764fd99480
The +14.9 OOS Sharpe was the max-min optimism (assumes daily free re-positioning to optimal venue pair). Honest fixed-pair version (hold the entry-chosen pair, book its actual funding diff): OOS Sharpe collapses +14.9->+0.8, OOS ann +15.3%->+1.1% (realistic ~breakeven net of cost), 0/12 configs robust OOS, feb month -8.2. Capture 0.68 was the tell (32% reshuffle loss). Cross-venue arb joins the cost-walled/in-sample-only list. User's OOS insistence caught it. Only deployable thing remains simple 60/40 (~0.7). Every crypto-funding variant marginal once honestly tested. Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>
93 lines
4.1 KiB
Python
93 lines
4.1 KiB
Python
#!/usr/bin/env python3
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"""HONEST cross-venue OOS: track the FIXED venue pair chosen at entry (not the daily max-min).
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The earlier sim booked daily max-min funding (assumes you always hold the optimal venue pair = too
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optimistic; capture 0.68 shows ~32% reshuffle loss). Realistic: at entry pick A=argmax venue,
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B=argmin; hold THAT pair; book realized = funding_A - funding_B on the FIXED pair each day; exit
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when your pair's spread decays below exit. Clean OOS split (IS-pick config -> OOS-blind).
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"""
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import json
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import math
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import numpy as np
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PANEL = "data/surfer/xvenue2/panel2.json"
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COST = 0.0010
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def main():
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panel = json.load(open(PANEL))
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dates = sorted(set().union(*[set(v) for v in panel.values()]))
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coins = list(panel)
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T = len(dates)
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F = {c: panel[c] for c in coins} # F[coin][date] = {venue: daily_funding}
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split = int(0.60 * T)
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print(f"HONEST cross-venue OOS (fixed held pair): {len(coins)} coins, {T} days")
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print(f" IS {dates[0]}..{dates[split-1]} | OOS {dates[split]}..{dates[-1]}")
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def hyst(t0, t1, K, entry, exit_, cost):
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held = {} # coin -> (A, B)
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rets, prev = [], set()
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for t in range(t0, t1 - 1):
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dt, dn = dates[t], dates[t + 1]
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# exit: keep held coins whose FIXED-pair spread still > exit
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keep = {}
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for c, (A, B) in held.items():
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ft = F[c].get(dt)
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if ft and A in ft and B in ft and (ft[A] - ft[B]) > exit_:
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keep[c] = (A, B)
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held = keep
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# entry: rank fresh coins by current max-min, add above entry hurdle
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cands = []
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for c in coins:
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if c in held:
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continue
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ft = F[c].get(dt)
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if ft and len(ft) >= 2:
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A = max(ft, key=ft.get); B = min(ft, key=ft.get)
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if ft[A] - ft[B] > entry:
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cands.append((ft[A] - ft[B], c, A, B))
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cands.sort(reverse=True, key=lambda x: x[0])
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for sp, c, A, B in cands:
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if len(held) >= K:
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break
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held[c] = (A, B)
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# realized NEXT day on the FIXED pair (short A receive f_A, long B receive -f_B)
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if held:
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tot = 0.0
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for c, (A, B) in held.items():
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fn = F[c].get(dn)
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if fn and A in fn and B in fn:
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tot += fn[A] - fn[B]
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realized = tot / len(held)
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else:
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realized = 0.0
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cur = set(held)
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turn = len(cur ^ prev) / max(len(cur), 1) if cur else 0
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rets.append(realized - turn * (cost / 2)); prev = cur
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r = np.array(rets)
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ann = r.mean() * 365 if len(r) else float("nan")
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vol = r.std() * math.sqrt(365) if len(r) else float("nan")
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return ann, (ann / vol if vol > 0 else float("nan")), r
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grid = [(K, e, x) for K in (10, 20) for e in (0.0005, 0.0010, 0.0020) for x in (0.0003, 0.0005, 0.0010) if x <= e]
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scored = [(cfg, hyst(0, split, *cfg, COST)[1], hyst(split, T, *cfg, COST)[1], hyst(split, T, *cfg, COST)[0]) for cfg in grid]
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best = max(scored, key=lambda s: s[1])
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cfg, is_sh, oos_sh, oos_ann = best
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print(f"\n IS-BEST (blind to OOS): K={cfg[0]} entry={cfg[1]*1e4:.0f}bp exit={cfg[2]*1e4:.0f}bp")
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print(f" IS Sharpe {is_sh:+.1f} -> OOS Sharpe {oos_sh:+.1f} | OOS ann {100*oos_ann:+.1f}% (realistic ~/2.5 = {oos_sh/2.5:+.1f})")
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good = [s for s in scored if s[1] > 2]; robust = [s for s in good if s[2] > 1]
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print(f" robustness: {len(robust)}/{len(good)} IS-good configs also OOS Sharpe>1")
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_, _, r = hyst(split, T, *cfg, COST)
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mo = [dates[t][:7] for t in range(split, T - 1)]
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print(" OOS per-month Sharpe:")
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for m in sorted(set(mo)):
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seg = r[np.array(mo) == m]
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if len(seg) > 6 and seg.std() > 0:
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print(f" {m}: {seg.mean()/seg.std()*math.sqrt(365):+.1f}")
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print("\n VERDICT (honest, fixed-pair): OOS Sharpe>1 realistic + months positive = genuinely deployable.")
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if __name__ == "__main__":
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main()
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