Adriano Dal Pastro 57758ffcb1 feat(analysis): leverage_sweep — sweep leva 1-10, stress 2022, leva max raccomandata ...

Risponde a "se porto a leva 10 cosa succede?". Sweep leva 1->10 su PORT06
(modello daily lineare == live) FULL/OOS + anno per anno (2021-2026), con le
non-linearita' che il modello daily NASCONDE: volatility drag/Kelly, rovina
intraday vs daily. Stress con shock REALI 2022 (BTC/ETH storici: LUNA -29/-36%,
3AC-giugno -44/-52%, FTX -26/-32%) sull'esposizione netta del book -> leva di
rovina per net-long beta. Verdetto: leva 10 NON sopravvive a un 2022-repeat
(rovina gia' a ~5-9x se net-long). Leva MAX raccomandata ~3x (DD<=50% recuperabile,
beta=0.6) == config live attuale. Non modifica nulla del live.

Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>

2026-06-18 09:48:33 +00:00

..

dispersion_edges

research: gate PORT06 index_comp_disp — promosso marginale, documentato e rimandato

2026-06-08 10:06:34 +00:00

exit_policies

research(exit-lab): 34 agenti su exit dinamiche → EXIT-16 close-confirm SL PROMOSSO a livello PORT06

2026-06-04 21:16:58 +00:00

sh01_exit_policies

config(PORT06): cap SHAPE 0.0588 — SH01 resta senza SL (ricerca multi-agente: 11 famiglie di stop, 0 sopravvissute)

2026-06-05 17:56:16 +00:00

__init__.py

feat(strategie): 3 nuove fade mean-reversion validate OOS fee-aware (MR02/MR03/MR07)

2026-05-28 23:26:21 +02:00

_port06_gate_common.py

chore(analysis): dedup engine gate PORT06 + drift monitor giornaliero + impact bfill

2026-06-11 20:04:23 +00:00

accel50_research.py

docs(research): ACCEL50 — frontiera di leva PORT06 + probe fade 15m verso i 50 EUR/giorno

2026-06-12 20:21:51 +00:00

cerbero_bite_credit_spread.py

research(cerbero-bite): validazione edge credit-spread su prezzi reali

2026-06-09 08:08:53 +00:00

combine_portfolio.py

feat(live): SWAP fade 1h -> 15m su PORT06 (scelta utente, gate fade15m_port06_gate)

2026-06-12 20:47:44 +00:00

combine_v2.py

feat(explore): 3a ondata - PAIRS a 6 coppie + verdetti su 4 nuove famiglie

2026-05-29 01:13:54 +02:00

daily_equity_bfill_impact.py

chore(analysis): dedup engine gate PORT06 + drift monitor giornaliero + impact bfill

2026-06-11 20:04:23 +00:00

dip01_exit16_impact.py

chore(analysis): dedup engine gate PORT06 + drift monitor giornaliero + impact bfill

2026-06-11 20:04:23 +00:00

dispersion_lab.py

feat(research): harness condiviso dispersion/correlation index (feature causali + cache)

2026-06-07 21:16:10 +00:00

drift_monitor.py

fix(exec): code-review serale — guard anti-posizione-nuda sul netting + verità per-frazione

2026-06-11 21:36:30 +00:00

eth_collar_gate.py

research(mr02eth): ricerca sostituto + integrazione dati opzioni cerbero-bite

2026-06-09 07:05:00 +00:00

exit16_port06_impact.py

chore(analysis): dedup engine gate PORT06 + drift monitor giornaliero + impact bfill

2026-06-11 20:04:23 +00:00

exit_lab.py

research(exit-lab): 34 agenti su exit dinamiche → EXIT-16 close-confirm SL PROMOSSO a livello PORT06

2026-06-04 21:16:58 +00:00

explore_lab.py

feat(explore): esplora 9 famiglie alternative -> PAIRS (nuovo edge forte) + TSM01

2026-05-29 01:07:08 +02:00

fade15m_port06_gate.py

research(gate): fade 15m PROMOSSI al gate PORT06 (ADD: OOS Sh 10.07->10.48, DD giu' su entrambe le finestre)

2026-06-12 20:37:53 +00:00

fade_diag_by_regime.py

research(fade-lossguard): diagnostici perdite fade per regime + workflow anti-perdite

2026-06-02 13:35:44 +00:00

fade_loss_by_regime.py

research(fade-lossguard): diagnostici perdite fade per regime + workflow anti-perdite

2026-06-02 13:35:44 +00:00

fade_lossguard_port_test.py

feat(fade): loss-guard Hurst (skip regime persistente) — dimezza il DD del PORT06

2026-06-02 14:08:15 +00:00

fade_lossguard_workflow.js

research(fade-lossguard): diagnostici perdite fade per regime + workflow anti-perdite

2026-06-02 13:35:44 +00:00

fade_tf_sweep.py

research: fade TF sweep 1m/2m/5m/10m/30m — 15m confermato, 10m in watchlist, 1m/2m chiusi

2026-06-12 20:56:15 +00:00

fractal_argo_master_corr.py

test(research): FR01 NON migliora PORT06 (verdetto decisivo)

2026-06-02 11:48:02 +00:00

fractal_argo_peryear.py

feat(research): FR01 Hurst-Calm Fade + analisi per-anno/mercato (ricerca 100 agenti)

2026-06-02 07:22:10 +00:00

fractal_argo_workflow.js

feat(research): substrato ricerca frattali x regime ARGO

2026-06-02 00:05:14 +00:00

funding_carry_research.py

feat(xsec): dispersion-gate XS01 live (disp_min=0.0313) — Sharpe 3.46, PORT06 OOS 10.07->10.37; FC01 funding-carry scartata

2026-06-10 21:42:12 +00:00

grid_game_gate.py

feat(games): sessioni 2-3 Blind Traders (opzioni/session/grid) + gate PORT06 e tooling reset

2026-06-11 09:49:17 +00:00

honest_final.py

feat(analysis): 3 strategie oneste validate OOS multi-crypto (DIP/TR/ROT)

2026-05-28 23:28:00 +02:00

honest_improve2.py

feat(ROT02): riduce il DD diversificando (top_k 2 -> 3)

2026-05-29 00:30:55 +02:00

honest_improve.py

feat(analysis): miglioramenti - ROT02 dual-momentum + portafoglio (DD 12%)

2026-05-28 23:49:14 +02:00

honest_lab.py

feat(analysis): 3 strategie oneste validate OOS multi-crypto (DIP/TR/ROT)

2026-05-28 23:28:00 +02:00

honest_matrix.py

feat(analysis): matrice PnL/anno consolidata (confronto strategie + portafoglio)

2026-05-28 23:53:37 +02:00

honest_rotation.py

feat(analysis): 3 strategie oneste validate OOS multi-crypto (DIP/TR/ROT)

2026-05-28 23:28:00 +02:00

honest_trend.py

feat(analysis): 3 strategie oneste validate OOS multi-crypto (DIP/TR/ROT)

2026-05-28 23:28:00 +02:00

intrabar_test.py

feat(analysis): validazione out-of-sample fee-aware delle strategie

2026-05-28 19:57:15 +00:00

ledger_vs_backtest.py

feat(report): ledger reale vs backtest — il gate per scalare il capitale

2026-06-13 11:24:19 +00:00

leverage_sweep.py

feat(analysis): leverage_sweep — sweep leva 1-10, stress 2022, leva max raccomandata

2026-06-18 09:48:33 +00:00

live_exec_smoke.py

feat(live): esecuzione REALE su Deribit testnet (shadow) per i 6 fade sui lineari USDC

2026-06-03 10:11:26 +00:00

live_pairs_smoke.py

feat(live): executor a 2 gambe per i pairs (PairsExecutionClient, shadow) — pronto, spento

2026-06-08 10:19:56 +00:00

live_shadow_smoke.py

feat(live): disaster-bracket on-book sui fade reali + alert FEED_OUTAGE + osservabilita' multi-asset

2026-06-07 09:36:11 +00:00

live_smoke_pairs.py

fix(live): smoke test REALE pairs -> live solo ETH/BTC (alt assenti su Deribit)

2026-05-29 09:16:50 +02:00

make_strategy_doc.py

docs(report): strategie_attive.html aggiornato a config live (fade 15m, leva 3x)

2026-06-13 21:30:28 +00:00

mr02eth_options.workflow.js

research(mr02eth): ricerca sostituto + integrazione dati opzioni cerbero-bite

2026-06-09 07:05:00 +00:00

mr02eth_port06_gate.py

research(mr02eth): ricerca sostituto + integrazione dati opzioni cerbero-bite

2026-06-09 07:05:00 +00:00

mr02eth_search.workflow.js

research(mr02eth): ricerca sostituto + integrazione dati opzioni cerbero-bite

2026-06-09 07:05:00 +00:00

oos_validation.py

feat(analysis): validazione out-of-sample fee-aware delle strategie

2026-05-28 19:57:15 +00:00

option_overlay_lab.py

research(mr02eth): ricerca sostituto + integrazione dati opzioni cerbero-bite

2026-06-09 07:05:00 +00:00

options_chain.py

feat(options): attach_market() panel helper (regime panel, causal, no look-ahead)

2026-06-09 07:24:44 +00:00

options_fetcher.py

research(mr02eth): ricerca sostituto + integrazione dati opzioni cerbero-bite

2026-06-09 07:05:00 +00:00

pairs15m_flatcheck.py

feat(pairs): attiva ETH/BTC 15m flat-skip in PORT06 (BLEND, mezza size)

2026-06-09 11:48:15 +00:00

pairs15m_gate_final.py

feat(pairs): attiva ETH/BTC 15m flat-skip in PORT06 (BLEND, mezza size)

2026-06-09 11:48:15 +00:00

pairs15m_live_smoke.py

feat(pairs): attiva ETH/BTC 15m flat-skip in PORT06 (BLEND, mezza size)

2026-06-09 11:48:15 +00:00

pairs15m_port06_gate.py

feat(pairs): attiva ETH/BTC 15m flat-skip in PORT06 (BLEND, mezza size)

2026-06-09 11:48:15 +00:00

pairs30m_gate.py

feat(games): sessioni 2-3 Blind Traders (opzioni/session/grid) + gate PORT06 e tooling reset

2026-06-11 09:49:17 +00:00

pairs_research.py

docs: aggiorna CLAUDE.md + strategie_attive.html col BLEND ETH/BTC 15m

2026-06-09 11:59:36 +00:00

pairs_zstop_research.py

feat(stability): sweep stabilità — fix TR01 mean(rets), XS01 phase-tranching K=3, z-stop pairs bocciato

2026-06-11 13:29:14 +00:00

pairspos_port06_impact.py

feat(pairs): position_size per-famiglia, PAIRS 0.5->0.20 (gate PORT06)

2026-06-07 10:44:15 +00:00

paper_status.py

refactor: riorganizzazione script — Strategy ABC, folder strategies/waste/analysis

2026-05-27 23:01:36 +02:00

partial_tp_ladder.py

docs(diary): exit ladder 80/20 con runner+stop dinamico SCARTATO (il runner non corre: TP=media, ~3% oltre TP, −38% ret su MR02 ETH)

2026-06-04 19:48:45 +00:00

projection_3y.py

feat(analysis): proiezione 3 anni capitale PORT06 (live 2x, esclude 2024)

2026-05-30 19:29:07 +00:00

reconcile_account.py

feat(live): switch a MAINNET — micro-test fade-only €500 + funds-watch

2026-06-17 21:15:55 +00:00

regime_fetcher.py

feat(fade): loss-guard Hurst (skip regime persistente) — dimezza il DD del PORT06

2026-06-02 14:08:15 +00:00

regime_lab.py

feat(fade): loss-guard Hurst (skip regime persistente) — dimezza il DD del PORT06

2026-06-02 14:08:15 +00:00

report_families.py

feat(xsec): XS01 reversione cross-sectional (8 asset) -> PORT06 PAPER

2026-06-09 21:38:05 +00:00

report.py

feat(analysis): report.py aggiornato con numero trade per anno

2026-05-29 00:33:00 +02:00

reset_flatten.py

fix(exec): code-review serale — guard anti-posizione-nuda sul netting + verità per-frazione

2026-06-11 21:36:30 +00:00

risk_management.py

feat(strategie): portafogli master (PORT02/PORT03) + waste delle peggiori (MR03, ROT01)

2026-05-29 00:21:37 +02:00

sh01_exit_lab.py

config(PORT06): cap SHAPE 0.0588 — SH01 resta senza SL (ricerca multi-agente: 11 famiglie di stop, 0 sopravvissute)

2026-06-05 17:56:16 +00:00

sh01_trainwindow_validate.py

feat(SH01): bootstrap storia full-history + last_block_only (punto-10: regime live non robusto)

2026-06-07 16:48:22 +00:00

shape_analog_research.py

research(shape): 5 famiglie di pattern-forma su harness onesto

2026-05-29 12:09:28 +02:00

shape_candle_research.py

research(shape): 5 famiglie di pattern-forma su harness onesto

2026-05-29 12:09:28 +02:00

shape_lab.py

research(shape): 5 famiglie di pattern-forma su harness onesto

2026-05-29 12:09:28 +02:00

shape_ml_research.py

feat(SH01): bootstrap storia full-history + last_block_only (punto-10: regime live non robusto)

2026-06-07 16:48:22 +00:00

shape_ml_validate.py

feat(shape): SH01 Shape-ML validato come diversificatore + doc

2026-05-29 12:31:26 +02:00

shape_pivot_research.py

research(shape): 5 famiglie di pattern-forma su harness onesto

2026-05-29 12:09:28 +02:00

shape_template_research.py

research(shape): 5 famiglie di pattern-forma su harness onesto

2026-05-29 12:09:28 +02:00

sleeve_clustering.py

analysis(portfolio): clustering sleeve per correlazione + contributo rischio

2026-05-29 13:09:27 +02:00

smoke_portfolio.py

feat(portfolio): PortfolioRunner live (data v2, tick, ribilancio giornaliero, ledger)

2026-05-29 16:05:07 +02:00

strategy_research_v2.py

feat(strategie): 3 nuove fade mean-reversion validate OOS fee-aware (MR02/MR03/MR07)

2026-05-28 23:26:21 +02:00

strategy_research.py

refactor(strategie): tieni solo MR01 mean-reversion, squeeze -> waste

2026-05-28 20:22:11 +00:00

timing_sweep_pairs_honest.py

docs: timing-sweep pairs/honest (NO deploy) + stato mainnet + vincolo feed v2

2026-06-14 20:19:56 +00:00

trades_status.py

feat(analysis): trades_status — PnL live per posizione aperta (entry reale vs mark USDC)

2026-06-17 15:56:22 +00:00

trendmax_port06_impact.py

chore(analysis): dedup engine gate PORT06 + drift monitor giornaliero + impact bfill

2026-06-11 20:04:23 +00:00

tsmom_research.py

refactor(explore): irrobustimento anti-overfit di pairs/TSM01/master

2026-05-29 08:11:33 +02:00

validate_fade_intrabar.py

test(live): demo numerica exit intrabar fade -- worker replay ~= backtest

2026-05-29 18:43:38 +02:00

validate_honest_workers.py

test(portfolio): valida worker honest/TSM01 vs backtest reference

2026-05-29 17:50:08 +02:00

validate_portfolio_runner.py

test(portfolio): valida runner pool+ribilancio+ledger == backtest (identico)

2026-05-29 17:28:03 +02:00

validate_worker_mr01.py

feat(live): worker con exit TP/SL/max_bars per MR01 + doc aggiornata

2026-05-28 20:46:35 +00:00

validate_worker_pairs.py

feat(pairs): attiva ETH/BTC 15m flat-skip in PORT06 (BLEND, mezza size)

2026-06-09 11:48:15 +00:00

validate_xsec_worker.py

fix(exec): code-review serale — guard anti-posizione-nuda sul netting + verità per-frazione

2026-06-11 21:36:30 +00:00

xex_divergence_research.py

docs(research): XEX — discordanze Deribit testnet vs Hyperliquid

2026-06-12 20:29:11 +00:00

xs01_dispersion_gate.py

feat(xsec): dispersion-gate XS01 live (disp_min=0.0313) — Sharpe 3.46, PORT06 OOS 10.07->10.37; FC01 funding-carry scartata

2026-06-10 21:42:12 +00:00

xs01_tranche_gate.py

feat(stability): sweep stabilità — fix TR01 mean(rets), XS01 phase-tranching K=3, z-stop pairs bocciato

2026-06-11 13:29:14 +00:00

xs01_tranche_research.py

fix(exec): code-review serale — guard anti-posizione-nuda sul netting + verità per-frazione

2026-06-11 21:36:30 +00:00

xsec_port06_gate.py

feat(xsec): XS01 reversione cross-sectional (8 asset) -> PORT06 PAPER

2026-06-09 21:38:05 +00:00