48 lines
2.0 KiB
Python
48 lines
2.0 KiB
Python
"""Confronto di tutti i portafogli PORT01-06 (backtest in un solo processo).
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all_sleeve_equities() è cache-ata: la build (fade+honest+pairs+tsm+shape) avviene una
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volta sola, poi i 6 backtest la riusano. Stampa una tabella FULL/OOS e i pesi/rischio.
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Run: uv run python scripts/portfolios/compare_all.py
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"""
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import sys
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from pathlib import Path
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PROJECT_ROOT = Path(__file__).resolve().parents[2]
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sys.path.insert(0, str(PROJECT_ROOT))
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from scripts.portfolios._defs import PORTFOLIOS # noqa: E402
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def run():
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print("=" * 104)
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print(" CONFRONTO PORTAFOGLI PORT01-06 | netto fee, finestra comune 2021-2026, OOS = ultimo 30%")
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print("=" * 104)
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print(f" {'code':<7s}{'label':<16s}{'n':>3s}{'pesi':>9s}"
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f"{'FULLret':>9s}{'CAGR':>6s}{'DD':>6s}{'Shrp':>6s} |"
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f"{'OOSret':>8s}{'oDD':>6s}{'oShrp':>7s}")
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print(" " + "-" * 100)
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rows = []
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for code in ("PORT01", "PORT02", "PORT03", "PORT04", "PORT05", "PORT06"):
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p = PORTFOLIOS[code]
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r = p.backtest()
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cap = f"{p.weighting}" + (f"{int(p.caps['PAIRS']*100)}" if p.caps else "")
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print(f" {p.code:<7s}{p.label:<16s}{len(p.sleeves):>3d}{cap:>9s}"
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f"{r.full['ret']:>+9.0f}{r.full['cagr']:>6.0f}{r.full['dd']:>6.1f}{r.full['sharpe']:>6.2f} |"
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f"{r.oos['ret']:>+8.0f}{r.oos['dd']:>6.1f}{r.oos['sharpe']:>7.2f}")
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rows.append((code, r))
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# miglior per Sharpe OOS e per DD OOS
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best_sharpe = max(rows, key=lambda x: x[1].oos["sharpe"])
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best_dd = min(rows, key=lambda x: x[1].oos["dd"])
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print(" " + "-" * 100)
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print(f" miglior Sharpe OOS: {best_sharpe[0]} ({best_sharpe[1].oos['sharpe']:.2f}) "
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f"miglior DD OOS: {best_dd[0]} ({best_dd[1].oos['dd']:.1f}%)")
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print("\n PORT06 (default) — top contributi al rischio:")
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r6 = dict(rows)["PORT06"]
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top = sorted(r6.risk.items(), key=lambda x: -x[1])[:6]
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print(" " + " ".join(f"{k}={v:.0f}%" for k, v in top))
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if __name__ == "__main__":
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run()
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