- deribit_book_sleeves(): TP01 75% + SKH01 25% — the two directional BTC/ETH legs on
ONE venue (Deribit), both since 2019. Excludes XS01 (Hyperliquid/stat-mode) & VRP01
(modeled options). FULL Sharpe 1.78 / HOLD 1.17 / DD 9.4% (research).
- rebalance_sim(): realistic PERIODIC rebalancing (drift between dates, turnover cost at
Deribit-taker ~5bps/side) vs the idealized continuous rebalance of combined_daily.
period=1 + cost=0 reduces to continuous (tested).
- run_deribit_book.py: report — continuous vs weekly/biweekly/monthly rebal, per-year,
accumulation €2k & $600-real, min-order $5 note. Finding: turnover is LOW (0.2-0.4x/yr),
so monthly rebal (€7,919) ~= continuous (€7,938) — cost is negligible; daily would be
sub-min-order fiction at $600 -> use >= weekly.
- +2 tests (rebalance_sim continuity & cost). Full suite green.
TP01 is the only live-armed leg; SKH01 is the candidate 2nd leg (validate execution code first).
Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>
Adriano Dal Pastro
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