PythagorasGoal/scripts/research/tail_hedge_lab.py

"""TAIL-HEDGE LAB — proteggere il DD del combo (TP01+GTAA) e gli anni tipo 2022. Valuta OPZIONI.

Il DD del combo (8.4%) e' grind-lento (2022), non crash. Le PUT proteggono i CRASH (rischio latente
gap/overnight + leva), non il grind. Quindi confronto:
  (A) OPZIONI: put-spread LONG su indice 50/50 BTC/ETH (mirror di VRP01), always-on vs GATED (hold
      l'hedge solo quando esposti al trend / quando IV economica). Premio BS su DVOL reale, payoff sul
      path. Misura il BLEED nei calmi + il payoff nei crash (+ stress sintetico -30% overnight).
  (B) GUARDIA DRAWDOWN: de-risk il combo quando il DD da picco supera X% (o vol spike).
  (C) VOL-TARGET: cappa la vol del combo a un livello piu' basso.
Metriche: Sharpe, MaxDD, anno 2022, drag medio nei calmi, e payoff a uno shock -30%.
"""
import sys
from pathlib import Path
import numpy as np, pandas as pd
ROOT = Path(__file__).resolve().parents[2]
sys.path.insert(0, str(ROOT)); sys.path.insert(0, str(ROOT / "scripts" / "research"))
from combo_yearly_report import combo_daily
from src.data.downloader import load_data
from src.strategies.trend_portfolio import resample_1d
from src.portfolio.sleeves import _bs_put, _strike_from_delta, _HL_DIR, _tp01_returns
from scipy.stats import norm

ANN = np.sqrt(252.0)


def _sh(r): r = np.asarray(pd.Series(r).dropna(), float); return float(np.mean(r)/np.std(r)*ANN) if len(r)>5 and np.std(r)>0 else 0.0
def _dd(r): eq=np.cumprod(1+np.asarray(r,float)); pk=np.maximum.accumulate(eq); return float(np.max((pk-eq)/pk)) if len(eq) else 0.0
def _yr(r,y): return float(np.prod(1+r[r.index.year==y].values)-1) if (r.index.year==y).any() else 0.0


def crypto_index():
    """Indice 50/50 BTC/ETH (prezzo daily) + DVOL medio, per il pricing dell'hedge."""
    px={}; dv={}
    for a in ("BTC","ETH"):
        df=resample_1d(load_data(a,"1h")); s=pd.Series(df["close"].values.astype(float),index=pd.to_datetime(df["datetime"]))
        if s.index.tz is None: s.index=s.index.tz_localize("UTC")
        px[a]=s
        d=pd.read_parquet(_HL_DIR/f"dvol_{a.lower()}.parquet")
        dv[a]=pd.Series(d["close"].values.astype(float),index=pd.to_datetime(d["timestamp"],unit="ms",utc=True))
    P=pd.concat(px,axis=1,join="inner").dropna(); D=pd.concat(dv,axis=1,join="inner").dropna()
    idx_ret=0.5*P["BTC"].pct_change()+0.5*P["ETH"].pct_change()
    dvol=(0.5*D["BTC"]+0.5*D["ETH"]).reindex(P.index).ffill()/100.0
    return idx_ret.dropna(), dvol


def hedge_overlay(idx_ret, dvol, kind="spread", buy_delta=-0.30, sell_delta=-0.10, tenor_d=7, gate_ivr=None):
    """P&L settimanale per unita' di nozionale hedge di una protezione LONG comprata ogni settimana
    sull'indice. kind='spread' = put-spread debit (compra strike vicino buy_delta, vende deep-OTM
    sell_delta); kind='put' = long put nuda (buy_delta). gate_ivr: compra solo se IV-rank < soglia.
    Ritorna (pnl_daily, premio_annuo_per_unita)."""
    idx=idx_ret.index; r=idx_ret.values; sig=dvol.reindex(idx).ffill().values
    S=np.cumprod(1+r); n=len(S)
    ivr=pd.Series(sig,index=idx).rolling(252,min_periods=60).apply(lambda x:(x[-1]>=x).mean(),raw=True).values
    out=np.zeros(n); prem_tot=0.0; i=30; T=tenor_d/365.25
    while i+tenor_d<n:
        if gate_ivr is not None and (not np.isfinite(ivr[i]) or ivr[i]>gate_ivr):
            i+=tenor_d; continue
        S0=S[i]; vol=sig[i]; ST=S[i+tenor_d]
        Kb=_strike_from_delta(S0,T,vol,buy_delta)
        if kind=="put":
            prem=_bs_put(S0,Kb,T,vol); payoff=max(Kb-ST,0)
        else:
            Ks=_strike_from_delta(S0,T,vol,sell_delta)               # Kb>Ks (compra vicino, vende lontano)
            prem=_bs_put(S0,Kb,T,vol)-_bs_put(S0,Ks,T,vol); payoff=max(Kb-ST,0)-max(Ks-ST,0)
        fee=0.0005*S0
        out[i+tenor_d]=(payoff-prem-fee)/S0; prem_tot+=(prem+fee)/S0
        i+=tenor_d
    yrs=(idx[-1]-idx[0]).days/365.25
    return pd.Series(out,index=idx), (prem_tot/yrs if yrs>0 else 0.0)


def dd_guard(combo, dd_trigger=0.05, look=20):
    """De-risk: se il DD da picco supera dd_trigger -> esposizione 0.5 finche' non recupera meta'."""
    r=combo.values; n=len(r); eq=np.cumprod(1+r); pk=np.maximum.accumulate(eq)
    expo=np.ones(n); on=True
    for i in range(1,n):
        ddi=(pk[i-1]-eq[i-1])/pk[i-1]
        if ddi>dd_trigger: on=False
        if ddi<dd_trigger*0.4: on=True
        expo[i]=1.0 if on else 0.4
    return pd.Series(expo*r,index=combo.index)


def voltarget(combo, tv=0.07):
    rv=combo.rolling(30,min_periods=15).std().shift(1)*ANN
    sc=np.clip(np.nan_to_num(tv/rv.replace(0,np.nan).values,nan=0.0),0,1.5)
    return pd.Series(combo.values*sc,index=combo.index)


def line(name, r, base=None):
    r=r.dropna()
    extra=""
    if base is not None:
        b=base.reindex(r.index).dropna(); r2=r.reindex(b.index)
        extra=f"  Δ2022 {(_yr(r2,2022)-_yr(b,2022))*100:+.1f}pp"
    print(f"  {name:34} Sh {_sh(r):>5.2f}  MaxDD {_dd(r.values)*100:>4.1f}%  2022 {_yr(r,2022)*100:>+5.1f}%  "
          f"CAGR {((np.prod(1+r.values))**(252/len(r))-1)*100:>+5.1f}%{extra}")


def main():
    print("="*100); print("  TAIL-HEDGE LAB — proteggere DD/2022 del combo (TP01+GTAA)"); print("="*100)
    combo=combo_daily()
    idx_ret,dvol=crypto_index()
    print("\n  BASELINE")
    line("combo (1x)", combo)

    print("\n  (A) OPZIONI — protezione LONG su crypto, sovrapposta al combo (size = spendi ~3%/anno)")
    for kind,gate,lbl in [("spread",None,"put-spread sempre"),("spread",0.4,"put-spread gate IVR<0.4"),
                          ("put",None,"long put -0.30 sempre"),("put",0.4,"long put gate IVR<0.4")]:
        ov,annprem=hedge_overlay(idx_ret,dvol,kind=kind,gate_ivr=gate)
        ov=ov.reindex(combo.index).fillna(0.0)
        size=0.03/annprem if annprem>0 else 0.0                   # nozionale hedge per ~3%/anno di premio
        line(f"+{lbl} (~3%/y, size {size:.2f}x)", combo+size*ov, base=combo)
    print("  (stress -30% overnight dell'indice crypto, per unita' di nozionale hedge):")
    S0=1.0; vol=float(dvol.iloc[-1]); T=7/365.25
    for kind in ("spread","put"):
        Kb=_strike_from_delta(S0,T,vol,-0.30)
        if kind=="put": prem=_bs_put(S0,Kb,T,vol); pay=max(Kb-0.7,0)
        else: Ks=_strike_from_delta(S0,T,vol,-0.10); prem=_bs_put(S0,Kb,T,vol)-_bs_put(S0,Ks,T,vol); pay=max(Kb-0.7,0)-max(Ks-0.7,0)
        print(f"     {kind:7}: premio {prem*100:.2f}% -> payoff a -30% {pay*100:.2f}% (netto {(pay-prem)*100:+.2f}%)")

    print("\n  (B) GUARDIA DRAWDOWN (de-risk a -X% dal picco)")
    for t in (0.04,0.06):
        line(f"+dd-guard {t*100:.0f}%", dd_guard(combo,t), base=combo)
    print("\n  (C) VOL-TARGET del combo")
    for tv in (0.05,0.07):
        line(f"+vol-target {tv*100:.0f}%", voltarget(combo,tv), base=combo)


if __name__ == "__main__":
    main()