Adriano Dal Pastro
ef52ad6a79
src/portfolio/: Sleeve (serie rendimenti netti per-barra, causale/fee-aware) + StrategyPortfolio (combina N sleeve per peso su griglia giornaliera comune, metriche FULL/HOLD-OUT/per-anno + standalone per-sleeve, vs buy&hold). Registry sleeve attivi in sleeves.py: per ora SOLO TP01 (peso 100%); aggiungere = una riga (dopo validazione col gauntlet). Report (run_portfolio.py): TP01 FULL Sh 1.30 / DD 14.3% / ~€1.52/g, HOLD-OUT 0.31 / +3.5% (buy&hold -0.32 / -39%). Posizione corrente flat (difensivo). tests/test_portfolio.py (6 test). CLAUDE.md aggiornato (struttura + comando + come aggiungere uno sleeve). Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>
76 lines
2.9 KiB
Python
76 lines
2.9 KiB
Python
"""REPORT del portafoglio di strategie attivo (estensibile).
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Costruisce il portafoglio dagli sleeve attivi (src/portfolio/sleeves.active_sleeves) e stampa le
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metriche oneste: pesi, per-sleeve, combinato FULL + HOLD-OUT 2025-26 (bloccato) + per-anno, vs
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buy&hold 50/50. Per ora c'e' solo TP01; aggiungere sleeve = una riga in sleeves.py.
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uv run python scripts/portfolio/run_portfolio.py
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"""
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from __future__ import annotations
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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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import numpy as np
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import pandas as pd
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from src.data.downloader import load_data
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from src.strategies.trend_portfolio import resample_1d, simple_returns
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from src.portfolio.portfolio import StrategyPortfolio, to_daily, metrics, HOLDOUT
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from src.portfolio.sleeves import active_sleeves
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CAPITAL = 2000.0
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def buy_hold_daily() -> pd.Series:
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s = {}
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for a in ("BTC", "ETH"):
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df = resample_1d(load_data(a, "1h"))
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s[a] = pd.Series(simple_returns(df["close"].values.astype(float)), index=pd.to_datetime(df["datetime"]))
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J = pd.concat(s, axis=1, join="inner").fillna(0.0)
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return to_daily(pd.Series(0.5 * J["BTC"].values + 0.5 * J["ETH"].values, index=J.index))
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def fmt(m, cap=CAPITAL):
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yrs = m["n"] / 365.25
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eur_day = (cap * m["ret"]) / (yrs * 365.25) if yrs > 0 else 0.0
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return (f"Sh {m['sharpe']:>5.2f} | ret {m['ret']*100:>+8.1f}% CAGR {m['cagr']*100:>+6.1f}% | "
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f"DD {m['maxdd']*100:>5.1f}% | ~€/g(2k) {eur_day:>+5.2f} | n {m['n']}")
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def main():
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pf = StrategyPortfolio(active_sleeves(), capital=CAPITAL)
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bt = pf.backtest()
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print("=" * 96)
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print(f" PORTAFOGLIO DI STRATEGIE — {len(pf.sleeves)} sleeve | capitale {CAPITAL:,.0f} | hold-out {HOLDOUT.date()}+ bloccato")
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print("=" * 96)
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print("\n PESI:", " ".join(f"{k} {v*100:.0f}%" for k, v in bt["weights"].items()))
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print("\n PER-SLEEVE (standalone):")
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for name, d in bt["per_sleeve"].items():
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print(f" {name:<16s} [{d['weight']*100:>3.0f}%] FULL {fmt(d['full'])}")
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print(f" {'':<16s} HOLD {fmt(d['holdout'])}")
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print("\n PORTAFOGLIO COMBINATO:")
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print(f" FULL {fmt(bt['full'])}")
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print(f" HOLD-OUT {fmt(bt['holdout'])}")
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bh = buy_hold_daily()
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print("\n BENCHMARK buy&hold 50/50 (1d):")
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print(f" FULL {fmt(metrics(bh))}")
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print(f" HOLD-OUT {fmt(metrics(bh[bh.index >= HOLDOUT]))}")
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print("\n PER ANNO (portafoglio combinato):")
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for y, d in bt["yearly"].items():
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print(f" {y}: ret {d['ret']*100:>+7.1f}% DD {d['dd']*100:>5.1f}%")
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print("\n POSIZIONI CORRENTI (ultima barra chiusa):")
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for name, pos in pf.current_positions().items():
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print(f" {name}: {pos}")
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print("\n (Aggiungere uno sleeve = una riga in src/portfolio/sleeves.active_sleeves, dopo validazione.)")
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if __name__ == "__main__":
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main()
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