Adriano Dal Pastro
14522262e6
Reset del progetto su fondamenta verificate dopo la scoperta che l'intera libreria "validata OOS" era artefatto di feed contaminato (print fantasma del feed Cerbero TESTNET + storico Binance/USDT). - Storico ricostruito da Deribit MAINNET (ccxt pubblico, tokenless) e CERTIFICATO (certify_feed.py): BTC/ETH puliti su TUTTA la storia (mediana 2-6 bps vs Coinbase USD), integrita' OHLC + coerenza resample (maxΔ 0.00) + cross-venue OK. Alt esclusi (illiquidi/divergenti: LTC/DOGE 50-82% barre flat; XRP/BNB non certificabili). - Verdetto sul feed pulito: FADE / PAIRS / XS01 / TSM01 morti (ogni portafoglio Sharpe -2.3..-3.0, DD ~40%); solo SH01 e frammenti HONEST con segnale residuo, da ri-validare in isolamento. - Cleanup "restart pulito": strategie, stack live (src/live, src/portfolio, runner/executor, yml, docker), ~100 script ricerca/gate, waste/games/ portfolios, dati non certificati + cache e 60+ diari -> archiviati in Old/ (preservati, non cancellati). Diario consolidato in un unico documento. - Skeleton ricerca tenuto: Strategy ABC + indicatori + src/fractal + src/backtest/engine + load_data; tool dati certificati (rebuild_history, certify_feed, audit_feed, multi_source_check). - Universo dati ATTIVO: solo BTC/ETH (5m/15m/1h); guardrail fisico (load_data su alt -> FileNotFoundError). Esecuzione DISABILITATA, conto flat. Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>
87 lines
3.7 KiB
Python
87 lines
3.7 KiB
Python
"""Valida il CrossSectionalWorker: replay bar-per-bar == backtest XS01.xsec_sim?
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Come validate_worker_pairs: alimenta il worker con finestre trailing crescenti del
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pannello 8-asset e confronta capitale finale e n.trade col backtest di riferimento
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scripts.strategies.XS01_cross_sectional.xsec_sim. Se combaciano, la semantica live e' fedele.
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"""
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from __future__ import annotations
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import shutil
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import sys
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import tempfile
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from pathlib import Path
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import pandas as pd
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PROJECT_ROOT = Path(__file__).resolve().parents[2]
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sys.path.insert(0, str(PROJECT_ROOT))
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from src.live.xsec_worker import CrossSectionalWorker
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from scripts.strategies.XS01_cross_sectional import aligned_panel, xsec_sim, UNIVERSE, LB, HOLD
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def _replay(M, dfs, params):
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"""Alimenta il worker bar-per-bar su finestre trailing; ritorna il worker."""
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n = len(M)
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tmp = Path(tempfile.mkdtemp(prefix="xsec_val_"))
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try:
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w = CrossSectionalWorker(UNIVERSE, tf="1h", params=params,
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fee_rt=0.0005, data_dir=tmp)
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w._save = lambda: None; w._log = lambda *a, **k: None; w._notify = lambda *a, **k: None
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window = LB + 6
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for k in range(LB + 1, n + 1): # prima finestra = lb+1 barre -> ingresso al bar lb
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lo = max(0, k - window)
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w.tick({a: dfs[a].iloc[lo:k] for a in UNIVERSE})
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return w
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finally:
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shutil.rmtree(tmp, ignore_errors=True)
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def main():
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print("=" * 88)
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print(" VALIDAZIONE CrossSectionalWorker — replay live vs backtest xsec_sim (fee 0.10% RT/book)")
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print("=" * 88)
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M = aligned_panel(UNIVERSE)
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dfs = {a: pd.DataFrame({"timestamp": M.index.values, "close": M[a].values}) for a in UNIVERSE}
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# [1] K=1: parita' storica col backtest canonico
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w = _replay(M, dfs, {"lb": LB, "hold": HOLD})
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bt = xsec_sim(UNIVERSE)
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bt_cap = 1000.0 * (1 + bt["ret"] / 100)
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cap_ok = abs(w.capital - bt_cap) / bt_cap < 0.02 if bt_cap else False
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trd_ok = abs(w.total_trades - bt["trades"]) <= max(2, bt["trades"] * 0.02)
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ww = w.total_wins / w.total_trades * 100 if w.total_trades else 0
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print(f"\n [K=1] {'':<6}{'cap':>14}{'trades':>8}{'win%':>7}")
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print(f" WORKER{w.capital:>14.0f}{w.total_trades:>8d}{ww:>7.1f}")
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print(f" BCKTST{bt_cap:>14.0f}{bt['trades']:>8d}{bt['win']:>7.1f}")
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ok1 = cap_ok and trd_ok
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print(f" ESITO: {'OK (replay == backtest)' if ok1 else 'DIFF -> INDAGARE'}")
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# [2] K=3 (tranching live): parita' con l'unione delle fasi 0,4,8 (gate
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# xs01_tranche_gate) — capitale comune, PnL/K per trade in ordine di exit.
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# POS/LEV importati dal modulo canonico, NON hardcoded: una costante stantia
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# qui farebbe passare la validazione contro un sistema diverso (code-review)
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from scripts.analysis.xs01_tranche_research import xsec_trades
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from scripts.strategies.XS01_cross_sectional import POS, LEV
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K = 3
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w3 = _replay(M, dfs, {"lb": LB, "hold": HOLD, "tranches": K})
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step = HOLD // K
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allt = sorted([t for j in range(K) for t in xsec_trades(phase=j * step, M=M)],
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key=lambda t: t[1])
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cap = 1000.0
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for _, _, net in allt:
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cap = max(cap + cap * POS * LEV * net / K, 10.0)
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cap_ok3 = abs(w3.capital - cap) / cap < 0.02
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trd_ok3 = abs(w3.total_trades - len(allt)) <= max(2, len(allt) * 0.02)
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print(f"\n [K=3] {'':<6}{'cap':>14}{'trades':>8}")
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print(f" WORKER{w3.capital:>14.0f}{w3.total_trades:>8d}")
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print(f" BCKTST{cap:>14.0f}{len(allt):>8d}")
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ok3 = cap_ok3 and trd_ok3
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print(f" ESITO: {'OK (replay == unione fasi)' if ok3 else 'DIFF -> INDAGARE'}")
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print(f"\n ESITO COMPLESSIVO: {'OK' if (ok1 and ok3) else 'DIFF -> INDAGARE'}")
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print(" (diff minime attese da bar finale aperta / troncamento)")
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if __name__ == "__main__":
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main()
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