Adriano Dal Pastro
14522262e6
Reset del progetto su fondamenta verificate dopo la scoperta che l'intera libreria "validata OOS" era artefatto di feed contaminato (print fantasma del feed Cerbero TESTNET + storico Binance/USDT). - Storico ricostruito da Deribit MAINNET (ccxt pubblico, tokenless) e CERTIFICATO (certify_feed.py): BTC/ETH puliti su TUTTA la storia (mediana 2-6 bps vs Coinbase USD), integrita' OHLC + coerenza resample (maxΔ 0.00) + cross-venue OK. Alt esclusi (illiquidi/divergenti: LTC/DOGE 50-82% barre flat; XRP/BNB non certificabili). - Verdetto sul feed pulito: FADE / PAIRS / XS01 / TSM01 morti (ogni portafoglio Sharpe -2.3..-3.0, DD ~40%); solo SH01 e frammenti HONEST con segnale residuo, da ri-validare in isolamento. - Cleanup "restart pulito": strategie, stack live (src/live, src/portfolio, runner/executor, yml, docker), ~100 script ricerca/gate, waste/games/ portfolios, dati non certificati + cache e 60+ diari -> archiviati in Old/ (preservati, non cancellati). Diario consolidato in un unico documento. - Skeleton ricerca tenuto: Strategy ABC + indicatori + src/fractal + src/backtest/engine + load_data; tool dati certificati (rebuild_history, certify_feed, audit_feed, multi_source_check). - Universo dati ATTIVO: solo BTC/ETH (5m/15m/1h); guardrail fisico (load_data su alt -> FileNotFoundError). Esecuzione DISABILITATA, conto flat. Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>
101 lines
4.0 KiB
Python
101 lines
4.0 KiB
Python
"""CONFERMA su feed PURO Binance spot — la fade ha edge reale o era artefatto-print?
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Il clean close-aware ha spliciato barre Binance-spot dentro la serie Deribit-perp:
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il crollo del backtest potrebbe (a) rivelare la verita' (l'edge era print) o (b) essere
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un artefatto dello splice (basis perp/spot ai punti di giunzione). Test decisivo:
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girare lo STESSO engine fade su una serie 100% Binance spot (sorgente coerente, niente
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splice). Se anche qui la fade e' negativa -> edge confermato finto.
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"""
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from __future__ import annotations
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import sys
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from pathlib import Path
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PROJECT_ROOT = Path(__file__).resolve().parents[2]
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sys.path.insert(0, str(PROJECT_ROOT))
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import numpy as np, pandas as pd, ccxt
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from scripts.analysis.risk_management import build_trades, strats_for
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EX = ccxt.binance({"enableRateLimit": True})
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SYM = {"BTC": "BTC/USDT", "ETH": "ETH/USDT"}
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START = "2020-06-01" # warmup per EMA200/ATR; il report usa 2021+
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YEARS = [2021, 2022, 2023, 2024, 2025, 2026]
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def fetch(asset, tf="15m"):
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start_ms = int(pd.Timestamp(START, tz="UTC").timestamp() * 1000)
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end_ms = int(pd.Timestamp("2026-05-26", tz="UTC").timestamp() * 1000)
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tf_ms = 15 * 60 * 1000
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rows = []
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since = start_ms
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while since <= end_ms:
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r = EX.fetch_ohlcv(SYM[asset], tf, since=since, limit=1000)
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if not r:
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break
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rows += r
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nxt = int(r[-1][0]) + tf_ms
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if nxt <= since:
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break
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since = nxt
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df = pd.DataFrame(rows, columns=["timestamp", "open", "high", "low", "close", "volume"])
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df = df.drop_duplicates("timestamp").sort_values("timestamp").reset_index(drop=True)
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return df[df["timestamp"] <= end_ms]
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def yearly(rows_by_year_ret, ts, trades, pos=0.15):
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# per-anno compound
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yr = {y: 1000.0 for y in YEARS}
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# ricostruisco compound per anno separato (reset capitale ogni anno per ret% annuo)
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by = {y: [] for y in YEARS}
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for i, j, r in trades:
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y = ts.iloc[i].year
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if y in by:
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by[y].append(r)
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out = {}
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for y in YEARS:
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cap = 1000.0
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for r in by[y]:
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cap = max(cap + cap * pos * r, 10.0)
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out[y] = (cap / 1000 - 1) * 100
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return out
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def full_oos(ts, trades, pos=0.15, split_date="2024-10-12"):
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sd = pd.Timestamp(split_date, tz="UTC")
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def comp(sub):
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cap = 1000.0; rets = []
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for i, j, r in sub:
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cap = max(cap + cap * pos * r, 10.0); rets.append(r * pos)
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return cap, rets
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capF, rF = comp(trades)
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oos = [(i, j, r) for i, j, r in trades if ts.iloc[i] >= sd]
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capO, rO = comp(oos)
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shF = float(np.mean(rF) / np.std(rF) * np.sqrt(len(rF))) if len(rF) > 1 and np.std(rF) > 0 else 0.0
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shO = float(np.mean(rO) / np.std(rO) * np.sqrt(len(rO))) if len(rO) > 1 and np.std(rO) > 0 else 0.0
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return (capF / 1000 - 1) * 100, shF, (capO / 1000 - 1) * 100, shO
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def main():
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print(f"Fetch Binance 15m (da {START})...\n")
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data = {a: fetch(a) for a in ("BTC", "ETH")}
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print("=" * 92)
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print(" FADE su PURO Binance spot 15m | RET% per anno (pos 0.15, leva 3x, trend 3.0)")
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print("=" * 92)
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print(f" {'sleeve':<12s}" + "".join(f"{y:>9d}" for y in YEARS) + " | FULL% Shrp | OOS% Shrp")
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print(" " + "-" * 88)
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for asset in ("BTC", "ETH"):
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df = data[asset].copy()
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df = df[pd.to_datetime(df["timestamp"], unit="ms", utc=True).dt.year >= 2021].reset_index(drop=True) \
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if False else df # tengo il warmup, filtro nei trade
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ts = pd.to_datetime(df["timestamp"], unit="ms", utc=True)
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for code in ("MR01", "MR02", "MR07"):
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fn, params = strats_for(asset)[code]
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trades = build_trades(fn(df, **params), df, trend_max=3.0)
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trades = [(i, j, r) for i, j, r in trades if ts.iloc[i].year >= 2021]
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yr = yearly(None, ts, trades)
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fF, shF, fO, shO = full_oos(ts, trades)
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print(f" {code+'_'+asset:<12s}" + "".join(f"{yr[y]:>+9.0f}" for y in YEARS) +
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f" | {fF:>+8.0f} {shF:>5.2f} | {fO:>+6.0f} {shO:>5.2f}")
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if __name__ == "__main__":
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main()
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