Adriano Dal Pastro
cff5fa2bf5
Ricerca onesta su aree inesplorate (harness altlib+xsec_v2_nonmom, tutti i gate incl. study_family_honest anti-selection-on-holdout). Branch main, nessun impatto live, test 143/143. 1 XSEC low-risk cousins (MAX/idio-vol/Amihud) -> 1 LEAD (IVOL), STAT-MODE, DSR 0.37<0.95 2 XSEC momentum-structure vs XS01 -> tutto REDUNDANT (sostituire XS01 distrugge hold) 3 Meta-allocazione dinamica (4 sleeve) -> pesi fissi vincono (gia quasi risk-parity) 4 Segnali ortogonali ETH/BTC (2 gambe) -> STATARB-RESID + DVOLSPREAD LEAD 5 1-gamba a segnale (MACD/RSI/Supertrend/...) -> 0/12 earns_slot (trend=TP01, MR morta, hedge) LEAD principale STATARB-RESID (mean-rev residuo ETH-b*BTC, OLS rolling, 2 gambe): primo stream INSIEME ortogonale (corr->book 0.027, beta-mkt 0.013) ED eseguibile a $600 (haircut ~0, NON STAT-MODE) -> cadono i 2 muri di XS01/opzioni. Resta solo il muro dell'edge (Sharpe 0.84, DSR 0.929 same-sign <0.95). Causalita+fee verificate dal coordinatore. Forward-monitor, non sleeve. Soffitto direzionale ~1.3 riconfermato. Diario 2026-06-29-strategy-search-5threads.md, CLAUDE.md agg. Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>
63 lines
2.5 KiB
Python
63 lines
2.5 KiB
Python
"""Test del filone XS-v3: varianti STRUTTURALI di momentum cross-sectional
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(scripts/research/xsec_v3_momstruct). Verifica i GATE strutturali, non i numeri esatti (storia
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corta, ricerca): gli engine sono CAUSALI (prefix-consistency, zero look-ahead, anche quello
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volatility-managed custom) e una cella della griglia ESEGUE producendo una serie finita non degenere.
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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[1]
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sys.path.insert(0, str(PROJECT_ROOT))
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import numpy as np
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from src.portfolio.sleeves import XS_UNIVERSE
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import importlib.util
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_spec = importlib.util.spec_from_file_location(
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"xsec_v3_momstruct", PROJECT_ROOT / "scripts" / "research" / "xsec_v3_momstruct.py")
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v3 = importlib.util.module_from_spec(_spec)
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_spec.loader.exec_module(v3)
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xv = v3.xv
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def _majors():
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return xv.load_matrix(XS_UNIVERSE)
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def test_std_engine_variants_are_causal():
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"""RAMOM/ACCEL/FIP usano xs_engine: ricostruiti su un prefisso, la coda combacia bit-a-bit
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con la run completa (gate #2 della metodologia)."""
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PX, VOL = _majors()
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vdefs = v3.variants()
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for name, cfg in (("RAMOM", dict(L=30, H=10, k=5)),
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("ACCEL", dict(Ls=30, Ll=60, H=5, k=8)),
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("FIP", dict(L=60, H=10, k=5))):
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res = xv.causality_prefix_check(PX, VOL, vdefs[name]["builder"], cfg)
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assert res["ok"], f"{name} look-ahead: max_tail_diff={res['max_tail_diff']}"
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assert res["max_tail_diff"] == 0.0
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def test_volscaled_engine_is_causal():
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"""L'engine volatility-managed custom (vol-target sulla vol di MERCATO, shift 1) e' causale."""
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PX, VOL = _majors()
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v = v3.variants()["VOLSC"]
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res = v3.caus_check_mktvol(PX, VOL, v["builder"], dict(L=60, H=5, k=8), B_mkt=v["B_mkt"])
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assert res["ok"], f"VOLSC look-ahead: max_tail_diff={res['max_tail_diff']}"
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assert res["max_tail_diff"] == 0.0
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def test_grid_cell_executes_finite():
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"""Una cella di ogni variante esegue e produce una serie GIORNALIERA finita e non degenere."""
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PX, VOL = _majors()
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vdefs = v3.variants()
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for name, cfg in (("RAMOM", dict(L=60, H=10, k=5)),
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("ACCEL", dict(Ls=30, Ll=90, H=5, k=8)),
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("FIP", dict(L=90, H=10, k=8)),
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("VOLSC", dict(L=60, H=5, k=8))):
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daily, turn = v3.run_variant_cfg(PX, VOL, vdefs[name], cfg)
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assert len(daily) > 60
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assert np.isfinite(daily.values).all()
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assert daily.std() > 0
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assert turn > 0
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