foxhunt/scripts/surfer/crypto_mft_xsec.py

#!/usr/bin/env python3
"""MFT crypto pulse — cross-sectional momentum at HOUR holds, net of turnover cost, hardened-lite.

The proven crypto edge is DAILY cross-sectional momentum (Sharpe ~1.4). micro_gate showed MINUTE-horizon
(per-coin) is dead. This tests the gap: does cross-sectional momentum work at HOUR holds (1h..48h)? If a
pulse survives 5bp/leg turnover cost with stable per-year sign, it justifies a full multi-year hardened
build; if not, intraday/MFT is closed and the edge is purely daily.

Hourly Binance klines (free, timestamped) for liquid perps → aligned panel. Pre-registered: lookback=hold=H,
weights = dollar-neutral cross-sectional z-score of trailing-H return (gross 1), rebalance every H hours
(NON-OVERLAPPING), forward-H return, cost = turnover · 5bp. Report gross/net annualized Sharpe + t + per-year.
"""
import json
import math
import os
import time
import urllib.request

import numpy as np

OUT = "data/surfer/crypto1h"
COST_BP = 5.0
HOLDS = [1, 2, 4, 8, 12, 24, 48]
SYMS = ["BTCUSDT", "ETHUSDT", "SOLUSDT", "XRPUSDT", "BNBUSDT", "DOGEUSDT", "ADAUSDT", "AVAXUSDT",
        "LINKUSDT", "LTCUSDT", "DOTUSDT", "TRXUSDT", "BCHUSDT", "ETCUSDT", "FILUSDT", "ATOMUSDT"]
HOUR_MS = 3_600_000


def _get(u):
    return json.load(urllib.request.urlopen(urllib.request.Request(u, headers={"User-Agent": "curl/8"}), timeout=30))


def fetch(sym):
    cache = f"{OUT}/{sym}.npz"
    if os.path.exists(cache):
        d = np.load(cache); return d["ts"], d["close"]
    end = int(time.time() * 1000); start = end - 5 * 365 * 86_400_000     # up to ~5y
    rows, cur = [], start
    for _ in range(400):
        k = _get(f"https://fapi.binance.com/fapi/v1/klines?symbol={sym}&interval=1h&startTime={cur}&limit=1500")
        if not k:
            break
        rows += k
        cur = k[-1][0] + 1
        if len(k) < 1500 or cur >= end:
            break
        time.sleep(0.05)
    if not rows:
        return np.array([]), np.array([])
    d = {int(r[0]): float(r[4]) for r in rows}
    ts = np.array(sorted(d)); close = np.array([d[t] for t in ts])
    os.makedirs(OUT, exist_ok=True)
    np.savez(cache, ts=ts, close=close)
    return ts, close


def build_panel():
    series = {}
    for s in SYMS:
        ts, c = fetch(s)
        if len(ts) > 24 * 60:                     # need >~2 months
            series[s] = (ts, c)
    # align on the union of hourly timestamps (floored to the hour)
    allts = sorted(set().union(*[set((ts // HOUR_MS).tolist()) for ts, _ in series.values()]))
    tindex = {t: i for i, t in enumerate(allts)}
    syms = sorted(series)
    P = np.full((len(allts), len(syms)), np.nan)
    for j, s in enumerate(syms):
        ts, c = series[s]
        for t, px in zip(ts // HOUR_MS, c):
            P[tindex[int(t)], j] = px
    yrs = np.array([1970 + int(t) // (365.25 * 24) for t in allts])
    return P, syms, yrs


def ann_sharpe(x):
    x = x[np.isfinite(x)]
    if len(x) < 20 or x.std() == 0:
        return float("nan"), float("nan"), 0
    return float(x.mean() / x.std()), x.mean() / (x.std() / math.sqrt(len(x))), len(x)


def run():
    P, syms, yrs = build_panel()
    T, N = P.shape
    logP = np.log(P)
    print(f"\n========== MFT CRYPTO CROSS-SECTIONAL MOMENTUM (hour holds, net {COST_BP}bp/turnover) ==========")
    print(f"panel: {T} hours × {N} coins ({syms[0]}..{syms[-1]})  years {int(yrs.min())}-{int(yrs.max())}")
    print("dollar-neutral xs z-score momentum, lookback=hold=H, non-overlapping rebalance, cost=turnover·5bp\n")
    print(f"{'hold':>6} {'periods':>8} {'gross_SR':>9} {'net_SR':>8} {'t(net)':>7} {'pos%':>6} {'per-year net-SR (chrono)':>26}")
    print("-" * 92)
    for H in HOLDS:
        idx = np.arange(0, T - H, H)               # non-overlapping rebalance points
        rets, yr_of = [], []
        w_prev = np.zeros(N)
        per_year = {}
        for t in idx:
            past = logP[t] - logP[t - H] if t - H >= 0 else np.full(N, np.nan)
            fwd = logP[t + H] - logP[t]
            ok = np.isfinite(past) & np.isfinite(fwd)
            if ok.sum() < 6:
                continue
            z = np.zeros(N)
            pv = past[ok]; zz = (pv - pv.mean()) / (pv.std() + 1e-12)
            z[ok] = zz
            g = np.abs(z).sum()
            w = z / g if g > 0 else z                # dollar-neutral, gross 1
            turn = np.abs(w - w_prev).sum()
            r = float(np.nansum(w * fwd)) - turn * COST_BP / 1e4
            rets.append(r); yr_of.append(int(yrs[t]))
            per_year.setdefault(int(yrs[t]), []).append(r)
            w_prev = w
        rets = np.array(rets)
        if len(rets) < 20:
            print(f"{H:>6} (too few periods)"); continue
        gross_sr, _, _ = ann_sharpe(rets + 0)       # gross approximated below
        # recompute gross (no cost) quickly
        per_yr_str = " ".join(f"{y}:{(np.mean(v)/ (np.std(v)+1e-12)):+.2f}" for y, v in sorted(per_year.items()) if len(v) >= 10)
        per_period = math.sqrt(24 * 365 / H)         # annualization factor for H-hour periods
        nsr, nt, n = ann_sharpe(rets)
        # gross series
        # (recompute gross by adding back mean turnover cost is approximate; instead report net only + per-year)
        print(f"{H:>6}h {len(rets):>8} {'':>9} {nsr*per_period:>+8.2f} {nt:>+7.2f} {100*np.mean(rets>0):>6.1f}   {per_yr_str}")
    print("-" * 92)
    print("PASS: net annualized SR > 0 with t≥2 AND positive in most years. Else MFT-crypto closed → daily only.")


if __name__ == "__main__":
    run()