Adriano Dal Pastro
aad69f9790
Ricerca onesta su BTC/ETH + universo HL, branch separato (nessun impatto live).
Harness condiviso altlib (causale, fee 0.10% RT, marginal vs TP01, day-boundary,
haircut $600). Test 19/19 verdi.
- A DVOL direzionale -> LEAD hedge/DD-dampener, NON sleeve (buy-the-fear; is_hedge).
- B Intraday ERM 8h -> LEAD forte / forward-monitor: earns_slot=True, ADDS oltre
SKH01 (TP01+SKH+ERM 60/25/15 FULL 1.88/HOLD 1.46/DD 8.9%).
Caveat: plateau hold-out single-row, multiple-testing non
deflazionato, exec 8h. Controllo TOD = FAIL atteso.
- C Cross-sectional non-mom (low-vol HL) -> DEBOLE/forward-monitor (deflated-Sh 0.13,
storia 2.5a, non eseguibile $600) STAT-MODE.
- D Macro regime-gate -> RIDONDANTE col trend (corr->TP01 0.989), SCARTATO.
Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>
60 lines
2.5 KiB
Python
60 lines
2.5 KiB
Python
"""Test del filone B — INTRADAY REGIME (scripts/research/intraday_regime.py).
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Verifica leggera e veloce (un solo asset) che:
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* i target factory producano array della lunghezza giusta e CAUSALI (no look-ahead);
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* il meccanismo ERM (efficiency-ratio regime momentum) sia long/short di natura;
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* la cella canonica ERM 8h L=2 thr=0.35 abbia Sharpe FULL positivo netto fee (sanity dell'edge).
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NB: NON costruisce la baseline TP01/SKH01 (lento) — quello e' nello script di ricerca.
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"""
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import sys
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import importlib.util
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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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import altlib as al # noqa: E402
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_spec = importlib.util.spec_from_file_location(
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"intraday_regime", "/opt/docker/PythagorasGoal/scripts/research/intraday_regime.py")
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ir = importlib.util.module_from_spec(_spec)
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_spec.loader.exec_module(ir)
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def test_erm_target_shape_and_ls():
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df = al.get("BTC", "8h")
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tgt = ir.make_erm(tf="8h", L_days=2.0, thr=0.35, long_flat=False)(df)
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assert len(tgt) == len(df)
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assert np.isfinite(tgt).all()
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# L/S: deve esistere sia esposizione long sia short (non e' long-only)
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assert (tgt > 0).any() and (tgt < 0).any()
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# long_flat=True -> nessuno short
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tgt_lf = ir.make_erm(tf="8h", L_days=2.0, thr=0.35, long_flat=True)(df)
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assert (tgt_lf >= -1e-9).all()
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def test_erm_causal_no_leak():
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# causality_ok ricalcola il target su prefissi troncati e pretende che la coda combaci
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res = al.causality_ok(ir.make_erm(tf="8h", L_days=2.0, thr=0.35, long_flat=False),
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tf="8h", assets=("BTC",))
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assert res["ok"], f"look-ahead in ERM: {res}"
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def test_erm_winner_positive_full_sharpe():
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fn = ir.make_erm(tf="8h", L_days=2.0, thr=0.35, long_flat=False)
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for a in ("BTC", "ETH"):
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df = al.get(a, "8h")
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ev = al.eval_weights(df, fn(df), fee_side=0.0005) # 0.10% RT
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assert ev["full"]["sharpe"] > 0.5, f"{a} full Sharpe {ev['full']['sharpe']}"
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def test_vbr_and_tod_causal():
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for fn in (ir.make_vbr(tf="8h", k=1.0, atr_win=14, long_flat=False),
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ir.make_tod(tf="1h", long_flat=True)):
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res = al.causality_ok(fn, tf=("8h" if fn is not None else "1h"),
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assets=("BTC",)) if False else None
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# VBR causale (8h) e TOD causale (1h), un asset per velocita'
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assert al.causality_ok(ir.make_vbr(tf="8h", k=1.0, atr_win=14, long_flat=False),
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tf="8h", assets=("BTC",))["ok"]
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assert al.causality_ok(ir.make_tod(tf="1h", long_flat=True),
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tf="1h", assets=("BTC",))["ok"]
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