    n = len(df)
+    split = int(n * (1 - OOS_FRAC))
+    strat = load_strategy("MR01_bollinger_fade")
+    w = StrategyWorker(strat, asset, "1h", capital=1000.0, position_size=0.15,
+                       leverage=3.0, hold_bars=3, params=params,
+                       data_dir=Path(f"/tmp/replay_{asset}"))
+    w._notify = lambda *a, **k: None
+    # stato pulito
+    for attr, val in dict(capital=1000.0, in_position=False, direction=0, entry_price=0,
+                          bars_held=0, total_trades=0, total_wins=0, last_bar_ts=0,
+                          tp=0.0, sl=0.0, max_bars=0).items():
+        setattr(w, attr, val)
+
+    start = max(split, WIN)
+    with contextlib.redirect_stdout(open(os.devnull, "w")):
+        for j in range(start, n):
+            w.tick(df.iloc[j - WIN + 1 : j + 1])
+
+    ret = (w.capital / 1000 - 1) * 100
+    acc = w.total_wins / w.total_trades * 100 if w.total_trades else 0.0
+    import pandas as pd
+    period = (f"{pd.to_datetime(df['timestamp'].iloc[start], unit='ms', utc=True).date()}"
+              f"->{pd.to_datetime(df['timestamp'].iloc[-1], unit='ms', utc=True).date()}")
+    return w.total_trades, acc, ret, w.capital, period
+
+
+def main():
+    print("=" * 90)
+    print("  RE-VALIDAZIONE WORKER REALE su MR01 (OOS, fee 0.10% RT, leva 3x) — finestra poll 250b")
+    print("=" * 90)
+    params = dict(bb_window=50, k=2.5, sl_atr=2.0, max_bars=24)
+    print(f"  {'Asset':>6s}{'Periodo OOS':>26s}{'Trade':>7s}{'Win%':>7s}{'Ret%':>9s}{'Cap€':>9s}")
+    print("  " + "-" * 80)
+    for asset in ["BTC", "ETH"]:
+        t, acc, ret, cap, period = replay(asset, params)
+        print(f"  {asset:>6s}{period:>26s}{t:>7d}{acc:>7.1f}{ret:>+9.1f}{cap:>9.0f}")
+    print("  " + "-" * 80)
+    print("  Atteso: Ret% positivo (l'edge mean-reversion sopravvive alla meccanica del worker).")
+
+
+if __name__ == "__main__":
+    main()

scripts/analysis/yearly_market_report.py

@@ -0,0 +1,169 @@
+"""Report accuracy per ANNO × MERCATO delle strategie migliori.
+
+Esegue ogni strategia vincente su BTC e ETH e produce tabella
+accuracy/trades per ogni anno. Permette di vedere robustezza temporale
+e differenze tra mercati.
+"""
+from __future__ import annotations
+import sys
+sys.path.insert(0, ".")
+
+import importlib.util
+from pathlib import Path
+
+STRATEGIES_DIR = Path("scripts/strategies")
+
+
+def load_class(module_file, class_name):
+    path = STRATEGIES_DIR / f"{module_file}.py"
+    spec = importlib.util.spec_from_file_location(module_file, path)
+    mod = importlib.util.module_from_spec(spec)
+    spec.loader.exec_module(mod)
+    return getattr(mod, class_name)
+
+
+# (label, module, class, params, hold)
+STRATEGIES = [
+    ("SQ02 antifake+vol", "SQ02_squeeze_antifake_vol", "SqueezeAntifakeVol", {}, 3),
+    ("MT01 ema20+vol",    "MT01_squeeze_mtf_momentum", "SqueezeMTFMomentum",
+     {"ema_period": 20, "min_slope": 0.001, "vol_filter": True}, 3),
+    ("PD01 vtb3 vm1.3",   "PD01_price_volume_divergence", "PriceVolumeDivergence",
+     {}, 3),
+    ("CM01 cb6+vol",      "CM01_cross_market_momentum", "CrossMarketMomentum",
+     {"cross_bars": 6, "mom_min": 0.001, "use_vol": True}, 3),
+    ("AD01 lt.65 ht.95",  "AD01_adaptive_squeeze", "AdaptiveSqueeze",
+     {"low_thr": 0.65, "high_thr": 0.95, "use_vol": True}, 3),
+]
+
+ASSETS = ["BTC", "ETH"]
+TF = "15m"
+ALL_YEARS = list(range(2018, 2027))
+
+
+def run():
+    results = {}  # (label, asset) -> BacktestResult
+
+    for label, module, cls_name, params, hold in STRATEGIES:
+        try:
+            cls = load_class(module, cls_name)
+        except Exception as e:
+            print(f"SKIP {label}: {e}")
+            continue
+        strat = cls()
+        for asset in ASSETS:
+            try:
+                r = strat.backtest(asset, TF, hold=hold, **params)
+                if r:
+                    results[(label, asset)] = r
+            except Exception as e:
+                print(f"  errore {label} {asset}: {e}")
+
+    # ── Tabella ACCURACY per anno × mercato ──────────────────────────
+    print(f"\n{'=' * 140}")
+    print(f"  ACCURACY PER ANNO × MERCATO — {TF} (fee 0.2% RT, leva 3x, pos 15%)")
+    print(f"{'=' * 140}")
+
+    header = f"  {'Strategia':<22s} {'Mkt':>3s}"
+    for y in ALL_YEARS:
+        header += f" {y:>7d}"
+    header += f" │ {'TOT':>6s} {'DD%':>5s} {'Worst':>10s}"
+    print(header)
+    print(f"  {'─' * 136}")
+
+    for label, module, cls_name, params, hold in STRATEGIES:
+        for asset in ASSETS:
+            r = results.get((label, asset))
+            if not r:
+                continue
+            yd = {ys.year: ys for ys in r.yearly}
+            line = f"  {label:<22s} {asset:>3s}"
+            for y in ALL_YEARS:
+                if y in yd:
+                    line += f" {yd[y].accuracy:>5.0f}%↑" if yd[y].accuracy >= 80 else f" {yd[y].accuracy:>5.0f}% "
+                else:
+                    line += f" {'—':>7s}"
+            worst = r.worst_year
+            worst_str = f"{worst.year}({worst.accuracy:.0f}%)" if worst else "N/A"
+            line += f" │ {r.accuracy:>5.1f}% {r.max_dd:>4.1f}% {worst_str:>10s}"
+            print(line)
+        print(f"  {'·' * 136}")
+
+    # ── Tabella TRADES per anno × mercato ────────────────────────────
+    print(f"\n{'=' * 140}")
+    print(f"  NUMERO TRADES PER ANNO × MERCATO")
+    print(f"{'=' * 140}")
+
+    header = f"  {'Strategia':<22s} {'Mkt':>3s}"
+    for y in ALL_YEARS:
+        header += f" {y:>7d}"
+    header += f" │ {'TOT':>6s} {'€/day':>6s}"
+    print(header)
+    print(f"  {'─' * 130}")
+
+    for label, module, cls_name, params, hold in STRATEGIES:
+        for asset in ASSETS:
+            r = results.get((label, asset))
+            if not r:
+                continue
+            yd = {ys.year: ys for ys in r.yearly}
+            line = f"  {label:<22s} {asset:>3s}"
+            for y in ALL_YEARS:
+                if y in yd:
+                    line += f" {yd[y].trades:>7d}"
+                else:
+                    line += f" {'—':>7s}"
+            line += f" │ {r.trades:>6d} {r.daily_pnl:>+6.2f}"
+            print(line)
+        print(f"  {'·' * 130}")
+
+    # ── Tabella PnL per anno × mercato ──────────────────────────────
+    print(f"\n{'=' * 140}")
+    print(f"  PnL € PER ANNO × MERCATO (su €1000, no compounding tra anni)")
+    print(f"{'=' * 140}")
+
+    header = f"  {'Strategia':<22s} {'Mkt':>3s}"
+    for y in ALL_YEARS:
+        header += f" {y:>7d}"
+    header += f" │ {'TOT€':>8s}"
+    print(header)
+    print(f"  {'─' * 132}")
+
+    for label, module, cls_name, params, hold in STRATEGIES:
+        for asset in ASSETS:
+            r = results.get((label, asset))
+            if not r:
+                continue
+            yd = {ys.year: ys for ys in r.yearly}
+            line = f"  {label:<22s} {asset:>3s}"
+            for y in ALL_YEARS:
+                if y in yd:
+                    line += f" {yd[y].pnl:>+7.0f}"
+                else:
+                    line += f" {'—':>7s}"
+            line += f" │ {r.pnl:>+8.0f}"
+            print(line)
+        print(f"  {'·' * 132}")
+
+    # ── Sintesi: media per anno (tutte le strategie) ────────────────
+    print(f"\n{'=' * 140}")
+    print(f"  SINTESI — Accuracy media per anno (tutte le strategie, BTC+ETH)")
+    print(f"{'=' * 140}")
+    year_acc = {y: [] for y in ALL_YEARS}
+    for (label, asset), r in results.items():
+        for ys in r.yearly:
+            if ys.trades >= 10:
+                year_acc[ys.year].append(ys.accuracy)
+
+    line_y = f"  {'Anno':<22s}    "
+    line_a = f"  {'Acc media':<22s}    "
+    for y in ALL_YEARS:
+        accs = year_acc[y]
+        avg = sum(accs) / len(accs) if accs else 0
+        line_y += f" {y:>7d}"
+        line_a += f" {avg:>6.1f}%"
+    print(line_y)
+    print(line_a)
+
+
+if __name__ == "__main__":
+    run()

scripts/strategies/MR01_bollinger_fade.py

@@ -0,0 +1,172 @@
+"""MR01 — Bollinger Fade (mean-reversion).
+
+L'UNICA famiglia con edge netto reale dopo l'analisi out-of-sample fee-aware
+(vedi scripts/analysis/strategy_research.py). Contrario della tesi squeeze:
+i breakout RIENTRANO, quindi si fada l'estremo verso la media.
+
+Logica:
+    1. Bollinger Band (window n, k deviazioni) sul close
+    2. ENTRY: close esce sotto la banda inferiore -> long (o sopra la superiore -> short)
+    3. EXIT: take-profit alla media mobile (il rientro atteso),
+       stop-loss a sl_atr*ATR oltre l'estremo, oppure time-limit max_bars
+    4. ingresso a close[i] (eseguibile dal vivo, nessun look-ahead)
+
+Validazione (netto, fee 0.10% RT reale Deribit, leva 3x, OOS = ultimo 30%):
+    BTC 1h n=50 k=2.5: +201% OOS, DD 15%, ~tutti gli anni positivi
+    ETH 1h n=50 k=2.0: +1238% OOS, DD 23%
+    Robusto su TUTTA la griglia n in {14,20,30,50} x k in {2.0,2.5,3.0}
+    e su tutte le fee 0.00-0.20% RT (margine di sicurezza ampio).
+
+NOTA LIVE: usa TP alla media + SL ad ATR + max_bars. Lo StrategyWorker attuale
+esce solo a hold_bars/stop -2% fisso: per tradarla come validata il worker deve
+supportare gli exit TP/SL passati in metadata (vedi metadata di ogni Signal).
+"""
+from __future__ import annotations
+import sys
+sys.path.insert(0, ".")
+
+import numpy as np
+import pandas as pd
+
+from src.strategies.base import Strategy, Signal, BacktestResult, YearlyStats, TF_MINUTES
+from src.data.downloader import load_data
+
+
+def _atr(df: pd.DataFrame, n: 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).rolling(n).mean().values
+
+
+class BollingerFade(Strategy):
+    name = "MR01_bollinger_fade"
+    description = "Mean-reversion: fada la banda di Bollinger, TP alla media"
+    default_assets = ["BTC", "ETH"]
+    default_timeframes = ["1h"]
+    fee_rt = 0.001          # Deribit perp realistico (taker 0.05%/lato)
+    leverage = 3.0
+    position_size = 0.15
+    initial_capital = 1000.0
+
+    def generate_signals(self, df: pd.DataFrame, ts: pd.DatetimeIndex,
+                         **params) -> list[Signal]:
+        c = df["close"].values
+        n_len = len(c)
+        bb_w = params.get("bb_window", 50)
+        k = params.get("k", 2.5)
+        sl_atr = params.get("sl_atr", 2.0)
+        max_bars = params.get("max_bars", 24)
+        trend_max = params.get("trend_max")          # None = filtro disattivo
+        ema_long = params.get("ema_long", 200)
+
+        ma = pd.Series(c).rolling(bb_w).mean().values
+        sd = pd.Series(c).rolling(bb_w).std().values
+        a = _atr(df, 14)
+        up, lo = ma + k * sd, ma - k * sd
+        el = pd.Series(c).ewm(span=ema_long, adjust=False).mean().values if trend_max is not None else None
+
+        signals: list[Signal] = []
+        for i in range(bb_w + 14, n_len):
+            if np.isnan(up[i]) or np.isnan(a[i]):
+                continue
+            if el is not None and (a[i] == 0 or np.isnan(el[i]) or abs(c[i] - el[i]) / a[i] > trend_max):
+                continue
+            if c[i] < lo[i] and c[i - 1] >= lo[i - 1]:
+                d, sl = 1, c[i] - sl_atr * a[i]
+            elif c[i] > up[i] and c[i - 1] <= up[i - 1]:
+                d, sl = -1, c[i] + sl_atr * a[i]
+            else:
+                continue
+            signals.append(Signal(
+                idx=i, direction=d, entry_price=c[i],
+                metadata={"tp": float(ma[i]), "sl": float(sl), "max_bars": max_bars},
+            ))
+        return signals
+
+    def backtest(self, asset: str, tf: str = "1h", hold: int = 3,
+                 **params) -> BacktestResult | None:
+        """Backtest fedele: TP alla media / SL ad ATR / time-limit, fee+leva nette."""
+        df = load_data(asset, tf)
+        ts = pd.to_datetime(df["timestamp"], unit="ms", utc=True)
+        signals = self.generate_signals(df, ts, **params)
+        if not signals:
+            return None
+
+        h, l, c = df["high"].values, df["low"].values, df["close"].values
+        n = len(c)
+        fee = self.fee_rt * self.leverage
+        capital = peak = float(self.initial_capital)
+        max_dd = 0.0
+        total_bars = 0
+        last_exit = -1
+        yearly: dict[int, dict] = {}
+
+        for sig in signals:
+            i, d = sig.idx, sig.direction
+            if i <= last_exit or i + 1 >= n:
+                continue
+            entry = c[i]
+            tp, sl, mb = sig.metadata["tp"], sig.metadata["sl"], sig.metadata["max_bars"]
+            exit_p = c[min(i + mb, n - 1)]
+            j = min(i + mb, n - 1)
+            for step in range(1, mb + 1):
+                j = i + step
+                if j >= n:
+                    j = n - 1; exit_p = c[j]; break
+                hit_sl = (d == 1 and l[j] <= sl) or (d == -1 and h[j] >= sl)
+                hit_tp = (d == 1 and h[j] >= tp) or (d == -1 and l[j] <= tp)
+                if hit_sl:
+                    exit_p = sl; break
+                if hit_tp:
+                    exit_p = tp; break
+                if step == mb:
+                    exit_p = c[j]
+
+            ret = (exit_p - entry) / entry * d * self.leverage - fee
+            capital = max(capital + capital * self.position_size * ret, 10.0)
+            if capital > peak:
+                peak = capital
+            max_dd = max(max_dd, (peak - capital) / peak)
+            total_bars += (j - i)
+            last_exit = j
+
+            year = ts.iloc[i].year
+            yr = yearly.setdefault(year, {"w": 0, "t": 0, "pnl": 0.0})
+            yr["t"] += 1
+            if ret > 0:
+                yr["w"] += 1
+            yr["pnl"] += ret * self.initial_capital
+
+        all_t = sum(v["t"] for v in yearly.values())
+        all_w = sum(v["w"] for v in yearly.values())
+        if all_t == 0:
+            return None
+
+        yearly_stats = [YearlyStats(y, v["t"], v["w"], v["pnl"]) for y, v in sorted(yearly.items())]
+        return BacktestResult(
+            strategy_name=self.name, asset=asset, timeframe=tf, params=params,
+            trades=all_t, wins=all_w, pnl=sum(v["pnl"] for v in yearly.values()),
+            capital=capital, initial_capital=self.initial_capital,
+            max_dd=max_dd * 100, time_in_market_pct=total_bars / n * 100,
+            avg_trade_duration_h=total_bars / all_t * TF_MINUTES.get(tf, 60) / 60,
+            years_active=len(yearly), yearly=yearly_stats,
+        )
+
+
+if __name__ == "__main__":
+    strat = BollingerFade()
+    print(f"{'=' * 110}")
+    print(f"  MR01 BOLLINGER FADE — netto fee {strat.fee_rt*100:.2f}% RT, leva {strat.leverage:.0f}x")
+    print(f"{'=' * 110}")
+    results = []
+    for asset in ["BTC", "ETH"]:
+        for k in [2.0, 2.5]:
+            r = strat.backtest(asset, "1h", bb_window=50, k=k, sl_atr=2.0, max_bars=24)
+            if r:
+                r.strategy_name = f"MR01 {asset} 1h n50 k{k}"
+                results.append(r)
+    for r in results:
+        r.print_summary()
+    if results:
+        results[0].print_yearly()

scripts/strategies/MR02_donchian_fade.py

@@ -0,0 +1,82 @@
+"""MR02 — Donchian Fade (mean-reversion sugli estremi del canale).
+
+L'opposto esatto del trend-following Donchian (che PERDE netto: vedi
+scripts/analysis/strategy_research.py). Coerente con la lezione squeeze:
+i breakout RIENTRANO, quindi si fada la rottura del canale verso il centro.
+
+Logica:
+    1. Canale Donchian: massimo/minimo delle ultime n barre (escludendo la corrente)
+    2. ENTRY: close rompe SOPRA il massimo del canale -> SHORT (fade);
+       close rompe SOTTO il minimo -> LONG. Ingresso a close[i] (eseguibile).
+    3. EXIT: take-profit al centro del canale (il rientro atteso),
+       stop-loss a sl_atr*ATR oltre l'estremo, time-limit max_bars.
+
+Validazione (netto, fee 0.10% RT reale Deribit, leva 3x, OOS = ultimo 30%):
+    BTC 1h n=20: +879% FULL / +171% OOS, DD 30%, 8/9 anni positivi
+    ETH 1h n=20: enorme FULL / +8452% OOS, DD 42%
+    Robusto su TUTTA la griglia n in {10,20,30,50} x sl_atr in {1.5,2.0,3.0}
+    (BTC+ETH 1h sempre positivo OOS) e su tutte le fee 0.00-0.20% RT.
+    Ricerca completa: scripts/analysis/strategy_research_v2.py.
+"""
+from __future__ import annotations
+import sys
+sys.path.insert(0, ".")
+
+import numpy as np
+import pandas as pd
+
+from src.strategies.base import Signal
+from src.strategies.fade_base import FadeStrategy, atr, trend_distance
+
+
+class DonchianFade(FadeStrategy):
+    name = "MR02_donchian_fade"
+    description = "Mean-reversion: fada la rottura del canale Donchian, TP al centro"
+    default_assets = ["BTC", "ETH"]
+    default_timeframes = ["1h"]
+
+    def generate_signals(self, df: pd.DataFrame, ts: pd.DatetimeIndex,
+                         **params) -> list[Signal]:
+        n = params.get("n", 20)
+        sl_atr = params.get("sl_atr", 2.0)
+        max_bars = params.get("max_bars", 24)
+        trend_max = params.get("trend_max")          # None = filtro disattivo
+        ema_long = params.get("ema_long", 200)
+
+        h, l, c = df["high"].values, df["low"].values, df["close"].values
+        hh = pd.Series(h).rolling(n).max().shift(1).values
+        ll = pd.Series(l).rolling(n).min().shift(1).values
+        a = atr(df, 14)
+        td = trend_distance(df, ema_long) if trend_max is not None else None
+
+        signals: list[Signal] = []
+        for i in range(n + 14, len(c)):
+            if np.isnan(hh[i]) or np.isnan(a[i]):
+                continue
+            if td is not None and (np.isnan(td[i]) or td[i] > trend_max):
+                continue
+            mid = (hh[i] + ll[i]) / 2.0
+            if c[i] > hh[i] and c[i - 1] <= hh[i - 1]:          # rottura rialzista -> fade short
+                d, sl = -1, c[i] + sl_atr * a[i]
+            elif c[i] < ll[i] and c[i - 1] >= ll[i - 1]:        # rottura ribassista -> fade long
+                d, sl = 1, c[i] - sl_atr * a[i]
+            else:
+                continue
+            signals.append(Signal(
+                idx=i, direction=d, entry_price=c[i],
+                metadata={"tp": float(mid), "sl": float(sl), "max_bars": max_bars},
+            ))
+        return signals
+
+
+if __name__ == "__main__":
+    strat = DonchianFade()
+    print("=" * 110)
+    print(f"  MR02 DONCHIAN FADE — netto fee {strat.fee_rt*100:.2f}% RT, leva {strat.leverage:.0f}x")
+    print("=" * 110)
+    for asset in ["BTC", "ETH"]:
+        r = strat.backtest(asset, "1h", n=20, sl_atr=2.0, max_bars=24)
+        if r:
+            r.strategy_name = f"MR02 {asset} 1h n20"
+            r.print_summary()
+            r.print_yearly()

scripts/strategies/MR03_keltner_fade.py

@@ -0,0 +1,82 @@
+"""MR03 — Keltner Fade (mean-reversion sul canale ATR).
+
+Stessa tesi di MR01 (i breakout rientrano) ma con banda costruita su ATR
+attorno a una EMA, invece che su deviazione standard attorno a una SMA.
+Reagisce diversamente a gap e code: edge indipendente, non ridondante con MR01.
+
+Logica:
+    1. Canale di Keltner: EMA(n) +/- k*ATR(n)
+    2. ENTRY: close esce sotto la banda inferiore -> LONG (o sopra la superiore -> SHORT)
+       Ingresso a close[i] (eseguibile dal vivo, nessun look-ahead).
+    3. EXIT: take-profit alla EMA centrale (il rientro atteso),
+       stop-loss a sl_atr*ATR oltre l'estremo, time-limit max_bars.
+
+Validazione (netto, fee 0.10% RT reale Deribit, leva 3x, OOS = ultimo 30%):
+    BTC 1h n=30 k=2.0: +112% OOS, DD 20%
+    ETH 1h n=50 k=1.5: +1426% OOS, DD 20%
+    Robusto su TUTTA la griglia n in {14,20,30,50} x k in {1.5,2.0,2.5}
+    (BTC+ETH 1h sempre positivo OOS).
+    Ricerca completa: scripts/analysis/strategy_research_v2.py.
+"""
+from __future__ import annotations
+import sys
+sys.path.insert(0, ".")
+
+import numpy as np
+import pandas as pd
+
+from src.strategies.base import Signal
+from src.strategies.fade_base import FadeStrategy, atr, trend_distance
+
+
+class KeltnerFade(FadeStrategy):
+    name = "MR03_keltner_fade"
+    description = "Mean-reversion: fada il canale di Keltner (ATR), TP alla EMA"
+    default_assets = ["BTC", "ETH"]
+    default_timeframes = ["1h"]
+
+    def generate_signals(self, df: pd.DataFrame, ts: pd.DatetimeIndex,
+                         **params) -> list[Signal]:
+        n = params.get("n", 30)
+        k = params.get("k", 2.0)
+        sl_atr = params.get("sl_atr", 2.0)
+        max_bars = params.get("max_bars", 24)
+        trend_max = params.get("trend_max")          # None = filtro disattivo
+        ema_long = params.get("ema_long", 200)
+
+        c = df["close"].values
+        e = pd.Series(c).ewm(span=n, adjust=False).mean().values
+        a = atr(df, n)
+        up, lo = e + k * a, e - k * a
+        td = trend_distance(df, ema_long) if trend_max is not None else None
+
+        signals: list[Signal] = []
+        for i in range(n + 1, len(c)):
+            if np.isnan(up[i]) or np.isnan(a[i]):
+                continue
+            if td is not None and (np.isnan(td[i]) or td[i] > trend_max):
+                continue
+            if c[i] < lo[i] and c[i - 1] >= lo[i - 1]:
+                d, sl = 1, c[i] - sl_atr * a[i]
+            elif c[i] > up[i] and c[i - 1] <= up[i - 1]:
+                d, sl = -1, c[i] + sl_atr * a[i]
+            else:
+                continue
+            signals.append(Signal(
+                idx=i, direction=d, entry_price=c[i],
+                metadata={"tp": float(e[i]), "sl": float(sl), "max_bars": max_bars},
+            ))
+        return signals
+
+
+if __name__ == "__main__":
+    strat = KeltnerFade()
+    print("=" * 110)
+    print(f"  MR03 KELTNER FADE — netto fee {strat.fee_rt*100:.2f}% RT, leva {strat.leverage:.0f}x")
+    print("=" * 110)
+    for asset, n, k in [("BTC", 30, 2.0), ("ETH", 50, 1.5)]:
+        r = strat.backtest(asset, "1h", n=n, k=k, sl_atr=2.0, max_bars=24)
+        if r:
+            r.strategy_name = f"MR03 {asset} 1h n{n} k{k}"
+            r.print_summary()
+            r.print_yearly()

scripts/strategies/MR07_return_reversal.py

@@ -0,0 +1,88 @@
+"""MR07 — Return Reversal (fade del movimento di barra estremo).
+
+Meccanismo distinto da MR01/MR02/MR03: non guarda i LIVELLI di prezzo (bande,
+canali) ma la VOLATILITA' dei rendimenti. Quando una singola barra si muove di
+piu' di k deviazioni standard rolling dei rendimenti, e' un'over-reaction che
+tende a rientrare: si fada nella direzione opposta. Coerente con la lezione
+mean-reversion.
+
+Logica:
+    1. ret[i] = rendimento dell'ultima barra; sigma = std rolling(n) dei rendimenti
+    2. z = ret[i]/sigma. Se z <= -k (crollo) -> LONG; se z >= +k (spike) -> SHORT.
+       Ingresso a close[i] (eseguibile dal vivo, nessun look-ahead).
+    3. EXIT: take-profit a tp_atr*ATR a favore, stop-loss a sl_atr*ATR contro,
+       time-limit max_bars.
+
+Validazione (netto, fee 0.10% RT reale Deribit, leva 3x, OOS = ultimo 30%):
+    config robusta k=3.5 tp=2ATR sl=1.5ATR n=50:
+    BTC 1h: +447% FULL / +105% OOS, DD 25%
+    ETH 1h: +335% FULL / +195% OOS, DD 46%
+    L'intero blocco tp_atr=2.0 (k in {2.5,3.0,3.5} x sl in {1.5,2.0,2.5}) e'
+    positivo full+OOS su entrambi gli asset 1h.
+    Ricerca completa: scripts/analysis/strategy_research_v2.py.
+"""
+from __future__ import annotations
+import sys
+sys.path.insert(0, ".")
+
+import numpy as np
+import pandas as pd
+
+from src.strategies.base import Signal
+from src.strategies.fade_base import FadeStrategy, atr, trend_distance
+
+
+class ReturnReversal(FadeStrategy):
+    name = "MR07_return_reversal"
+    description = "Mean-reversion: fada il movimento di barra estremo (z dei rendimenti)"
+    default_assets = ["BTC", "ETH"]
+    default_timeframes = ["1h"]
+
+    def generate_signals(self, df: pd.DataFrame, ts: pd.DatetimeIndex,
+                         **params) -> list[Signal]:
+        n = params.get("n", 50)
+        k = params.get("k", 3.5)
+        tp_atr = params.get("tp_atr", 2.0)
+        sl_atr = params.get("sl_atr", 1.5)
+        max_bars = params.get("max_bars", 24)
+        trend_max = params.get("trend_max")          # None = filtro disattivo
+        ema_long = params.get("ema_long", 200)
+
+        c = df["close"].values
+        ret = np.zeros_like(c)
+        ret[1:] = np.diff(c) / c[:-1]
+        sig = pd.Series(ret).rolling(n).std().values
+        a = atr(df, 14)
+        td = trend_distance(df, ema_long) if trend_max is not None else None
+
+        signals: list[Signal] = []
+        for i in range(n + 14, len(c)):
+            if np.isnan(sig[i]) or sig[i] == 0 or np.isnan(a[i]):
+                continue
+            if td is not None and (np.isnan(td[i]) or td[i] > trend_max):
+                continue
+            z = ret[i] / sig[i]
+            if z <= -k:                                # crollo di barra -> fade long
+                d, tp, sl = 1, c[i] + tp_atr * a[i], c[i] - sl_atr * a[i]
+            elif z >= k:                               # spike di barra -> fade short
+                d, tp, sl = -1, c[i] - tp_atr * a[i], c[i] + sl_atr * a[i]
+            else:
+                continue
+            signals.append(Signal(
+                idx=i, direction=d, entry_price=c[i],
+                metadata={"tp": float(tp), "sl": float(sl), "max_bars": max_bars},
+            ))
+        return signals
+
+
+if __name__ == "__main__":
+    strat = ReturnReversal()
+    print("=" * 110)
+    print(f"  MR07 RETURN REVERSAL — netto fee {strat.fee_rt*100:.2f}% RT, leva {strat.leverage:.0f}x")
+    print("=" * 110)
+    for asset in ["BTC", "ETH"]:
+        r = strat.backtest(asset, "1h", n=50, k=3.5, tp_atr=2.0, sl_atr=1.5, max_bars=24)
+        if r:
+            r.strategy_name = f"MR07 {asset} 1h k3.5"
+            r.print_summary()
+            r.print_yearly()

scripts/waste/AD01_adaptive_squeeze.py

@@ -0,0 +1,205 @@
+"""AD01 — Adaptive Squeeze Threshold.
+
+Problema SQ02: sq_threshold fisso (0.8) non si adatta al regime di volatilità.
+Soluzione: threshold adattivo basato su volatilità recente.
+
+Logica:
+  - Calcola volatilità rolling (std dei rendimenti su finestra 100 barre)
+  - Confronta con percentile storico (rolling 500 barre)
+  - Alta vol (>70° percentile) → soglia BASSA (0.65) — squeeze più "lenti"
+  - Bassa vol (<30° percentile) → soglia ALTA (0.90) — squeeze "stretti"
+  - Vol media → soglia standard (0.80)
+
+Razionale: in mercati calmi, il BB si stringe molto → sq_threshold alto cattura
+segnali migliori. In mercati volatili, bastano squeeze minori per essere significativi.
+
+Anti-overfitting: solo 3 parametri (low_thr, mid_thr, high_thr), logica deterministica.
+Eredita antifakeout + volume da SQ02.
+"""
+from __future__ import annotations
+import sys
+sys.path.insert(0, ".")
+
+import numpy as np
+import pandas as pd
+
+from src.strategies.base import Strategy, Signal, BacktestResult, YearlyStats, TF_MINUTES
+from src.strategies.indicators import keltner_ratio, ema
+from src.data.downloader import load_data
+
+
+def _adaptive_sq_threshold(close: np.ndarray,
+                            vol_window: int = 100,
+                            regime_window: int = 500,
+                            low_thr: float = 0.65,
+                            mid_thr: float = 0.80,
+                            high_thr: float = 0.90) -> np.ndarray:
+    """Calcola sq_threshold adattivo per ogni barra."""
+    n = len(close)
+    lr = np.diff(np.log(np.where(close <= 0, 1e-10, close)))
+    vol = np.full(n, np.nan)
+    for i in range(vol_window, n):
+        vol[i] = np.std(lr[i - vol_window:i])
+
+    # Percentile rolling della volatilità
+    thresh = np.full(n, mid_thr)
+    for i in range(regime_window, n):
+        if np.isnan(vol[i]):
+            continue
+        hist = vol[i - regime_window:i]
+        hist = hist[~np.isnan(hist)]
+        if len(hist) < 10:
+            continue
+        p30 = np.percentile(hist, 30)
+        p70 = np.percentile(hist, 70)
+        if vol[i] < p30:
+            thresh[i] = high_thr   # vol bassa → soglia alta
+        elif vol[i] > p70:
+            thresh[i] = low_thr    # vol alta → soglia bassa
+        else:
+            thresh[i] = mid_thr
+    return thresh
+
+
+def _detect_adaptive_squeezes(close, high, low, kcr, adaptive_thr,
+                               min_dur: int = 5) -> list[dict]:
+    """Squeeze con threshold adattivo per ogni barra."""
+    events = []
+    in_sq = False
+    sq_start = 0
+    for i in range(1, len(close)):
+        if np.isnan(kcr[i]) or np.isnan(adaptive_thr[i]):
+            continue
+        thr = adaptive_thr[i]
+        is_sq = kcr[i] < thr
+        if is_sq and not in_sq:
+            in_sq = True
+            sq_start = i
+        elif not is_sq and in_sq:
+            in_sq = False
+            dur = i - sq_start
+            if dur < min_dur:
+                continue
+            events.append({
+                "idx": i, "dur": dur, "sq_start": sq_start,
+                "kcr_at_release": kcr[i],
+                "thr_used": adaptive_thr[i],
+            })
+    return events
+
+
+class AdaptiveSqueeze(Strategy):
+    name = "AD01_adaptive_squeeze"
+    description = "Squeeze con threshold adattivo a regime volatilità"
+    default_assets = ["BTC", "ETH"]
+    default_timeframes = ["15m", "1h"]
+    fee_rt = 0.002
+    leverage = 3.0
+    position_size = 0.15
+    initial_capital = 1000.0
+
+    def generate_signals(self, df: pd.DataFrame, ts: pd.DatetimeIndex,
+                         **params) -> list[Signal]:
+        c = df["close"].values
+        h = df["high"].values
+        l = df["low"].values
+        v = df["volume"].values
+        n = len(c)
+
+        bb_w = params.get("bb_window", 14)
+        low_thr = params.get("low_thr", 0.65)
+        mid_thr = params.get("mid_thr", 0.80)
+        high_thr = params.get("high_thr", 0.90)
+        retrace_limit = params.get("retrace_limit", 0.6)
+        vol_mult = params.get("vol_multiplier", 1.3)
+        use_vol = params.get("use_vol", True)
+        vol_window = params.get("vol_window", 100)
+        regime_window = params.get("regime_window", 500)
+
+        kcr = keltner_ratio(c, h, l, bb_w)
+        adaptive_thr = _adaptive_sq_threshold(
+            c, vol_window, regime_window, low_thr, mid_thr, high_thr
+        )
+        events = _detect_adaptive_squeezes(c, h, l, kcr, adaptive_thr)
+
+        signals = []
+        for ev in events:
+            i = ev["idx"]
+            if i < 1 or i >= n:
+                continue
+
+            first_ret = (c[i] - c[i - 1]) / c[i - 1] if c[i - 1] > 0 else 0
+            if abs(first_ret) < 0.001:
+                continue
+            direction = 1 if first_ret > 0 else -1
+
+            # Anti-fakeout
+            br = h[i] - l[i]
+            if br > 0:
+                if direction == 1 and (h[i] - c[i]) / br > retrace_limit:
+                    continue
+                elif direction == -1 and (c[i] - l[i]) / br > retrace_limit:
+                    continue
+
+            # Volume confirm
+            if use_vol:
+                sq_start = ev["sq_start"]
+                avg_sq_v = np.mean(v[sq_start:i])
+                if avg_sq_v > 0 and v[i] <= avg_sq_v * vol_mult:
+                    continue
+
+            signals.append(Signal(
+                idx=i,
+                direction=direction,
+                entry_price=c[i - 1],
+                metadata={
+                    "dur": ev["dur"],
+                    "thr_used": ev.get("thr_used", mid_thr),
+                },
+            ))
+        return signals
+
+
+if __name__ == "__main__":
+    strategy = AdaptiveSqueeze()
+
+    configs = [
+        # low_thr, mid_thr, high_thr, use_vol
+        {"low_thr": 0.65, "mid_thr": 0.80, "high_thr": 0.90, "use_vol": True},
+        {"low_thr": 0.65, "mid_thr": 0.80, "high_thr": 0.90, "use_vol": False},
+        {"low_thr": 0.60, "mid_thr": 0.78, "high_thr": 0.92, "use_vol": True},
+        {"low_thr": 0.70, "mid_thr": 0.82, "high_thr": 0.90, "use_vol": True},
+        {"low_thr": 0.65, "mid_thr": 0.80, "high_thr": 0.95, "use_vol": True},
+        {"low_thr": 0.65, "mid_thr": 0.80, "high_thr": 0.90,
+         "use_vol": True, "vol_multiplier": 1.2},
+    ]
+
+    all_results = []
+    for cfg in configs:
+        for asset in ["BTC", "ETH"]:
+            for tf in ["15m", "1h"]:
+                for hold in [3, 6]:
+                    r = strategy.backtest(asset, tf, hold=hold, **cfg)
+                    if r and r.trades >= 20:
+                        lbl = (f"AD01 lt={cfg['low_thr']} ht={cfg['high_thr']} "
+                               f"v={cfg['use_vol']} h={hold}")
+                        r.strategy_name = lbl
+                        all_results.append(r)
+
+    all_results.sort(key=lambda r: r.accuracy, reverse=True)
+
+    print(f"\n{'=' * 130}")
+    print("  AD01 ADAPTIVE SQUEEZE THRESHOLD — TOP 20")
+    print(f"{'=' * 130}")
+    print(f"  {'Nome':<50s} {'A/T':>7s} {'Trades':>6s} {'Acc':>6s} "
+          f"{'PnL€':>10s} {'DD%':>6s} {'€/day':>7s} "
+          f"{'Mkt%':>5s} {'Dur':>5s} {'Anni':>4s}")
+    print(f"  {'─' * 120}")
+    for r in all_results[:20]:
+        r.print_summary()
+
+    if all_results:
+        all_results[0].print_yearly()
+
+    print(f"\n  BENCHMARK SQ02: 79.7% acc, 1250t, DD 6.5%, €5.23/day, 9 anni")
+    print(f"  BENCHMARK MT01: 82.7% acc, 503t, DD 5.9%")

scripts/waste/CM01_cross_market_momentum.py

@@ -0,0 +1,183 @@
+"""CM01 — Cross-Market Momentum Filter.
+
+Squeeze su asset primario, entra SOLO se l'altro asset (BTC↔ETH)
+mostra momentum short-term nella STESSA direzione.
+
+Differenza da MT01: MT01 usa EMA slope su 1h (trend lento).
+CM01 usa rendimento grezzo degli ultimi 3-6 bar sull'asset cross
+(momentum veloce, stesso timeframe).
+
+Razionale: BTC e ETH sono altamente correlati ma non perfettamente.
+Se BTC fa squeeze breakout UP e anche ETH sta salendo (momentum 3-6 bar),
+la probabilità di continuazione è maggiore perché c'è consenso di mercato.
+
+Anti-overfitting: 1 parametro chiave (cross_bars 3-6), logica deterministica.
+Eredita antifakeout + volume da SQ02.
+"""
+from __future__ import annotations
+import sys
+sys.path.insert(0, ".")
+
+import numpy as np
+import pandas as pd
+
+from src.strategies.base import Strategy, Signal, BacktestResult, YearlyStats
+from src.strategies.indicators import keltner_ratio, detect_squeezes
+from src.data.downloader import load_data
+
+
+class CrossMarketMomentum(Strategy):
+    name = "CM01_cross_momentum"
+    description = "Squeeze + cross-asset short-term momentum filter"
+    default_assets = ["BTC", "ETH"]
+    default_timeframes = ["15m", "1h"]
+    fee_rt = 0.002
+    leverage = 3.0
+    position_size = 0.15
+    initial_capital = 1000.0
+
+    # Map asset → cross asset
+    _CROSS = {"BTC": "ETH", "ETH": "BTC"}
+
+    def generate_signals(self, df: pd.DataFrame, ts: pd.DatetimeIndex,
+                         **params) -> list[Signal]:
+        """Genera segnali con cross-market momentum."""
+        c = df["close"].values
+        h = df["high"].values
+        l = df["low"].values
+        v = df["volume"].values
+        n = len(c)
+        ts_ms = df["timestamp"].values
+
+        asset = params.get("asset", "BTC")
+        tf = params.get("tf", "15m")
+        bb_w = params.get("bb_window", 14)
+        sq_thr = params.get("sq_threshold", 0.8)
+        retrace_limit = params.get("retrace_limit", 0.6)
+        vol_mult = params.get("vol_multiplier", 1.3)
+        use_vol = params.get("use_vol", True)
+        cross_bars = params.get("cross_bars", 4)  # barre momentum cross
+        mom_min = params.get("mom_min", 0.0)      # momentum minimo (0 = solo direzione)
+
+        # Carica cross asset
+        cross_asset = self._CROSS.get(asset)
+        if cross_asset is None:
+            return []
+
+        try:
+            df_cross = load_data(cross_asset, tf)
+        except Exception:
+            return []
+
+        c_cross = df_cross["close"].values
+        ts_cross_ms = df_cross["timestamp"].values
+        n_cross = len(c_cross)
+
+        # Momentum cross: rendimento log su cross_bars barre
+        cross_mom = np.full(n_cross, np.nan)
+        for i in range(cross_bars, n_cross):
+            if c_cross[i - cross_bars] > 0:
+                cross_mom[i] = np.log(c_cross[i] / c_cross[i - cross_bars])
+
+        kcr = keltner_ratio(c, h, l, bb_w)
+        events = detect_squeezes(c, h, l, kcr, sq_thr)
+
+        signals = []
+        for ev in events:
+            i = ev["idx"]
+            if i < 1 or i >= n:
+                continue
+
+            first_ret = (c[i] - c[i - 1]) / c[i - 1] if c[i - 1] > 0 else 0
+            if abs(first_ret) < 0.001:
+                continue
+            direction = 1 if first_ret > 0 else -1
+
+            # Anti-fakeout
+            br = h[i] - l[i]
+            if br > 0:
+                if direction == 1 and (h[i] - c[i]) / br > retrace_limit:
+                    continue
+                elif direction == -1 and (c[i] - l[i]) / br > retrace_limit:
+                    continue
+
+            # Volume confirm
+            if use_vol:
+                sq_start = ev["sq_start"]
+                avg_sq_v = np.mean(v[sq_start:i])
+                if avg_sq_v > 0 and v[i] <= avg_sq_v * vol_mult:
+                    continue
+
+            # Cross-market momentum: trova indice cross corrispondente
+            i_cross = np.searchsorted(ts_cross_ms, ts_ms[i]) - 1
+            if i_cross < cross_bars or i_cross >= n_cross:
+                continue
+            mom = cross_mom[i_cross]
+            if np.isnan(mom):
+                continue
+
+            # Filtra per direzione concordante
+            if direction == 1 and mom <= mom_min:
+                continue
+            if direction == -1 and mom >= -mom_min:
+                continue
+
+            signals.append(Signal(
+                idx=i,
+                direction=direction,
+                entry_price=c[i - 1],
+                metadata={
+                    "dur": ev["dur"],
+                    "cross_mom": float(mom),
+                },
+            ))
+        return signals
+
+
+if __name__ == "__main__":
+    strategy = CrossMarketMomentum()
+
+    configs = [
+        # cross_bars, mom_min, use_vol
+        {"cross_bars": 3, "mom_min": 0.0, "use_vol": True},
+        {"cross_bars": 4, "mom_min": 0.0, "use_vol": True},
+        {"cross_bars": 6, "mom_min": 0.0, "use_vol": True},
+        {"cross_bars": 4, "mom_min": 0.001, "use_vol": True},
+        {"cross_bars": 4, "mom_min": 0.002, "use_vol": True},
+        {"cross_bars": 4, "mom_min": 0.0, "use_vol": False},
+        {"cross_bars": 3, "mom_min": 0.001, "use_vol": False},
+        {"cross_bars": 6, "mom_min": 0.001, "use_vol": True},
+    ]
+
+    all_results = []
+    for cfg in configs:
+        for asset in ["BTC", "ETH"]:
+            for tf in ["15m", "1h"]:
+                for hold in [3, 6]:
+                    r = strategy.backtest(asset, tf, hold=hold,
+                                          cross_bars=cfg["cross_bars"],
+                                          mom_min=cfg["mom_min"],
+                                          use_vol=cfg["use_vol"])
+                    if r and r.trades >= 20:
+                        lbl = (f"CM01 cb={cfg['cross_bars']} "
+                               f"mm={cfg['mom_min']} v={cfg['use_vol']} h={hold}")
+                        r.strategy_name = lbl
+                        all_results.append(r)
+
+    all_results.sort(key=lambda r: r.accuracy, reverse=True)
+
+    print(f"\n{'=' * 130}")
+    print("  CM01 CROSS-MARKET MOMENTUM — TOP 20")
+    print(f"{'=' * 130}")
+    print(f"  {'Nome':<50s} {'A/T':>7s} {'Trades':>6s} {'Acc':>6s} "
+          f"{'PnL€':>10s} {'DD%':>6s} {'€/day':>7s} "
+          f"{'Mkt%':>5s} {'Dur':>5s} {'Anni':>4s}")
+    print(f"  {'─' * 120}")
+    for r in all_results[:20]:
+        r.print_summary()
+
+    if all_results:
+        all_results[0].print_yearly()
+
+    print(f"\n  BENCHMARK SQ02: 79.7% acc, 1250t, DD 6.5%, €5.23/day, 9 anni")
+    print(f"  BENCHMARK MT01: 82.7% acc, 503t, DD 5.9%")

scripts/waste/MT01_squeeze_mtf_momentum.py

@@ -0,0 +1,261 @@
+"""MT01 — Squeeze + Multi-Timeframe Momentum.
+
+Problema SQ02: entra al breakout 15m ma non sa se il trend 1h è allineato.
+Soluzione: squeeze su 15m + conferma momentum su 1h.
+
+Anti-overfitting: usa solo 2 indicatori (squeeze + EMA slope),
+nessun parametro complesso.
+
+IN:
+    - OHLCV 15m + 1h per lo stesso asset
+    - Parametri: sq_threshold, ema_period_1h, min_slope
+
+OUT:
+    - Signal al breakout 15m confermato da trend 1h
+    - BacktestResult
+
+Logica:
+    1. Squeeze release su 15m (come SQ01)
+    2. Antifakeout filter (come SQ02)
+    3. Check 1h: EMA slope positiva per long, negativa per short
+    4. Check 1h: prezzo sopra/sotto EMA per conferma trend
+    5. Entra solo se 15m e 1h concordano
+"""
+from __future__ import annotations
+import sys
+sys.path.insert(0, ".")
+
+import numpy as np
+import pandas as pd
+from src.strategies.base import Strategy, Signal, BacktestResult, YearlyStats, TF_MINUTES
+from src.strategies.indicators import keltner_ratio, detect_squeezes, ema
+from src.data.downloader import load_data
+
+
+class SqueezeMTFMomentum(Strategy):
+    name = "MT01_squeeze_mtf"
+    description = "Squeeze 15m + momentum trend 1h — multi-timeframe"
+    default_assets = ["BTC", "ETH"]
+    default_timeframes = ["15m"]
+    fee_rt = 0.002
+
+    def generate_signals(self, df, ts, **params):
+        """Genera segnali squeeze 15m confermati da trend 1h."""
+        c = df["close"].values
+        h = df["high"].values
+        l = df["low"].values
+        v = df["volume"].values
+        n = len(c)
+
+        asset = params.get("asset", "BTC")
+        sq_thr = params.get("sq_threshold", 0.8)
+        ema_period = params.get("ema_period", 50)
+        min_slope_val = params.get("min_slope", 0.001)
+        use_antifake = params.get("antifake", True)
+        use_vol = params.get("vol_filter", False)
+
+        kcr = keltner_ratio(c, h, l, 14)
+        events = detect_squeezes(c, h, l, kcr, sq_thr)
+
+        df_1h = params.get("df_1h")
+        if df_1h is None:
+            df_1h = load_data(asset, "1h")
+        c1h = df_1h["close"].values
+        ts1h_ms = df_1h["timestamp"].values
+        n1h = len(c1h)
+        ema_1h = ema(c1h, ema_period)
+        ema_slope_arr = np.full(n1h, np.nan)
+        for i in range(5, n1h):
+            if not np.isnan(ema_1h[i]) and not np.isnan(ema_1h[i-5]) and ema_1h[i-5] > 0:
+                ema_slope_arr[i] = (ema_1h[i] - ema_1h[i-5]) / ema_1h[i-5]
+
+        ts_ms = df["timestamp"].values
+        signals = []
+
+        for ev in events:
+            i = ev["idx"]
+            if i < 1 or i >= n:
+                continue
+            first_ret = (c[i] - c[i-1]) / c[i-1] if c[i-1] > 0 else 0
+            if abs(first_ret) < 0.001:
+                continue
+            if use_antifake:
+                br = h[i] - l[i]
+                if br > 0:
+                    if c[i] > c[i-1] and (h[i] - c[i]) / br > 0.6:
+                        continue
+                    elif c[i] <= c[i-1] and (c[i] - l[i]) / br > 0.6:
+                        continue
+            if use_vol:
+                avg_v = np.mean(v[ev["sq_start"]:i])
+                if avg_v > 0 and v[i] <= avg_v * 1.3:
+                    continue
+
+            direction = 1 if first_ret > 0 else -1
+            i1h = np.searchsorted(ts1h_ms, ts_ms[i]) - 1
+            if i1h < ema_period or i1h >= n1h:
+                continue
+            if np.isnan(ema_1h[i1h]) or np.isnan(ema_slope_arr[i1h]):
+                continue
+            if direction == 1:
+                if c1h[i1h] < ema_1h[i1h] or ema_slope_arr[i1h] < min_slope_val:
+                    continue
+            else:
+                if c1h[i1h] > ema_1h[i1h] or ema_slope_arr[i1h] > -min_slope_val:
+                    continue
+
+            signals.append(Signal(idx=i, direction=direction, entry_price=c[i-1]))
+
+        return signals
+
+    def backtest(self, asset, tf="15m", hold=3, **params):
+        sq_thr = params.get("sq_threshold", 0.8)
+        ema_period = params.get("ema_period", 50)
+        min_slope = params.get("min_slope", 0.001)
+        use_antifake = params.get("antifake", True)
+        use_vol = params.get("vol_filter", False)
+
+        # Carica 15m e 1h
+        df_15m = load_data(asset, "15m")
+        df_1h = load_data(asset, "1h")
+
+        c15 = df_15m["close"].values
+        h15 = df_15m["high"].values
+        l15 = df_15m["low"].values
+        v15 = df_15m["volume"].values
+        n15 = len(c15)
+        ts15 = pd.to_datetime(df_15m["timestamp"], unit="ms", utc=True)
+        ts15_ms = df_15m["timestamp"].values
+
+        c1h = df_1h["close"].values
+        ts1h_ms = df_1h["timestamp"].values
+        n1h = len(c1h)
+
+        kcr = keltner_ratio(c15, h15, l15, 14)
+        events = detect_squeezes(c15, h15, l15, kcr, sq_thr)
+
+        # EMA su 1h
+        ema_1h = ema(c1h, ema_period)
+
+        # EMA slope (variazione percentuale su 5 barre)
+        ema_slope = np.full(n1h, np.nan)
+        for i in range(5, n1h):
+            if not np.isnan(ema_1h[i]) and not np.isnan(ema_1h[i - 5]) and ema_1h[i - 5] > 0:
+                ema_slope[i] = (ema_1h[i] - ema_1h[i - 5]) / ema_1h[i - 5]
+
+        yearly = {}
+        capital = float(self.initial_capital)
+        peak = capital
+        max_dd = 0.0
+        total_bars = 0
+
+        for ev in events:
+            i = ev["idx"]
+            if i + hold + 1 >= n15 or i < 1:
+                continue
+
+            first_ret = (c15[i] - c15[i - 1]) / c15[i - 1] if c15[i - 1] > 0 else 0
+            if abs(first_ret) < 0.001:
+                continue
+
+            # Antifake
+            if use_antifake:
+                br = h15[i] - l15[i]
+                if br > 0:
+                    if c15[i] > c15[i - 1] and (h15[i] - c15[i]) / br > 0.6:
+                        continue
+                    elif c15[i] <= c15[i - 1] and (c15[i] - l15[i]) / br > 0.6:
+                        continue
+
+            # Volume filter
+            if use_vol:
+                avg_v = np.mean(v15[ev["sq_start"]:i])
+                if avg_v > 0 and v15[i] <= avg_v * 1.3:
+                    continue
+
+            direction = 1 if first_ret > 0 else -1
+
+            # Trova indice 1h corrispondente
+            i1h = np.searchsorted(ts1h_ms, ts15_ms[i]) - 1
+            if i1h < ema_period or i1h >= n1h or np.isnan(ema_1h[i1h]) or np.isnan(ema_slope[i1h]):
+                continue
+
+            # Conferma trend 1h
+            if direction == 1:
+                if c1h[i1h] < ema_1h[i1h]:
+                    continue
+                if ema_slope[i1h] < min_slope:
+                    continue
+            else:
+                if c1h[i1h] > ema_1h[i1h]:
+                    continue
+                if ema_slope[i1h] > -min_slope:
+                    continue
+
+            entry = c15[i - 1]
+            exit_price = c15[min(i + hold - 1, n15 - 1)]
+            actual = (exit_price - entry) / entry * direction
+            net = actual * self.leverage - self.fee_rt * self.leverage
+
+            capital += capital * self.position_size * net
+            capital = max(capital, 10)
+            if capital > peak: peak = capital
+            dd = (peak - capital) / peak
+            max_dd = max(max_dd, dd)
+            total_bars += hold
+
+            year = ts15.iloc[i].year
+            if year not in yearly:
+                yearly[year] = {"w": 0, "t": 0, "pnl": 0.0}
+            yearly[year]["t"] += 1
+            if actual > 0: yearly[year]["w"] += 1
+            yearly[year]["pnl"] += net * self.initial_capital
+
+        all_t = sum(d["t"] for d in yearly.values())
+        all_w = sum(d["w"] for d in yearly.values())
+        if all_t == 0:
+            return None
+
+        yearly_stats = [YearlyStats(y, d["t"], d["w"], d["pnl"]) for y, d in sorted(yearly.items())]
+        return BacktestResult(
+            strategy_name=self.name, asset=asset, timeframe="15m", params=params,
+            trades=all_t, wins=all_w, pnl=sum(d["pnl"] for d in yearly.values()),
+            capital=capital, initial_capital=self.initial_capital,
+            max_dd=max_dd * 100, time_in_market_pct=total_bars / n15 * 100,
+            avg_trade_duration_h=hold * 15 / 60, years_active=len(yearly), yearly=yearly_stats,
+        )
+
+
+if __name__ == "__main__":
+    strategy = SqueezeMTFMomentum()
+
+    configs = [
+        ("ema50 sl0.1%", {"ema_period": 50, "min_slope": 0.001}),
+        ("ema50 sl0.05%", {"ema_period": 50, "min_slope": 0.0005}),
+        ("ema50 sl0.2%", {"ema_period": 50, "min_slope": 0.002}),
+        ("ema20 sl0.1%", {"ema_period": 20, "min_slope": 0.001}),
+        ("ema50 sl0.1%+vol", {"ema_period": 50, "min_slope": 0.001, "vol_filter": True}),
+        ("ema20 sl0.1%+vol", {"ema_period": 20, "min_slope": 0.001, "vol_filter": True}),
+        ("ema50 noAF", {"ema_period": 50, "min_slope": 0.001, "antifake": False}),
+        ("ema100 sl0.05%", {"ema_period": 100, "min_slope": 0.0005}),
+    ]
+
+    all_results = []
+    for label, params in configs:
+        for asset in ["BTC", "ETH"]:
+            for hold in [3, 6]:
+                r = strategy.backtest(asset, "15m", hold=hold, **params)
+                if r and r.trades >= 30:
+                    r.strategy_name = f"MT01 {label} h={hold}"
+                    all_results.append(r)
+
+    all_results.sort(key=lambda r: r.accuracy, reverse=True)
+    print(f"\n{'=' * 130}")
+    print(f"  MT01 SQUEEZE + MTF MOMENTUM — TOP 20")
+    print(f"{'=' * 130}")
+    for r in all_results[:20]:
+        r.print_summary()
+    if all_results:
+        all_results[0].print_yearly()
+
+    print(f"\n  BENCHMARK SQ02: 79.7% acc, 1250t, DD 6.5%, 9 anni, €5.23/day")

scripts/waste/PD01_price_volume_divergence.py

@@ -0,0 +1,158 @@
+"""PD01 — Price-Volume Divergence Squeeze.
+
+Estende SQ02 con volume TREND come filtro:
+  - Breakout UP con volume CRESCENTE (ultimi 3 bar vs media squeeze) → ENTRA
+  - Breakout UP con volume CALANTE → SALTA (divergenza bearish)
+  - Viceversa per short
+
+Logica anti-fakeout:
+  1. Squeeze rilascio (come SQ02)
+  2. Anti-fakeout candela (come SQ02)
+  3. Volume al breakout > media squeeze (come SQ02)
+  4. NUOVO: volume trending UP nelle ultime 3 barre prima del breakout
+
+Parametri semplici, nessun overfitting.
+"""
+from __future__ import annotations
+import sys
+sys.path.insert(0, ".")
+
+import numpy as np
+import pandas as pd
+
+from src.strategies.base import Strategy, Signal
+from src.strategies.indicators import keltner_ratio, detect_squeezes
+
+
+class PriceVolumeDivergence(Strategy):
+    name = "PD01_price_vol_div"
+    description = "Squeeze + antifakeout + volume trend confirmation"
+    default_assets = ["BTC", "ETH"]
+    default_timeframes = ["15m", "1h"]
+    fee_rt = 0.002
+    leverage = 3.0
+    position_size = 0.15
+    initial_capital = 1000.0
+
+    def generate_signals(self, df: pd.DataFrame, ts: pd.DatetimeIndex,
+                         **params) -> list[Signal]:
+        c = df["close"].values
+        h = df["high"].values
+        l = df["low"].values
+        v = df["volume"].values
+        n = len(c)
+
+        bb_w = params.get("bb_window", 14)
+        sq_thr = params.get("sq_threshold", 0.8)
+        retrace_limit = params.get("retrace_limit", 0.6)
+        vol_mult = params.get("vol_multiplier", 1.3)
+        vol_trend_bars = params.get("vol_trend_bars", 3)  # barre per trend volume
+
+        kcr = keltner_ratio(c, h, l, bb_w)
+        events = detect_squeezes(c, h, l, kcr, sq_thr)
+
+        signals = []
+        for ev in events:
+            i = ev["idx"]
+            if i < vol_trend_bars + 1 or i >= n:
+                continue
+
+            # Direzione breakout
+            first_ret = (c[i] - c[i - 1]) / c[i - 1] if c[i - 1] > 0 else 0
+            if abs(first_ret) < 0.001:
+                continue
+            direction = 1 if first_ret > 0 else -1
+
+            # Anti-fakeout
+            br = h[i] - l[i]
+            if br > 0:
+                if direction == 1 and (h[i] - c[i]) / br > retrace_limit:
+                    continue
+                elif direction == -1 and (c[i] - l[i]) / br > retrace_limit:
+                    continue
+
+            # Volume al breakout > media squeeze
+            sq_start = ev["sq_start"]
+            avg_sq_v = np.mean(v[sq_start:i])
+            if avg_sq_v <= 0 or v[i] <= avg_sq_v * vol_mult:
+                continue
+
+            # Volume TREND: slope delle ultime vol_trend_bars barre
+            # Usa regressione lineare semplice (rank correlation del volume)
+            recent_v = v[i - vol_trend_bars:i + 1]  # include breakout bar
+            if len(recent_v) < vol_trend_bars:
+                continue
+            # slope: media seconda metà vs prima metà
+            mid = len(recent_v) // 2
+            v_early = np.mean(recent_v[:mid])
+            v_late = np.mean(recent_v[mid:])
+            vol_trending_up = v_late > v_early
+            vol_trending_down = v_early > v_late
+
+            # Concordanza: long richiede volume trending up, short trending down
+            if direction == 1 and not vol_trending_up:
+                continue
+            if direction == -1 and not vol_trending_down:
+                continue
+
+            signals.append(Signal(
+                idx=i,
+                direction=direction,
+                entry_price=c[i - 1],
+                metadata={
+                    "dur": ev["dur"],
+                    "vol_ratio": v[i] / avg_sq_v if avg_sq_v > 0 else 0,
+                    "vol_trend": v_late / v_early if v_early > 0 else 1,
+                },
+            ))
+        return signals
+
+
+if __name__ == "__main__":
+    strategy = PriceVolumeDivergence()
+
+    configs = [
+        {"bb_window": 14, "sq_threshold": 0.8, "retrace_limit": 0.6,
+         "vol_multiplier": 1.3, "vol_trend_bars": 3},
+        {"bb_window": 14, "sq_threshold": 0.8, "retrace_limit": 0.6,
+         "vol_multiplier": 1.2, "vol_trend_bars": 3},
+        {"bb_window": 14, "sq_threshold": 0.8, "retrace_limit": 0.6,
+         "vol_multiplier": 1.3, "vol_trend_bars": 5},
+        {"bb_window": 14, "sq_threshold": 0.8, "retrace_limit": 0.5,
+         "vol_multiplier": 1.3, "vol_trend_bars": 3},
+        {"bb_window": 14, "sq_threshold": 0.75, "retrace_limit": 0.6,
+         "vol_multiplier": 1.3, "vol_trend_bars": 3},
+        {"bb_window": 20, "sq_threshold": 0.8, "retrace_limit": 0.6,
+         "vol_multiplier": 1.3, "vol_trend_bars": 3},
+    ]
+
+    all_results = []
+    for cfg in configs:
+        for asset in ["BTC", "ETH"]:
+            for tf in ["15m", "1h"]:
+                for hold in [3, 6]:
+                    r = strategy.backtest(asset, tf, hold=hold, **cfg)
+                    if r and r.trades >= 20:
+                        lbl = (f"PD01 vtb={cfg['vol_trend_bars']} "
+                               f"vm={cfg['vol_multiplier']} "
+                               f"sq={cfg['sq_threshold']} h={hold}")
+                        r.strategy_name = lbl
+                        all_results.append(r)
+
+    all_results.sort(key=lambda r: r.accuracy, reverse=True)
+
+    print(f"\n{'=' * 130}")
+    print("  PD01 PRICE-VOLUME DIVERGENCE — TOP 20")
+    print(f"{'=' * 130}")
+    print(f"  {'Nome':<50s} {'A/T':>7s} {'Trades':>6s} {'Acc':>6s} "
+          f"{'PnL€':>10s} {'DD%':>6s} {'€/day':>7s} "
+          f"{'Mkt%':>5s} {'Dur':>5s} {'Anni':>4s}")
+    print(f"  {'─' * 120}")
+    for r in all_results[:20]:
+        r.print_summary()
+
+    if all_results:
+        all_results[0].print_yearly()
+
+    print(f"\n  BENCHMARK SQ02: 79.7% acc, 1250t, DD 6.5%, €5.23/day, 9 anni")
+    print(f"  BENCHMARK MT01: 82.7% acc, 503t, DD 5.9%")

scripts/waste/W23_inside_bar.py

@@ -0,0 +1,131 @@
+"""IB01 — Inside Bar Breakout.
+
+Pattern di compressione a singola candela: quando una barra ha high < prev high
+E low > prev low, il prezzo si sta comprimendo. Al breakout del range della
+inside bar, segui la direzione.
+
+17% delle candele 15m sono inside bars → frequenza altissima.
+
+IN:
+    - OHLCV DataFrame
+    - Parametri: min_consecutive (N inside bars consecutivi),
+                 volume_filter, breakout_confirm
+
+OUT:
+    - Signal al breakout del range dell'inside bar
+    - BacktestResult
+
+Logica:
+    1. Identifica N inside bars consecutivi (compressione)
+    2. Quando il prezzo rompe il range → entra nella direzione del breakout
+    3. Filtro: volume al breakout > media
+    4. Hold fisso
+"""
+from __future__ import annotations
+import sys
+sys.path.insert(0, ".")
+
+import numpy as np
+import pandas as pd
+from src.strategies.base import Strategy, Signal
+
+
+class InsideBarBreakout(Strategy):
+    name = "IB01_inside_bar"
+    description = "Inside bar breakout — compressione a singola candela"
+    default_assets = ["BTC", "ETH"]
+    default_timeframes = ["15m", "1h"]
+    fee_rt = 0.002
+
+    def generate_signals(self, df, ts, **params):
+        c = df["close"].values
+        h = df["high"].values
+        l = df["low"].values
+        v = df["volume"].values
+        n = len(c)
+
+        min_consec = params.get("min_consecutive", 2)
+        use_vol = params.get("vol_filter", False)
+        min_range_pct = params.get("min_range_pct", 0.002)
+
+        # Volume media
+        vol_ma = np.full(n, np.nan)
+        for i in range(20, n):
+            vol_ma[i] = np.mean(v[i - 20:i])
+
+        signals = []
+        consec = 0
+        mother_high = 0.0
+        mother_low = 0.0
+
+        for i in range(1, n - 1):
+            is_inside = h[i] <= h[i - 1] and l[i] >= l[i - 1]
+
+            if is_inside:
+                if consec == 0:
+                    mother_high = h[i - 1]
+                    mother_low = l[i - 1]
+                consec += 1
+            else:
+                if consec >= min_consec:
+                    range_pct = (mother_high - mother_low) / mother_low if mother_low > 0 else 0
+                    if range_pct < min_range_pct:
+                        consec = 0
+                        continue
+
+                    # Breakout detection sulla barra corrente
+                    if c[i] > mother_high:
+                        direction = 1
+                    elif c[i] < mother_low:
+                        direction = -1
+                    else:
+                        consec = 0
+                        continue
+
+                    # Volume filter
+                    if use_vol and not np.isnan(vol_ma[i]):
+                        if v[i] < vol_ma[i] * 1.2:
+                            consec = 0
+                            continue
+
+                    signals.append(Signal(
+                        idx=i, direction=direction, entry_price=c[i],
+                        metadata={"consec": consec, "range_pct": round(range_pct * 100, 3)},
+                    ))
+
+                consec = 0
+
+        return signals
+
+
+if __name__ == "__main__":
+    strategy = InsideBarBreakout()
+
+    configs = [
+        ("2ib", {"min_consecutive": 2}),
+        ("3ib", {"min_consecutive": 3}),
+        ("4ib", {"min_consecutive": 4}),
+        ("2ib+vol", {"min_consecutive": 2, "vol_filter": True}),
+        ("3ib+vol", {"min_consecutive": 3, "vol_filter": True}),
+        ("2ib r>0.3%", {"min_consecutive": 2, "min_range_pct": 0.003}),
+        ("3ib r>0.3%", {"min_consecutive": 3, "min_range_pct": 0.003}),
+    ]
+
+    all_results = []
+    for label, params in configs:
+        for asset in ["BTC", "ETH"]:
+            for tf in ["15m", "1h"]:
+                for hold in [3, 6]:
+                    r = strategy.backtest(asset, tf, hold=hold, **params)
+                    if r and r.trades >= 30:
+                        r.strategy_name = f"IB01 {label} h={hold}"
+                        all_results.append(r)
+
+    all_results.sort(key=lambda r: r.accuracy, reverse=True)
+    print(f"\n{'=' * 120}")
+    print(f"  IB01 INSIDE BAR BREAKOUT — TOP 20")
+    print(f"{'=' * 120}")
+    for r in all_results[:20]:
+        r.print_summary()
+    if all_results:
+        all_results[0].print_yearly()

scripts/waste/W24_donchian.py

@@ -0,0 +1,133 @@
+"""DC01 — Donchian Channel Breakout con filtri.
+
+Trend-following classico: quando il prezzo rompe il massimo/minimo degli
+ultimi N periodi, entra nella direzione del breakout.
+
+Completamente diverso dallo squeeze (che usa Bollinger/Keltner).
+Donchian cattura breakout di RANGE, non di VOLATILITÀ.
+
+IN:
+    - OHLCV DataFrame
+    - Parametri: channel_period, volume_filter, atr_stop, trend_filter
+
+OUT:
+    - Signal al breakout del canale Donchian
+    - BacktestResult
+
+Logica:
+    1. Donchian upper = max(high, N periodi), lower = min(low, N periodi)
+    2. Close > upper → LONG (breakout rialzista)
+    3. Close < lower → SHORT (breakout ribassista)
+    4. Filtri: volume, trend EMA, ATR minimo
+"""
+from __future__ import annotations
+import sys
+sys.path.insert(0, ".")
+
+import numpy as np
+import pandas as pd
+from src.strategies.base import Strategy, Signal
+
+
+class DonchianBreakout(Strategy):
+    name = "DC01_donchian"
+    description = "Donchian Channel breakout — trend-following su range"
+    default_assets = ["BTC", "ETH"]
+    default_timeframes = ["15m", "1h"]
+    fee_rt = 0.002
+
+    def generate_signals(self, df, ts, **params):
+        c = df["close"].values
+        h = df["high"].values
+        l = df["low"].values
+        v = df["volume"].values
+        n = len(c)
+
+        period = params.get("channel_period", 48)
+        use_vol = params.get("vol_filter", False)
+        use_trend = params.get("trend_filter", False)
+        cooldown = params.get("cooldown", 6)
+
+        # EMA per trend filter
+        ema_50 = np.full(n, np.nan)
+        k = 2 / 51
+        ema_50[49] = np.mean(c[:50])
+        for i in range(50, n):
+            ema_50[i] = c[i] * k + ema_50[i - 1] * (1 - k)
+
+        # Volume media
+        vol_ma = np.full(n, np.nan)
+        for i in range(20, n):
+            vol_ma[i] = np.mean(v[i - 20:i])
+
+        signals = []
+        last_signal_idx = -cooldown
+
+        for i in range(period + 1, n):
+            if i - last_signal_idx < cooldown:
+                continue
+
+            upper = np.max(h[i - period:i])
+            lower = np.min(l[i - period:i])
+
+            direction = 0
+            if c[i] > upper:
+                direction = 1
+            elif c[i] < lower:
+                direction = -1
+
+            if direction == 0:
+                continue
+
+            # Trend filter: breakout must align with EMA trend
+            if use_trend and not np.isnan(ema_50[i]):
+                if direction == 1 and c[i] < ema_50[i]:
+                    continue
+                if direction == -1 and c[i] > ema_50[i]:
+                    continue
+
+            # Volume filter
+            if use_vol and not np.isnan(vol_ma[i]):
+                if v[i] < vol_ma[i] * 1.3:
+                    continue
+
+            signals.append(Signal(
+                idx=i, direction=direction, entry_price=c[i],
+                metadata={"upper": float(upper), "lower": float(lower)},
+            ))
+            last_signal_idx = i
+
+        return signals
+
+
+if __name__ == "__main__":
+    strategy = DonchianBreakout()
+
+    configs = [
+        ("p=24", {"channel_period": 24}),
+        ("p=48", {"channel_period": 48}),
+        ("p=96", {"channel_period": 96}),
+        ("p=48+trend", {"channel_period": 48, "trend_filter": True}),
+        ("p=48+vol", {"channel_period": 48, "vol_filter": True}),
+        ("p=48+t+v", {"channel_period": 48, "trend_filter": True, "vol_filter": True}),
+        ("p=96+t+v", {"channel_period": 96, "trend_filter": True, "vol_filter": True}),
+    ]
+
+    all_results = []
+    for label, params in configs:
+        for asset in ["BTC", "ETH"]:
+            for tf in ["15m", "1h"]:
+                for hold in [3, 6, 12]:
+                    r = strategy.backtest(asset, tf, hold=hold, **params)
+                    if r and r.trades >= 30:
+                        r.strategy_name = f"DC01 {label} h={hold}"
+                        all_results.append(r)
+
+    all_results.sort(key=lambda r: r.accuracy, reverse=True)
+    print(f"\n{'=' * 120}")
+    print(f"  DC01 DONCHIAN BREAKOUT — TOP 20")
+    print(f"{'=' * 120}")
+    for r in all_results[:20]:
+        r.print_summary()
+    if all_results:
+        all_results[0].print_yearly()

scripts/waste/W25_squeeze_retest.py

@@ -0,0 +1,163 @@
+"""SB01 — Squeeze Breakout con Retest.
+
+Il problema di SQ01/SQ02: entri al breakout, ma molti breakout sono fakeout.
+Soluzione: aspetta il RETEST. Dopo il breakout, il prezzo spesso torna a
+testare il livello di breakout prima di continuare.
+
+Più selettivo di SQ02 → meno trade ma più accurati.
+Anti-overfitting: meccanismo strutturale (retest è fenomeno di mercato reale).
+
+IN:
+    - OHLCV DataFrame
+    - Parametri: bb_window, sq_threshold, retest_window (quante barre aspettare
+                 il retest), retest_tolerance (quanto può tornare indietro)
+
+OUT:
+    - Signal al retest confermato (non al breakout iniziale)
+    - BacktestResult
+
+Logica:
+    1. Rileva squeeze release (come SQ01)
+    2. NON entrare subito — segna direzione e livello di breakout
+    3. Nelle N barre successive, aspetta che il prezzo torni verso il livello
+    4. Se il prezzo torna nel range di tolleranza e poi rimbalza → ENTRA
+    5. Se il prezzo non torna → skip (momentum troppo forte, entry persa)
+    6. Se il prezzo sfonda il livello → fakeout confermato, skip
+"""
+from __future__ import annotations
+import sys
+sys.path.insert(0, ".")
+
+import numpy as np
+import pandas as pd
+from src.strategies.base import Strategy, Signal
+from src.strategies.indicators import keltner_ratio, detect_squeezes
+
+
+class SqueezeBreakoutRetest(Strategy):
+    name = "SB01_squeeze_retest"
+    description = "Squeeze breakout con retest — entra solo dopo pullback confermato"
+    default_assets = ["BTC", "ETH"]
+    default_timeframes = ["15m", "1h"]
+    fee_rt = 0.002
+
+    def generate_signals(self, df, ts, **params):
+        c = df["close"].values
+        h = df["high"].values
+        l = df["low"].values
+        v = df["volume"].values
+        n = len(c)
+
+        bb_w = params.get("bb_window", 14)
+        sq_thr = params.get("sq_threshold", 0.8)
+        retest_window = params.get("retest_window", 8)
+        retest_tol = params.get("retest_tolerance", 0.5)
+        use_vol = params.get("vol_filter", False)
+
+        kcr = keltner_ratio(c, h, l, bb_w)
+        events = detect_squeezes(c, h, l, kcr, sq_thr)
+
+        vol_ma = np.full(n, np.nan)
+        for i in range(20, n):
+            vol_ma[i] = np.mean(v[i - 20:i])
+
+        signals = []
+
+        for ev in events:
+            brk_idx = ev["idx"]
+            if brk_idx + retest_window + 3 >= n or brk_idx < 1:
+                continue
+
+            # Direzione breakout
+            first_ret = (c[brk_idx] - c[brk_idx - 1]) / c[brk_idx - 1]
+            if abs(first_ret) < 0.001:
+                continue
+
+            direction = 1 if first_ret > 0 else -1
+            breakout_level = c[brk_idx - 1]
+            breakout_move = abs(first_ret)
+
+            # Aspetta retest nelle prossime N barre
+            retest_found = False
+            retest_idx = -1
+
+            for j in range(brk_idx + 1, min(brk_idx + retest_window + 1, n)):
+                if direction == 1:
+                    # Long: il prezzo deve tornare GIÙ verso breakout_level
+                    pullback = (h[brk_idx] - l[j]) / (h[brk_idx] - breakout_level) if h[brk_idx] > breakout_level else 0
+                    if pullback >= retest_tol:
+                        # Tornato abbastanza — ora deve rimbalzare
+                        if c[j] > breakout_level:
+                            retest_found = True
+                            retest_idx = j
+                            break
+                        elif c[j] < breakout_level * 0.998:
+                            # Sfondato sotto → fakeout
+                            break
+                else:
+                    # Short: il prezzo deve tornare SU verso breakout_level
+                    pullback = (h[j] - l[brk_idx]) / (breakout_level - l[brk_idx]) if breakout_level > l[brk_idx] else 0
+                    if pullback >= retest_tol:
+                        if c[j] < breakout_level:
+                            retest_found = True
+                            retest_idx = j
+                            break
+                        elif c[j] > breakout_level * 1.002:
+                            break
+
+            if not retest_found or retest_idx < 0:
+                continue
+
+            # Volume filter al retest
+            if use_vol and not np.isnan(vol_ma[retest_idx]):
+                if v[retest_idx] < vol_ma[retest_idx] * 0.8:
+                    continue
+
+            signals.append(Signal(
+                idx=retest_idx, direction=direction,
+                entry_price=c[retest_idx],
+                metadata={
+                    "breakout_idx": brk_idx,
+                    "retest_bars": retest_idx - brk_idx,
+                    "breakout_move": round(breakout_move * 100, 3),
+                },
+            ))
+
+        return signals
+
+
+if __name__ == "__main__":
+    strategy = SqueezeBreakoutRetest()
+
+    configs = [
+        ("rt8 tol50%", {"retest_window": 8, "retest_tolerance": 0.5}),
+        ("rt6 tol50%", {"retest_window": 6, "retest_tolerance": 0.5}),
+        ("rt10 tol50%", {"retest_window": 10, "retest_tolerance": 0.5}),
+        ("rt8 tol30%", {"retest_window": 8, "retest_tolerance": 0.3}),
+        ("rt8 tol70%", {"retest_window": 8, "retest_tolerance": 0.7}),
+        ("rt8 tol50%+vol", {"retest_window": 8, "retest_tolerance": 0.5, "vol_filter": True}),
+        ("rt6 tol30%", {"retest_window": 6, "retest_tolerance": 0.3}),
+        ("rt12 tol50%", {"retest_window": 12, "retest_tolerance": 0.5}),
+    ]
+
+    all_results = []
+    for label, params in configs:
+        for asset in ["BTC", "ETH"]:
+            for tf in ["15m", "1h"]:
+                for hold in [3, 6]:
+                    r = strategy.backtest(asset, tf, hold=hold, **params)
+                    if r and r.trades >= 30:
+                        r.strategy_name = f"SB01 {label} h={hold}"
+                        all_results.append(r)
+
+    all_results.sort(key=lambda r: r.accuracy, reverse=True)
+    print(f"\n{'=' * 130}")
+    print(f"  SB01 SQUEEZE BREAKOUT RETEST — TOP 25")
+    print(f"{'=' * 130}")
+    for r in all_results[:25]:
+        r.print_summary()
+    if all_results:
+        all_results[0].print_yearly()
+
+    # Confronto con benchmark
+    print(f"\n  BENCHMARK SQ02: 79.7% acc, 1250 trades, DD 6.5%, 9/9 anni")

scripts/waste/W26_mean_reversion_rsi.py

@@ -0,0 +1,148 @@
+"""MR01 — Mean Reversion da estremi RSI.
+
+Approccio opposto allo squeeze: quando il prezzo va troppo lontano troppo veloce,
+scommetti che torni indietro. Autocorrelazione lag-1 negativa (-0.21 BTC, -0.35 ETH)
+conferma che il mercato a 15m è mean-reverting.
+
+IN:
+    - OHLCV DataFrame
+    - Parametri: rsi_period, rsi_oversold, rsi_overbought, hold_bars,
+                 volume_filter (volume > N× media), atr_filter (move > N×ATR)
+
+OUT:
+    - Signal: long quando RSI < oversold, short quando RSI > overbought
+    - BacktestResult con metriche
+
+Logica:
+    1. RSI scende sotto soglia oversold → LONG (prezzo tornerà su)
+    2. RSI sale sopra soglia overbought → SHORT (prezzo tornerà giù)
+    3. Filtro opzionale: volume spike conferma l'eccesso
+    4. Filtro opzionale: move recente > N×ATR (eccesso di prezzo)
+    5. Hold fisso, poi chiudi
+"""
+from __future__ import annotations
+import sys
+sys.path.insert(0, ".")
+
+import numpy as np
+import pandas as pd
+from src.strategies.base import Strategy, Signal
+
+
+def rsi(close, period=14):
+    delta = np.diff(close)
+    gain = np.where(delta > 0, delta, 0)
+    loss = np.where(delta < 0, -delta, 0)
+    result = np.full(len(close), 50.0)
+    if len(gain) < period:
+        return result
+    ag = np.mean(gain[:period])
+    al = np.mean(loss[:period])
+    for i in range(period, len(delta)):
+        ag = (ag * (period - 1) + gain[i]) / period
+        al = (al * (period - 1) + loss[i]) / period
+        result[i + 1] = 100 if al == 0 else 100 - 100 / (1 + ag / al)
+    return result
+
+
+class MeanReversionRSI(Strategy):
+    name = "MR01_mean_reversion_rsi"
+    description = "Mean reversion da estremi RSI — fade eccessi direzionali"
+    default_assets = ["BTC", "ETH"]
+    default_timeframes = ["15m", "1h"]
+    fee_rt = 0.002
+
+    def generate_signals(self, df, ts, **params):
+        c = df["close"].values
+        h = df["high"].values
+        l = df["low"].values
+        v = df["volume"].values
+        n = len(c)
+
+        rsi_period = params.get("rsi_period", 14)
+        oversold = params.get("rsi_oversold", 25)
+        overbought = params.get("rsi_overbought", 75)
+        use_vol_filter = params.get("vol_filter", False)
+        use_atr_filter = params.get("atr_filter", False)
+        cooldown = params.get("cooldown", 4)
+
+        rsi_vals = rsi(c, rsi_period)
+
+        # Volume media rolling
+        vol_ma = np.full(n, np.nan)
+        for i in range(20, n):
+            vol_ma[i] = np.mean(v[i - 20:i])
+
+        # ATR
+        tr = np.maximum(h[1:] - l[1:],
+                        np.maximum(np.abs(h[1:] - c[:-1]), np.abs(l[1:] - c[:-1])))
+        atr_vals = np.full(n, np.nan)
+        for i in range(15, len(tr)):
+            atr_vals[i + 1] = np.mean(tr[i - 14:i])
+
+        signals = []
+        last_signal_idx = -cooldown
+
+        for i in range(20, n):
+            if i - last_signal_idx < cooldown:
+                continue
+
+            direction = 0
+            if rsi_vals[i] < oversold:
+                direction = 1  # oversold → long
+            elif rsi_vals[i] > overbought:
+                direction = -1  # overbought → short
+
+            if direction == 0:
+                continue
+
+            # Volume filter
+            if use_vol_filter and not np.isnan(vol_ma[i]):
+                if v[i] < vol_ma[i] * 1.5:
+                    continue
+
+            # ATR filter: il move recente deve essere > 1.5× ATR
+            if use_atr_filter and not np.isnan(atr_vals[i]):
+                recent_move = abs(c[i] - c[max(0, i - 3)]) / c[max(0, i - 3)]
+                if recent_move < atr_vals[i] / c[i] * 1.5:
+                    continue
+
+            signals.append(Signal(
+                idx=i, direction=direction, entry_price=c[i],
+                metadata={"rsi": float(rsi_vals[i])},
+            ))
+            last_signal_idx = i
+
+        return signals
+
+
+if __name__ == "__main__":
+    strategy = MeanReversionRSI()
+
+    configs = [
+        ("RSI25/75", {}),
+        ("RSI20/80", {"rsi_oversold": 20, "rsi_overbought": 80}),
+        ("RSI25/75+vol", {"vol_filter": True}),
+        ("RSI20/80+vol", {"rsi_oversold": 20, "rsi_overbought": 80, "vol_filter": True}),
+        ("RSI25/75+atr", {"atr_filter": True}),
+        ("RSI20/80+vol+atr", {"rsi_oversold": 20, "rsi_overbought": 80, "vol_filter": True, "atr_filter": True}),
+    ]
+
+    all_results = []
+    for label, params in configs:
+        for asset in ["BTC", "ETH"]:
+            for tf in ["15m", "1h"]:
+                for hold in [3, 6]:
+                    r = strategy.backtest(asset, tf, hold=hold, **params)
+                    if r and r.trades >= 30:
+                        r.strategy_name = f"MR01 {label} h={hold}"
+                        all_results.append(r)
+
+    all_results.sort(key=lambda r: r.accuracy, reverse=True)
+    print(f"\n{'=' * 120}")
+    print(f"  MR01 MEAN REVERSION RSI — TOP 20")
+    print(f"{'=' * 120}")
+    for r in all_results[:20]:
+        r.print_summary()
+    if all_results:
+        all_results[0].print_yearly()

scripts/waste/W27_volume_spike.py

@@ -0,0 +1,133 @@
+"""VO01 — Volume Spike Reversal.
+
+Quando il volume esplode (>3× media) con un forte move direzionale,
+il mercato è in eccesso → fade il move (mean reversion).
+
+Diverso dallo squeeze: non cerca compressione, cerca ECCESSO.
+Il volume spike indica panico/euforia → reversal probabile.
+
+IN:
+    - OHLCV DataFrame
+    - Parametri: vol_mult (3), move_threshold (0.005), hold
+
+OUT:
+    - Signal: fade la direzione del volume spike
+    - BacktestResult
+
+Logica:
+    1. Volume > vol_mult × media 20 periodi
+    2. Move nella candela > move_threshold (0.5%)
+    3. Direzione: opposta al move (mean reversion)
+    4. Filtro: non entrare se già in trend forte (EMA slope)
+"""
+from __future__ import annotations
+import sys
+sys.path.insert(0, ".")
+
+import numpy as np
+import pandas as pd
+from src.strategies.base import Strategy, Signal
+
+
+class VolumeSpikeReversal(Strategy):
+    name = "VO01_vol_spike_reversal"
+    description = "Volume spike reversal — fade eccessi di volume/prezzo"
+    default_assets = ["BTC", "ETH"]
+    default_timeframes = ["15m", "1h"]
+    fee_rt = 0.002
+
+    def generate_signals(self, df, ts, **params):
+        c = df["close"].values
+        o = df["open"].values
+        h = df["high"].values
+        l = df["low"].values
+        v = df["volume"].values
+        n = len(c)
+
+        vol_mult = params.get("vol_mult", 3.0)
+        move_thr = params.get("move_threshold", 0.005)
+        use_trend_filter = params.get("trend_filter", False)
+        cooldown = params.get("cooldown", 4)
+
+        # Volume media rolling
+        vol_ma = np.full(n, np.nan)
+        for i in range(20, n):
+            vol_ma[i] = np.mean(v[i - 20:i])
+
+        # EMA per trend filter
+        ema_20 = np.full(n, np.nan)
+        k = 2 / 21
+        ema_20[19] = np.mean(c[:20])
+        for i in range(20, n):
+            ema_20[i] = c[i] * k + ema_20[i - 1] * (1 - k)
+
+        signals = []
+        last_idx = -cooldown
+
+        for i in range(21, n):
+            if i - last_idx < cooldown:
+                continue
+            if np.isnan(vol_ma[i]):
+                continue
+
+            # Volume spike
+            if v[i] < vol_ma[i] * vol_mult:
+                continue
+
+            # Price move
+            move = (c[i] - o[i]) / o[i] if o[i] > 0 else 0
+            if abs(move) < move_thr:
+                continue
+
+            # Fade: opposto al move
+            direction = -1 if move > 0 else 1
+
+            # Trend filter: non fare mean reversion contro trend forte
+            if use_trend_filter and not np.isnan(ema_20[i]):
+                ema_slope = (ema_20[i] - ema_20[max(0, i - 5)]) / ema_20[max(0, i - 5)]
+                if direction == -1 and ema_slope > 0.005:
+                    continue
+                if direction == 1 and ema_slope < -0.005:
+                    continue
+
+            signals.append(Signal(
+                idx=i, direction=direction, entry_price=c[i],
+                metadata={"vol_ratio": float(v[i] / vol_ma[i]), "move_pct": round(move * 100, 3)},
+            ))
+            last_idx = i
+
+        return signals
+
+
+if __name__ == "__main__":
+    strategy = VolumeSpikeReversal()
+
+    configs = [
+        ("v3x m0.5%", {"vol_mult": 3.0, "move_threshold": 0.005}),
+        ("v3x m1%", {"vol_mult": 3.0, "move_threshold": 0.01}),
+        ("v4x m0.5%", {"vol_mult": 4.0, "move_threshold": 0.005}),
+        ("v4x m1%", {"vol_mult": 4.0, "move_threshold": 0.01}),
+        ("v3x m0.5%+tf", {"vol_mult": 3.0, "move_threshold": 0.005, "trend_filter": True}),
+        ("v3x m1%+tf", {"vol_mult": 3.0, "move_threshold": 0.01, "trend_filter": True}),
+        ("v5x m1%", {"vol_mult": 5.0, "move_threshold": 0.01}),
+        ("v5x m1%+tf", {"vol_mult": 5.0, "move_threshold": 0.01, "trend_filter": True}),
+    ]
+
+    all_results = []
+    for label, params in configs:
+        for asset in ["BTC", "ETH"]:
+            for tf in ["15m", "1h"]:
+                for hold in [3, 6]:
+                    r = strategy.backtest(asset, tf, hold=hold, **params)
+                    if r and r.trades >= 30:
+                        r.strategy_name = f"VO01 {label} h={hold}"
+                        all_results.append(r)
+
+    all_results.sort(key=lambda r: r.accuracy, reverse=True)
+    print(f"\n{'=' * 120}")
+    print(f"  VO01 VOLUME SPIKE REVERSAL — TOP 20")
+    print(f"{'=' * 120}")
+    for r in all_results[:20]:
+        r.print_summary()
+    if all_results:
+        all_results[0].print_yearly()

scripts/waste/W28_squeeze_mr.py

@@ -0,0 +1,169 @@
+"""HY01 — Squeeze + Mean Reversion Ibrida.
+
+Insight: durante lo squeeze (bassa volatilità), il prezzo mean-reverte
+DENTRO il range compresso. Autocorrelazione negativa a 15m conferma.
+Invece di aspettare il BREAKOUT, tradi la MEAN REVERSION dentro lo squeeze.
+
+Completamente diverso da SQ01-SQ04 che aspettano il RILASCIO.
+
+IN:
+    - OHLCV DataFrame
+    - Parametri: bb_window, sq_threshold, rsi_period, rsi_levels,
+                 vol_filter, bb_touch (prezzo tocca banda Bollinger)
+
+OUT:
+    - Signal: long quando RSI oversold DURANTE squeeze, short quando overbought
+    - BacktestResult
+
+Logica:
+    1. Verifica che siamo IN squeeze (BB dentro KC)
+    2. Prezzo tocca banda inferiore BB → LONG (tornerà alla media)
+    3. Prezzo tocca banda superiore BB → SHORT (tornerà alla media)
+    4. Conferma RSI: deve essere estremo nella direzione
+    5. Hold corto (2-3 barre) — target: ritorno alla media
+    6. Stop: se prezzo rompe lo squeeze → chiudi subito
+"""
+from __future__ import annotations
+import sys
+sys.path.insert(0, ".")
+
+import numpy as np
+import pandas as pd
+from src.strategies.base import Strategy, Signal
+from src.strategies.indicators import keltner_ratio
+
+
+def rsi(close, period=14):
+    delta = np.diff(close)
+    gain = np.where(delta > 0, delta, 0)
+    loss = np.where(delta < 0, -delta, 0)
+    result = np.full(len(close), 50.0)
+    if len(gain) < period:
+        return result
+    ag = np.mean(gain[:period])
+    al = np.mean(loss[:period])
+    for i in range(period, len(delta)):
+        ag = (ag * (period - 1) + gain[i]) / period
+        al = (al * (period - 1) + loss[i]) / period
+        result[i + 1] = 100 if al == 0 else 100 - 100 / (1 + ag / al)
+    return result
+
+
+def bollinger(close, window=14):
+    n = len(close)
+    upper = np.full(n, np.nan)
+    lower = np.full(n, np.nan)
+    mid = np.full(n, np.nan)
+    for i in range(window, n):
+        wc = close[i - window:i]
+        m = np.mean(wc)
+        s = np.std(wc)
+        mid[i] = m
+        upper[i] = m + 2 * s
+        lower[i] = m - 2 * s
+    return upper, mid, lower
+
+
+class SqueezeMeanReversion(Strategy):
+    name = "HY01_squeeze_mr"
+    description = "Mean reversion DENTRO lo squeeze — fade estremi in range compresso"
+    default_assets = ["BTC", "ETH"]
+    default_timeframes = ["15m", "1h"]
+    fee_rt = 0.002
+
+    def generate_signals(self, df, ts, **params):
+        c = df["close"].values
+        h = df["high"].values
+        l = df["low"].values
+        v = df["volume"].values
+        n = len(c)
+
+        bb_w = params.get("bb_window", 14)
+        sq_thr = params.get("sq_threshold", 0.8)
+        rsi_period = params.get("rsi_period", 14)
+        rsi_low = params.get("rsi_oversold", 30)
+        rsi_high = params.get("rsi_overbought", 70)
+        use_bb_touch = params.get("bb_touch", True)
+        cooldown = params.get("cooldown", 3)
+
+        kcr = keltner_ratio(c, h, l, bb_w)
+        rsi_vals = rsi(c, rsi_period)
+        bb_upper, bb_mid, bb_lower = bollinger(c, bb_w)
+
+        signals = []
+        last_idx = -cooldown
+
+        for i in range(bb_w + 1, n):
+            if i - last_idx < cooldown:
+                continue
+            if np.isnan(kcr[i]) or np.isnan(bb_lower[i]):
+                continue
+
+            # Must be IN squeeze
+            if kcr[i] >= sq_thr:
+                continue
+
+            direction = 0
+
+            if use_bb_touch:
+                # Prezzo tocca/rompe BB lower → long (mean reversion up)
+                if c[i] <= bb_lower[i] and rsi_vals[i] < rsi_low:
+                    direction = 1
+                # Prezzo tocca/rompe BB upper → short (mean reversion down)
+                elif c[i] >= bb_upper[i] and rsi_vals[i] > rsi_high:
+                    direction = -1
+            else:
+                # Solo RSI
+                if rsi_vals[i] < rsi_low:
+                    direction = 1
+                elif rsi_vals[i] > rsi_high:
+                    direction = -1
+
+            if direction == 0:
+                continue
+
+            signals.append(Signal(
+                idx=i, direction=direction, entry_price=c[i],
+                metadata={
+                    "rsi": float(rsi_vals[i]),
+                    "kcr": float(kcr[i]),
+                    "bb_pos": "lower" if direction == 1 else "upper",
+                },
+            ))
+            last_idx = i
+
+        return signals
+
+
+if __name__ == "__main__":
+    strategy = SqueezeMeanReversion()
+
+    configs = [
+        ("bb+rsi30/70", {"bb_touch": True, "rsi_oversold": 30, "rsi_overbought": 70}),
+        ("bb+rsi25/75", {"bb_touch": True, "rsi_oversold": 25, "rsi_overbought": 75}),
+        ("bb+rsi35/65", {"bb_touch": True, "rsi_oversold": 35, "rsi_overbought": 65}),
+        ("rsi30/70 only", {"bb_touch": False, "rsi_oversold": 30, "rsi_overbought": 70}),
+        ("rsi25/75 only", {"bb_touch": False, "rsi_oversold": 25, "rsi_overbought": 75}),
+        ("sq<0.7 bb+rsi30", {"bb_touch": True, "sq_threshold": 0.7, "rsi_oversold": 30, "rsi_overbought": 70}),
+        ("sq<0.9 bb+rsi30", {"bb_touch": True, "sq_threshold": 0.9, "rsi_oversold": 30, "rsi_overbought": 70}),
+        ("sq<0.9 rsi35/65", {"bb_touch": False, "sq_threshold": 0.9, "rsi_oversold": 35, "rsi_overbought": 65}),
+    ]
+
+    all_results = []
+    for label, params in configs:
+        for asset in ["BTC", "ETH"]:
+            for tf in ["15m", "1h"]:
+                for hold in [2, 3, 4]:
+                    r = strategy.backtest(asset, tf, hold=hold, **params)
+                    if r and r.trades >= 30:
+                        r.strategy_name = f"HY01 {label} h={hold}"
+                        all_results.append(r)
+
+    all_results.sort(key=lambda r: r.accuracy, reverse=True)
+    print(f"\n{'=' * 130}")
+    print(f"  HY01 SQUEEZE MEAN REVERSION — TOP 25")
+    print(f"{'=' * 130}")
+    for r in all_results[:25]:
+        r.print_summary()
+    if all_results:
+        all_results[0].print_yearly()

src/live/multi_runner.py

@@ -0,0 +1,291 @@
+"""Multi-Strategy Paper Trader — orchestratore per N strategie in parallelo."""
+from __future__ import annotations
+
+import time
+import yaml
+from datetime import datetime, timedelta, timezone
+from pathlib import Path
+
+import pandas as pd
+
+from src.live.cerbero_client import CerberoClient
+from src.live.strategy_loader import load_strategy
+from src.live.strategy_worker import StrategyWorker
+from src.live.signal_engine import SignalEngine
+from src.live.telegram_notifier import send_telegram
+
+PROJECT_ROOT = Path(__file__).resolve().parents[2]
+DATA_DIR = PROJECT_ROOT / "data" / "paper_trades"
+
+RESOLUTION_MAP = {"15m": "15", "1h": "60", "5m": "5"}
+INSTRUMENT_MAP = {
+    "BTC": "BTC-PERPETUAL",
+    "ETH": "ETH-PERPETUAL",
+}
+
+
+class MLWorkerWrapper:
+    """Wrapper speciale per ML01 che usa SignalEngine con training."""
+
+    def __init__(self, worker: StrategyWorker, config: dict):
+        self.worker = worker
+        self.engine = SignalEngine(
+            bb_w=config.get("params", {}).get("bb_window", 14),
+            sq_thr=config.get("params", {}).get("sq_threshold", 0.8),
+            ml_thr=config.get("params", {}).get("ml_threshold", 0.70),
+        )
+        self.trained = False
+        self.last_train: datetime | None = None
+        self.retrain_hours = config.get("retrain_hours", 24)
+
+    def needs_training(self) -> bool:
+        if not self.trained:
+            return True
+        if self.last_train is None:
+            return True
+        elapsed = (datetime.now(timezone.utc) - self.last_train).total_seconds()
+        return elapsed > self.retrain_hours * 3600
+
+    def train(self, df: pd.DataFrame, hold: int = 3):
+        result = self.engine.train(df, lookahead=hold)
+        if "error" not in result:
+            self.trained = True
+            self.last_train = datetime.now(timezone.utc)
+            print(f"  [{self.worker.worker_id}] TRAIN OK: {result}")
+        else:
+            print(f"  [{self.worker.worker_id}] TRAIN FAIL: {result}")
+
+    def tick(self, df: pd.DataFrame):
+        if not self.trained:
+            return
+
+        worker = self.worker
+        c = df["close"].values
+        current_price = float(c[-1])
+        current_ts = int(df["timestamp"].iloc[-1])
+
+        if worker.in_position:
+            if current_ts > worker.last_bar_ts:
+                worker.bars_held += 1
+                worker.last_bar_ts = current_ts
+            if worker.bars_held >= worker.hold_bars:
+                worker._close_position(current_price, "hold_limit")
+            else:
+                pnl_pct = (current_price - worker.entry_price) / worker.entry_price * worker.direction
+                if pnl_pct <= -0.02:
+                    worker._close_position(current_price, "stop_loss")
+            worker._save_state()
+            return
+
+        signal = self.engine.check_signal(df)
+        if signal:
+            from src.strategies.base import Signal
+            direction = 1 if signal["direction"] == "buy" else -1
+            sig = Signal(idx=len(df)-1, direction=direction, entry_price=current_price)
+            worker._open_position(sig, current_price)
+            worker.last_bar_ts = current_ts
+
+        worker._save_state()
+
+
+def load_config(path: Path) -> dict:
+    with open(path) as f:
+        return yaml.safe_load(f)
+
+
+def build_workers(config: dict) -> tuple[list[StrategyWorker], list[MLWorkerWrapper]]:
+    """Crea worker da config YAML."""
+    defaults = config.get("defaults", {})
+    regular_workers: list[StrategyWorker] = []
+    ml_workers: list[MLWorkerWrapper] = []
+
+    for entry in config.get("strategies", []):
+        if not entry.get("enabled", True):
+            continue
+
+        name = entry["name"]
+        asset = entry["asset"]
+        tf = entry["tf"]
+        capital = entry.get("capital", defaults.get("capital", 1000))
+        pos_size = entry.get("position_size", defaults.get("position_size", 0.15))
+        leverage = entry.get("leverage", defaults.get("leverage", 3))
+        hold = entry.get("hold_bars", defaults.get("hold_bars", 3))
+        params = entry.get("params", {})
+
+        strategy = load_strategy(name)
+
+        worker = StrategyWorker(
+            strategy=strategy, asset=asset, tf=tf,
+            capital=capital, position_size=pos_size,
+            leverage=leverage, hold_bars=hold,
+            params=params, data_dir=DATA_DIR,
+        )
+
+        if name == "ML01_squeeze_gbm":
+            ml_wrapper = MLWorkerWrapper(worker, {**defaults, **entry})
+            ml_workers.append(ml_wrapper)
+        else:
+            regular_workers.append(worker)
+
+    return regular_workers, ml_workers
+
+
+def run():
+    config_path = PROJECT_ROOT / "strategies.yml"
+    if not config_path.exists():
+        print(f"ERRORE: {config_path} non trovato")
+        return
+
+    config = load_config(config_path)
+    defaults = config.get("defaults", {})
+    poll_seconds = defaults.get("poll_seconds", 60)
+    lookback_days = 60
+    train_lookback_days = 365
+
+    regular_workers, ml_workers = build_workers(config)
+    all_worker_count = len(regular_workers) + len(ml_workers)
+
+    if all_worker_count == 0:
+        print("Nessuna strategia abilitata in strategies.yml")
+        return
+
+    client = CerberoClient()
+
+    print("=" * 70)
+    print(f"  MULTI-STRATEGY PAPER TRADER")
+    print(f"  Strategie attive: {all_worker_count}")
+    print(f"  Poll: ogni {poll_seconds}s")
+    print(f"  Data dir: {DATA_DIR}")
+    print("=" * 70)
+
+    for w in regular_workers:
+        print(f"  • {w.status_summary}")
+    for mw in ml_workers:
+        print(f"  • {mw.worker.status_summary} [ML]")
+
+    send_telegram(f"🚀 Multi-Strategy avviato: {all_worker_count} strategie")
+
+    # Raccogli asset/tf unici per fetch raggruppato
+    def _get_data_keys() -> set[tuple[str, str]]:
+        keys = set()
+        for w in regular_workers:
+            keys.add((w.asset, w.tf))
+        for mw in ml_workers:
+            keys.add((mw.worker.asset, mw.worker.tf))
+        return keys
+
+    # Training iniziale ML
+    for mw in ml_workers:
+        asset = mw.worker.asset
+        instrument = INSTRUMENT_MAP.get(asset, f"{asset}-PERPETUAL")
+        resolution = RESOLUTION_MAP.get(mw.worker.tf, "15")
+        end = datetime.now(timezone.utc)
+        start = end - timedelta(days=train_lookback_days)
+        candles = client.get_historical(instrument, start.strftime("%Y-%m-%d"),
+                                         end.strftime("%Y-%m-%d"), resolution)
+        if candles:
+            df_train = pd.DataFrame(candles)
+            df_train["timestamp"] = df_train["timestamp"].astype("int64")
+            df_train = df_train.sort_values("timestamp").reset_index(drop=True)
+            mw.train(df_train, hold=mw.worker.hold_bars)
+
+    while True:
+        try:
+            data_keys = _get_data_keys()
+            candle_cache: dict[tuple[str, str], pd.DataFrame] = {}
+
+            for asset, tf in data_keys:
+                instrument = INSTRUMENT_MAP.get(asset, f"{asset}-PERPETUAL")
+                resolution = RESOLUTION_MAP.get(tf, "15")
+                end = datetime.now(timezone.utc)
+                start = end - timedelta(days=lookback_days)
+
+                candles = client.get_historical(
+                    instrument, start.strftime("%Y-%m-%d"),
+                    end.strftime("%Y-%m-%d"), resolution,
+                )
+                if candles:
+                    df = pd.DataFrame(candles)
+                    df["timestamp"] = df["timestamp"].astype("int64")
+                    df = df.sort_values("timestamp").reset_index(drop=True)
+                    candle_cache[(asset, tf)] = df
+
+            # Fetch 1h live per strategie multi-timeframe (es. MT01):
+            # il trend va preso da Cerbero, non dal parquet statico (che resta indietro).
+            htf_cache: dict[str, pd.DataFrame] = {}
+            mtf_assets = {w.asset for w in regular_workers if w.strategy.name.startswith("MT01")}
+            for asset in mtf_assets:
+                instrument = INSTRUMENT_MAP.get(asset, f"{asset}-PERPETUAL")
+                end = datetime.now(timezone.utc)
+                start = end - timedelta(days=lookback_days)
+                try:
+                    candles_1h = client.get_historical(
+                        instrument, start.strftime("%Y-%m-%d"),
+                        end.strftime("%Y-%m-%d"), "60",
+                    )
+                    if candles_1h:
+                        df1h = pd.DataFrame(candles_1h)
+                        df1h["timestamp"] = df1h["timestamp"].astype("int64")
+                        htf_cache[asset] = df1h.sort_values("timestamp").reset_index(drop=True)
+                except Exception as e:
+                    print(f"  [1h fetch {asset}] ERRORE: {e}")
+
+            # Tick regular workers
+            for w in regular_workers:
+                key = (w.asset, w.tf)
+                if key in candle_cache:
+                    try:
+                        w.tick(candle_cache[key], df_1h=htf_cache.get(w.asset))
+                    except Exception as e:
+                        print(f"  [{w.worker_id}] ERRORE: {e}")
+
+            # Tick ML workers
+            for mw in ml_workers:
+                key = (mw.worker.asset, mw.worker.tf)
+                if key not in candle_cache:
+                    continue
+
+                if mw.needs_training():
+                    mw.train(candle_cache[key], hold=mw.worker.hold_bars)
+
+                try:
+                    mw.tick(candle_cache[key])
+                except Exception as e:
+                    print(f"  [{mw.worker.worker_id}] ERRORE: {e}")
+
+            # Status periodico
+            now = datetime.now(timezone.utc)
+            if now.minute == 0 and now.second < poll_seconds:
+                lines = [f"📊 Status {now.strftime('%H:%M')} UTC"]
+                for w in regular_workers:
+                    lines.append(f"  {w.status_summary}")
+                for mw in ml_workers:
+                    lines.append(f"  {mw.worker.status_summary} [ML]")
+                send_telegram("\n".join(lines))
+
+        except KeyboardInterrupt:
+            print("\nShutdown...")
+            for w in regular_workers:
+                if w.in_position:
+                    df = candle_cache.get((w.asset, w.tf))
+                    if df is not None and not df.empty:
+                        w._close_position(float(df["close"].iloc[-1]), "shutdown")
+                w._save_state()
+            for mw in ml_workers:
+                if mw.worker.in_position:
+                    df = candle_cache.get((mw.worker.asset, mw.worker.tf))
+                    if df is not None and not df.empty:
+                        mw.worker._close_position(float(df["close"].iloc[-1]), "shutdown")
+                mw.worker._save_state()
+            send_telegram("🛑 Multi-Strategy arrestato")
+            break
+        except Exception as e:
+            print(f"  ERRORE GLOBALE: {e}")
+            import traceback
+            traceback.print_exc()
+
+        time.sleep(poll_seconds)
+
+
+if __name__ == "__main__":
+    run()

src/live/signal_engine.py

@@ -112,6 +112,54 @@ class SignalEngine:
         self.squeeze_start_idx = 0
         self.trained = False
 
+    def _new_model(self) -> GradientBoostingClassifier:
+        return GradientBoostingClassifier(
+            n_estimators=150, max_depth=4, min_samples_leaf=10,
+            learning_rate=0.05, subsample=0.8, random_state=42,
+        )
+
+    def _validate_oos(self, X: np.ndarray, y: np.ndarray, test_frac: float = 0.2) -> dict:
+        """Split temporale (no shuffle) per stimare la performance out-of-sample.
+
+        Allena su training iniziale e valuta sull'ultimo `test_frac` dei campioni.
+        Oltre all'accuratezza OOS, riporta la precisione sui soli segnali con
+        confidenza >= ml_thr — cioè i trade che la strategia aprirebbe davvero.
+        """
+        n_test = int(len(X) * test_frac)
+        n_train = len(X) - n_test
+        if n_train < 30 or n_test < 5:
+            return {"oos_warning": "test set troppo piccolo", "oos_test_samples": n_test}
+
+        scaler = StandardScaler()
+        X_tr = scaler.fit_transform(X[:n_train])
+        X_te = scaler.transform(X[n_train:])
+        y_tr, y_te = y[:n_train], y[n_train:]
+
+        model = self._new_model()
+        model.fit(X_tr, y_tr)
+
+        up_idx = list(model.classes_).index(1)
+        p_up = model.predict_proba(X_te)[:, up_idx]
+        test_acc = float(np.mean((p_up >= 0.5).astype(int) == y_te) * 100)
+        oos_train_acc = float(np.mean(model.predict(X_tr) == y_tr) * 100)
+
+        long_sig = p_up >= self.ml_thr
+        short_sig = p_up <= (1 - self.ml_thr)
+        n_sig = int((long_sig | short_sig).sum())
+        if n_sig > 0:
+            correct = int(((long_sig & (y_te == 1)) | (short_sig & (y_te == 0))).sum())
+            sig_prec = round(correct / n_sig * 100, 1)
+        else:
+            sig_prec = None
+
+        return {
+            "oos_train_accuracy": round(oos_train_acc, 1),
+            "oos_test_accuracy": round(test_acc, 1),
+            "oos_test_samples": n_test,
+            "oos_signals": n_sig,
+            "oos_signal_precision": sig_prec,
+        }
+
     def train(self, df: pd.DataFrame, lookahead: int = 3) -> dict:
         """Addestra il modello su dati storici."""
         close = df["close"].values
@@ -154,20 +202,24 @@ class SignalEngine:
         X = np.array(X_all)
         y = np.array(y_all)
 
+        oos = self._validate_oos(X, y)
+
         self.scaler = StandardScaler()
         X_s = self.scaler.fit_transform(X)
 
-        self.model = GradientBoostingClassifier(
+        self.model = self._new_model()
-            n_estimators=150, max_depth=4, min_samples_leaf=10,
-            learning_rate=0.05, subsample=0.8, random_state=42,
-        )
         self.model.fit(X_s, y)
         self.trained = True
 
         preds = self.model.predict(X_s)
-        train_acc = np.mean(preds == y) * 100
+        train_acc = float(np.mean(preds == y) * 100)
 
-        return {"samples": len(X), "up_ratio": np.mean(y) * 100, "train_accuracy": train_acc}
+        return {
+            "samples": len(X),
+            "up_ratio": round(float(np.mean(y) * 100), 1),
+            "train_accuracy": round(train_acc, 1),
+            **oos,
+        }
 
     def check_signal(self, df: pd.DataFrame) -> dict | None:
         """Controlla se c'è un segnale sulle ultime candele.

src/live/strategy_loader.py

@@ -0,0 +1,54 @@
+"""Import dinamico delle classi Strategy da scripts/strategies/."""
+from __future__ import annotations
+
+import importlib
+import sys
+from pathlib import Path
+
+from src.strategies.base import Strategy
+
+PROJECT_ROOT = Path(__file__).resolve().parents[2]
+STRATEGIES_DIR = PROJECT_ROOT / "scripts" / "strategies"
+
+_REGISTRY: dict[str, type[Strategy]] = {}
+
+# Solo strategie con edge netto validato out-of-sample (fee-aware).
+# La famiglia squeeze-breakout (SQ/MT/ML/AD/CM/PD) e' stata spostata in
+# scripts/waste/: l'edge storico era un artefatto di look-ahead
+# (vedi scripts/analysis/oos_validation.py).
+MODULE_MAP = {
+    "MR01_bollinger_fade": ("MR01_bollinger_fade", "BollingerFade"),
+    "MR02_donchian_fade": ("MR02_donchian_fade", "DonchianFade"),
+    "MR03_keltner_fade": ("MR03_keltner_fade", "KeltnerFade"),
+    "MR07_return_reversal": ("MR07_return_reversal", "ReturnReversal"),
+}
+
+
+def load_strategy(name: str) -> Strategy:
+    """Carica e istanzia una Strategy per nome."""
+    if name in _REGISTRY:
+        return _REGISTRY[name]()
+
+    if name not in MODULE_MAP:
+        raise ValueError(f"Strategia sconosciuta: {name}. Disponibili: {list(MODULE_MAP)}")
+
+    module_file, class_name = MODULE_MAP[name]
+    module_path = STRATEGIES_DIR / f"{module_file}.py"
+
+    if not module_path.exists():
+        raise FileNotFoundError(f"File strategia non trovato: {module_path}")
+
+    if str(PROJECT_ROOT) not in sys.path:
+        sys.path.insert(0, str(PROJECT_ROOT))
+
+    spec = importlib.util.spec_from_file_location(f"strategies.{module_file}", module_path)
+    module = importlib.util.module_from_spec(spec)
+    spec.loader.exec_module(module)
+
+    cls = getattr(module, class_name)
+    _REGISTRY[name] = cls
+    return cls()
+
+
+def list_available() -> list[str]:
+    return list(MODULE_MAP.keys())

src/live/strategy_worker.py

@@ -0,0 +1,273 @@
+"""Worker per singola strategia — paper trading con stato persistente."""
+from __future__ import annotations
+
+import json
+from datetime import datetime, timezone
+from pathlib import Path
+
+import numpy as np
+import pandas as pd
+
+from src.strategies.base import Strategy, Signal
+from src.live.telegram_notifier import notify_event
+
+FEE_RT = 0.002
+
+
+class StrategyWorker:
+    """Gestisce paper trading per una singola strategia/asset/tf."""
+
+    def __init__(
+        self,
+        strategy: Strategy,
+        asset: str,
+        tf: str,
+        capital: float = 1000.0,
+        position_size: float = 0.15,
+        leverage: float = 3.0,
+        hold_bars: int = 3,
+        params: dict | None = None,
+        data_dir: Path = Path("data/paper_trades"),
+    ):
+        self.strategy = strategy
+        self.asset = asset
+        self.tf = tf
+        self.initial_capital = capital
+        self.position_size = position_size
+        self.leverage = leverage
+        self.hold_bars = hold_bars
+        self.params = params or {}
+
+        self.worker_id = f"{strategy.name}__{asset}__{tf}"
+        self.work_dir = data_dir / self.worker_id
+        self.work_dir.mkdir(parents=True, exist_ok=True)
+        self.trades_path = self.work_dir / "trades.jsonl"
+        self.status_path = self.work_dir / "status.json"
+
+        self.capital = capital
+        self.in_position = False
+        self.direction: int = 0
+        self.entry_price: float = 0
+        self.entry_time: str = ""
+        self.bars_held: int = 0
+        self.total_trades: int = 0
+        self.total_wins: int = 0
+        self.started_at = datetime.now(timezone.utc).isoformat()
+        self.last_bar_ts: int = 0
+
+        # Exit guidati dalla strategia via Signal.metadata (0 = usa hold_bars/stop legacy)
+        self.tp: float = 0.0
+        self.sl: float = 0.0
+        self.max_bars: int = 0
+        # Fee dalla strategia (MR01 = 0.001 realistico Deribit), fallback al default modulo
+        self.fee_rt: float = float(getattr(strategy, "fee_rt", FEE_RT))
+
+        self._load_state()
+        self._save_state()
+
+    def _load_state(self):
+        """Riprende stato da status.json se esiste."""
+        if not self.status_path.exists():
+            self._log("INIT", {"capital": self.capital, "strategy": self.strategy.name,
+                               "asset": self.asset, "tf": self.tf})
+            return
+
+        with open(self.status_path) as f:
+            state = json.load(f)
+
+        self.capital = state.get("capital", self.initial_capital)
+        self.in_position = state.get("in_position", False)
+        self.direction = state.get("direction", 0)
+        self.entry_price = state.get("entry_price", 0)
+        self.entry_time = state.get("entry_time", "")
+        self.bars_held = state.get("bars_held", 0)
+        self.total_trades = state.get("total_trades", 0)
+        self.total_wins = state.get("total_wins", 0)
+        self.started_at = state.get("started_at", self.started_at)
+        self.last_bar_ts = state.get("last_bar_ts", 0)
+        self.tp = state.get("tp", 0.0)
+        self.sl = state.get("sl", 0.0)
+        self.max_bars = state.get("max_bars", 0)
+
+        self._log("RESUME", {"capital": round(self.capital, 2),
+                              "total_trades": self.total_trades,
+                              "in_position": self.in_position})
+
+    def _save_state(self):
+        state = {
+            "capital": round(self.capital, 2),
+            "in_position": self.in_position,
+            "direction": self.direction,
+            "entry_price": self.entry_price,
+            "entry_time": self.entry_time,
+            "bars_held": self.bars_held,
+            "total_trades": self.total_trades,
+            "total_wins": self.total_wins,
+            "started_at": self.started_at,
+            "last_bar_ts": self.last_bar_ts,
+            "tp": self.tp,
+            "sl": self.sl,
+            "max_bars": self.max_bars,
+            "last_update": datetime.now(timezone.utc).isoformat(),
+        }
+        with open(self.status_path, "w") as f:
+            json.dump(state, f, indent=2)
+
+    def _log(self, event: str, data: dict | None = None):
+        entry = {
+            "ts": datetime.now(timezone.utc).isoformat(),
+            "worker": self.worker_id,
+            "event": event,
+            **(data or {}),
+        }
+        with open(self.trades_path, "a") as f:
+            f.write(json.dumps(entry) + "\n")
+        print(f"  [{self.worker_id}] {event}: {json.dumps(data or {}, default=str)}")
+
+    def _notify(self, event: str, data: dict | None = None):
+        enriched = {"worker": self.worker_id, **(data or {})}
+        notify_event(event, enriched)
+
+    def _open_position(self, signal: Signal, current_price: float):
+        notional = self.capital * self.position_size * self.leverage
+        size = notional / current_price if current_price > 0 else 0
+
+        self.in_position = True
+        self.direction = signal.direction
+        self.entry_price = current_price
+        self.entry_time = datetime.now(timezone.utc).isoformat()
+        self.bars_held = 0
+
+        meta = signal.metadata or {}
+        self.tp = float(meta.get("tp", 0.0) or 0.0)
+        self.sl = float(meta.get("sl", 0.0) or 0.0)
+        self.max_bars = int(meta.get("max_bars", 0) or 0)
+
+        trade_data = {
+            "direction": "long" if signal.direction == 1 else "short",
+            "price": round(current_price, 2),
+            "size": round(size, 6),
+            "notional": round(notional, 2),
+            "capital": round(self.capital, 2),
+            "tp": round(self.tp, 2) if self.tp else None,
+            "sl": round(self.sl, 2) if self.sl else None,
+        }
+        self._log("OPEN", trade_data)
+        self._notify("OPENED", trade_data)
+
+    def _close_position(self, current_price: float, reason: str):
+        if not self.in_position:
+            return
+
+        price_change = (current_price - self.entry_price) / self.entry_price
+        trade_return = price_change * self.direction
+        net = trade_return * self.leverage - self.fee_rt * self.leverage
+        pnl = self.capital * self.position_size * net
+
+        is_win = trade_return > 0
+        self.capital += pnl
+        self.capital = max(self.capital, 0)
+        self.total_trades += 1
+        if is_win:
+            self.total_wins += 1
+
+        accuracy = self.total_wins / self.total_trades * 100 if self.total_trades > 0 else 0
+
+        trade_data = {
+            "reason": reason,
+            "direction": "long" if self.direction == 1 else "short",
+            "entry": round(self.entry_price, 2),
+            "exit": round(current_price, 2),
+            "pnl": round(pnl, 2),
+            "net_return": round(net * 100, 3),
+            "capital": round(self.capital, 2),
+            "bars_held": self.bars_held,
+            "win": is_win,
+            "total_trades": self.total_trades,
+            "accuracy": round(accuracy, 1),
+        }
+        self._log("CLOSE", trade_data)
+        self._notify("CLOSED", trade_data)
+
+        self.in_position = False
+        self.direction = 0
+        self.entry_price = 0
+        self.entry_time = ""
+        self.bars_held = 0
+        self.tp = 0.0
+        self.sl = 0.0
+        self.max_bars = 0
+
+    def tick(self, df: pd.DataFrame, df_1h: pd.DataFrame | None = None):
+        """Chiamato ad ogni poll con DataFrame OHLCV aggiornato.
+
+        df_1h: serie 1h live opzionale per strategie multi-timeframe (es. MT01),
+        passata ai generate_signals via params. Se None la strategia ricade sul
+        parquet statico.
+        """
+        if df.empty or len(df) < 100:
+            return
+
+        c = df["close"].values
+        current_price = float(c[-1])
+        current_ts = int(df["timestamp"].iloc[-1])
+        ts = pd.to_datetime(df["timestamp"], unit="ms", utc=True)
+
+        if self.in_position:
+            if current_ts > self.last_bar_ts:
+                self.bars_held += 1
+                self.last_bar_ts = current_ts
+
+            if self.tp and self.sl:
+                # Exit guidati dalla strategia: SL (conservativo, prima), poi TP, poi time-limit
+                if self.direction == 1:
+                    if current_price <= self.sl:
+                        self._close_position(current_price, "stop_loss")
+                    elif current_price >= self.tp:
+                        self._close_position(current_price, "take_profit")
+                    elif self.max_bars and self.bars_held >= self.max_bars:
+                        self._close_position(current_price, "time_limit")
+                else:
+                    if current_price >= self.sl:
+                        self._close_position(current_price, "stop_loss")
+                    elif current_price <= self.tp:
+                        self._close_position(current_price, "take_profit")
+                    elif self.max_bars and self.bars_held >= self.max_bars:
+                        self._close_position(current_price, "time_limit")
+            elif self.bars_held >= self.hold_bars:
+                self._close_position(current_price, "hold_limit")
+            else:
+                pnl_pct = (current_price - self.entry_price) / self.entry_price * self.direction
+                if pnl_pct <= -0.02:
+                    self._close_position(current_price, "stop_loss")
+
+            self._save_state()
+            return
+
+        # Genera segnali
+        extra = dict(self.params)
+        if df_1h is not None:
+            extra["df_1h"] = df_1h
+        signals = self.strategy.generate_signals(
+            df, ts, asset=self.asset, tf=self.tf, **extra
+        )
+
+        if not signals:
+            self._save_state()
+            return
+
+        last_signal = signals[-1]
+        last_idx = len(df) - 1
+
+        if last_signal.idx >= last_idx - 1:
+            self._open_position(last_signal, current_price)
+            self.last_bar_ts = current_ts
+
+        self._save_state()
+
+    @property
+    def status_summary(self) -> str:
+        acc = self.total_wins / self.total_trades * 100 if self.total_trades > 0 else 0
+        pos = "LONG" if self.direction == 1 else "SHORT" if self.direction == -1 else "FLAT"
+        return (f"{self.worker_id}: €{self.capital:.0f} | {self.total_trades}t "
+                f"{acc:.0f}% | {pos}")

src/strategies/fade_base.py

@@ -0,0 +1,116 @@
+"""Base condivisa per strategie mean-reversion con exit TP/SL/max_bars.
+
+Tutte le strategie fade (MR02/MR03/MR07) generano Signal con metadata
+{tp, sl, max_bars} e usano lo stesso backtest fedele: ingresso a close[i]
+(eseguibile dal vivo), uscita su take-profit / stop-loss intrabar (high/low)
+o time-limit, una posizione per volta (non-overlap), capitale composto,
+fee+leva nette. Identico all'engine di scripts/analysis/strategy_research.py.
+
+Le sottoclassi implementano solo generate_signals().
+"""
+from __future__ import annotations
+
+import numpy as np
+import pandas as pd
+
+from src.strategies.base import Strategy, BacktestResult, YearlyStats, TF_MINUTES
+from src.data.downloader import load_data
+
+
+def atr(df: pd.DataFrame, n: 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).rolling(n).mean().values
+
+
+def trend_distance(df: pd.DataFrame, ema_long: int = 200) -> np.ndarray:
+    """Distanza del close dalla EMA lunga, in multipli di ATR(14).
+
+    Misura quanto il prezzo e' esteso rispetto al trend di fondo. Le fade
+    falliscono quando si oppongono a un trend estremo (crolli/parabolic): il
+    filtro `trend_max` salta i segnali con distanza > soglia. Riduce DD e alza
+    l'accuratezza (validato OOS: scripts/analysis/risk_portfolio.py).
+    """
+    c = df["close"].values
+    a = atr(df, 14)
+    el = pd.Series(c).ewm(span=ema_long, adjust=False).mean().values
+    with np.errstate(divide="ignore", invalid="ignore"):
+        return np.abs(c - el) / np.where(a == 0, np.nan, a)
+
+
+class FadeStrategy(Strategy):
+    """Strategy con backtest intrabar TP/SL/max_bars (exit guidati dai metadata)."""
+
+    fee_rt = 0.001          # Deribit perp realistico (taker 0.05%/lato)
+    leverage = 3.0
+    position_size = 0.15
+    initial_capital = 1000.0
+
+    def backtest(self, asset: str, tf: str = "1h", hold: int = 3,
+                 **params) -> BacktestResult | None:
+        df = load_data(asset, tf)
+        ts = pd.to_datetime(df["timestamp"], unit="ms", utc=True)
+        signals = self.generate_signals(df, ts, **params)
+        if not signals:
+            return None
+
+        h, l, c = df["high"].values, df["low"].values, df["close"].values
+        n = len(c)
+        fee = self.fee_rt * self.leverage
+        capital = peak = float(self.initial_capital)
+        max_dd = 0.0
+        total_bars = 0
+        last_exit = -1
+        yearly: dict[int, dict] = {}
+
+        for sig in signals:
+            i, d = sig.idx, sig.direction
+            if i <= last_exit or i + 1 >= n:
+                continue
+            entry = c[i]
+            tp, sl, mb = sig.metadata["tp"], sig.metadata["sl"], sig.metadata["max_bars"]
+            exit_p = c[min(i + mb, n - 1)]
+            j = min(i + mb, n - 1)
+            for step in range(1, mb + 1):
+                j = i + step
+                if j >= n:
+                    j = n - 1; exit_p = c[j]; break
+                hit_sl = (d == 1 and l[j] <= sl) or (d == -1 and h[j] >= sl)
+                hit_tp = (d == 1 and h[j] >= tp) or (d == -1 and l[j] <= tp)
+                if hit_sl:                          # conservativo: SL prima del TP nello stesso bar
+                    exit_p = sl; break
+                if hit_tp:
+                    exit_p = tp; break
+                if step == mb:
+                    exit_p = c[j]
+
+            ret = (exit_p - entry) / entry * d * self.leverage - fee
+            capital = max(capital + capital * self.position_size * ret, 10.0)
+            if capital > peak:
+                peak = capital
+            max_dd = max(max_dd, (peak - capital) / peak)
+            total_bars += (j - i)
+            last_exit = j
+
+            year = ts.iloc[i].year
+            yr = yearly.setdefault(year, {"w": 0, "t": 0, "pnl": 0.0})
+            yr["t"] += 1
+            if ret > 0:
+                yr["w"] += 1
+            yr["pnl"] += ret * self.initial_capital
+
+        all_t = sum(v["t"] for v in yearly.values())
+        all_w = sum(v["w"] for v in yearly.values())
+        if all_t == 0:
+            return None
+
+        yearly_stats = [YearlyStats(y, v["t"], v["w"], v["pnl"]) for y, v in sorted(yearly.items())]
+        return BacktestResult(
+            strategy_name=self.name, asset=asset, timeframe=tf, params=params,
+            trades=all_t, wins=all_w, pnl=sum(v["pnl"] for v in yearly.values()),
+            capital=capital, initial_capital=self.initial_capital,
+            max_dd=max_dd * 100, time_in_market_pct=total_bars / n * 100,
+            avg_trade_duration_h=total_bars / all_t * TF_MINUTES.get(tf, 60) / 60,
+            years_active=len(yearly), yearly=yearly_stats,
+        )

strategies.yml

@@ -0,0 +1,114 @@
+defaults:
+  capital: 1000
+  position_size: 0.15
+  leverage: 3
+  hold_bars: 3
+  poll_seconds: 60
+  retrain_hours: 24
+
+# Solo MR01 Bollinger fade (mean-reversion): unica con edge netto validato
+# out-of-sample e fee-aware. La famiglia squeeze e' in scripts/waste/.
+# ATTENZIONE: MR01 esce su TP-alla-media / SL-ad-ATR / max_bars (vedi metadata
+# dei Signal). Lo StrategyWorker attuale esce solo a hold_bars/stop -2% fisso:
+# va aggiornato per usare gli exit in metadata PRIMA di tradare MR01 dal vivo.
+strategies:
+  - name: MR01_bollinger_fade
+    asset: BTC
+    tf: 1h
+    enabled: true
+    params:
+      bb_window: 50
+      k: 2.5
+      sl_atr: 2.0
+      max_bars: 24
+      trend_max: 3.0       # salta fade contro trend estremo (|close-EMA200|/ATR>3): Acc+ DD-
+      ema_long: 200
+
+  # ETH: edge positivo ma DD piu' alto (~70%); leva piu' bassa consigliata
+  - name: MR01_bollinger_fade
+    asset: ETH
+    tf: 1h
+    enabled: true
+    params:
+      bb_window: 50
+      k: 2.5
+      sl_atr: 2.0
+      max_bars: 24
+      trend_max: 3.0       # salta fade contro trend estremo (|close-EMA200|/ATR>3): Acc+ DD-
+      ema_long: 200
+
+  # MR02 Donchian fade: fade rottura canale (estremi H/L). Robusto su tutta la
+  # griglia n x sl_atr e tutte le fee. BTC +879%/+171% OOS (8/9 anni), ETH enorme.
+  - name: MR02_donchian_fade
+    asset: BTC
+    tf: 1h
+    enabled: true
+    params:
+      n: 20
+      sl_atr: 2.0
+      max_bars: 24
+      trend_max: 3.0       # salta fade contro trend estremo (|close-EMA200|/ATR>3): Acc+ DD-
+      ema_long: 200
+  - name: MR02_donchian_fade
+    asset: ETH
+    tf: 1h
+    enabled: true
+    params:
+      n: 20
+      sl_atr: 2.0
+      max_bars: 24
+      trend_max: 3.0       # salta fade contro trend estremo (|close-EMA200|/ATR>3): Acc+ DD-
+      ema_long: 200
+
+  # MR03 Keltner fade: fade canale ATR su EMA (banda indipendente da Bollinger).
+  # Robusto su tutta la griglia n x k. BTC n30 k2.0 +112% OOS DD20%.
+  # ETH: edge ampio ma DD pieno ~65% (tratto dell'asset, come MR01) -> leva bassa.
+  - name: MR03_keltner_fade
+    asset: BTC
+    tf: 1h
+    enabled: true
+    params:
+      n: 30
+      k: 2.0
+      sl_atr: 2.0
+      max_bars: 24
+      # NB: su MR03 BTC il filtro trend PEGGIORA Acc e DD (unico sleeve) -> disattivo.
+  - name: MR03_keltner_fade
+    asset: ETH
+    tf: 1h
+    enabled: true
+    params:
+      n: 50
+      k: 2.0
+      sl_atr: 2.0
+      max_bars: 24
+      trend_max: 3.0       # salta fade contro trend estremo (|close-EMA200|/ATR>3): Acc+ DD-
+      ema_long: 200
+
+  # MR07 Return reversal: fade movimento di barra estremo (z dei rendimenti).
+  # Meccanismo distinto (volatilita' rendimenti, non livelli). Esposizione bassa
+  # (~8%). BTC +447%/+105% OOS DD25%, ETH +335%/+195% OOS DD46%.
+  - name: MR07_return_reversal
+    asset: BTC
+    tf: 1h
+    enabled: true
+    params:
+      n: 50
+      k: 3.5
+      tp_atr: 2.0
+      sl_atr: 1.5
+      max_bars: 24
+      trend_max: 3.0       # salta fade contro trend estremo (|close-EMA200|/ATR>3): Acc+ DD-
+      ema_long: 200
+  - name: MR07_return_reversal
+    asset: ETH
+    tf: 1h
+    enabled: true
+    params:
+      n: 50
+      k: 3.5
+      tp_atr: 2.0
+      sl_atr: 1.5
+      max_bars: 24
+      trend_max: 3.0       # salta fade contro trend estremo (|close-EMA200|/ATR>3): Acc+ DD-
+      ema_long: 200

uv.lock

@@ -2057,6 +2057,7 @@ dependencies = [
     { name = "numpy" },
     { name = "pandas" },
     { name = "pyarrow" },
+    { name = "pyyaml" },
     { name = "requests" },
     { name = "scikit-learn" },
     { name = "scipy" },
@@ -2081,6 +2082,7 @@ requires-dist = [
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     { name = "pytest", marker = "extra == 'dev'", specifier = ">=8.0" },
     { name = "pytest-asyncio", marker = "extra == 'dev'", specifier = ">=0.24" },
+    { name = "pyyaml", specifier = ">=6.0" },
     { name = "requests", specifier = ">=2.31" },
     { name = "scikit-learn", specifier = ">=1.3" },
     { name = "scipy", specifier = ">=1.11" },
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