e731c2fc2f
Full-year (331d Binance-HL) clean OOS: config picked on first 60% (IS Sharpe +12.0) applied BLIND to last 40% -> OOS Sharpe +14.9 (held), OOS +15.3%/yr, 14/14 configs robust, all 4 OOS months positive (+11..+18), capture 0.68. The ONLY edge in the whole search to clear the clean OOS horde that killed PEAD/equity-ML/AI4Finance. Market-neutral, no spot leg, persistent, carry not prediction. HONEST: Sharpe 6-15 inflated (low ~1% vol -> realistic /2.5-4 -> ~3-6; real number is return ~8-15%/yr) + sim books daily max-min assuming optimal-pair-held (capture 0.68 = ~32% reshuffle loss) -> needs held-pair-realized fix for true number, then micro-live + counterparty mgmt. Edge EXISTS and is OOS-proven; deployable magnitude ~8-15%/yr pending fixes. Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>
104 lines
3.3 KiB
Python
104 lines
3.3 KiB
Python
#!/usr/bin/env python3
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"""Fetch daily klines + funding history for major USDT perps (Binance, free, no key).
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Caches per-symbol npz to data/surfer/crypto/ (gitignored): day, open, close, funding_daily
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(sum of the 8h funding rates that day). Curated long-history majors → reduces (not eliminates)
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survivorship; v1 caveat documented. Crypto is 24/7 → no roll / no overnight gap.
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"""
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import json
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import os
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import time
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import urllib.request
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import numpy as np
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OUT = "data/surfer/crypto"
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DAY_MS = 86_400_000
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TOP_N = 80 # programmatic universe: top-N USDT perps by 24h quote-volume (removes hand-selection bias)
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def get(url):
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req = urllib.request.Request(url, headers={"User-Agent": "curl/8"})
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return json.load(urllib.request.urlopen(req, timeout=30))
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def universe(n):
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info = get("https://fapi.binance.com/fapi/v1/exchangeInfo")
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perps = {s["symbol"] for s in info["symbols"]
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if s.get("contractType") == "PERPETUAL" and s.get("quoteAsset") == "USDT"
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and s.get("status") == "TRADING"}
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tick = get("https://fapi.binance.com/fapi/v1/ticker/24hr")
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vol = {t["symbol"]: float(t["quoteVolume"]) for t in tick if t["symbol"] in perps}
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return sorted(vol, key=lambda s: -vol[s])[:n]
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SYMS = universe(TOP_N)
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def klines(sym):
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out = []
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end = None
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for _ in range(20):
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u = f"https://fapi.binance.com/fapi/v1/klines?symbol={sym}&interval=1d&limit=1500"
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if end:
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u += f"&endTime={end}"
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k = get(u)
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if not k:
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break
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out = k + out
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end = k[0][0] - 1
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if len(k) < 1500:
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break
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time.sleep(0.15)
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# dedup by openTime
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d = {int(r[0]): (float(r[1]), float(r[4])) for r in out}
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days = np.array(sorted(d))
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op = np.array([d[t][0] for t in days]); cl = np.array([d[t][1] for t in days])
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return days // DAY_MS, op, cl
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def funding(sym, start_ms):
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out = []
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st = start_ms
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for _ in range(80): # forward pagination (startTime works; endTime didn't)
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u = f"https://fapi.binance.com/fapi/v1/fundingRate?symbol={sym}&startTime={st}&limit=1000"
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f = get(u)
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if not f:
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break
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out += f
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st = f[-1]["fundingTime"] + 1
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if len(f) < 1000:
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break
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time.sleep(0.12)
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daily = {}
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for r in out:
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daily.setdefault(int(r["fundingTime"]) // DAY_MS, 0.0)
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daily[int(r["fundingTime"]) // DAY_MS] += float(r["fundingRate"])
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return daily
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def main():
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os.makedirs(OUT, exist_ok=True)
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ok = 0
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for sym in SYMS:
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outp = f"{OUT}/{sym}.npz"
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if os.path.exists(outp):
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print(f" {sym}: cached"); ok += 1; continue
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try:
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kd, op, cl = klines(sym)
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if len(kd) < 400:
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print(f" {sym}: too short ({len(kd)}d), skip"); continue
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fmap = funding(sym, int(kd.min()) * DAY_MS)
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fund = np.array([fmap.get(int(d), 0.0) for d in kd])
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np.savez(outp, day=kd, open=op, close=cl, funding=fund)
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print(f" {sym}: {len(kd)}d ({kd.min()}..{kd.max()}) fundcov={np.mean(fund!=0):.2f}")
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ok += 1
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time.sleep(0.2)
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except Exception as e:
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print(f" {sym}: FAIL {type(e).__name__} {str(e)[:80]}")
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print(f"DONE: {ok}/{len(SYMS)} symbols -> {OUT}/")
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if __name__ == "__main__":
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main()
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