Adriano Dal Pastro 09c8bb7de8 research(cross-market): oltre SP500 (bond/commodity/indici esteri) -> niente, artefatto di confine UTC ...

Esteso il test crypto-lead a ZN(bond), ESTX50/DAX(Europa), NKD(Nikkei) via futures orari IB
(commodity GC/CL/HG bloccate da subscription). Test non-sovrapposto crypto[T-8h->T]->future[T->T+6h].

ES/NQ/RTY niente (gia'); ZN negativo; NKD debole (~overnight drift). ESTX50/DAX SEMBRANO fortissimi
(t_crypto 7.8, Sharpe 2.5, 3/3 anni) MA e' artefatto di confine UTC: picco a coltello a T=00:00,
morto a T=1h; GAP di 1h uccide l'effetto (Sharpe 2.45->-0.52); tutto l'edge nella singola barra
00:00->01:00 (Sh +2.93) vs ora dopo (-1.02). Firma esatta di day_boundary_robust (CLAUDE.md).

VERDETTO: nessuna anticipazione crypto->mercato sfruttabile, ne' SP500 ne' altro. Sempre co-movimento
contemporaneo (risk-beta) o artefatto di confine. Resta valido solo il diversificatore TP01+GTAA.

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

2026-06-23 12:12:16 +00:00

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alt

harness(causality): guardia look-ahead + calendar-artifact self-policing nel lab intraday

2026-06-21 15:22:58 +00:00

blind

research(blind): 52 agenti ciechi su curve anonime BTC/ETH — orchestratore valuta PnL/maxDD, niente di nuovo regge

2026-06-21 07:05:04 +00:00

intraday

research(intraday): PREVDAY block-bootstrap -> coda-fortuna vs persistente (blocker #2/#3)

2026-06-21 19:56:11 +00:00

ortho

research(ortho): caccia all'ortogonale a TP01 — relative-value BTC/ETH reale ma NON deployabile (hedge mono-regime)

2026-06-21 12:35:48 +00:00

xsec

research(xsec): sweep cross-sectional su Hyperliquid (43 script/257 config) + verifica avversariale

2026-06-20 21:36:57 +00:00

crypto_lead_harness.py

research(cross-market): sweep 65-agenti crypto->mercati IB -> fenomeno gap robustissimo ma NON edge

2026-06-22 22:32:28 +00:00

crypto_macro_leadlag.py

research(cross-market): crypto x mercati IB -> trovata ANTICIPAZIONE weekend-crypto -> lunedi' equity

2026-06-22 21:55:01 +00:00

crypto_overnight_equity.py

research(cross-market): "monitor Deribit/trade IB" gap = LOOK-AHEAD, edge tradabile ~0

2026-06-23 11:23:18 +00:00

crypto_overnight_honest.py

research(cross-market): "monitor Deribit/trade IB" gap = LOOK-AHEAD, edge tradabile ~0

2026-06-23 11:23:18 +00:00

crypto_weekend_signal.py

research(cross-market): crypto x mercati IB -> trovata ANTICIPAZIONE weekend-crypto -> lunedi' equity

2026-06-22 21:55:01 +00:00

eq_crypto_combo.py

research(equities): EQ-GTAA01 trend multi-asset + COMBO cross-mercato (diversifica il crypto)

2026-06-22 21:42:42 +00:00

eq_gtaa_trend.py

research(equities): EQ-GTAA01 trend multi-asset + COMBO cross-mercato (diversifica il crypto)

2026-06-22 21:42:42 +00:00

eq_sector_momentum.py

research(equities): EQ-MOM01 momentum settoriale -> NON batte SPY

2026-06-22 21:33:38 +00:00

eq_spy_trend.py

research(equities): EQ-TREND01 trend difensivo su SPY = edge difensivo REALE (analogo TP01)

2026-06-22 21:37:37 +00:00

eq_tp01_gtaa_combo.py

research(equities): valida combo DEPLOYABLE TP01+GTAA (le due gambe eseguibili)

2026-06-22 21:48:35 +00:00

eqlib.py

research(equities): apre il fronte azioni/ETF via IB — dati certificati + cache su disco

2026-06-22 21:29:11 +00:00

eu_overnight_deepdive.py

research(cross-market): oltre SP500 (bond/commodity/indici esteri) -> niente, artefatto di confine UTC

2026-06-23 12:12:16 +00:00

fetch_dvol.py

research: imposta sleeve OPZIONI VRP — infrastruttura + prima validazione (LEAD reale, non deploy)

2026-06-19 20:30:08 +00:00

fetch_hl_funding.py

research(funding-carry): FC01 cross-sectional su HL -> fragile, NON regge + infra IB paper

2026-06-22 20:56:18 +00:00

fetch_ib_equities.py

research(cross-market): sweep 65-agenti crypto->mercati IB -> fenomeno gap robustissimo ma NON edge

2026-06-22 22:32:28 +00:00

fetch_ib_futures.py

research(cross-market): oltre SP500 (bond/commodity/indici esteri) -> niente, artefatto di confine UTC

2026-06-23 12:12:16 +00:00

funding_carry_hl.py

research(funding-carry): FC01 cross-sectional su HL -> fragile, NON regge + infra IB paper

2026-06-22 20:56:18 +00:00

fut_leadlag_generic.py

research(cross-market): oltre SP500 (bond/commodity/indici esteri) -> niente, artefatto di confine UTC

2026-06-23 12:12:16 +00:00

fut_overnight_leadlag.py

research(cross-market): futures overnight non-sovrapposto -> edge ~0 su SP500, soffio su small-cap

2026-06-23 11:51:15 +00:00

ib_equities_probe.py

research(equities): apre il fronte azioni/ETF via IB — dati certificati + cache su disco

2026-06-22 21:29:11 +00:00

ib_probe.py

research(funding-carry): FC01 cross-sectional su HL -> fragile, NON regge + infra IB paper

2026-06-22 20:56:18 +00:00

options_real_quote_check.py

research: porta artefatti da strategy-research-calendar (tracks F-I + eval crypto_backtest + lead OPZIONI/VRP)

2026-06-19 20:24:16 +00:00

options_vrp_calibrate.py

research: calibra VRP su quote REALI cerbero-bite — f≈1.0 (non 1.29), lead DEBOLE confermato non-deploy

2026-06-19 20:38:54 +00:00

options_vrp_lab.py

research: imposta sleeve OPZIONI VRP — infrastruttura + prima validazione (LEAD reale, non deploy)

2026-06-19 20:30:08 +00:00

options_vrp_managed.py

research(xsec): sweep cross-sectional su Hyperliquid (43 script/257 config) + verifica avversariale

2026-06-20 21:36:57 +00:00

options_vrp_v2.py

research: analisi strategie FinanceOld + VRP v2 (defined-risk spread + gate IV-rank)

2026-06-20 11:16:59 +02:00

trackA_trend.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

trackB_ml.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

trackC_meanrev.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

trackD_lookahead_audit.py

research: porta artefatti da strategy-research-calendar (tracks F-I + eval crypto_backtest + lead OPZIONI/VRP)

2026-06-19 20:24:16 +00:00

trackD_timing.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

trackD_trendport.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

trackE_xsec_ensemble.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

trackF_seasonality.py

research: porta artefatti da strategy-research-calendar (tracks F-I + eval crypto_backtest + lead OPZIONI/VRP)

2026-06-19 20:24:16 +00:00

trackG_prior_levels.py

research: porta artefatti da strategy-research-calendar (tracks F-I + eval crypto_backtest + lead OPZIONI/VRP)

2026-06-19 20:24:16 +00:00

trackH_volume_vol.py

research: porta artefatti da strategy-research-calendar (tracks F-I + eval crypto_backtest + lead OPZIONI/VRP)

2026-06-19 20:24:16 +00:00

trackI_momentum_reversal.py

research: porta artefatti da strategy-research-calendar (tracks F-I + eval crypto_backtest + lead OPZIONI/VRP)

2026-06-19 20:24:16 +00:00

wf_crypto_lead.js

research(cross-market): sweep 65-agenti crypto->mercati IB -> fenomeno gap robustissimo ma NON edge

2026-06-22 22:32:28 +00:00