feat(surfer): point-in-time survivorship test PASSED — momentum is real

Built survivorship-free universe: 135 perps incl 28 known-dead (LUNA/SRM/MATIC...),
universe rebuilt daily as top-K by trailing dollar-volume (dead coins in while trading,
drop out after crash), no lookahead. mom_20 TOPK=30: full +0.76, IS+0.85/OOS+0.56,
CPCV-med +0.73, DSR 0.86, POSITIVE EVERY YEAR 2020-2026 incl 2022 +0.72. Counterintuitive:
survivorship was HIDING the edge (survivor-only 2022 -0.40 -> PIT +0.72) because momentum
shorts the dying coins and profits from crashes. Decisive survivorship confirmation.

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

scripts/surfer/fetch_crypto_pit.py

@@ -0,0 +1,103 @@
+#!/usr/bin/env python3
+"""Point-in-time crypto fetch: broad live universe + KNOWN-DEAD perps, WITH volume.
+
+For a survivorship-free test: delisted Binance perps still return klines up to delisting,
+so including them lets a date-by-date "top-N by trailing dollar-volume" universe contain
+dead coins while they traded and drop them when they die. Saves day, close, qvol, funding
+to data/surfer/crypto_pit/ (gitignored).
+"""
+import json
+import os
+import time
+import urllib.request
+
+import numpy as np
+
+OUT = "data/surfer/crypto_pit"
+DAY_MS = 86_400_000
+TOP_N = 120
+# famous delisted / dead Binance USDT perps (the survivorship risk); klines available post-delist
+DEAD = ["LUNAUSDT", "ANCUSDT", "SRMUSDT", "HNTUSDT", "MATICUSDT", "FTTUSDT", "RAYUSDT",
+        "WAVESUSDT", "BNXUSDT", "SCUSDT", "OCEANUSDT", "AGIXUSDT", "CVCUSDT", "TLMUSDT",
+        "DENTUSDT", "KEYUSDT", "CTKUSDT", "TOMOUSDT", "AKROUSDT", "BLZUSDT", "COMBOUSDT",
+        "FTMUSDT", "DGBUSDT", "REEFUSDT", "SLPUSDT", "IDEXUSDT", "LINAUSDT", "NEBLUSDT",
+        "RADUSDT", "BTSUSDT", "STMXUSDT", "MDTUSDT", "AMBUSDT", "GTCUSDT", "DARUSDT"]
+
+
+def get(url):
+    try:
+        return json.load(urllib.request.urlopen(urllib.request.Request(url, headers={"User-Agent": "curl/8"}), timeout=30))
+    except Exception:
+        return None
+
+
+def universe(n):
+    info = get("https://fapi.binance.com/fapi/v1/exchangeInfo")
+    perps = {s["symbol"] for s in info["symbols"]
+             if s.get("contractType") == "PERPETUAL" and s.get("quoteAsset") == "USDT" and s.get("status") == "TRADING"}
+    tick = get("https://fapi.binance.com/fapi/v1/ticker/24hr")
+    vol = {t["symbol"]: float(t["quoteVolume"]) for t in tick if t["symbol"] in perps}
+    return sorted(vol, key=lambda s: -vol[s])[:n]
+
+
+def klines(sym):
+    out, end = [], None
+    for _ in range(20):
+        u = f"https://fapi.binance.com/fapi/v1/klines?symbol={sym}&interval=1d&limit=1500"
+        if end:
+            u += f"&endTime={end}"
+        k = get(u)
+        if not k:
+            break
+        out = k + out
+        end = k[0][0] - 1
+        if len(k) < 1500:
+            break
+        time.sleep(0.15)
+    d = {int(r[0]): (float(r[4]), float(r[7])) for r in out}  # close, quote-volume
+    days = np.array(sorted(d))
+    cl = np.array([d[t][0] for t in days]); qv = np.array([d[t][1] for t in days])
+    return days // DAY_MS, cl, qv
+
+
+def funding(sym, start_ms):
+    out, st = [], start_ms
+    for _ in range(80):
+        f = get(f"https://fapi.binance.com/fapi/v1/fundingRate?symbol={sym}&startTime={st}&limit=1000")
+        if not f:
+            break
+        out += f
+        st = f[-1]["fundingTime"] + 1
+        if len(f) < 1000:
+            break
+        time.sleep(0.12)
+    daily = {}
+    for r in out:
+        daily.setdefault(int(r["fundingTime"]) // DAY_MS, 0.0)
+        daily[int(r["fundingTime"]) // DAY_MS] += float(r["fundingRate"])
+    return daily
+
+
+def main():
+    os.makedirs(OUT, exist_ok=True)
+    syms = sorted(set(universe(TOP_N)) | set(DEAD))
+    ok = 0
+    for sym in syms:
+        outp = f"{OUT}/{sym}.npz"
+        if os.path.exists(outp):
+            ok += 1; continue
+        kd, cl, qv = klines(sym)
+        if len(kd) < 200:
+            print(f"  {sym}: short/none ({len(kd)}d), skip"); continue
+        fmap = funding(sym, int(kd.min()) * DAY_MS)
+        fund = np.array([fmap.get(int(d), 0.0) for d in kd])
+        np.savez(outp, day=kd, close=cl, qvol=qv, funding=fund)
+        alive = "DEAD" if qv[-30:].mean() == 0 else "live"
+        print(f"  {sym}: {len(kd)}d ({kd.min()}..{kd.max()}) {alive}")
+        ok += 1
+        time.sleep(0.2)
+    print(f"DONE: {ok}/{len(syms)} -> {OUT}/")
+
+
+if __name__ == "__main__":
+    main()