Adriano Dal Pastro
87af03955c
Dal branch parallelo strategy-research-calendar (continuazione della linea TP01). Porta su main il record di ricerca + la fondazione del lead opzioni (NIENTE blob dati, niente codice in conflitto): - Tracks F/G/H/I (seasonality/calendar, prior-levels, volume-vol, momentum-reversal): tutti NEGATIVI/spurii -> confermano il soffitto Sharpe ~1.3 su BTC/ETH direzionale (calendar = buy&hold travestito; mean-reversion morta anche a fee 0). Diari + script. - trackD_lookahead_audit.py: audit anti-look-ahead (stesso esito del nostro fix >=12h). - eval-crypto-backtest-options.md: valutazione strategia esterna crypto_backtest. Cross-valida TP01 (il loro sleeve spot 12h ~ TP01: due ricerche indipendenti, stessa conclusione). Identifica il LEAD: sleeve income OPZIONI (vendita put settimanali delta-0.28, VRP IV>RV), scorrelato ~0.22 al trend -> via per superare il soffitto ~1.3. - options_real_quote_check.py + cerbero-bite-mainnet-verified.md: VERIFICATO su QUOTE REALI Deribit mainnet (cerbero-bite/MCP = mainnet, bit-identico a ccxt.deribit). Premio reale (BID, con skew) = 1.29x il modellato -> il backtest SOTTOSTIMA il premio; il rischio vero e' la CODA (short-vol) + liquidita' di roll in stress, non la magnitudine. NB: lo sleeve opzioni e' un LEAD, NON deployato: prezzato da modello (BS su DVOL) + 1 snapshot in regime calmo. Serve validazione real-chain multi-regime + stress crash + paper su testnet prima di aggiungerlo al portafoglio. Portafoglio attivo invariato: TP01 70% + XS01 30%. Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>
100 lines
6.5 KiB
Markdown
100 lines
6.5 KiB
Markdown
# Track I — Alternative momentum formulations + long-horizon reversal (2026-06-19)
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**Script:** `scripts/research/trackI_momentum_reversal.py` (self-contained, runnable).
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**Universe:** BTC & ETH only. **TF:** 12h + 1d (sub-12h excluded by rule). **Harness:** identical
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honest machinery to TP01 — direction decided `<= close[i]`, positions held next bar (`pos_held[1:]
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= tgt[:-1]`), vol-target by inverse PAST-ONLY realized vol (target 20%, lev cap 2x), NET fee 0.10%
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RT on turnover, 50/50 BTC+ETH. OOS 65/35 + per-year + fee sweep (0.00–0.40% RT). Correlation to
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TP01 net returns reported for every candidate.
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## Goal
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(A) A momentum formulation that BEATS or DIVERSIFIES the canonical 1-3-6m sign-blend (TP01,
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Sharpe ~1.32). (B) Does the classic LONG-HORIZON REVERSAL (fade ~12m winners) give an
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uncorrelated positive overlay?
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## PART A — momentum formulations (12h, long-flat, vs TP01 Sharpe 1.32 / OOS 0.90 / DD 13.3%)
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| formulation | Sharpe | IS | **OOS** | CAGR | maxDD | corr→TP01 | BTC | ETH |
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|---|---|---|---|---|---|---|---|---|
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| baseline sign-blend 1-3-6m | 1.32 | 1.54 | 0.90 | +16% | 13.3% | 1.00 | 1.15 | 1.10 |
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| (i) z-score cum-return (tanh) | **1.35** | 1.63 | 0.85 | +12% | **8.4%** | 0.96 | 1.30 | 1.00 |
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| (ii) risk-adjusted momentum | 1.27 | 1.49 | 0.84 | +13% | 9.5% | 0.97 | 1.21 | 1.00 |
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| (iii) EMA-cross trend | 0.81 | 0.91 | 0.62 | +11% | 25.1% | 0.85 | 0.89 | 0.53 |
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| (iii-b) MACD (calendar spans) | **1.50** | **1.87** | 0.74 | +22% | 17.7% | 0.69 | 1.30 | 1.32 |
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| (iv) Donchian breakout | 1.10 | 1.36 | 0.57 | +17% | 25.0% | 0.86 | 1.08 | 0.82 |
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| (v) acceleration (Δ-momentum) | 1.28 | 1.82 | 0.35 | +14% | 14.2% | 0.66 | 1.25 | 0.81 |
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| (vi) 12-1 skip momentum | 0.67 | 0.79 | 0.47 | +9% | 24.5% | 0.68 | 0.70 | 0.49 |
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Results are essentially identical at 1d. Read-out:
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- **Nothing cleanly beats the sign-blend OOS on both assets.** The headline-Sharpe leaders are
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artefacts of in-sample fit: **MACD** posts IS 1.87 but OOS collapses to 0.74 (gap = overfit) with
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a worse DD (17.7%); **acceleration** IS 1.82 → OOS **0.35** (worst OOS decay of all). Both fail.
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- **(i) z-score continuous momentum** is the one mild, honest refinement: Sharpe 1.35 (≈baseline)
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but **maxDD 8.4% vs 13.3%** — the continuous score scales down position when the cumulative move
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is statistically small, de-risking the tails. OOS 0.85 (slightly below baseline 0.90), CAGR drops
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16%→12%. It's a smoother sibling of TP01, **not a new edge** (corr 0.96).
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- (vi) 12-1 skip (classic equity "12-1" momentum) **does NOT help crypto**: skipping the recent
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month removes the strongest part of the signal here → Sharpe 0.67, corr 0.68. Crypto momentum
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lives in the recent window, opposite to the equity stylised fact.
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- Breakout/Donchian and EMA-cross are strictly worse (high DD, weak OOS).
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## PART B — long-horizon reversal (fade past winners), 12h
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Long-short reversal (short ~12/18/24m winners, long losers, vol-targeted):
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| reversal LS | Sharpe | OOS | CAGR | maxDD | corr→TP01 |
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|---|---|---|---|---|---|
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| 12m | -0.77 | -1.15 | -14% | 73% | -0.51 |
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| 18m | -0.36 | -0.75 | -8% | 58% | -0.47 |
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| 24m | **+0.04** | -0.07 | -1% | 43% | **-0.32** |
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| 12-18-24m | -0.46 | -0.72 | -8% | 57% | -0.54 |
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- **Long-horizon reversal is NOT a standalone edge.** Standalone it LOSES money (12m/18m strongly
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negative; only 24m is ~flat at Sharpe 0.04, OOS −0.07, and even that fails "net-positive OOS on
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both assets": BTC +0.10 / ETH −0.03). Fading crypto winners over a year just shorts the trend.
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- It IS genuinely negatively correlated to TP01 (24m: corr −0.32; 12-18-24: −0.54), as expected
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(it's the opposite sign of medium-term momentum).
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- **Momentum + reversal blend** (long 1-6m momentum, brake on very-long extension): the variant
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`mom(1-3-6) − 0.5·rev(12-24)` is the most interesting single-strategy result — Sharpe **1.38**,
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**OOS 0.98** (> baseline 0.90), **maxDD 10.6%** (< 13.3%), both assets positive (BTC 1.25/ETH
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1.05), corr 0.91, fee-robust (1.43→1.22 across 0.00–0.40% RT). CAGR drops 16%→12%. It is TP01
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with a long-term-extension brake: a modest *risk-adjusted* improvement, not more return.
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## COMBINED — TP01 + best diversifier (blend net returns)
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TP01 alone: Sharpe 1.321, CAGR +16%, maxDD 13.3%, OOS 0.90.
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| combo | Sharpe | CAGR | maxDD | OOS | corr |
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|---|---|---|---|---|---|
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| TP01 + 20% reversal-24m (LS) | **1.411** | +13% | 11.5% | **1.06** | -0.32 |
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| TP01 + 30% reversal-24m (LS) | 1.366 | +12% | 11.8% | 1.06 | -0.32 |
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| TP01 + 20% reversal-12-18-24 (LS) | 1.350 | +11% | 10.6% | 0.84 | -0.54 |
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| TP01 + 50% z-score | 1.348 | +14% | 9.5% | 0.89 | +0.96 |
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- Adding a small slice of **reversal-24m long-short** lifts portfolio Sharpe 1.32→1.41 and OOS
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0.90→1.06 while cutting DD to 11.5%. **But be skeptical:** the overlay is a ~zero-mean stream
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(standalone Sharpe 0.04). The benefit is almost entirely **variance reduction from the negative
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correlation, not added alpha** — and it COSTS return (CAGR 16%→13%). With a true-zero-edge
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diversifier this Sharpe bump is fragile (it leans on the −0.32 correlation persisting OOS, and the
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OOS sample is one 2022-24 crypto cycle). I would NOT deploy capital on a standalone-losing sleeve
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to chase a 0.09 Sharpe point that is really de-risking.
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## Fee sweep (12h portfolio Sharpe)
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baseline 1.37→1.18, z-score 1.38→1.24, MACD 1.52→1.45 (lowest turnover), blend 1.43→1.22,
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reversal-24m 0.07→−0.02 (0.00→0.40% RT). All trend formulations survive realistic fees; reversal
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has no positive margin to survive on.
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## VERDICT (honest)
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- **Is there a momentum formulation that beats the 1-3-6m sign-blend? No — not OOS, not on both
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assets.** MACD/acceleration look better in-sample but decay OOS (overfit + higher DD). The only
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honest refinement is **continuous z-score momentum**, which matches the Sharpe with materially
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lower drawdown (8.4% vs 13.3%) — a smoother variant of the SAME edge, not a new one (corr 0.96).
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- **Does long-horizon reversal give an uncorrelated positive overlay? No, not a real one.** It is
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uncorrelated/negatively-correlated (good) but **not positive** standalone (it loses, or at best is
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flat at 24m and fails the both-assets bar). The combined-Sharpe lift (→1.41) is variance reduction
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from a near-zero-mean stream and sacrifices CAGR — fragile, not bankable alpha.
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- **The ~1.3 structural Sharpe ceiling on BTC/ETH-only holds.** TP01 remains the deployable winner.
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If anything, swap the sign-blend for the **z-score continuous score** (or the `mom − 0.5·rev`
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brake) for a lower-DD profile at equal Sharpe — a risk-management tweak, not a return upgrade.
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