foxhunt/scripts/surfer/vrp_tail.py

#!/usr/bin/env python3
"""Tail-managed crypto VRP — does 'don't sell vol into a storm' fix the −21σ skew AND the 2025-26 decay?

Pre-registered tail rules (point-in-time, gates use DVOL/return info up to t-1 only):
  baseline      — full short-vol always (the +1.03 / -21σ version)
  dvol_rising   — flat when implied vol is rising over 5d (don't sell into a spike)
  dvol_level    — full size when DVOL < trailing-60d median (calm), half when elevated
  combo         — dvol_level AND not rising
  loss_cap      — idealized: truncate each day's loss at -3σ (stop/protection reference)
  vol_target    — scale exposure to constant risk (inverse trailing P&L vol)
Judge: Sharpe, per-year (esp 2025-26), skew, worst-day. Best -> diversifier check vs momentum.
"""
import json
import math
import os
import sys

import numpy as np

sys.path.insert(0, os.path.dirname(os.path.abspath(__file__)))
import pit_sweep  # noqa: E402
from surfer_poc import compute_weights, CFG  # noqa: E402
from signal_sweep import sharpe_t  # noqa: E402
from vrp_diversifier import dvol  # noqa: E402  (cached DVOL fetch)
import torch  # noqa: E402

DEV = "cuda" if torch.cuda.is_available() else "cpu"


def per_ccy(px, dv):
    days = np.array(sorted(set(px) & set(dv)))
    iv = np.array([dv[int(d)] / 100.0 for d in days])
    r = np.full(len(days), np.nan)
    for i in range(1, len(days)):
        if px[int(days[i])] > 0 and px[int(days[i - 1])] > 0:
            r[i] = math.log(px[int(days[i])] / px[int(days[i - 1])])
    raw = np.full(len(days), np.nan)
    raw[1:] = (iv[:-1] ** 2) / 365.0 - r[1:] ** 2               # short-var daily P&L (iv lagged)
    return days, iv, r, raw


def gates(iv, raw):
    n = len(iv)
    rising = np.zeros(n)                                        # 1 if NOT rising (ok to sell)
    for i in range(1, n):
        rising[i] = 0.0 if (i >= 6 and iv[i - 1] > iv[i - 6]) else 1.0
    level = np.zeros(n)                                         # 1 calm, 0.5 elevated (vs trailing median)
    for i in range(1, n):
        win = iv[max(0, i - 61):i - 1]
        level[i] = 1.0 if (len(win) > 10 and iv[i - 1] < np.median(win)) else 0.5
    vt = np.ones(n)                                             # vol-target on raw P&L
    for i in range(31, n):
        s = np.nanstd(raw[i - 30:i])
        vt[i] = min(1.0, (np.nanstd(raw[~np.isnan(raw)]) / s)) if s > 0 else 1.0
    return {"baseline": np.ones(n), "dvol_rising": rising, "dvol_level": level,
            "combo": rising * level, "vol_target": vt}


def main():
    syms, cdays, cclose, cqv, cfund = pit_sweep.load()
    idx = {s: j for j, s in enumerate(syms)}

    def closes(sym):
        j = idx[sym]; c = cclose[:, j]
        return {int(cdays[t]): c[t] for t in range(len(cdays)) if np.isfinite(c[t])}
    series = {c: per_ccy(closes(c + "USDT"), dvol(c)) for c in ["BTC", "ETH"]}

    # build per-rule pooled daily P&L across BTC+ETH (aligned by day)
    def rule_pnl(rule, cap=False):
        bag = {}
        for c, (days, iv, r, raw) in series.items():
            g = gates(iv, raw)[rule]
            p = g * raw
            if cap:
                sd = np.nanstd(raw)
                p = np.maximum(p, -3 * sd)
            for i in range(len(days)):
                bag.setdefault(int(days[i]), []).append(p[i])
        dd = np.array(sorted(bag))
        return dd, np.array([np.nanmean(bag[int(d)]) for d in dd])

    rules = ["baseline", "dvol_rising", "dvol_level", "combo", "vol_target"]
    print("\n===== TAIL-MANAGED CRYPTO VRP =====")
    print(f"{'rule':>14} {'Sharpe':>7} {'skew':>6} {'worstσ':>7} | per-year 2021..26")
    results = {}
    for rule in rules + ["loss_cap"]:
        dd, p = rule_pnl("baseline" if rule == "loss_cap" else rule, cap=(rule == "loss_cap"))
        pf = p[np.isfinite(p)]
        sr = sharpe_t(torch.tensor(p, device=DEV, dtype=torch.float64))
        sk = float(((pf - pf.mean()) ** 3).mean() / (pf.std() ** 3 + 1e-12))
        worst = float(np.nanmin(p) / (np.nanstd(p) + 1e-12))
        yr = (1970 + dd / 365.25).astype(int)
        py = " ".join(f"{y}:{sharpe_t(torch.tensor(p[yr==y],device=DEV,dtype=torch.float64)):+.2f}" for y in range(2021, 2027) if (yr == y).sum() > 30)
        print(f"{rule:>14} {sr:>+7.2f} {sk:>+6.2f} {worst:>+7.1f} | {py}")
        results[rule] = (dd, p, sr, sk)

    # diversifier check for combo (the principled don't-sell-into-storm rule)
    dd, p, _, _ = results["combo"]
    cR = np.zeros_like(cclose); cR[1:] = np.log(cclose)[1:] - np.log(cclose)[:-1]; cR = np.where(np.isfinite(cR), cR, 0.0)
    cf = np.where(np.isfinite(cfund), cfund, 0.0)
    cw, _ = compute_weights(cclose, cqv, cdays, CFG)
    mom = np.sum(cw[:-1] * (cR - cf)[1:], axis=1)
    mbd = {int(cdays[1:][i]): mom[i] for i in range(len(mom))}
    common = sorted(set(dd.tolist()) & set(mbd))
    va = np.array([p[np.where(dd == d)[0][0]] for d in common]); ma = np.array([mbd[d] for d in common])
    m = np.isfinite(va) & np.isfinite(ma)
    corr = float(np.corrcoef(va[m], ma[m])[0, 1])
    sv, sm = np.std(va[m]), np.std(ma[m])
    comb = ((1 / sv) * va[m] + (1 / sm) * ma[m]) / (1 / sv + 1 / sm)
    cyr = (1970 + np.array(common) / 365.25).astype(int)[m]
    print(f"\n===== DIVERSIFIER CHECK (combo tail-managed VRP vs momentum, {m.sum()}d) =====")
    print(f"VRP {sharpe_t(torch.tensor(va[m],device=DEV,dtype=torch.float64)):+.2f}  momentum {sharpe_t(torch.tensor(ma[m],device=DEV,dtype=torch.float64)):+.2f}  CORR {corr:+.2f}  combined {sharpe_t(torch.tensor(comb,device=DEV,dtype=torch.float64)):+.2f}")
    print("combined per-year: " + " ".join(f"{y}:{sharpe_t(torch.tensor(comb[cyr==y],device=DEV,dtype=torch.float64)):+.2f}" for y in range(2021, 2027) if (cyr == y).sum() > 30))
    print("\nVERDICT: tail rule restores 2025-26 to positive + skew less extreme + combined>momentum = deployable diversifier.")


if __name__ == "__main__":
    main()