Adriano Dal Pastro
5ac4e16af8
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>
69 lines
2.0 KiB
Python
69 lines
2.0 KiB
Python
"""BRK06 — Opening-Range Breakout (daily).
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HYPOTHESIS: On 1d bars, go LONG when today's close > prior-day high (expansion/gap breakout).
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SL = prior-day low. max_bars = configurable (3 or 5). No short side (breakdowns symmetric but
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crypto skew is upward; testing long-only first). Entry at close[i] once close[i] > prior high[i-1].
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Exit at SL=prior_low[i-1] or max_bars (time stop), whichever first.
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Grid: max_bars in {3, 5} -> 2 configs × 1 TF × 2 assets = 4 backtests.
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Honesty rules:
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- decision uses close[i] vs high[i-1]: CAUSAL (prior-bar high is known by close of bar i).
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- SL = low[i-1]: known causal.
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- entry = close[i] (not high/low extreme of bar i).
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- fee = 0.10% RT (Deribit taker).
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"""
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import sys
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sys.path.insert(0, "/opt/docker/PythagorasGoal/scripts/research/alt")
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import altlib as al
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import numpy as np
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def make_entries(df, max_bars: int):
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"""Long when close[i] > high[i-1]. SL = low[i-1]. Exit at max_bars or SL."""
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c = df["close"].values
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h = df["high"].values
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lo = df["low"].values
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n = len(c)
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entries = [None] * n
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for i in range(1, n):
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prior_high = h[i - 1]
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prior_low = lo[i - 1]
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if c[i] > prior_high:
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# Long breakout: entry at close[i], SL below prior-day low
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# TP = None (let the time-stop manage exit)
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entries[i] = {
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"dir": 1,
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"tp": None,
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"sl": prior_low,
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"max_bars": max_bars,
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}
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return entries
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configs = [
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{"max_bars": 3},
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{"max_bars": 5},
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]
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best_rep = None
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best_score = -9999
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for cfg in configs:
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name = f"BRK06-mb{cfg['max_bars']}"
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rep = al.study_signals(
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name,
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lambda df, mb=cfg["max_bars"]: make_entries(df, mb),
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tfs=("1d",),
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)
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print(al.fmt(rep))
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score = rep["verdict"].get("best_holdout_sharpe", -9999)
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if score is None:
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score = -9999
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if score > best_score:
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best_score = score
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best_rep = rep
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print("\n=== BEST CONFIG ===")
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print(al.fmt(best_rep))
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print("JSON:", al.as_json(best_rep))
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