Adriano 9ebdfc7a7a feat(ROT02): riduce il DD diversificando (top_k 2 -> 3) ...

ROT02 concentrava il book su 2 soli asset (DD 40%). top_k=3 dimezza quasi il DD
(40% -> 26%) e ALZA il ritorno full (+1095 -> +1303%, ret/DD da 27 a 50). Il
vol-target abbassa il DD ma sacrifica ritorno (de-leverage) -> tenuto top_k=3
senza VT. Caveat: OOS di ROT02 cala (+98 -> +68%, DD 12 -> 14%), ma il portafoglio
MASTER migliora lo Sharpe full (3.95 -> 4.23). Applicato a ROT02_dual_momentum.py
e a _rot_daily_equity (usata da PORT01/PORT03). Docstring/CLAUDE/diario aggiornati.

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

2026-05-29 00:30:55 +02:00

..

__init__.py

feat(strategie): 3 nuove fade mean-reversion validate OOS fee-aware (MR02/MR03/MR07)

2026-05-28 23:26:21 +02:00

combine_portfolio.py

feat(strategie): portafogli master (PORT02/PORT03) + waste delle peggiori (MR03, ROT01)

2026-05-29 00:21:37 +02:00

honest_final.py

feat(analysis): 3 strategie oneste validate OOS multi-crypto (DIP/TR/ROT)

2026-05-28 23:28:00 +02:00

honest_improve2.py

feat(ROT02): riduce il DD diversificando (top_k 2 -> 3)

2026-05-29 00:30:55 +02:00

honest_improve.py

feat(analysis): miglioramenti - ROT02 dual-momentum + portafoglio (DD 12%)

2026-05-28 23:49:14 +02:00

honest_lab.py

feat(analysis): 3 strategie oneste validate OOS multi-crypto (DIP/TR/ROT)

2026-05-28 23:28:00 +02:00

honest_matrix.py

feat(analysis): matrice PnL/anno consolidata (confronto strategie + portafoglio)

2026-05-28 23:53:37 +02:00

honest_rotation.py

feat(analysis): 3 strategie oneste validate OOS multi-crypto (DIP/TR/ROT)

2026-05-28 23:28:00 +02:00

honest_trend.py

feat(analysis): 3 strategie oneste validate OOS multi-crypto (DIP/TR/ROT)

2026-05-28 23:28:00 +02:00

intrabar_test.py

feat(analysis): validazione out-of-sample fee-aware delle strategie

2026-05-28 19:57:15 +00:00

oos_validation.py

feat(analysis): validazione out-of-sample fee-aware delle strategie

2026-05-28 19:57:15 +00:00

paper_status.py

refactor: riorganizzazione script — Strategy ABC, folder strategies/waste/analysis

2026-05-27 23:01:36 +02:00

risk_management.py

feat(strategie): portafogli master (PORT02/PORT03) + waste delle peggiori (MR03, ROT01)

2026-05-29 00:21:37 +02:00

strategy_research_v2.py

feat(strategie): 3 nuove fade mean-reversion validate OOS fee-aware (MR02/MR03/MR07)

2026-05-28 23:26:21 +02:00

strategy_research.py

refactor(strategie): tieni solo MR01 mean-reversion, squeeze -> waste

2026-05-28 20:22:11 +00:00

validate_worker_mr01.py

feat(live): worker con exit TP/SL/max_bars per MR01 + doc aggiornata

2026-05-28 20:46:35 +00:00