Adriano Dal Pastro
14522262e6
Reset del progetto su fondamenta verificate dopo la scoperta che l'intera libreria "validata OOS" era artefatto di feed contaminato (print fantasma del feed Cerbero TESTNET + storico Binance/USDT). - Storico ricostruito da Deribit MAINNET (ccxt pubblico, tokenless) e CERTIFICATO (certify_feed.py): BTC/ETH puliti su TUTTA la storia (mediana 2-6 bps vs Coinbase USD), integrita' OHLC + coerenza resample (maxΔ 0.00) + cross-venue OK. Alt esclusi (illiquidi/divergenti: LTC/DOGE 50-82% barre flat; XRP/BNB non certificabili). - Verdetto sul feed pulito: FADE / PAIRS / XS01 / TSM01 morti (ogni portafoglio Sharpe -2.3..-3.0, DD ~40%); solo SH01 e frammenti HONEST con segnale residuo, da ri-validare in isolamento. - Cleanup "restart pulito": strategie, stack live (src/live, src/portfolio, runner/executor, yml, docker), ~100 script ricerca/gate, waste/games/ portfolios, dati non certificati + cache e 60+ diari -> archiviati in Old/ (preservati, non cancellati). Diario consolidato in un unico documento. - Skeleton ricerca tenuto: Strategy ABC + indicatori + src/fractal + src/backtest/engine + load_data; tool dati certificati (rebuild_history, certify_feed, audit_feed, multi_source_check). - Universo dati ATTIVO: solo BTC/ETH (5m/15m/1h); guardrail fisico (load_data su alt -> FileNotFoundError). Esecuzione DISABILITATA, conto flat. Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>
85 lines
3.7 KiB
Python
85 lines
3.7 KiB
Python
"""RI-ESECUZIONE FADE sul feed PULITO (data/raw ricostruito da Deribit mainnet, 2026-06-19).
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Dopo il rebuild (scripts/analysis/rebuild_history.py) i parquet canonici in data/raw
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sono storia Deribit mainnet reale (ccxt pubblico), certificata vs Coinbase USD. Qui giro
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le 6 fade (MR01/MR02/MR07 x BTC/ETH) con l'ENGINE CANONICO (risk_management.build_trades,
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strats_for) sul feed pulito, su ENTRAMBI i timeframe:
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- 1h = config dei claim storici "validati OOS" (CLAUDE.md: MR01 BTC +201% / ETH +1238%)
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- 15m = config LIVE attuale (swap 1h->15m, v1.1.30)
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Stessi parametri del live: pos 0.15, leva 3x, trend_max 3.0, fee 0.10% RT. OOS = ultimo 30%
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per indice (convenzione OOS_FRAC del progetto). Read-only, nessuna scrittura.
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uv run python scripts/analysis/clean_fade_rerun.py
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"""
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from __future__ import annotations
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import sys
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from pathlib import Path
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PROJECT_ROOT = Path(__file__).resolve().parents[2]
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sys.path.insert(0, str(PROJECT_ROOT))
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import numpy as np
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import pandas as pd
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from src.data.downloader import load_data
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from scripts.analysis.risk_management import strats_for, build_trades, POS, LEV, OOS_FRAC
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TFS = ["1h", "15m"]
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YEARS = list(range(2018, 2027))
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def metrics(ts, trades, split_idx, pos=POS):
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"""trades = [(i, j, r_netto)]. Ritorna (per-anno%, FULL%, FULL Sharpe, OOS%, OOS Sharpe)."""
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by = {y: 0.0 for y in YEARS}
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capF = capO = 1000.0
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rF, rO = [], []
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for i, j, r in trades:
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y = ts.iloc[i].year
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if y in by:
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by[y] += r * pos * 1000.0 # contributo lineare per la riga annuale
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capF = max(capF + capF * pos * r, 10.0)
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rF.append(r * pos)
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if i >= split_idx:
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capO = max(capO + capO * pos * r, 10.0)
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rO.append(r * pos)
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yr = {y: by[y] / 1000.0 * 100 for y in YEARS}
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shF = float(np.mean(rF) / np.std(rF) * np.sqrt(len(rF))) if len(rF) > 1 and np.std(rF) > 0 else 0.0
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shO = float(np.mean(rO) / np.std(rO) * np.sqrt(len(rO))) if len(rO) > 1 and np.std(rO) > 0 else 0.0
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return yr, (capF / 1000 - 1) * 100, shF, (capO / 1000 - 1) * 100, shO
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def main():
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years_present = set()
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results = {}
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for tf in TFS:
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for asset in ("BTC", "ETH"):
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df = load_data(asset, tf)
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ts = pd.to_datetime(df["timestamp"], unit="ms", utc=True)
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years_present |= set(ts.dt.year.unique().tolist())
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split_idx = int(len(df) * (1 - OOS_FRAC))
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cov = f"{ts.iloc[0].date()} -> {ts.iloc[-1].date()} ({len(df)} barre, OOS da {ts.iloc[split_idx].date()})"
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for code in ("MR01", "MR02", "MR07"):
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fn, params = strats_for(asset)[code]
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trades = build_trades(fn(df, **params), df, trend_max=3.0)
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results[(tf, asset, code)] = (metrics(ts, trades, split_idx), len(trades), cov)
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years = [y for y in YEARS if y in years_present]
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for tf in TFS:
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print("\n" + "=" * (62 + 9 * len(years)))
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print(f" FADE su FEED PULITO (Deribit mainnet) — {tf} | pos {POS}, leva {LEV:.0f}x, trend 3.0, fee 0.10% RT")
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# mostra la copertura una volta per asset
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for asset in ("BTC", "ETH"):
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print(f" {asset}: {results[(tf, asset, 'MR01')][2]}")
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print("=" * (62 + 9 * len(years)))
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print(f" {'sleeve':<11s}" + "".join(f"{y:>9d}" for y in years) +
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f"{'Trd':>7s}{'FULL%':>9s}{'Shrp':>7s}{'OOS%':>8s}{'Shrp':>7s}")
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print(" " + "-" * (60 + 9 * len(years)))
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for asset in ("BTC", "ETH"):
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for code in ("MR01", "MR02", "MR07"):
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(yr, fF, shF, fO, shO), ntr, _ = results[(tf, asset, code)]
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print(f" {code+'_'+asset:<11s}" + "".join(f"{yr[y]:>+9.0f}" for y in years) +
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f"{ntr:>7d}{fF:>+9.0f}{shF:>7.2f}{fO:>+8.0f}{shO:>7.2f}")
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print()
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if __name__ == "__main__":
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main()
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