Adriano Dal Pastro 9d586eeb58 research(tp01): DVOL vol-targeting non migliora TP01 (de-levering, non timing) ...

Angolo ESEGUIBILE (tocca il book live): DVOL (vol implicita forward-looking) come
denominatore del vol-target invece della realizzata. Finestra comune 2021-2026.

Le varianti DVOL abbassano DD (12.3->9.2%) ma anche Sharpe FULL (0.75->0.70) e CAGR.
Controllo decisivo: realized @ vol-tgt 15% eguaglia quel DD (9.4%) a Sharpe piu' alto
(0.75) -> il taglio di DD del DVOL e' solo DE-LEVERING, replicabile meglio con un
target_vol piu' basso. Hold-out +0.06 = single-window (storia DVOL <5y), sotto la
soglia multi-cut. Gate DVOL-spike ridondante col trend (TP01 gia' flat nei crash).

Lezione: per meno DD sul live la leva e' target_vol, non un overlay DVOL.

- scripts/research/tp01_dvol_overlay.py (realized/dvol/blend/max/derisk + controllo target_vol)
- tests/test_tp01_dvol_overlay.py
- docs/diary/2026-06-26-tp01-dvol-overlay.md
- CLAUDE.md

Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>

2026-06-26 18:56:56 +00:00

..

2026-06-19-beat-tp01-wave1.md

research: wave1 beat-TP01 (26 agenti BTC/ETH) — nessun 3o sleeve robusto, portafoglio invariato

2026-06-19 20:19:47 +00:00

2026-06-19-cerbero-bite-mainnet-verified.md

research: porta artefatti da strategy-research-calendar (tracks F-I + eval crypto_backtest + lead OPZIONI/VRP)

2026-06-19 20:24:16 +00:00

2026-06-19-deribit-history.md

chore(reset): v2.0.0 — storico certificato Deribit mainnet, ripartenza pulita

2026-06-19 15:20:59 +00:00

2026-06-19-eval-crypto-backtest-options.md

research: porta artefatti da strategy-research-calendar (tracks F-I + eval crypto_backtest + lead OPZIONI/VRP)

2026-06-19 20:24:16 +00:00

2026-06-19-fractal-multiagent-search.md

research(v2.0.0): honest harness + fasi 0-3 + ricerca frattale 63 agenti — nessun edge robusto su BTC/ETH

2026-06-19 18:37:05 +00:00

2026-06-19-hyperliquid-xsec.md

feat(portfolio): XS01 cross-sectional (Hyperliquid) BATTE il portafoglio -> TP01 70% + XS01 30%

2026-06-19 20:05:45 +00:00

2026-06-19-options-vrp-lab.md

research: calibra VRP su quote REALI cerbero-bite — f≈1.0 (non 1.29), lead DEBOLE confermato non-deploy

2026-06-19 20:38:54 +00:00

2026-06-19-research-phase0-1.md

research(v2.0.0): honest harness + fasi 0-3 + ricerca frattale 63 agenti — nessun edge robusto su BTC/ETH

2026-06-19 18:37:05 +00:00

2026-06-19-research-phase2-options.md

research(v2.0.0): honest harness + fasi 0-3 + ricerca frattale 63 agenti — nessun edge robusto su BTC/ETH

2026-06-19 18:37:05 +00:00

2026-06-19-research-phase3-confirm.md

research(v2.0.0): honest harness + fasi 0-3 + ricerca frattale 63 agenti — nessun edge robusto su BTC/ETH

2026-06-19 18:37:05 +00:00

2026-06-19-research-synthesis.md

integra(TP01): merge ricerca branch strategy-research-2026-06 (squash) — strategia vincente + harness + track A-E

2026-06-19 18:55:04 +00:00

2026-06-19-second-sleeve-hunt.md

research: caccia al 2o sleeve — nessun diversificatore robusto, TP01-only resta

2026-06-19 19:28:51 +00:00

2026-06-19-strategy-portfolio.md

feat(portfolio): contenitore di strategie ESTENSIBILE — TP01 primo sleeve

2026-06-19 19:17:18 +00:00

2026-06-19-tp01-lookahead-fix-lf.md

fix(TP01): bug look-ahead ffill mixed-TF -> deploy a >=12h (1d), strategia DIFENSIVA

2026-06-19 19:04:38 +00:00

2026-06-19-tp01-verification.md

research: stress-test TP01 — robusto come strategia DIFENSIVA (DD-cut), edge ritorno hold-out sottile

2026-06-19 18:57:22 +00:00

2026-06-19-trackA-trend.md

integra(TP01): merge ricerca branch strategy-research-2026-06 (squash) — strategia vincente + harness + track A-E

2026-06-19 18:55:04 +00:00

2026-06-19-trackB-ml.md

integra(TP01): merge ricerca branch strategy-research-2026-06 (squash) — strategia vincente + harness + track A-E

2026-06-19 18:55:04 +00:00

2026-06-19-trackC-meanrev.md

integra(TP01): merge ricerca branch strategy-research-2026-06 (squash) — strategia vincente + harness + track A-E

2026-06-19 18:55:04 +00:00

2026-06-19-trackD-trendport.md

integra(TP01): merge ricerca branch strategy-research-2026-06 (squash) — strategia vincente + harness + track A-E

2026-06-19 18:55:04 +00:00

2026-06-19-trackE-xsec-ensemble.md

integra(TP01): merge ricerca branch strategy-research-2026-06 (squash) — strategia vincente + harness + track A-E

2026-06-19 18:55:04 +00:00

2026-06-19-trackF-seasonality.md

research: porta artefatti da strategy-research-calendar (tracks F-I + eval crypto_backtest + lead OPZIONI/VRP)

2026-06-19 20:24:16 +00:00

2026-06-19-trackG-prior-levels.md

research: porta artefatti da strategy-research-calendar (tracks F-I + eval crypto_backtest + lead OPZIONI/VRP)

2026-06-19 20:24:16 +00:00

2026-06-19-trackH-volume-vol.md

research: porta artefatti da strategy-research-calendar (tracks F-I + eval crypto_backtest + lead OPZIONI/VRP)

2026-06-19 20:24:16 +00:00

2026-06-19-trackI-momentum-reversal.md

research: porta artefatti da strategy-research-calendar (tracks F-I + eval crypto_backtest + lead OPZIONI/VRP)

2026-06-19 20:24:16 +00:00

2026-06-19-trend-multiasset.md

research: strato trend multi-asset (52 alt) RIDONDANTE col trend TP01 -> non aggiunto

2026-06-19 21:17:16 +00:00

2026-06-19-xsec-blend.md

feat(XS01): affina con blend di lookback [30,90] — FULL 0.80->1.10, portafoglio 1.41->1.48

2026-06-19 22:19:12 +00:00

2026-06-19-xsec-dispgate.md

feat(XS01): + gate di dispersione (p30) — portafoglio FULL 1.48->1.55, HOLD 1.06->1.55

2026-06-19 22:24:04 +00:00

2026-06-19-xsec-universe-expansion.md

research: universo top-liquidità DINAMICO per XS — anch'esso peggiore del fisso-19 (memecoin diluiscono)

2026-06-19 21:09:48 +00:00

2026-06-20-alt-strategies-100agent-sweep.md

research(alt): sweep 104 strategie alternative su Deribit (153 agenti) + marginal scorer

2026-06-20 19:50:39 +00:00

2026-06-20-cerbero-backfill-fix.md

fix(fetch_hyperliquid): taglia il backfill sintetico di cerbero MCP (vol=0) — universo 52->51

2026-06-20 11:53:55 +00:00

2026-06-20-financeold-analysis-vrp-v2.md

feat: integra VRP01 come sleeve del portafoglio (put credit spread + gate IV-rank)

2026-06-20 11:24:40 +02:00

2026-06-20-vrp-active-management.md

research(xsec): sweep cross-sectional su Hyperliquid (43 script/257 config) + verifica avversariale

2026-06-20 21:36:57 +00:00

2026-06-20-xsec-strategies-sweep.md

research(xsec): sweep cross-sectional su Hyperliquid (43 script/257 config) + verifica avversariale

2026-06-20 21:36:57 +00:00

2026-06-21-blind-signal-fleet.md

research(blind): 52 agenti ciechi su curve anonime BTC/ETH — orchestratore valuta PnL/maxDD, niente di nuovo regge

2026-06-21 07:05:04 +00:00

2026-06-21-intraday-microstructure.md

harness(causality): guardia look-ahead + calendar-artifact self-policing nel lab intraday

2026-06-21 15:22:58 +00:00

2026-06-21-ortho-tp01-relative-value.md

harness(marginal): indurisci marginal_vs_tp01 con la lezione dell'onda ortho (17/18 -> 1)

2026-06-21 12:50:26 +00:00

2026-06-21-prevday-bootstrap.md

research(intraday): PREVDAY block-bootstrap -> coda-fortuna vs persistente (blocker #2/#3)

2026-06-21 19:56:11 +00:00

2026-06-21-prevday-fill-haircut.md

research(intraday): fill-haircut PREVDAY a basso capitale -> blocker d'esecuzione BENIGNO

2026-06-21 19:41:20 +00:00

2026-06-21-prevday-overlay-portfolio.md

research(portfolio): simula PREVDAY come overlay tail-hedge su TP01+XS01+VRP01 (NON deploy)

2026-06-21 20:01:20 +00:00

2026-06-21-prevday-turnover-and-hedge.md

research(intraday): PREVDAY turnover-reduction (no free lunch) + long-only probe (e' un HEDGE)

2026-06-21 19:45:54 +00:00

2026-06-22-crypto-lead-50agent-sweep.md

research(cross-market): sweep 65-agenti crypto->mercati IB -> fenomeno gap robustissimo ma NON edge

2026-06-22 22:32:28 +00:00

2026-06-22-crypto-macro-leadlag.md

research(cross-market): crypto x mercati IB -> trovata ANTICIPAZIONE weekend-crypto -> lunedi' equity

2026-06-22 21:55:01 +00:00

2026-06-22-deployable-combo-tp01-gtaa.md

research(equities): valida combo DEPLOYABLE TP01+GTAA (le due gambe eseguibili)

2026-06-22 21:48:35 +00:00

2026-06-22-equities-gtaa-and-crypto-combo.md

research(equities): EQ-GTAA01 trend multi-asset + COMBO cross-mercato (diversifica il crypto)

2026-06-22 21:42:42 +00:00

2026-06-22-equities-sector-momentum.md

research(equities): EQ-MOM01 momentum settoriale -> NON batte SPY

2026-06-22 21:33:38 +00:00

2026-06-22-equities-spy-trend.md

research(equities): EQ-TREND01 trend difensivo su SPY = edge difensivo REALE (analogo TP01)

2026-06-22 21:37:37 +00:00

2026-06-22-funding-carry-hl.md

research(funding-carry): FC01 cross-sectional su HL -> fragile, NON regge + infra IB paper

2026-06-22 20:56:18 +00:00

2026-06-23-combo-paper-deploy.md

feat(combo): paper-trade cross-venue TP01 (Deribit) + GTAA (IB), forward-only

2026-06-23 12:26:51 +00:00

2026-06-23-crossmarket-beyond-sp500.md

research(cross-market): oltre SP500 (bond/commodity/indici esteri) -> niente, artefatto di confine UTC

2026-06-23 12:12:16 +00:00

2026-06-23-crypto-overnight-lookahead.md

research(cross-market): "monitor Deribit/trade IB" gap = LOOK-AHEAD, edge tradabile ~0

2026-06-23 11:23:18 +00:00

2026-06-23-futures-overnight-leadlag.md

research(cross-market): futures overnight non-sovrapposto -> edge ~0 su SP500, soffio su small-cap

2026-06-23 11:51:15 +00:00

2026-06-23-skyhook.md

feat(portfolio): wire SKH01-V2-DD sleeve @25% effective -> 4-sleeve book

2026-06-23 16:22:15 +00:00

2026-06-23-tail-hedge-lab.md

research(stops): SL classici vs soft-guard -> il soft-guard vince (lo SL duro whippa nel grind)

2026-06-23 13:09:43 +00:00

2026-06-26-cash-carry-hl.md

research(carry): cash-and-carry CC01 — premio reale, Sharpe artefatto, non deployabile

2026-06-26 18:46:14 +00:00

2026-06-26-gamma-scalp-options.md

research(options): gamma scalping (long-vol) — SCARTATO

2026-06-26 18:36:48 +00:00

2026-06-26-tp01-dvol-overlay.md

research(tp01): DVOL vol-targeting non migliora TP01 (de-levering, non timing)

2026-06-26 18:56:56 +00:00