Adriano Dal Pastro
9612560479
Nuova harness condivisa xslib.py (panel HL certificato, score per-asset causale, book long-k/short-k vol-targeted leak-free) + 43 script in runs/ su 11 famiglie (MOM/REV/VOL/ DIST/LIQ/VAL/STRUCT/UNIV). Scoring = earns_slot (full>0 AND hold-out>0 AND marginal ADDS al portafoglio live AND corr XS01<0.6, con jackknife drop-one-month). Find: 42/257 config earns_slot=True, ma TUTTE con corr TP01 -0.2..-0.4 e PnL ~solo 2025. Verify (verify_survivors.py, 3 scettici deterministici): - S1 redundancy: cluster low-vol = UNA scommessa (XV01=XU02=1.00, XV02/XV03 r 0.44-0.67); XM09/XL02/XS06b/XR02 distinti (corr media off-diag +0.20). - S2 short-beta: cluster low-vol carica 0.44-0.70 su short-market -> NON market-neutral, e' un tilt short-alt-beta di regime. XM09(0.08)/XR02(-0.21) NON short-beta. - S3 per-anno: cluster low-vol decade (XV01/XU02 2026 -0.09); XL02 morto (2025 -0.14, 2026 -0.43); XM09 (0.82/0.50/0.74) e XR02 (0.84/0.40/2.68) positivi in tutti e 3 gli anni. Esito: nessuna sleeve nuova. Cluster low-vol RIGETTATO (regime-bet), XL02 RIGETTATO (overfit). 2 LEAD genuini (XM09 trend-gated x-sec momentum, XR02 reversal vol-gated) -> forward-monitor, non deployabili (panel 2.5y regime unico + STAT-MODE esecuzione). Portafoglio live invariato. Incluso anche options_vrp_managed.py (A/B VRP01 hold-to-expiry vs gestione attiva del doc credit-spread): la gestione attiva DISTRUGGE l'edge (combo FULL managed Sh -1.29 vs HtE +0.96, il delta-exit taglia i vincenti) -> scartata, VRP01 resta hold-to-expiry. Diari: 2026-06-20-xsec-strategies-sweep.md, 2026-06-20-vrp-active-management.md. gitignore: data/paper_portfolio/ (stato runtime paper) + scripts/research/xsec/runs/out/ (output rigenerabile). Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>
94 lines
3.1 KiB
Python
94 lines
3.1 KiB
Python
"""XL03 [LIQ] — Low-turnover anomaly.
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Score = -roll_mean(close * volume, 30) : long low dollar-volume names.
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Idea: low-liquidity assets carry a liquidity premium and may outperform
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high-liquidity names on a risk-adjusted basis.
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Grid (<=5 runs):
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1. baseline: universe=all, H=10, k=5, long_short=True, win=30
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2. shorter window win=10 (faster signal)
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3. longer window win=60 (more stable ranking)
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4. long-only version (long low-liq only, no shorting high-liq names)
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5. majors universe (check if effect holds in liquid-only subspace)
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"""
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import sys
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sys.path.insert(0, "/opt/docker/PythagorasGoal/scripts/research/xsec")
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import xslib as xs
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import numpy as np
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# --- score factory -----------------------------------------------------------
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def liq_score(P, win=30):
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"""Score = -roll_mean(close * dollar_vol, win).
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CAUSAL: roll_mean at row i uses data[i-win+1..i].
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Higher score = LOWER liquidity = LONG.
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"""
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dollar_vol = P.close * P.vol # (n, A) daily dollar volume
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avg_dvol = xs.roll_mean(dollar_vol, win) # rolling mean, causal
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return -avg_dvol # negate: lower dvol -> higher score -> long
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# --- grid -------------------------------------------------------------------
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print("=" * 70)
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print("XL03 [LIQ] Low-turnover anomaly — grid search")
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print("=" * 70)
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results = []
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# Run 1: baseline (all, H=10, k=5, LS, win=30)
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r1 = xs.study_xs("XL03-w30-all-LS",
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lambda P: liq_score(P, 30),
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universe="all", H=10, k=5, long_short=True)
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print(xs.fmt(r1))
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print("JSON:", xs.as_json(r1))
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results.append(r1)
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# Run 2: shorter window win=10
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r2 = xs.study_xs("XL03-w10-all-LS",
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lambda P: liq_score(P, 10),
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universe="all", H=10, k=5, long_short=True)
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print(xs.fmt(r2))
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print("JSON:", xs.as_json(r2))
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results.append(r2)
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# Run 3: longer window win=60
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r3 = xs.study_xs("XL03-w60-all-LS",
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lambda P: liq_score(P, 60),
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universe="all", H=10, k=5, long_short=True)
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print(xs.fmt(r3))
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print("JSON:", xs.as_json(r3))
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results.append(r3)
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# Run 4: long-only (long low-liq, no short)
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r4 = xs.study_xs("XL03-w30-all-LO",
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lambda P: liq_score(P, 30),
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universe="all", H=10, k=5, long_short=False)
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print(xs.fmt(r4))
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print("JSON:", xs.as_json(r4))
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results.append(r4)
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# Run 5: majors universe only
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r5 = xs.study_xs("XL03-w30-majors-LS",
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lambda P: liq_score(P, 30),
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universe="majors", H=10, k=5, long_short=True)
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print(xs.fmt(r5))
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print("JSON:", xs.as_json(r5))
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results.append(r5)
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# --- pick best config -------------------------------------------------------
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print("\n" + "=" * 70)
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print("SUMMARY — best by: earns_slot first, then hold-out Sharpe, then corr_xs01 < 0.6")
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print("=" * 70)
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def rank_key(r):
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earns = int(r["earns_slot"])
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hold_sh = r["holdout"].get("sharpe", -9) or -9
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xs01_corr = abs(r.get("corr_xs01") or 1.0)
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return (earns, hold_sh, -xs01_corr)
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best = max(results, key=rank_key)
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print(f"\nBEST CONFIG: {best['name']}")
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print(xs.fmt(best))
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print("\nJSON (best):", xs.as_json(best))
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