Adriano Dal Pastro cff5fa2bf5 research(sweep): 5 thread paralleli — 0 nuovi sleeve, STATARB-RESID LEAD ortogonale+eseguibile ...

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>

2026-06-29 20:50:33 +00:00

..

alt

research(intraday): de-bias del lead ERM (filone B) — falso positivo + gate selection-on-holdout

2026-06-29 20:04:36 +00:00

blind

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

intraday

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

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

ortho

research(ortho): caccia all'ortogonale a TP01 — relative-value BTC/ETH reale ma NON deployabile (hedge mono-regime)

2026-06-21 12:35:48 +00:00

skyhook

feat(skyhook): SKH01-V2-DD — asymmetric %-exits cut standalone DD <30% (2-wave agent research)

2026-06-23 16:10:38 +00:00

xsec

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

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

cash_carry_hl.py

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

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

combo_leverage_sim.py

research(report): sim leva 1x/2x/3x combo vs TP01 (DD reale + margin-call), da 2k/5k

2026-06-23 12:44:54 +00:00

combo_protected_yearly.py

research(report): resoconto PROTETTO (soft-guard DD -4%) anno-per-anno -> combo + TP01 + GTAA singoli

2026-06-23 14:16:59 +00:00

combo_yearly_report.py

research(report): resoconto anno-per-anno combo/TP01/GTAA da $2k (PnL/MaxDD/NumTrades)

2026-06-23 12:37:23 +00:00

crypto_lead_harness.py

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

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

crypto_macro_leadlag.py

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

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

crypto_overnight_equity.py

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

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

crypto_overnight_honest.py

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

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

crypto_weekend_signal.py

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

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

dvol_directional.py

research(crypto): 4 filoni 2026-06-29 — ERM lead sub-daily (forward), 3 scartati/deboli

2026-06-29 19:48:36 +00:00

eq_crypto_combo.py

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

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

eq_fundnews_short.py

research(equity): screener short 'fond/news neg ma prezzo su' (forward, edge non provato)

2026-06-26 19:51:22 +00:00

eq_gtaa_trend.py

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

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

eq_meanrev_ib.py

research(equity): scalping 'sottoquotate' su IB + check dati dalla rete

2026-06-26 19:42:14 +00:00

eq_sector_momentum.py

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

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

eq_spy_trend.py

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

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

eq_tp01_gtaa_combo.py

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

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

eqlib.py

research(equities): apre il fronte azioni/ETF via IB — dati certificati + cache su disco

2026-06-22 21:29:11 +00:00

eu_overnight_deepdive.py

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

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

fetch_dvol.py

research: imposta sleeve OPZIONI VRP — infrastruttura + prima validazione (LEAD reale, non deploy)

2026-06-19 20:30:08 +00:00

fetch_hl_funding.py

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

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

fetch_ib_equities.py

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

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

fetch_ib_futures.py

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

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

funding_carry_hl.py

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

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

fut_leadlag_generic.py

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

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

fut_overnight_leadlag.py

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

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

ib_equities_probe.py

research(equities): apre il fronte azioni/ETF via IB — dati certificati + cache su disco

2026-06-22 21:29:11 +00:00

ib_probe.py

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

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

intraday_regime_analysis.py

research(intraday): de-bias del lead ERM (filone B) — falso positivo + gate selection-on-holdout

2026-06-29 20:04:36 +00:00

intraday_regime.py

research(crypto): 4 filoni 2026-06-29 — ERM lead sub-daily (forward), 3 scartati/deboli

2026-06-29 19:48:36 +00:00

log_vol_termstructure.py

research(vol): calendar-vol non backtestabile — data-first gate + forward logger

2026-06-26 19:18:59 +00:00

macro_regime_gate.py

research(crypto): 4 filoni 2026-06-29 — ERM lead sub-daily (forward), 3 scartati/deboli

2026-06-29 19:48:36 +00:00

meta_allocation.py

research(sweep): 5 thread paralleli — 0 nuovi sleeve, STATARB-RESID LEAD ortogonale+eseguibile

2026-06-29 20:50:33 +00:00

options_gamma_scalp.py

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

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

options_real_quote_check.py

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

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

options_vrp_calibrate.py

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

options_vrp_lab.py

research: imposta sleeve OPZIONI VRP — infrastruttura + prima validazione (LEAD reale, non deploy)

2026-06-19 20:30:08 +00:00

options_vrp_managed.py

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

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

options_vrp_v2.py

research: analisi strategie FinanceOld + VRP v2 (defined-risk spread + gate IV-rank)

2026-06-20 11:16:59 +02:00

orthogonal_signals.py

research(sweep): 5 thread paralleli — 0 nuovi sleeve, STATARB-RESID LEAD ortogonale+eseguibile

2026-06-29 20:50:33 +00:00

probe_vol_termstructure.py

research(vol): calendar-vol non backtestabile — data-first gate + forward logger

2026-06-26 19:18:59 +00:00

signal_inout_1leg.py

research(sweep): 5 thread paralleli — 0 nuovi sleeve, STATARB-RESID LEAD ortogonale+eseguibile

2026-06-29 20:50:33 +00:00

stops_lab.py

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

tail_hedge_lab.py

research(tail-hedge): protezione DD combo (incl. opzioni) -> vince la guardia-drawdown

2026-06-23 12:55:14 +00:00

tp01_dvol_overlay.py

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

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

trackA_trend.py

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

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

trackB_ml.py

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

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

trackC_meanrev.py

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

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

trackD_lookahead_audit.py

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

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

trackD_timing.py

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

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

trackD_trendport.py

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

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

trackE_xsec_ensemble.py

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

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

trackF_seasonality.py

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

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

trackG_prior_levels.py

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

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

trackH_volume_vol.py

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

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

trackI_momentum_reversal.py

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

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

wf_crypto_lead.js

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

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

xsec_v2_nonmom.py

research(crypto): 4 filoni 2026-06-29 — ERM lead sub-daily (forward), 3 scartati/deboli

2026-06-29 19:48:36 +00:00

xsec_v3_lowrisk.py

research(sweep): 5 thread paralleli — 0 nuovi sleeve, STATARB-RESID LEAD ortogonale+eseguibile

2026-06-29 20:50:33 +00:00

xsec_v3_momstruct.py

research(sweep): 5 thread paralleli — 0 nuovi sleeve, STATARB-RESID LEAD ortogonale+eseguibile

2026-06-29 20:50:33 +00:00