PythagorasGoal/Old/scripts/analysis/xsec_port06_gate.py

"""GATE PORT06 — XS01 (reversione cross-sectional 8 asset), candidato trovato in sessione.

XS01: ogni HOLD ore, long i perdenti relativi / short i vincenti su 8 asset (lb LB),
market-neutral gross 1, fee 0.10% RT/book. Decorrelato (~0) dai pairs. Domanda: aggiunto
a PORT06 migliora Sharpe/DD? (criterio del progetto: OOS Sharpe non peggiora E DD scende.)

    uv run python scripts/analysis/xsec_port06_gate.py
"""
from __future__ import annotations

import sys
from pathlib import Path

import numpy as np
import pandas as pd

PROJECT_ROOT = Path(__file__).resolve().parents[2]
sys.path.insert(0, str(PROJECT_ROOT))

from src.data.downloader import load_data
from scripts.analysis.combine_portfolio import port_returns, metrics, SPLIT, OOS_DATE
from scripts.analysis.report_families import daily_from
from scripts.portfolios._defs import PORTFOLIOS
from src.portfolio.sleeves import all_sleeve_equities
from src.portfolio import weighting as W

ASSETS = ["BTC", "ETH", "LTC", "ADA", "SOL", "BNB", "XRP", "DOGE"]
LB, HOLD, FEE = 48, 12, 0.0005


def xsec_equity(pos=0.15, lev=3.0):
    dfs = {a: load_data(a, "1h")[["timestamp", "close"]].rename(columns={"close": a}).set_index("timestamp")
           for a in ASSETS}
    M = pd.concat(dfs.values(), axis=1, join="inner").sort_index()
    C = M[ASSETS].values
    ts = pd.to_datetime(M.index, unit="ms", utc=True)
    n = len(C); logC = np.log(C)
    cap = 1000.0; eq_ts, eq_v, rets = [], [], []
    last = -1; i = LB
    while i < n - HOLD:
        if i <= last:
            i += 1; continue
        dm = (logC[i] - logC[i - LB]); dm = dm - dm.mean()
        w = -dm; gw = np.sum(np.abs(w))
        if gw < 1e-9:
            i += 1; continue
        w = w / gw
        net = np.sum(w * (logC[i + HOLD] - logC[i])) - FEE * np.sum(np.abs(w)) * 2
        cap = max(cap + cap * pos * lev * net, 10.0)
        rets.append(net); eq_ts.append(ts[i + HOLD]); eq_v.append(cap)
        last = i + HOLD; i += 1
    return daily_from(eq_ts, eq_v), np.array(rets)


def port_metrics(members, ids, clusters, caps):
    dr = pd.DataFrame({i: members[i].pct_change().fillna(0.0) for i in ids})
    w = W.weight_vector("cap", ids, dr, caps=caps, clusters=clusters)
    drp = port_returns({i: members[i] for i in ids}, w)
    return metrics(drp), metrics(drp, lo=SPLIT), w


def main():
    p = PORTFOLIOS["PORT06"]
    eq_base = dict(all_sleeve_equities())
    print("=" * 92)
    print("  GATE PORT06 — XS01 reversione cross-sectional (8 asset) | OOS da", OOS_DATE)
    print("=" * 92)

    for pos, lbl in [(0.15, "XS01 pos0.15"), (0.075, "XS01 pos0.075 (mezza)")]:
        e, r = xsec_equity(pos=pos)
        # correlazione con i pairs e i fade
        cors = {}
        for ref in ("PR_ETHBTC", "MR02_ETH"):
            j = pd.concat([e.pct_change(), eq_base[ref].pct_change()], axis=1).dropna()
            cors[ref] = round(j.iloc[:, 0].corr(j.iloc[:, 1]), 3)
        ids0 = list(p.sleeve_ids); cl0 = p.clusters; caps = p.caps
        f0, o0, _ = port_metrics(eq_base, ids0, cl0, caps)
        mem = dict(eq_base); mem["XS01"] = e
        ids1 = ids0 + ["XS01"]; cl1 = dict(cl0); cl1["XS01"] = "xsec"
        f1, o1, w1 = port_metrics(mem, ids1, cl1, caps)
        # risk contribution di XS01
        drm = pd.DataFrame({i: mem[i].pct_change().fillna(0.0) for i in ids1})
        cov = drm.cov(); wv = np.array([w1[i] for i in ids1])
        pv = float(wv @ cov.values @ wv)
        rc = {i: float(w1[i] * (cov.values[k] @ wv) / pv * 100) for k, i in enumerate(ids1)}
        print(f"\n[{lbl}] corr XS01 vs {cors} | peso XS01 {w1['XS01']*100:.1f}% | "
              f"risk-contrib XS01 {rc['XS01']:.1f}%")
        print(f"    {'config':<16}{'FULL Sh':>8}{'FULL DD%':>9}{'OOS Sh':>8}{'OOS DD%':>8}")
        print(f"    {'ATTUALE':<16}{f0['sharpe']:>8.2f}{f0['dd']:>9.2f}{o0['sharpe']:>8.2f}{o0['dd']:>8.2f}")
        print(f"    {'+XS01':<16}{f1['sharpe']:>8.2f}{f1['dd']:>9.2f}{o1['sharpe']:>8.2f}{o1['dd']:>8.2f}")
        ok = (o1["sharpe"] >= o0["sharpe"] - 0.02 and o1["dd"] <= o0["dd"] + 1e-9
              and f1["sharpe"] >= f0["sharpe"] - 0.02 and f1["dd"] <= f0["dd"] + 1e-9)
        print(f"    => {'PROMOSSO' if ok else 'non passa il criterio stretto (vedi numeri)'}")


if __name__ == "__main__":
    main()