Adriano c6236ed5d9 feat: integra VRP01 come sleeve del portafoglio (put credit spread + gate IV-rank) ...

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

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

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

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

2026-06-20 11:24:40 +02:00

..

test_portfolio.py

feat(portfolio): XS01 cross-sectional (Hyperliquid) BATTE il portafoglio -> TP01 70% + XS01 30%

2026-06-19 20:05:45 +00:00

test_trend_portfolio.py

integra(TP01): merge ricerca branch strategy-research-2026-06 (squash) — strategia vincente + harness + track A-E

2026-06-19 18:55:04 +00:00

test_vrp_sleeve.py

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

2026-06-20 11:24:40 +02:00