dbbe8f7b22
Expanded futures universe 22->39 liquid CME roots ($16.39 credits, 16y daily). (A) breadth did NOT unlock an edge: XS momentum + TS trend all negative/zero, DSR 0 (efficient market, unlike crypto). (B) diversifier check: futures-trend +0.01, crypto-momentum +0.88, CORRELATION -0.01 (genuinely uncorrelated) but combined +0.63 < +0.88 -> an uncorrelated sleeve with zero standalone edge DILUTES, not diversifies. A diversifier needs low-corr AND positive edge; futures trend has only the former. Caveat: roll-zeroing understates futures trend/carry (floor work ~+0.05-0.14 w/ proper rolls) -> marginal at best. Crypto momentum still the only real edge. Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>
36 lines
1.2 KiB
Python
36 lines
1.2 KiB
Python
#!/usr/bin/env python3
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"""Expand the daily futures universe (16y ohlcv-1d, parent) for a diversified multi-asset test.
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Budget-capped, get_cost-gated. Saves to data/surfer/<root>.dbn alongside the existing 22 roots.
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"""
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import os
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import sys
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import databento as db
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CAP = 20.0
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DS = "GLBX.MDP3"
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START, END = "2010-06-06", "2026-06-05"
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ADD = ["6S", "6N", "6M", "HO", "PL", "PA", "UB", "ZL", "ZM", "ZO", "KE", "ZR", "LE", "HE", "GF", "EMD", "NKD"]
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def main():
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c = db.Historical(os.environ["DATABENTO_API_KEY"])
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todo = [r for r in ADD if not os.path.exists(f"data/surfer/{r}.dbn")]
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cost = sum(c.metadata.get_cost(dataset=DS, symbols=[r + ".FUT"], schema="ohlcv-1d",
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start=START, end=END, stype_in="parent") for r in todo)
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print(f"to fetch: {todo}\naggregate get_cost=${cost:.2f} cap=${CAP:.2f}")
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if cost > CAP:
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print("ABORT over cap"); return 1
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for r in todo:
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data = c.timeseries.get_range(dataset=DS, symbols=[r + ".FUT"], schema="ohlcv-1d",
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start=START, end=END, stype_in="parent")
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data.to_file(f"data/surfer/{r}.dbn")
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print(f" {r}: saved")
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print(f"DONE: {len(todo)} roots")
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return 0
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if __name__ == "__main__":
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sys.exit(main())
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