Adriano Dal Pastro
bd6232dc00
Crash ETH 2026-06-05: SH01 ETH −15.6% su un trade (exit solo a orizzonte, nessuna protezione). Ricerca con harness dedicato sh01_exit_lab (cache walk-forward, engine fill gap-aware worse(livello,open), parity esatta con explore_lab, train<=2023-11-01): ATR intrabar/close-confirm, %, chandelier, breakeven, giveback, loser-timestop, disaster-cap close+intrabar, swing, vol-regime — NESSUNA passa il gate (ogni stop stretto rompe BTC, ogni stop largo non tocca la coda ETH; nei crash il fill e' al gap). Mitigazione: peso famiglia SHAPE 11.8%->5.9% in PORT06 (FULL 6.47->6.43 DD 4.10->3.96, OOS 8.82->8.58 DD 1.30->1.36) — la prossima coda impatta il conto per meta'. Regression-lock test aggiornato. Diario: docs/diary/2026-06-05-sh01-sl-research.md Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>
20 lines
686 B
Python
20 lines
686 B
Python
from scripts.portfolios._defs import PORTFOLIOS
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def test_six_portfolios_defined():
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assert set(PORTFOLIOS) == {"PORT01", "PORT02", "PORT03", "PORT04", "PORT05", "PORT06"}
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def test_port06_is_master_shape_cap():
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p = PORTFOLIOS["PORT06"]
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sids = set(p.sleeve_ids)
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assert {"SH_BTC", "SH_ETH", "TSM01", "PR_ETHBTC"} <= sids
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assert len(sids) == 17
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# SHAPE cappata a 0.0588 (2026-06-05): SH01 senza SL by-design, esposizione dimezzata
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# (ricerca sh01_exit_lab: 11 famiglie di stop, 0 sopravvissute)
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assert p.weighting == "cap" and p.caps == {"PAIRS": 0.33, "SHAPE": 0.0588}
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def test_default_leverage_sober():
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assert PORTFOLIOS["PORT06"].leverage == 2.0
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