Adriano
783fa5546f
Obiettivo: alzare Acc, ridurre DD, migliorare PnL. Leve oneste, no tuning per-anno. - ROT02: overlay absolute-momentum (cash se BTC<SMA100) su ROT01. Domina su tutte le metriche: FULL +679->+1095%, OOS +44->+98%, DD 53->40%. - DIP01 market-gate (variante low-DD): alza Acc (ETH 52->57, SOL 49->52) e dimezza il DD (ETH 53->23), al costo di PnL. De-risking opzionale; su BTC il gate va evitato. - PORT01: portafoglio equal-weight giornaliero delle 3 sleeve anti-correlate (DIP01+TR01+ROT02). DD 12% (sotto ogni sleeve), CAGR 45%, 2022 bear -1% (era -30%). Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>
66 lines
2.8 KiB
Python
66 lines
2.8 KiB
Python
"""PORT01 — Portafoglio combinato delle 3 strategie oneste (equal-weight, daily rebal).
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Sleeve (meccanismi anti-correlati):
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DIP01 dip-buy reversion su BTC (1h) regime: reversione
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TR01 EMA 20/100 trend su paniere (4h) regime: momentum singolo
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ROT02 dual-momentum rotation (1d) regime: forza relativa + risk-off
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La diversificazione e' il vero motore di risk-reduction: il DD del portafoglio
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scende SOTTO quello della sleeve meno rischiosa, mantenendo una CAGR alta e
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azzerando quasi gli anni negativi (il 2022 bear passa da -30% di ROT a -1%).
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Risultato (netto, 2021-2026, leva 3x pos 15% per sleeve):
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DIP01_BTC +322% DD 15% CAGR 31%
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TR01_basket +591% DD 27% CAGR 43%
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ROT02_dualmom +771% DD 40% CAGR 49%
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PORTAFOGLIO +642% DD 12% CAGR 45% <-- DD piu' basso di ogni sleeve
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Per-anno: 2021 +203 · 2022 -1 · 2023 +47 · 2024 +50 · 2025 +14 · 2026 -2
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Logica e ricostruzione: scripts/analysis/honest_improve2.py.
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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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import pandas as pd
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PROJECT_ROOT = Path(__file__).resolve().parents[2]
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sys.path.insert(0, str(PROJECT_ROOT))
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from scripts.analysis.honest_improve import _dd # noqa: E402
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from scripts.analysis.honest_improve2 import ( # noqa: E402
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dip_market_gated, _daily_equity, _norm, _tr_basket_daily, _rot_daily_equity,
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)
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def run():
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idx = pd.date_range("2021-01-01", "2026-05-26", freq="1D", tz="UTC")
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d = dip_market_gated("BTC", market_n=0, return_equity=True)
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members = {
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"DIP01_BTC": _norm(_daily_equity(d["eq_ts"], d["eq_v"], idx)),
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"TR01_basket": _norm(_tr_basket_daily(["BNB", "BTC", "DOGE", "SOL", "XRP"], idx)),
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"ROT02_dualmom": _norm(_rot_daily_equity(idx)),
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}
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drets = pd.DataFrame({k: v.pct_change().fillna(0) for k, v in members.items()})
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port_ret = drets.mean(axis=1)
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combo = (1 + port_ret).cumprod()
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yrs = (idx[-1] - idx[0]).days / 365.25
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print("=" * 80)
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print(f" PORT01 — portafoglio equal-weight (daily rebal) | {idx[0].date()} -> {idx[-1].date()}")
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print("=" * 80)
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print(f" {'sleeve':<16s}{'ret%':>9s}{'DD%':>7s}{'CAGR%':>8s}")
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for name, s in members.items():
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r = (s.iloc[-1] / s.iloc[0] - 1) * 100
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cagr = ((s.iloc[-1] / s.iloc[0]) ** (1 / yrs) - 1) * 100
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print(f" {name:<16s}{r:>+9.0f}{_dd(s.values):>7.0f}{cagr:>8.0f}")
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r = (combo.iloc[-1] / combo.iloc[0] - 1) * 100
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cagr = ((combo.iloc[-1] / combo.iloc[0]) ** (1 / yrs) - 1) * 100
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print(f" {'PORTAFOGLIO':<16s}{r:>+9.0f}{_dd(combo.values):>7.0f}{cagr:>8.0f}")
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pa = port_ret.groupby(port_ret.index.year).apply(lambda x: ((1 + x).prod() - 1) * 100)
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print(" Per-anno: " + " ".join(f"{y}:{v:+.0f}%" for y, v in pa.items()))
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if __name__ == "__main__":
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run()
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