Adriano
dc2b5697da
- trackA trend, trackB ML, trackC mean-rev, trackD trend-portfolio, trackE xsec/ensemble - VERDICT: Track D vol-targeted BTC+ETH trend portfolio is the one robust deployable earner (Sharpe 1.0-1.32, DD 13-19%, positive every year 2019-2026) - mean-reversion confirmed dead on clean data; weak-but-real ML/trend residuals - honest: EUR50/day on 2000 in 1-2y is not reachable (needs ~137k capital or ruinous DD)
97 lines
6.1 KiB
Markdown
97 lines
6.1 KiB
Markdown
# 2026-06-19 — Track D: Robust walk-forward TREND PORTFOLIO (BTC+ETH), vol-targeted + leverage
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Follow-up to Track A. Thesis under test: trend-following's real value in crypto is **drawdown
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reduction** vs buy & hold (it sidesteps crashes), and that lower DD lets you apply **leverage** and
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**diversify** BTC+ETH into a deployable, risk-adjusted *earning* system — even if each single signal
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has modest Sharpe. Tool: `scripts/research/trackD_trendport.py` (run
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`uv run python scripts/research/trackD_trendport.py`).
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## Method (honest, no look-ahead)
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Equity built directly from a **target-position series** (the harness's documented "build your own
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equity" path), NOT per-trade chaining:
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- `target[i]` decided with data **≤ close[i]**; **held during the next bar** (close[i]→close[i+1]).
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- `pnl[t] = target[t-1]·r[t]`, `r[t]=close[t]/close[t-1]-1` — positions **shifted +1 bar** ⇒ no leakage.
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- Fees on **turnover**: `0.05%/side·|target[t-1]-target[t-2]|` (0.10% RT baseline; swept 0.10–0.40% RT).
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- **Vol-targeting** (main lever): `target = direction · (target_vol / realized_vol)`, clipped to the
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leverage cap. `realized_vol` = annualized rolling std of past bar returns (30d window), ≤ close[i].
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- **Portfolio** = 50/50 BTC+ETH net-return series, rebalanced each bar on common timestamps.
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Leakage sanity check passed: an *oracle* target using next-bar sign explodes (10^119×) — proving the
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engine holds `target[i-1]` over bar `i` — while our signals (TSMOM blend, MA-slope, Donchian) only use
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`close[i]` and earlier. Zero-position equity = exactly 1.0.
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## What was tested
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TSMOM multi-horizon blend (1/3/6-month-equiv on 1h bars), MA-slope (EMA200 slope), Donchian breakout
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with trailing channel stop — each vol-targeted, long-short **and** long-flat, per-asset and combined.
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Grid: target-vol × leverage-cap × horizon-set; explicit EARLY(2018-21)/LATE(2022-26) split;
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fee & leverage sweep; full per-year 2018-2026.
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## Results — the honest picture
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**1) The thesis holds: massive DD reduction, and diversification helps.**
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| Strategy (50/50 port, tvol20%, LS) | CAGR | Sharpe | maxDD | volA |
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|---|---|---|---|---|
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| **B&H 50/50** | +48% | 0.92 | **77.8%** | 70% |
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| TSMOM 1-3-6m blend | +14.2% | **1.00** | **18.9%** | 14% |
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| MA-slope | +14.1% | 0.79 | 21.9% | 19% |
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| Donchian-trailing | +14.7% | 0.89 | 17.7% | 17% |
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Trend cuts maxDD from ~78% to ~18% while keeping a Sharpe **above** buy&hold (1.00 vs 0.92). The
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portfolio Sharpe (1.00) **beats both sleeves** (BTC 0.95, ETH 0.75) — diversification works as claimed.
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The **long-flat** variant is even cleaner: Sharpe **1.32**, maxDD **13.3%** (no short funding/borrow risk).
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**2) It is genuinely robust (not a lucky cell).**
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- *Per-year (headline LS):* every full year **positive** 2019-2025 (+19/+36/+19/+6/+2/+14/+4%) and 2026 +8%.
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- *Grid:* Sharpe ≈1.00 across **all** target-vol (10-40%) × leverage caps — flat plateau (vol-targeting
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just scales). DD scales ~linearly with target-vol (10%→DD10%, 40%→DD35%).
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- *Horizon-set:* every subset (1m/3m/6m/1-3m/3-6m/1-2-4m/2-4-8m) is **positive**; Sharpe 0.37→1.39.
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Shorter horizons (1m, 1-2-4m) score best (Sharpe 1.34-1.39) — a real plateau, not one combo.
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- *Fee:* survives to 0.40% RT (Sharpe 1.00→0.39, still positive at 4× baseline fee).
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**3) The honest caveat — most of the edge is the EARLY regime.**
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Walk-forward split, same param set both assets:
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- **EARLY 2018-2021:** CAGR +26%, Sharpe **1.63**, DD 18%.
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- **LATE 2022-2026:** CAGR +7.3%, Sharpe **0.57**, DD 19%.
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The signal is real and still net-positive every late year, but its quality **halved** post-2021
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(crypto vol compressed, trends choppier). This is the same warning Track A raised, now quantified: the
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edge is strongest 2019-2021 and merely *modest* in the 2022-26 regime.
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**4) Leverage is a red herring; target-vol is the real dial — and it costs DD linearly.**
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At tvol=20% on 60-80% crypto vol, positions stay **sub-1x** (avg gross 0.23×): the leverage cap
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**never binds**. To deploy real leverage you raise target-vol; Sharpe stays ~1.0, DD scales:
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| target_vol | avg gross | CAGR | Sharpe | maxDD |
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|---|---|---|---|---|
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| 20% | 0.23× | +14% | 1.00 | 19% |
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| 40% | 0.45× | +28% | 1.00 | 35% |
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| 60% | 0.68× | +40% | 1.00 | 48% |
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| 80% | 0.90× | +50% | 1.00 | 60% |
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| 100% | 1.12× | +58% | 0.99 | 69% |
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## Verdict — is this a deployable earning system?
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**Yes as a risk-adjusted system; NO as a fast path to €50/day on €2000.**
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- This is the **first post-reset config that is genuinely robust**: Sharpe ~1.0 (long-flat 1.3),
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positive every year 2018-2026, robust across grid/horizon/fee, on both assets, on certified data,
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with honest no-look-ahead accounting. It is a real, deployable trend portfolio and a clear
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improvement over Track A's lucky single cells. The thesis (DD reduction → leverageable, diversifiable)
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is **confirmed**.
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- **But the earnings are modest.** Headline (tvol20%, 2x cap, LS): CAGR **+14.2%**, DD 19% ⇒ steady-state
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**~€0.73/day on €2000**. To average **€50/day at this CAGR you need ~€137k capital**, not €2000.
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- **Leverage can't close the gap cheaply.** Pushing target-vol to 80% gives CAGR ~50% (DD **60%**) — and
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at €2000, 50%/yr is still only ~€2.7/day in steady state. Reaching €50/day in 1-2 years from €2000
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would require both heavy leverage (DD 60-70%, near-ruin) **and** lucky path — not a sane plan.
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- **Regime risk:** the edge is much weaker post-2021 (Sharpe 0.57 LATE). Deploy sized for the LATE
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regime, not the EARLY one.
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**Recommendation:** treat this as the **core risk engine** (compounding ~14%/yr at DD<20%, or
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long-flat ~16%/yr at DD 13%), deployable now at low size to validate live execution. It grows €2000,
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but to *€50/day* the lever is **capital + time**, not leverage. Realistic near-term: ~€0.7-1.5/day on
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€2000; €50/day needs ~€70-140k or a second uncorrelated edge stacked on top.
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## Deliverable
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`scripts/research/trackD_trendport.py` — self-contained, prints B&H benchmark, broad scan, grid
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robustness, horizon robustness, walk-forward early/late, fee+leverage sweep, headline config per-year,
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and the path-to-€50/day table. Reusable building blocks (vol-targeting, target→equity, portfolio).
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