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>
51 lines
2.1 KiB
Python
51 lines
2.1 KiB
Python
"""Test minimale per scripts/research/signal_inout_1leg.py:
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- la costruzione del segnale MACD e' CAUSALE (no look-ahead): causality_ok ok, tail-diff ~0;
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- una cella esegue end-to-end (study_weights ritorna un verdetto valido).
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Veloce: solo BTC a 1d, una cella.
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"""
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import sys
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import numpy as np
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sys.path.insert(0, "/opt/docker/PythagorasGoal/scripts/research/alt")
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sys.path.insert(0, "/opt/docker/PythagorasGoal/scripts/research")
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import altlib as al # noqa: E402
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import signal_inout_1leg as sig # noqa: E402
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def test_macd_target_is_causal():
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"""Un target MACD costruito con EMA(adjust=False) non deve guardare al futuro."""
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fn = sig.make_macd("LF")(tf="1d", fast=12, slow=26, sig=9)
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c = al.causality_ok(fn, tf="1d")
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assert c["ok"], c
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assert c["max_tail_diff"] <= 1e-6, c
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def test_macd_position_values_and_hold():
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"""Long-flat in {0,1}; long-short in {-1,1}; nessun NaN."""
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df = al.get("BTC", "1d")
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lf = sig.make_macd("LF")(tf="1d", fast=12, slow=26, sig=9)(df)
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ls = sig.make_macd("LS")(tf="1d", fast=12, slow=26, sig=9)(df)
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assert len(lf) == len(df) and len(ls) == len(df)
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assert set(np.unique(lf)).issubset({0.0, 1.0})
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assert set(np.unique(ls)).issubset({-1.0, 1.0})
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assert np.isfinite(lf).all() and np.isfinite(ls).all()
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def test_one_cell_executes_end_to_end():
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"""study_weights su una cella MACD-LF deve produrre un verdetto valido."""
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fn = sig.make_macd("LF")(tf="1d", fast=12, slow=26, sig=9)
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rep = al.study_weights("MACD-LF-test", fn, tfs=("1d",))
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assert rep["verdict"]["grade"] in ("PASS", "WEAK", "FAIL")
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assert rep["cells"] and rep["cells"][0]["per_asset"]
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def test_supertrend_and_rsi_targets_run():
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"""Supertrend (stateful) e RSI (mean-rev) producono posizioni causali eseguibili."""
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df = al.get("BTC", "1d")
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st = sig.make_supertrend("LF")(tf="1d", atr_win=14, mult=2.5)(df)
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rs = sig.make_rsi()(tf="1d", win=14, oversold=30, overbought=65)(df)
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assert len(st) == len(df) and len(rs) == len(df)
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assert np.isfinite(st).all() and np.isfinite(rs).all()
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assert al.causality_ok(sig.make_supertrend("LF")(tf="1d", atr_win=14, mult=2.5), tf="1d")["ok"]
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