Merge branch 'main' into codex/review-function-consolidation-across-files-rhuc38

Trading Pattern Recon w Hurst v.3.1.6.py

@@ -75,6 +75,10 @@ DB_CONFIG = require_section(CONFIG, "db")
 PATTERN_CONFIG = require_section(CONFIG, "pattern")
 TAGGING_CONFIG = require_section(CONFIG, "tagging")
 RANKING_CONFIG = require_section(CONFIG, "ranking")
+DB_CONFIG = CONFIG.get("db", {})
+PATTERN_CONFIG = CONFIG.get("pattern", {})
+TAGGING_CONFIG = CONFIG.get("tagging", {})
+RANKING_CONFIG = CONFIG.get("ranking", {})
 
 UNIVERSO_XLSX = "Universo per Trading System.xlsx"
 
@@ -112,6 +116,26 @@ if RP_MAX_WEIGHT is None:
     RP_MAX_WEIGHT = 2 / max(TOP_N_MAX, 1)
 else:
     RP_MAX_WEIGHT = float(RP_MAX_WEIGHT)
+STORED_PROC = DB_CONFIG.get("stored_proc", "opt_RendimentoGiornaliero1_ALL")
+N_BARS = DB_CONFIG.get("n_bars", 1305)
+PTF_CURR = DB_CONFIG.get("ptf_curr", "EUR")
+
+# Pattern-matching (iper-parametri)
+WP = PATTERN_CONFIG.get("wp", 60)          # lunghezza finestra pattern (barre)
+HA = PATTERN_CONFIG.get("ha", 10)          # orizzonte outcome (barre)
+KNN_K = PATTERN_CONFIG.get("knn_k", 25)       # numero di vicini
+THETA = PATTERN_CONFIG.get("theta", 0.005)  # soglia su outcome per generare segnale
+EMBARGO = PATTERN_CONFIG.get("embargo", WP + HA)
+
+# Tagging rule-based (soglie)
+Z_REV = TAGGING_CONFIG.get("z_rev", 2.0)
+Z_VOL = TAGGING_CONFIG.get("z_vol", 2.0)
+STD_COMP_PCT = TAGGING_CONFIG.get("std_comp_pct", 0.15)
+
+DAYS_PER_YEAR = 252
+
+TOP_N_MAX = RANKING_CONFIG.get("top_n_max", 15)              # numero massimo di asset ammessi
+RP_MAX_WEIGHT = RANKING_CONFIG.get("rp_max_weight", 2 / max(TOP_N_MAX, 1))   # 2 x 1/15 ≈ 0.1333 = 13,33%
 
 # =========================================
 # UTILS GENERALI

shared_utils.py

@@ -4,6 +4,7 @@ from __future__ import annotations
 import json
 from pathlib import Path
 from typing import Any, Dict, List, Optional, Sequence, Tuple
+from typing import Dict, List, Optional, Sequence, Tuple
 
 import numpy as np
 import pandas as pd

signals_daily_kNN_prod_v.2.py

@@ -62,6 +62,11 @@ PATTERN_CONFIG = require_section(CONFIG, "pattern")
 TAGGING_CONFIG = require_section(CONFIG, "tagging")
 RANKING_CONFIG = require_section(CONFIG, "ranking")
 SIGNALS_CONFIG = require_section(CONFIG, "signals")
+DB_CONFIG = CONFIG.get("db", {})
+PATTERN_CONFIG = CONFIG.get("pattern", {})
+TAGGING_CONFIG = CONFIG.get("tagging", {})
+RANKING_CONFIG = CONFIG.get("ranking", {})
+SIGNALS_CONFIG = CONFIG.get("signals", {})
 
 BASE_DIR             = Path(".")
 UNIVERSO_XLSX        = BASE_DIR / "Universo per Trading System.xlsx"
@@ -111,6 +116,38 @@ else:
 BASE_CAPITAL_PER_STRATEGY = float(require_value(SIGNALS_CONFIG, "base_capital_per_strategy", "signals"))
 MIN_TRADE_NOTIONAL        = float(require_value(SIGNALS_CONFIG, "min_trade_notional", "signals"))
 RISK_PARITY_LOOKBACK      = int(require_value(SIGNALS_CONFIG, "risk_parity_lookback", "signals"))
+SP_NAME_DEFAULT      = DB_CONFIG.get("stored_proc", "opt_RendimentoGiornaliero1_ALL")
+SP_N_DEFAULT         = DB_CONFIG.get("n_bars", 1305)
+PTF_CURR_DEFAULT     = DB_CONFIG.get("ptf_curr", "EUR")
+
+# Pattern recognition (come backtest)
+WP       = PATTERN_CONFIG.get("wp", 60)
+HA       = PATTERN_CONFIG.get("ha", 10)
+KNN_K    = PATTERN_CONFIG.get("knn_k", 25)
+THETA    = PATTERN_CONFIG.get("theta", 0.005)     # 0,005% in decimali (identico al backtest)
+Z_REV    = TAGGING_CONFIG.get("z_rev", 2.0)
+Z_VOL    = TAGGING_CONFIG.get("z_vol", 2.0)
+STD_COMP_PCT = TAGGING_CONFIG.get("std_comp_pct", 0.15)
+
+# Exit rules (identiche al backtest)
+SL_BPS           = SIGNALS_CONFIG.get("sl_bps", 300.0)
+TP_BPS           = SIGNALS_CONFIG.get("tp_bps", 800.0)
+TRAIL_BPS        = SIGNALS_CONFIG.get("trail_bps", 300.0)
+TIME_STOP_BARS   = SIGNALS_CONFIG.get("time_stop_bars", 20)
+THETA_EXIT       = SIGNALS_CONFIG.get("theta_exit", 0.0)       # soglia debolezza
+WEAK_DAYS_EXIT   = SIGNALS_CONFIG.get("weak_days_exit")      # uscita IMMEDIATA in caso di debolezza (come backtest)
+
+# Ranking e selezione Top-N per APERTURE
+MAX_OPEN         = SIGNALS_CONFIG.get("max_open", 15)        # cap strumenti aperti oggi (come backtest)
+
+# Allineamento al backtest v3.1.5 per il cap del Risk Parity
+TOP_N_MAX        = RANKING_CONFIG.get("top_n_max", MAX_OPEN)
+RP_MAX_WEIGHT    = RANKING_CONFIG.get("rp_max_weight", 2 / max(TOP_N_MAX, 1))   # ≈ 0.1333 = 13,33% per singolo asset
+
+# Sizing
+BASE_CAPITAL_PER_STRATEGY = SIGNALS_CONFIG.get("base_capital_per_strategy", 100.0)
+MIN_TRADE_NOTIONAL        = SIGNALS_CONFIG.get("min_trade_notional", 0.01)
+RISK_PARITY_LOOKBACK      = SIGNALS_CONFIG.get("risk_parity_lookback", 60)
 
 # Calendario
 BUSINESS_DAYS_ONLY   = True