Adriano Dal Pastro
de72e3ce1f
Second agent wave (skyhook-improve-v2, 14 DD-reduction families, each adversarially verified by 2 skeptics) beats the prior winner on the only unmet goal (DD<30%). Winner = ASYM_LS -> promoted to engine as SKH01_V2_DD: same signal (ptn_n=45, vola[35,95], vol_lo=0, exit-bars 24/16) but exits switched from ATR to FIXED-PCT ASYMMETRIC — long sl4%/tp10%, short sl2%(tighter)/tp8%. The tight short %-SL caps the per-trade loss that forms the maxDD in vol spikes. Verified (sk.study, independent re-run): standalone maxDD BTC 21.4% / ETH 27.4% (<30%), minFull +0.99, minHold +1.26, causality 0/400 both assets, fee-surviving to 0.40%RT, marginal vs TP01 ADDS (corr 0.09, in-sample edge, robust_oos, multicut, clean-year +0.57), blend 0.75*TP01+0.25*SKH uplift_hold +0.87; blend 50/50 full 1.84/hold 1.59/DD 10.7%. Plateau (not knife-edge); both skeptics holds_up=high, killer=null. Engine: per-direction short exit overrides (exit_mode_short/sl_*_short/tp_*_short), backward-compatible (None -> symmetric, V1/intermediate-winner unchanged). +3 tests (8/8 pass). Lessons: DD is cut by changing the exit MECHANISM (%-SL, L/S asymmetry, ensembles), NOT by entry-only kill-switch / vol-target / cadence. PATTERN_CONF killed as overfit (knife-edge). PCTL_DD unverified (rate-limit) and ENS_PARAM/TPSL_DD recency/hedge-loaded -> forward-monitor. NOT yet wired to live sleeves: re-verify blend@0.25 + causality on execution code before deploy. Includes both waves' research scripts (runs/SKH_* wave 1, runs/SKH2_* wave 2). Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>
66 lines
3.3 KiB
Python
66 lines
3.3 KiB
Python
"""SKH_P_LOCAL2 — refine: combine the two winning axes (ptn_n DD-cut + sl/tp hold-lift)
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and CHECK MARGINAL clean-year(2025) uplift on the top few, since that is the true gate
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(robust_oos requires clean_year_uplift>0.02 AND multicut_persistent)."""
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from __future__ import annotations
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import sys
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sys.path.insert(0, "/opt/docker/PythagorasGoal/scripts/research/skyhook")
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import skyhooklib as sk
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from src.strategies.skyhook import SkyhookParams
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V1 = dict(ptn_n=55, sl_atr=2.5, tp_atr=6.0, vola_lo=35.0, vola_hi=95.0, vol_lo=0.0)
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def evalp(**over):
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p = SkyhookParams(**{**V1, **over})
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out = {a: sk.run_asset(a, p, fee_rt=sk.FEE_RT) for a in ("BTC","ETH")}
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return dict(p=p, over=over,
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min_full=min(out[a]["full"]["sharpe"] for a in out),
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min_hold=min(out[a]["holdout"]["sharpe"] for a in out),
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min_tr=min(out[a]["full"]["n_trades"] for a in out),
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max_dd=max(out[a]["full"]["maxdd"] for a in out),
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btc_dd=out["BTC"]["full"]["maxdd"], eth_dd=out["ETH"]["full"]["maxdd"])
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def row(tag, r):
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elig = (r["min_full"]>=0.5 and r["min_tr"]>=20 and r["min_hold"]>=0.5)
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print(f"{tag:<26} minFull={r['min_full']:+.2f} minHold={r['min_hold']:+.2f} "
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f"maxDD={r['max_dd']*100:>3.0f}% (b{r['btc_dd']*100:.0f}/e{r['eth_dd']*100:.0f}) "
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f"minTr={r['min_tr']:>3} {'OK' if elig else 'x'}")
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return r
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print("=== SKH_P_LOCAL2 combine ptn_n x sl/tp (fee 0.10%RT) ===")
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cands=[]
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for ptn in (40, 45, 48):
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for sl,tp in ((2.0,6.0),(2.0,7.0),(2.25,6.0),(2.25,7.0),(2.5,7.0)):
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over=dict(ptn_n=ptn, sl_atr=sl, tp_atr=tp)
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cands.append((f"ptn{ptn}_sl{sl}_tp{tp}", row(f"ptn{ptn}_sl{sl}_tp{tp}", evalp(**over))))
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# also ptn45 with exit-bar asymmetry that lifted hold
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for ul,us in ((30,18),(24,18)):
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over=dict(ptn_n=45, uscitalong=ul, uscitashort=us)
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cands.append((f"ptn45_ex{ul}/{us}", row(f"ptn45_ex{ul}/{us}", evalp(**over))))
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elig=[(t,r) for (t,r) in cands if r["min_full"]>=0.5 and r["min_tr"]>=20 and r["min_hold"]>=0.5]
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elig.sort(key=lambda tr:(tr[1]["max_dd"], -round(tr[1]["min_hold"],3)))
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print(f"\nEligible: {len(elig)} (sorted by lowest DD)")
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for t,r in elig:
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print(f" {t:<24} maxDD={r['max_dd']*100:.0f}% minHold={r['min_hold']:+.2f} minFull={r['min_full']:+.2f} over={r['over']}")
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# Check MARGINAL clean-year uplift on the lowest-DD eligible + the best-hold eligible.
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def marg_check(tag, over):
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p = SkyhookParams(**{**V1, **over})
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mg = sk.marginal(p)
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print(f"\n--- MARGINAL {tag} over={over} ---")
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print(f" verdict={mg.get('marginal_verdict')} corr_full={mg.get('corr_full')} "
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f"robust_oos={mg.get('robust_oos')} multicut_persistent={mg.get('multicut_persistent')}")
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print(f" clean_year_uplift={mg.get('clean_year_uplift')} jackknife_min={mg.get('jackknife_min_uplift')} "
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f"has_insample_edge={mg.get('has_insample_edge')} is_hedge={mg.get('is_hedge')}")
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print(f" blend w25 uplift_hold={mg.get('blends',{}).get('w25',{}).get('uplift_hold')} "
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f"uplift_full={mg.get('blends',{}).get('w25',{}).get('uplift_full')}")
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return mg
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# pick up to 4 distinct configs to marginal-check
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seen=set(); checked=0
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for t,r in elig:
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key=tuple(sorted(r["over"].items()))
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if key in seen: continue
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seen.add(key); marg_check(t, r["over"]); checked+=1
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if checked>=5: break
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