Adriano Dal Pastro
0adc69a357
18 agenti su book market-neutral a 2 gambe BTC/ETH (eseguibili a $600, a differenza di XS01), giudicati sul MARGINALE vs TP01 (altlib.marginal_vs_tp01), non sullo Sharpe assoluto. Lab: ortholib.py (eval_book leak-free a 2 gambe + causalità + eseguibilità@600), ortho_score.py (giudice), meta_ortho.py (corr mutua + persistenza multi-cut), sleeve_rv.py (curated, SELECTION- BIASED, non deployare). Esito: 17/18 "ADDS" -> gonfiato dall'hold-out corto fisso-2025 (finestra ETH-bleed dove TP01 è debole). Diagnosi orchestratore: collassano a 8 bet (corr 0.43); persistenza multi-cut e selezione walk-forward smascherano i 2025-only (kalman/xs2). Scettico indipendente: basket selection-free ha uplift pre-2025 +0.027 = 49° percentile di asset-rumore corr-zero (matematica di diversificazione, non segnale); corr(Sharpe-TP01, uplift) -0.87 (è un HEDGE dei drawdown di TP01); muore a 0.30% RT. Verdetto: NIENTE in live. Resta solo TP01. Lezione: lo scorer marginale va indurito (multi-cut + null-asset-rumore + distinguere hedge da alpha). Diario 2026-06-21-ortho-tp01-relative-value.md. Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>
416 lines
9.4 KiB
JSON
416 lines
9.4 KiB
JSON
[
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{
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"name": "agent_03_relstrength_gated",
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