Adriano
a7ada9f36c
build_worker_for gestisce basket/rotation/tsmom + DIP01 via StrategyWorker; run() fetcha 1h e resampla a 4h/1d, lookback dimensionato sui daily (TSM01 252g); tick multi-asset per kind. _defs marca TR01/ROT02/TSM01 col kind+universo. Niente piu' sleeve saltati in PORT06. Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>
49 lines
2.6 KiB
Python
49 lines
2.6 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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FADE = [SleeveSpec(kind="single", name=c, sid=f"{c}_{a}", asset=a, cluster=f"{a}-rev")
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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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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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"PORT06": Portfolio("PORT06", "Master + shape", FADE + HONEST + PAIRS + TSM + SHAPE,
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weighting="cap", caps={"PAIRS": 0.33}, leverage=2.0),
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}
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