Adriano Dal Pastro c52e0ab3f8 feat(forward): cabla STATARB-RESID nel forward-monitor PAPER (lead ortogonale ETH/BTC) ...

Forward-monitor del LEAD dello sweep 2026-06-29 (relative-value ETH/BTC, dollar-neutral 2 gambe),
il primo stream insieme ORTOGONALE (corr->book 0.027, beta-mkt 0.013) ED eseguibile a $600.

- scripts/live/paper_statarb.py: forward-only, doppio libro MODELED($2000)/REAL-$600 (haircut fill),
  riusa il segnale ESATTO di orthogonal_signals.py (niente reimplementazione). Config CONGELATA
  W=45 sgn=+1.
- Cablato in scripts/cron_daily.sh accanto a paper_prevday. Stato runtime in data/paper_statarb/
  (gitignored).
- test tests/test_paper_statarb.py (frozen config + advance forward/idempotente + haircut $600 basso).

Correzione di etichetta (verificata): la cella vincente e' sgn=+1 -> NON mean-reversion ma
relative-MOMENTUM sul residuo (dislocazioni ETH-vs-BTC continuano a 1d; sgn=-1 perde -1.4 IS).
Diario + CLAUDE.md aggiornati. Test 146/146. Nessun deploy, forward-only.

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

2026-06-29 20:58:29 +00:00

..

test_book_live.py

feat(live): arma il BOOK DERIBIT (TP01+SKH01 nettati in software)

2026-06-23 21:43:27 +00:00

test_cash_carry.py

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

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

test_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

test_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

test_eq_meanrev.py

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

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

test_gamma_scalp.py

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

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

test_harness_realism.py

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

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

test_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

test_live_shadow.py

feat(live): disaster-SL on-book con lifecycle completo (idempotente) nel loop di esecuzione

2026-06-20 15:47:30 +00:00

test_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

test_marginal_scorer.py

harness(marginal): indurisci marginal_vs_tp01 con la lezione dell'onda ortho (17/18 -> 1)

2026-06-21 12:50:26 +00:00

test_meta_allocation.py

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

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

test_orthogonal_signals.py

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

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

test_paper_statarb.py

feat(forward): cabla STATARB-RESID nel forward-monitor PAPER (lead ortogonale ETH/BTC)

2026-06-29 20:58:29 +00:00

test_portfolio.py

feat(portfolio): Deribit-only executable book (TP01+SKH01) + periodic rebalancing

2026-06-23 20:26:53 +00:00

test_prevday_breakout.py

live(monitor): prevday-breakout in FORWARD-MONITOR (paper, non deploy)

2026-06-21 15:37:41 +00:00

test_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

test_skyhook.py

feat(skyhook): pos_fn introspection for SKH01 sleeve (current open trade / flat)

2026-06-23 20:32:14 +00:00

test_tp01_dvol_overlay.py

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

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

test_trend_portfolio.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

test_vol_termstructure.py

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

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

test_vrp_sleeve.py

feat: integra VRP01 come sleeve del portafoglio (put credit spread + gate IV-rank)

2026-06-20 11:24:40 +02:00

test_xsec_v2.py

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

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

test_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

test_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