Adriano Dal Pastro
bd6232dc00
Crash ETH 2026-06-05: SH01 ETH −15.6% su un trade (exit solo a orizzonte, nessuna protezione). Ricerca con harness dedicato sh01_exit_lab (cache walk-forward, engine fill gap-aware worse(livello,open), parity esatta con explore_lab, train<=2023-11-01): ATR intrabar/close-confirm, %, chandelier, breakeven, giveback, loser-timestop, disaster-cap close+intrabar, swing, vol-regime — NESSUNA passa il gate (ogni stop stretto rompe BTC, ogni stop largo non tocca la coda ETH; nei crash il fill e' al gap). Mitigazione: peso famiglia SHAPE 11.8%->5.9% in PORT06 (FULL 6.47->6.43 DD 4.10->3.96, OOS 8.82->8.58 DD 1.30->1.36) — la prossima coda impatta il conto per meta'. Regression-lock test aggiornato. Diario: docs/diary/2026-06-05-sh01-sl-research.md Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>
77 lines
4.5 KiB
Python
77 lines
4.5 KiB
Python
"""Definizioni canoniche dei portafogli (tutti i tipi visti finora)."""
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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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from src.portfolio.base import Portfolio, SleeveSpec # noqa: E402
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# Universo live tradabile (8 asset con feed Cerbero v2 + parquet). ROT02/TSM01 ci ruotano sopra.
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UNIVERSE8 = ["ADA", "BNB", "BTC", "DOGE", "ETH", "LTC", "SOL", "XRP"]
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# Edge minimo (solo live): salta i fade/dip il cui TP cade entro 1.5x il costo round-trip
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# (perdenti garantiti in regime piatto). Neutro sul backtest storico (0 trade rimossi su
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# MR01, +leggero su DIP01), protettivo dal vivo. Solo MR01/DIP01 leggono il param;
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# MR02/MR07 lo ignorano (**params). Vedi docs/diary/2026-06-01-tp-min-edge.md.
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MIN_TP_FRAC = 0.0015
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# Loss-guard Hurst (live): salta le fade in regime PERSISTENTE/trending (rolling-Hurst >= 0.55),
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# dove si concentrano stop-loss e perdite (stop-rate 43% vs 21% anti-persistente). DIMEZZA il DD
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# del PORT06 (FULL 4.10%->2.39%) alzando lo Sharpe. Calcolato dalle SOLE close (no feed esterno).
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# Validato 2026-06-02, vedi docs/diary/2026-06-02-fade-lossguard.md.
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HURST_MAX = 0.55
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# EXIT-16 close-confirm SL (live, 2026-06-04): lo SL intrabar fisso veniva triggerato dai
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# wick transitori (falsi negativi: l'overshoot che buca lo stop rientra — e' il movimento
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# che la fade fada). Lo stop scatta solo se il CLOSE sfonda sl ∓ 0.5*ATR14. PORT06:
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# FULL Sharpe 6.47->7.84 DD 4.10->2.60, OOS 8.82->10.06 DD 1.30->1.15 (gate del loss-guard
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# superato con margine; 34 agenti, 3 verifiche avversariali + tail-risk: coda ~= base,
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# esce nei crash veri tipo FTX). Vedi docs/diary/2026-06-04-exit-lab.md.
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SL_CONFIRM_ATR = 0.5
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FADE = [SleeveSpec(kind="single", name=c, sid=f"{c}_{a}", asset=a, cluster=f"{a}-rev",
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params={"min_tp_frac": MIN_TP_FRAC, "hurst_max": HURST_MAX,
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"sl_confirm_atr": SL_CONFIRM_ATR})
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for a in ("BTC", "ETH") for c in ("MR01", "MR02", "MR07")]
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HONEST = [
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# DIP01: single-asset 1h -> StrategyWorker (Strategy DIP01_dip_buy). TR01/ROT02: multi-asset.
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SleeveSpec(kind="single", name="DIP01", sid="DIP01_BTC", asset="BTC", cluster="BTC-rev",
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params={"min_tp_frac": MIN_TP_FRAC}),
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SleeveSpec(kind="basket", name="TR01", sid="TR01_basket", cluster="trend",
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params={"universe": ["BNB", "BTC", "DOGE", "SOL", "XRP"], "tf": "4h"}),
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SleeveSpec(kind="rotation", name="ROT02", sid="ROT02_rot", cluster="rotation",
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params={"universe": UNIVERSE8, "tf": "1d", "top_k": 3, "gross": 0.45}),
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]
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PAIRS = [
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SleeveSpec(kind="pairs", name="PR01", sid="PR_ETHBTC", a="ETH", b="BTC", cluster="ETH-rev"),
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SleeveSpec(kind="pairs", name="PR01", sid="PR_LTCETH", a="LTC", b="ETH", cluster="ETH-rev"),
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SleeveSpec(kind="pairs", name="PR01", sid="PR_ADAETH", a="ADA", b="ETH", cluster="ETH-rev"),
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SleeveSpec(kind="pairs", name="PR01", sid="PR_BTCLTC", a="BTC", b="LTC", cluster="BTC-rev"),
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SleeveSpec(kind="pairs", name="PR01", sid="PR_ETHSOL", a="ETH", b="SOL", cluster="ETH-rev"),
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]
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TSM = [SleeveSpec(kind="tsmom", name="TSM01", sid="TSM01", cluster="trend",
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params={"universe": UNIVERSE8, "tf": "1d",
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"horizons": [63, 126, 252], "thr": 1.0, "gross": 0.30})]
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SHAPE = [SleeveSpec(kind="ml", name="SH01", sid=f"SH_{a}", asset=a, cluster="shape")
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for a in ("BTC", "ETH")]
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PORTFOLIOS = {
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"PORT01": Portfolio("PORT01", "Honest", HONEST, weighting="equal"),
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"PORT02": Portfolio("PORT02", "Fade master", FADE, weighting="equal"),
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"PORT03": Portfolio("PORT03", "Master", FADE + HONEST, weighting="equal"),
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"PORT04": Portfolio("PORT04", "Master + pairs", FADE + HONEST + PAIRS,
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weighting="cap", caps={"PAIRS": 0.33}),
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"PORT05": Portfolio("PORT05", "Master esteso", FADE + HONEST + PAIRS + TSM,
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weighting="cap", caps={"PAIRS": 0.33}),
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# SHAPE cappata a ~mezzo sleeve equal (2026-06-05): SH01 non ha SL per design e la
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# ricerca multi-agente (sh01_exit_lab, 11 famiglie di stop, 0 sopravvissute) dimostra
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# che NESSUNO stop taglia la coda ETH senza rompere l'edge -> si dimezza l'esposizione
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# (costo backtest ~0: FULL 6.47->6.43, OOS 8.82->8.58, FULL DD 4.10->3.96). Vedi
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# docs/diary/2026-06-05-sh01-sl-research.md.
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"PORT06": Portfolio("PORT06", "Master + shape", FADE + HONEST + PAIRS + TSM + SHAPE,
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weighting="cap", caps={"PAIRS": 0.33, "SHAPE": 0.0588}, leverage=2.0),
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}
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