Adriano Dal Pastro
61180637eb
Onda "nuova ricerca mirata". Unico meccanismo non coperto dalle 2 ondate: carry da funding (cashflow perp, delta-neutral). Scan dati: price-clock gia' FAIL (intraday), Deribit ccxt 0 righe, Cerbero solo candele -> fonte = API pubblica Hyperliquid. - fetch_hl_funding.py: 19 major, funding orario reale dal 2023-05, certificato (0 gap, cov 98-100%, ann +1.0% APT .. +21.6% NEAR). backoff anti-429. - funding_carry_hl.py: book dollar-neutral short-alto-funding/long-basso, causale come XS01, vol-target 20%, fee 0.05%/lato. Giudizio: marginal_vs_tp01 indurito + overlap XS01. VERDETTO: il premio esiste (carry >> anti) ma il book NON regge il gauntlet. FULL -0.12, HOLD -0.50, DILUTES vs TP01, in-sample edge <0.5, no multicut. Jackknife universo: FULL oscilla [-0.39,+0.30] togliendo UN asset -> FRAGILE/overfit. (preview a 17 asset era +0.62 ADDS: fortuna, mancavano NEAR/AAVE). corr XS01 -0.19 (ortogonale, non re-skin). Meccanismo: carry-vs-momentum, gli alto-funding pompano. -> NON entra in portafoglio, fetcher NON in cron. Diario completo. Infra IB (thread parallelo): gateway paper gnzsnz/ib-gateway (127.0.0.1:4002, READ_ONLY) in docker-compose + ib_probe.py. Esito dati basis CME micro: backtest NON fattibile (ContFuture back-adjusted, scaduti=1 barra). IB ok per esecuzione/forward, non ricerca. .env.ibgw gitignored (credenziali paper), template in .env.ibgw.example. Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>
68 lines
1.4 KiB
Plaintext
68 lines
1.4 KiB
Plaintext
__pycache__/
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*.py[cod]
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*.egg-info/
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dist/
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build/
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.venv/
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.env
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!.env.example
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.env.ibgw
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!.env.ibgw.example
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.vscode/
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.idea/
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.DS_Store
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data/raw/
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data/processed/
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*.log
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*.pkl
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*.pt
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*.pth
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notebooks/.ipynb_checkpoints/
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data/paper_trades/
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data/portfolio_paper/
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data/portfolio_paper_stats/
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data/portfolios/
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# watermark fondi del reconciler (stato runtime, contiene il balance)
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data/funds_watch.json
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# stato locale di tooling (non condiviso)
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.claude/
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.omc/
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# dati regime (DVOL/funding/feature cache, rigenerabili)
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data/regime/
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_disp_scratch/
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data/regime/dispersion_features.parquet
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# storico catena opzioni importato da cerbero-bite (rigenerabile: options_fetcher.py)
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data/options/
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data/_reset_backup/
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# game artifacts (log/json di scripts/games e gate)
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data/games/
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.env.mainnet
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# archived data (mirrors top-level data/ ignores, which are top-level-anchored)
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Old/data/
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Old/**/__pycache__/
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# run logs (rigenerabili dagli script)
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logs/
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# cache della ricerca trackE (rigenerabile)
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.cache_trackE_*.npy
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# feed backup pre-rebuild (binari rigenerabili, NON in git) + stato paper trader (runtime)
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data/_feed_backup/
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data/paper_trend/
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data/paper_portfolio/
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# output grezzo dello sweep di ricerca xsec (rigenerabile dagli script in runs/)
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scripts/research/xsec/runs/out/
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# blind-signal derived data (regenerable via make_blind.py)
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data/blind/
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scripts/research/blind/leaderboard.json
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# forward-monitor runtime state (regenerable, forward-only)
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data/paper_prevday/
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