Adriano Dal Pastro
d152941360
Integra il lavoro della linea di ricerca parallela (AdrianoDev), verificato indipendentemente
col mio gauntlet onesto (regge il hold-out 2025-26 su entrambi gli asset, plateau 1h/4h/1d):
- src/strategies/trend_portfolio.py TP01 (TSMOM 30/90/180 vol-target 20% lev2x long-flat, 50/50 BTC+ETH)
- src/backtest/harness.py harness onesto (load + backtest_signals no-leakage + OOS)
- scripts/research/track{A,B,C,D,E}_*.py + trackD_timing.py (le 5 track della ricerca)
- scripts/live/paper_trend.py paper trader forward-only di TP01 (no esecuzione reale)
- tests/test_trend_portfolio.py (5 test, passano) + 6 diari trackA-E + synthesis
- CLAUDE.md aggiornato con l'esito ricerca (TP01 vincente, mean-rev morto, onesta su €50/g)
Squash (non merge) per NON portare in git i ~68MB di data/_feed_backup/*.bak che il branch
aveva committato per errore: esclusi + data/_feed_backup/ e data/paper_trend/ ora gitignorati.
Storia granulare del branch conservata sul ref origin/strategy-research-2026-06.
Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>
97 lines
6.1 KiB
Markdown
97 lines
6.1 KiB
Markdown
# 2026-06-19 — Track D: Robust walk-forward TREND PORTFOLIO (BTC+ETH), vol-targeted + leverage
|
||
|
||
Follow-up to Track A. Thesis under test: trend-following's real value in crypto is **drawdown
|
||
reduction** vs buy & hold (it sidesteps crashes), and that lower DD lets you apply **leverage** and
|
||
**diversify** BTC+ETH into a deployable, risk-adjusted *earning* system — even if each single signal
|
||
has modest Sharpe. Tool: `scripts/research/trackD_trendport.py` (run
|
||
`uv run python scripts/research/trackD_trendport.py`).
|
||
|
||
## Method (honest, no look-ahead)
|
||
Equity built directly from a **target-position series** (the harness's documented "build your own
|
||
equity" path), NOT per-trade chaining:
|
||
- `target[i]` decided with data **≤ close[i]**; **held during the next bar** (close[i]→close[i+1]).
|
||
- `pnl[t] = target[t-1]·r[t]`, `r[t]=close[t]/close[t-1]-1` — positions **shifted +1 bar** ⇒ no leakage.
|
||
- Fees on **turnover**: `0.05%/side·|target[t-1]-target[t-2]|` (0.10% RT baseline; swept 0.10–0.40% RT).
|
||
- **Vol-targeting** (main lever): `target = direction · (target_vol / realized_vol)`, clipped to the
|
||
leverage cap. `realized_vol` = annualized rolling std of past bar returns (30d window), ≤ close[i].
|
||
- **Portfolio** = 50/50 BTC+ETH net-return series, rebalanced each bar on common timestamps.
|
||
|
||
Leakage sanity check passed: an *oracle* target using next-bar sign explodes (10^119×) — proving the
|
||
engine holds `target[i-1]` over bar `i` — while our signals (TSMOM blend, MA-slope, Donchian) only use
|
||
`close[i]` and earlier. Zero-position equity = exactly 1.0.
|
||
|
||
## What was tested
|
||
TSMOM multi-horizon blend (1/3/6-month-equiv on 1h bars), MA-slope (EMA200 slope), Donchian breakout
|
||
with trailing channel stop — each vol-targeted, long-short **and** long-flat, per-asset and combined.
|
||
Grid: target-vol × leverage-cap × horizon-set; explicit EARLY(2018-21)/LATE(2022-26) split;
|
||
fee & leverage sweep; full per-year 2018-2026.
|
||
|
||
## Results — the honest picture
|
||
|
||
**1) The thesis holds: massive DD reduction, and diversification helps.**
|
||
| Strategy (50/50 port, tvol20%, LS) | CAGR | Sharpe | maxDD | volA |
|
||
|---|---|---|---|---|
|
||
| **B&H 50/50** | +48% | 0.92 | **77.8%** | 70% |
|
||
| TSMOM 1-3-6m blend | +14.2% | **1.00** | **18.9%** | 14% |
|
||
| MA-slope | +14.1% | 0.79 | 21.9% | 19% |
|
||
| Donchian-trailing | +14.7% | 0.89 | 17.7% | 17% |
|
||
|
||
Trend cuts maxDD from ~78% to ~18% while keeping a Sharpe **above** buy&hold (1.00 vs 0.92). The
|
||
portfolio Sharpe (1.00) **beats both sleeves** (BTC 0.95, ETH 0.75) — diversification works as claimed.
|
||
The **long-flat** variant is even cleaner: Sharpe **1.32**, maxDD **13.3%** (no short funding/borrow risk).
|
||
|
||
**2) It is genuinely robust (not a lucky cell).**
|
||
- *Per-year (headline LS):* every full year **positive** 2019-2025 (+19/+36/+19/+6/+2/+14/+4%) and 2026 +8%.
|
||
- *Grid:* Sharpe ≈1.00 across **all** target-vol (10-40%) × leverage caps — flat plateau (vol-targeting
|
||
just scales). DD scales ~linearly with target-vol (10%→DD10%, 40%→DD35%).
|
||
- *Horizon-set:* every subset (1m/3m/6m/1-3m/3-6m/1-2-4m/2-4-8m) is **positive**; Sharpe 0.37→1.39.
|
||
Shorter horizons (1m, 1-2-4m) score best (Sharpe 1.34-1.39) — a real plateau, not one combo.
|
||
- *Fee:* survives to 0.40% RT (Sharpe 1.00→0.39, still positive at 4× baseline fee).
|
||
|
||
**3) The honest caveat — most of the edge is the EARLY regime.**
|
||
Walk-forward split, same param set both assets:
|
||
- **EARLY 2018-2021:** CAGR +26%, Sharpe **1.63**, DD 18%.
|
||
- **LATE 2022-2026:** CAGR +7.3%, Sharpe **0.57**, DD 19%.
|
||
The signal is real and still net-positive every late year, but its quality **halved** post-2021
|
||
(crypto vol compressed, trends choppier). This is the same warning Track A raised, now quantified: the
|
||
edge is strongest 2019-2021 and merely *modest* in the 2022-26 regime.
|
||
|
||
**4) Leverage is a red herring; target-vol is the real dial — and it costs DD linearly.**
|
||
At tvol=20% on 60-80% crypto vol, positions stay **sub-1x** (avg gross 0.23×): the leverage cap
|
||
**never binds**. To deploy real leverage you raise target-vol; Sharpe stays ~1.0, DD scales:
|
||
|
||
| target_vol | avg gross | CAGR | Sharpe | maxDD |
|
||
|---|---|---|---|---|
|
||
| 20% | 0.23× | +14% | 1.00 | 19% |
|
||
| 40% | 0.45× | +28% | 1.00 | 35% |
|
||
| 60% | 0.68× | +40% | 1.00 | 48% |
|
||
| 80% | 0.90× | +50% | 1.00 | 60% |
|
||
| 100% | 1.12× | +58% | 0.99 | 69% |
|
||
|
||
## Verdict — is this a deployable earning system?
|
||
|
||
**Yes as a risk-adjusted system; NO as a fast path to €50/day on €2000.**
|
||
|
||
- This is the **first post-reset config that is genuinely robust**: Sharpe ~1.0 (long-flat 1.3),
|
||
positive every year 2018-2026, robust across grid/horizon/fee, on both assets, on certified data,
|
||
with honest no-look-ahead accounting. It is a real, deployable trend portfolio and a clear
|
||
improvement over Track A's lucky single cells. The thesis (DD reduction → leverageable, diversifiable)
|
||
is **confirmed**.
|
||
- **But the earnings are modest.** Headline (tvol20%, 2x cap, LS): CAGR **+14.2%**, DD 19% ⇒ steady-state
|
||
**~€0.73/day on €2000**. To average **€50/day at this CAGR you need ~€137k capital**, not €2000.
|
||
- **Leverage can't close the gap cheaply.** Pushing target-vol to 80% gives CAGR ~50% (DD **60%**) — and
|
||
at €2000, 50%/yr is still only ~€2.7/day in steady state. Reaching €50/day in 1-2 years from €2000
|
||
would require both heavy leverage (DD 60-70%, near-ruin) **and** lucky path — not a sane plan.
|
||
- **Regime risk:** the edge is much weaker post-2021 (Sharpe 0.57 LATE). Deploy sized for the LATE
|
||
regime, not the EARLY one.
|
||
|
||
**Recommendation:** treat this as the **core risk engine** (compounding ~14%/yr at DD<20%, or
|
||
long-flat ~16%/yr at DD 13%), deployable now at low size to validate live execution. It grows €2000,
|
||
but to *€50/day* the lever is **capital + time**, not leverage. Realistic near-term: ~€0.7-1.5/day on
|
||
€2000; €50/day needs ~€70-140k or a second uncorrelated edge stacked on top.
|
||
|
||
## Deliverable
|
||
`scripts/research/trackD_trendport.py` — self-contained, prints B&H benchmark, broad scan, grid
|
||
robustness, horizon robustness, walk-forward early/late, fee+leverage sweep, headline config per-year,
|
||
and the path-to-€50/day table. Reusable building blocks (vol-targeting, target→equity, portfolio).
|