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>
83 lines
3.0 KiB
Python
83 lines
3.0 KiB
Python
"""MIC05 — Wide-range-bar follow-through.
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HYPOTHESIS: After a wide-range bar (range > 2*ATR) closing strong (close near the
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top 30% of the bar for longs, or bottom 30% for shorts), enter in the bar's direction
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at close[i]; exit after k bars (or on TP/SL).
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CAUSAL: ATR is computed up to bar i-1 (shifted), range and close strength computed
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from bar i itself (known at close[i]). Entry fills at close[i].
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Grid: k_bars in {3, 5, 7, 10} — only 1d, 2 assets, 4 param sets = 8 backtests total.
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Best config selected by min-asset hold-out Sharpe.
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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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# ---------------------------------------------------------------------------
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# Signal generator
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# ---------------------------------------------------------------------------
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def make_entries(df, k_bars: int = 5, atr_mult: float = 2.0, close_pct: float = 0.30):
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"""Returns entries list len(df).
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Wide range bar: range > atr_mult * ATR(14) at bar i-1 (causal).
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Strong close long: close >= low + (1 - close_pct) * range (top 30%)
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Strong close short: close <= low + close_pct * range (bottom 30%)
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"""
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hi = df["high"].values.astype(float)
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lo = df["low"].values.astype(float)
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cl = df["close"].values.astype(float)
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bar_range = hi - lo
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# ATR causal: shift by 1 so ATR at bar i uses data up to bar i-1
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atr_raw = al.atr(df, win=14)
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atr_shifted = np.roll(atr_raw, 1)
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atr_shifted[0] = atr_raw[0]
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entries = [None] * len(df)
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for i in range(1, len(df)):
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rng = bar_range[i]
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atr_i = atr_shifted[i]
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if atr_i <= 0 or not np.isfinite(atr_i):
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continue
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if rng < atr_mult * atr_i:
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continue # not a wide-range bar
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close_rel = (cl[i] - lo[i]) / rng if rng > 0 else 0.5
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if close_rel >= (1.0 - close_pct):
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# Strong bullish wide bar -> long follow-through
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entries[i] = {"dir": 1, "tp": None, "sl": None, "max_bars": k_bars}
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elif close_rel <= close_pct:
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# Strong bearish wide bar -> short follow-through
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entries[i] = {"dir": -1, "tp": None, "sl": None, "max_bars": k_bars}
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return entries
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# ---------------------------------------------------------------------------
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# Grid search over k_bars
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# ---------------------------------------------------------------------------
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K_BARS_GRID = [3, 5, 7, 10]
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best_rep = None
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best_hold = -999
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for k in K_BARS_GRID:
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rep = al.study_signals(
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f"MIC05-k{k}",
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lambda df, _k=k: make_entries(df, k_bars=_k),
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tfs=("1d",),
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)
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min_hold = rep["verdict"].get("best_holdout_sharpe", -999)
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print(f"k={k:2d}: grade={rep['verdict']['grade']} "
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f"full={rep['verdict'].get('best_full_sharpe', 'N/A')} "
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f"hold={min_hold}")
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if min_hold > best_hold:
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best_hold = min_hold
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best_rep = rep
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# Rename best rep with canonical ID
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best_rep["name"] = "MIC05"
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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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