cb402ab81f
Batch 2 of the deflated signal sweep: cross-sectional funding carry + momentum on 28 major Binance USDT perps (2019-26, funding baked into return, 10bp cost, deflated by cumulative 25 trials). XS_carry_7 = Sharpe +0.82, IS+0.77/OOS+0.93 (consistent), CPCV-median +0.78 (robust across 45 paths), DSR 0.71. First signal all session that is positive + IS/OOS-consistent + CPCV-median-positive. Develop-grade met, not yet deploy (DSR<0.95, 5th-pct<0). Caveats: survivorship (current majors), confirm point-in-time. Forward-paginated funding fetch (fundcov ~1.0). Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>
95 lines
3.2 KiB
Python
95 lines
3.2 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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# curated majors with multi-year history (skip silently if not trading)
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SYMS = ["BTCUSDT", "ETHUSDT", "BNBUSDT", "XRPUSDT", "LTCUSDT", "BCHUSDT", "EOSUSDT",
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"TRXUSDT", "ADAUSDT", "LINKUSDT", "DOTUSDT", "DOGEUSDT", "SOLUSDT", "AVAXUSDT",
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"ATOMUSDT", "NEARUSDT", "FILUSDT", "ETCUSDT", "XLMUSDT", "ALGOUSDT", "UNIUSDT",
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"AAVEUSDT", "MATICUSDT", "SANDUSDT", "AXSUSDT", "FTMUSDT", "MANAUSDT", "GALAUSDT"]
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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 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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