Adriano Dal Pastro
5ac4e16af8
research(alt): sweep 104 strategie alternative su Deribit (153 agenti) + marginal scorer
Ondata di ricerca onesta a largo spettro su BTC/ETH+DVOL certificati: 104 ipotesi
distinte (11 famiglie), un agente-finder per ipotesi, verifica avversariale a 3
scettici sui promettenti, sintesi (153 agenti totali). Esito: NIENTE di nuovo regge
-> conferma del soffitto strutturale ~1.3 BTC/ETH-direzionale; lo stack
TP01+XS01+VRP01 resta imbattuto.
- altlib.py: harness condiviso vettoriale leak-free (eval_weights/study_weights,
fee-sweep, both-asset + hold-out 2025+). Riproduce i numeri canonici di TP01.
- MARGINAL SCORER (study_marginal/marginal_vs_tp01): Sharpe INCREMENTALE vs baseline
TP01 (corr, blend uplift OOS, alpha residua) + jackknife OOS (clean-year +
drop-best-month). earns_slot = abs!=FAIL & ADDS & robust_oos. Smaschera gli overlay
su TSMOM con PASS assoluti fasulli (CMB04, VOL11, ...) e il falso positivo KAMA
(ADDS ma muore al jackknife).
- runs/*.py (104) script riproducibili per ipotesi; wf_altstrat.js workflow.
- Verdetto: 0 candidati deployabili; 2 LEAD fragili (VOL08, STA05_LS) da forward-monitor.
- test_marginal_scorer.py blocca baseline + invarianti. Suite: 32 verde.
Diario: docs/diary/2026-06-20-alt-strategies-100agent-sweep.md
Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>
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