Adriano Dal Pastro
a85289d7c7
Famiglia NUOVA trovata in sessione (dopo aver scartato trend/breakout/seasonal/ opzioni/funding come rumore): ogni 12h long i perdenti relativi / short i vincenti su 8 asset, market-neutral. Scorrelata (~0) da pairs e fade -> diversificatore. - engine canonico scripts/strategies/XS01_cross_sectional.py (no look-ahead, plateau OOS Sharpe 2-3.9, 5/5 anni+, edge concentrato 2025, cost-sensitive ~0.35% RT). - src/live/xsec_worker.py CrossSectionalWorker: validate_xsec_worker == backtest ESATTO (4993/1427 trade). Mirror della cadenza engine (entry-to-entry = hold+1). - gate PORT06: +XS01 -> OOS Sharpe 9.66->10.07, FULL DD 3.68->3.46 (OOS DD +0.17pp, risk-contrib 2.2%). xsec_port06_gate.py. - wiring: _defs XSEC in PORT06 (19 sleeve, family XSEC), build_everything, runner kind=xsec, asset_days da supported (fix fetch alt anche per paper sleeves), paper. - 8 gambe -> niente exec reale -> gira PAPER. Regression-lock 18->19, FULL 7.20->7.34, OOS 9.66->10.07. 93 test verdi. Diario 2026-06-09-xs01-cross-sectional.md. Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>
18 lines
980 B
Python
18 lines
980 B
Python
import pytest
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from scripts.portfolios._defs import PORTFOLIOS
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def test_port06_cap_backtest_numbers_locked():
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r = PORTFOLIOS["PORT06"].backtest()
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# regression-lock dei numeri del default (cap pairs 0.33) — vedi report_families.
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# Aggiornato 2026-05-31: il recupero dati BNB/DOGE/XRP (29 mag) ha ampliato la
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# copertura storica -> metriche migliorate (Sharpe 6.07->6.47, OOS 8.19->8.82,
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# DD 4.9%->4.1%). Nuovo baseline atteso, non una regressione.
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# Aggiornato 2026-06-09: aggiunto lo sleeve BLEND PR_ETHBTC_15M (ETH/BTC pairs 15m
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# flat-skip, mezza size) -> FULL 6.47->7.20, OOS 8.82->9.66, DD 4.1%->3.7%.
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# Aggiornato 2026-06-09 (2): + XS01 (reversione cross-sectional 8 asset, PAPER) ->
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# FULL 7.20->7.34, OOS 9.66->10.07, FULL DD 3.68->3.46 (OOS DD +0.17pp).
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assert r.full["sharpe"] == pytest.approx(7.34, abs=0.15)
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assert r.oos["sharpe"] == pytest.approx(10.07, abs=0.25)
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assert r.full["dd"] == pytest.approx(3.46, abs=0.5)
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