PythagorasGoal/scripts/live/paper_combo.py

"""PAPER COMBO — forward-only del combo DEPLOYABLE cross-venue: TP01 (Deribit) + GTAA (IB).

Le DUE gambe realmente eseguibili a basso capitale (XS01/VRP01 restano STAT-MODE, esclusi qui):
  * TP01 = TSMOM difensivo BTC/ETH long-flat, gia' armato su Deribit;
  * GTAA = trend difensivo multi-asset su ETF, eseguibile su IB.
Scorrelati (corr ~0.21) -> blend Sharpe ~1.5, maxDD dimezzato (diari 2026-06-22-deployable-combo).

Traccia FORWARD-ONLY l'equity del blend (default 50/50 capitale), applicando i rendimenti giornalieri
combinati man mano che arrivano barre nuove. Il crypto (calendario 7g) e' compoundato sul grid dei
giorni di borsa per allinearlo all'equity. NESSUNA esecuzione reale. Mostra le POSIZIONI azionabili
su entrambi i venue (TP01 target BTC/ETH + pesi ETF GTAA).

  uv run python scripts/live/paper_combo.py            # avanza (init al 1o run)
  uv run python scripts/live/paper_combo.py --status   # solo stato
  uv run python scripts/live/paper_combo.py --reset
"""
from __future__ import annotations
import sys, json
from pathlib import Path
PROJECT_ROOT = Path(__file__).resolve().parents[2]
sys.path.insert(0, str(PROJECT_ROOT))
import numpy as np, pandas as pd
from src.portfolio.sleeves import _tp01_returns, _tp01_positions
from src.portfolio.gtaa import gtaa_returns, gtaa_weights

STATE_DIR = PROJECT_ROOT / "data" / "paper_combo"
STATE = STATE_DIR / "state.json"
EQ = STATE_DIR / "equity.csv"
INITIAL = 2000.0
W_CRYPTO = 0.5   # blend di capitale TP01/GTAA (50/50; risk-parity ~30/70 alternativa)


def combo_daily(wc: float = W_CRYPTO) -> pd.Series:
    """Rendimenti netti daily del blend sul grid giorni-di-borsa (crypto compoundato)."""
    tp = _tp01_returns()
    if tp.index.tz is None:
        tp.index = tp.index.tz_localize("UTC")
    eq = gtaa_returns().dropna()
    grid = eq.index[eq.index >= tp.index[0]]
    cum = (1.0 + tp).cumprod()
    tpg = (cum.reindex(cum.index.union(grid)).ffill().reindex(grid)).pct_change()
    J = pd.concat({"c": tpg, "e": eq.reindex(grid)}, axis=1).dropna()
    return (wc * J["c"] + (1 - wc) * J["e"]).dropna()


def load():
    return json.loads(STATE.read_text()) if STATE.exists() else None


def save(st):
    STATE_DIR.mkdir(parents=True, exist_ok=True)
    STATE.write_text(json.dumps(st, indent=2))


def advance():
    r = combo_daily()
    st = load()
    if st is None:
        last = str(r.index[-1])
        st = dict(start=last, last=last, equity=INITIAL, initial=INITIAL, peak=INITIAL,
                  max_dd=0.0, n_days=0, w_crypto=W_CRYPTO)
        save(st)
        EQ.write_text("date,equity\n" + f"{last},{INITIAL}\n")
        return st
    last = pd.Timestamp(st["last"])
    new = r[r.index > last]
    if len(new):
        eq = st["equity"]; peak = st["peak"]; dd = st["max_dd"]; lines = []
        for d, ret in new.items():
            eq *= (1.0 + float(ret)); peak = max(peak, eq); dd = max(dd, (peak - eq) / peak if peak > 0 else 0)
            lines.append(f"{d},{eq:.4f}")
        st.update(equity=eq, last=str(new.index[-1]), peak=peak, max_dd=dd, n_days=st["n_days"] + len(new))
        save(st)
        with open(EQ, "a") as f:
            f.write("\n".join(lines) + "\n")
    return st


def main():
    a = sys.argv[1:]
    if "--reset" in a:
        for f in (STATE, EQ):
            f.unlink(missing_ok=True)
        print("paper combo azzerato.")
    st = load() if "--status" in a else advance()
    if st is None:
        st = advance()
    days = (pd.Timestamp(st["last"]) - pd.Timestamp(st["start"])).days
    ret = st["equity"] / st["initial"] - 1
    gw = gtaa_weights()
    asof = gw.pop("_asof", "?"); cash = gw.pop("_cash", None)
    print("PAPER COMBO — TP01 (Deribit) + GTAA (IB), forward-only, blend 50/50")
    print(f"  start {st['start'][:10]} -> last {st['last'][:10]} ({days}g, {st['n_days']} barre)")
    print(f"  equity {st['equity']:.2f} (start {st['initial']:.0f})  ret {ret*100:+.2f}%  maxDD {st['max_dd']*100:.1f}%")
    print(f"  --- POSIZIONI AZIONABILI ---")
    print(f"  TP01 (Deribit, frazione equity x leva): {_tp01_positions()}")
    print(f"  GTAA (IB, peso ETF, asof {asof}): " + ", ".join(f"{k} {v:.0%}" for k, v in gw.items() if v) + f"  | cash {cash:.0%}")


if __name__ == "__main__":
    main()