Adriano 9e1be75444 analysis(portfolio): clustering sleeve per correlazione + contributo rischio ...

I cluster naturali sono per ASSET/REGIME, non per famiglia (BTC-reversion,
ETH-reversion, trend TR01+TSM01, shape, rotation ROT02). Ridondanza lieve
(max corr 0.43). PAIRS = 47% del rischio a equal-weight -> conferma cap 30-35%.
Equal-weight batte inverse-vol/risk-parity in OOS calmo (pairs corrono liberi).

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

2026-05-29 13:09:27 +02:00

..

__init__.py

feat(strategie): 3 nuove fade mean-reversion validate OOS fee-aware (MR02/MR03/MR07)

2026-05-28 23:26:21 +02:00

combine_portfolio.py

feat(strategie): portafogli master (PORT02/PORT03) + waste delle peggiori (MR03, ROT01)

2026-05-29 00:21:37 +02:00

combine_v2.py

feat(explore): 3a ondata - PAIRS a 6 coppie + verdetti su 4 nuove famiglie

2026-05-29 01:13:54 +02:00

explore_lab.py

feat(explore): esplora 9 famiglie alternative -> PAIRS (nuovo edge forte) + TSM01

2026-05-29 01:07:08 +02:00

honest_final.py

feat(analysis): 3 strategie oneste validate OOS multi-crypto (DIP/TR/ROT)

2026-05-28 23:28:00 +02:00

honest_improve2.py

feat(ROT02): riduce il DD diversificando (top_k 2 -> 3)

2026-05-29 00:30:55 +02:00

honest_improve.py

feat(analysis): miglioramenti - ROT02 dual-momentum + portafoglio (DD 12%)

2026-05-28 23:49:14 +02:00

honest_lab.py

feat(analysis): 3 strategie oneste validate OOS multi-crypto (DIP/TR/ROT)

2026-05-28 23:28:00 +02:00

honest_matrix.py

feat(analysis): matrice PnL/anno consolidata (confronto strategie + portafoglio)

2026-05-28 23:53:37 +02:00

honest_rotation.py

feat(analysis): 3 strategie oneste validate OOS multi-crypto (DIP/TR/ROT)

2026-05-28 23:28:00 +02:00

honest_trend.py

feat(analysis): 3 strategie oneste validate OOS multi-crypto (DIP/TR/ROT)

2026-05-28 23:28:00 +02:00

intrabar_test.py

feat(analysis): validazione out-of-sample fee-aware delle strategie

2026-05-28 19:57:15 +00:00

live_smoke_pairs.py

fix(live): smoke test REALE pairs -> live solo ETH/BTC (alt assenti su Deribit)

2026-05-29 09:16:50 +02:00

oos_validation.py

feat(analysis): validazione out-of-sample fee-aware delle strategie

2026-05-28 19:57:15 +00:00

pairs_research.py

feat(explore): esplora 9 famiglie alternative -> PAIRS (nuovo edge forte) + TSM01

2026-05-29 01:07:08 +02:00

paper_status.py

refactor: riorganizzazione script — Strategy ABC, folder strategies/waste/analysis

2026-05-27 23:01:36 +02:00

report_families.py

report(shape): integra SH01 (sleeve SHAPE) nel report per-anno e nell'integrazione MASTER

2026-05-29 12:43:19 +02:00

report.py

feat(analysis): report.py aggiornato con numero trade per anno

2026-05-29 00:33:00 +02:00

risk_management.py

feat(strategie): portafogli master (PORT02/PORT03) + waste delle peggiori (MR03, ROT01)

2026-05-29 00:21:37 +02:00

shape_analog_research.py

research(shape): 5 famiglie di pattern-forma su harness onesto

2026-05-29 12:09:28 +02:00

shape_candle_research.py

research(shape): 5 famiglie di pattern-forma su harness onesto

2026-05-29 12:09:28 +02:00

shape_lab.py

research(shape): 5 famiglie di pattern-forma su harness onesto

2026-05-29 12:09:28 +02:00

shape_ml_research.py

feat(shape): SH01 Shape-ML validato come diversificatore + doc

2026-05-29 12:31:26 +02:00

shape_ml_validate.py

feat(shape): SH01 Shape-ML validato come diversificatore + doc

2026-05-29 12:31:26 +02:00

shape_pivot_research.py

research(shape): 5 famiglie di pattern-forma su harness onesto

2026-05-29 12:09:28 +02:00

shape_template_research.py

research(shape): 5 famiglie di pattern-forma su harness onesto

2026-05-29 12:09:28 +02:00

sleeve_clustering.py

analysis(portfolio): clustering sleeve per correlazione + contributo rischio

2026-05-29 13:09:27 +02:00

strategy_research_v2.py

feat(strategie): 3 nuove fade mean-reversion validate OOS fee-aware (MR02/MR03/MR07)

2026-05-28 23:26:21 +02:00

strategy_research.py

refactor(strategie): tieni solo MR01 mean-reversion, squeeze -> waste

2026-05-28 20:22:11 +00:00

tsmom_research.py

refactor(explore): irrobustimento anti-overfit di pairs/TSM01/master

2026-05-29 08:11:33 +02:00

validate_worker_mr01.py

feat(live): worker con exit TP/SL/max_bars per MR01 + doc aggiornata

2026-05-28 20:46:35 +00:00

validate_worker_pairs.py

feat(live): worker a 2 gambe per i pairs (PR01 market-neutral)

2026-05-29 09:12:25 +02:00