Adriano Dal Pastro
a85289d7c7
Famiglia NUOVA trovata in sessione (dopo aver scartato trend/breakout/seasonal/ opzioni/funding come rumore): ogni 12h long i perdenti relativi / short i vincenti su 8 asset, market-neutral. Scorrelata (~0) da pairs e fade -> diversificatore. - engine canonico scripts/strategies/XS01_cross_sectional.py (no look-ahead, plateau OOS Sharpe 2-3.9, 5/5 anni+, edge concentrato 2025, cost-sensitive ~0.35% RT). - src/live/xsec_worker.py CrossSectionalWorker: validate_xsec_worker == backtest ESATTO (4993/1427 trade). Mirror della cadenza engine (entry-to-entry = hold+1). - gate PORT06: +XS01 -> OOS Sharpe 9.66->10.07, FULL DD 3.68->3.46 (OOS DD +0.17pp, risk-contrib 2.2%). xsec_port06_gate.py. - wiring: _defs XSEC in PORT06 (19 sleeve, family XSEC), build_everything, runner kind=xsec, asset_days da supported (fix fetch alt anche per paper sleeves), paper. - 8 gambe -> niente exec reale -> gira PAPER. Regression-lock 18->19, FULL 7.20->7.34, OOS 9.66->10.07. 93 test verdi. Diario 2026-06-09-xs01-cross-sectional.md. Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>
55 lines
2.3 KiB
Python
55 lines
2.3 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 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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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={"lb": LB, "hold": HOLD},
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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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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 {'':<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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print(f"\n ESITO: {'OK (replay == backtest)' if (cap_ok and trd_ok) else 'DIFF -> INDAGARE'}")
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print(" (diff minime attese da bar finale aperta / troncamento)")
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finally:
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shutil.rmtree(tmp, ignore_errors=True)
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if __name__ == "__main__":
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main()
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