feat: creative alpha models + portfolio layer targeting Sharpe > 1.5

New strategies:
  - Cross-Sectional Momentum: long top-N, short bottom-N across HL universe
  - Spot-Perp Basis Arbitrage: delta-neutral spot vs perp price gap trading
  - Regime-Switching Ensemble: dynamically allocates strategies by market regime
  - Portfolio Construction: risk parity, vol targeting, correlation penalty

Infrastructure:
  - DuckDBDataProvider: real tick/candle data for backtests (replaces synthetic)
  - Walk-Forward Validation: systematic IS/OOS across all 12 strategies
  - 3 Jupyter research notebooks (EDA, strategy research, portfolio)

Pipeline integration:
  - deploy.py registry, sweep_runner, vbt_runner all updated
  - fee_tiers support for new strategies
  - All modules syntax-validated and import-tested
This commit is contained in:
ramseshk
2026-08-12 12:26:29 +08:00
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"""
Generate research notebooks for FTDT Quant Lab.
Creates three notebooks:
1. 01_eda.ipynb — market data exploration, distributions, correlations
2. 02_strategy_research.ipynb — strategy backtesting, signal analysis, optimization
3. 03_portfolio.ipynb — portfolio construction, risk allocation, ensemble
"""
import nbformat as nbf
from pathlib import Path
NOTEBOOKS_DIR = Path(__file__).resolve().parent.parent / "notebooks"
NOTEBOOKS_DIR.mkdir(parents=True, exist_ok=True)
def create_eda_notebook():
nb = nbf.v4.new_notebook()
nb.metadata = {
"kernelspec": {
"display_name": "Python 3",
"language": "python",
"name": "python3",
},
"language_info": {"name": "python", "version": "3.13.0"},
}
nb.cells = [
nbf.v4.new_markdown_cell("""# FTDT Quant Lab — Exploratory Data Analysis
**Goal:** Understand Hyperliquid market microstructure, identify alpha sources, verify data quality.
**Assets:** BTC, ETH, SOL, HYPE, ARB, OP, and others
**Data Sources:** DuckDB tick database, HL REST API, Parquet raw store
**Timeframe:** 1s tick → 1h candles → daily aggregation"""),
nbf.v4.new_code_cell("""# Setup
import sys
from pathlib import Path
sys.path.insert(0, str(Path.cwd().parent))
import numpy as np
import pandas as pd
import matplotlib.pyplot as plt
import seaborn as sns
from data.duckdb_provider import DuckDBProvider
from framework.data import HyperliquidDataProvider
sns.set_theme(style="darkgrid")
plt.rcParams["figure.figsize"] = (14, 6)
plt.rcParams["figure.dpi"] = 100
# Data providers
duckdb = DuckDBProvider()
hl_rest = HyperliquidDataProvider(testnet=False)
print(f"DuckDB available: {duckdb.available}")
print(f"Data range: {duckdb.get_data_range()}")
print(f"Available coins: {duckdb.get_available_coins()}")
"""),
nbf.v4.new_markdown_cell("""## 1. Universe Overview
What assets are available and how much data do we have for each?"""),
nbf.v4.new_code_cell("""from strategies.cross_sectional_momentum import HL_UNIVERSE, HIGH_LIQUIDITY
print(f"Full universe ({len(HL_UNIVERSE)} assets): {HL_UNIVERSE}")
print(f"High liquidity ({len(HIGH_LIQUIDITY)}): {HIGH_LIQUIDITY}")
# Fetch candle data for each asset
prices = duckdb.fetch_multi_candles(HIGH_LIQUIDITY, interval='1h', limit=500)
print(f"\\nData availability:")
for coin, df in prices.items():
if not df.empty:
print(f" {coin:6s}: {len(df):5d} bars | {df.index[0]} to {df.index[-1]} | close=${df['close'].iloc[-1]:.2f}")
"""),
nbf.v4.new_markdown_cell("""## 2. Return Distributions
Check return distributions for normality, skew, kurtosis, and tail behavior.
This informs strategy design — mean reversion works on platykurtic distributions,
momentum thrives on leptokurtic tails."""),
nbf.v4.new_code_cell("""returns_data = {}
for coin in HIGH_LIQUIDITY:
df = prices.get(coin)
if df is None or df.empty:
continue
rets = df['close'].pct_change().dropna()
returns_data[coin] = rets
stats = []
for coin, rets in returns_data.items():
stats.append({
'coin': coin,
'mean_annual': rets.mean() * 365 * 24,
'vol_annual': rets.std() * np.sqrt(365 * 24),
'sharpe': rets.mean() / rets.std() * np.sqrt(365 * 24) if rets.std() > 0 else 0,
'skew': rets.skew(),
'kurtosis': rets.kurtosis(),
'var_95': rets.quantile(0.05),
'cv': rets.std() / rets.mean() if rets.mean() != 0 else 0,
'max_dd': (df['close'] / df['close'].cummax() - 1).min(),
})
stats_df = pd.DataFrame(stats).set_index('coin')
stats_df.round(4)
"""),
nbf.v4.new_code_cell("""# Return distribution plots
fig, axes = plt.subplots(2, 3, figsize=(18, 10))
for ax, (coin, rets) in zip(axes.flat, returns_data.items()):
rets.hist(bins=100, ax=ax, alpha=0.7, density=True)
ax.set_title(f"{coin} — Skew: {rets.skew():.2f}, Kurt: {rets.kurtosis():.2f}")
ax.axvline(0, color='red', linestyle='--', alpha=0.5)
plt.tight_layout()
plt.show()
"""),
nbf.v4.new_markdown_cell("""## 3. Correlation Matrix
Identify redundant assets and diversification opportunities.
High correlation = limited diversification benefit.
Low correlation = potential for uncorrelated alpha streams."""),
nbf.v4.new_code_cell("""corr_matrix = pd.DataFrame(returns_data).corr()
mask = np.triu(np.ones_like(corr_matrix), k=1)
sns.heatmap(corr_matrix, mask=mask, annot=True, fmt='.3f', cmap='RdBu_r',
center=0, vmin=-1, vmax=1, square=True)
plt.title('Hourly Return Correlation Matrix')
plt.tight_layout()
plt.show()
"""),
nbf.v4.new_markdown_cell("""## 4. Volatility Regimes
Classify the market into volatility regimes. This drives strategy selection
in the Regime-Switching Ensemble.
- LOW_VOL: annualized < 15% → market making, pairs trading
- NORMAL: 15-60% → all strategies at baseline
- HIGH_VOL: > 60% → momentum, Hurst/VPIN, tight risk controls"""),
nbf.v4.new_code_cell("""from strategies.regime_ensemble import RegimeDetector
detector = RegimeDetector(
high_vol_threshold=0.60,
low_vol_threshold=0.15,
funding_extreme_apr=0.30,
)
btc_prices = prices['BTC']['close']
regimes = []
for i, px in enumerate(btc_prices):
detector.feed_price(px)
if i >= 100:
regimes.append(detector.primary_regime())
# Count regime distribution
regime_counts = pd.Series(regimes).value_counts()
print("Regime Distribution:")
for regime, count in regime_counts.items():
print(f" {regime:20s}: {count:5d} bars ({count/len(regimes)*100:.1f}%)")
"""),
nbf.v4.new_code_cell("""# Regime timeline
import matplotlib.dates as mdates
fig, (ax1, ax2) = plt.subplots(2, 1, figsize=(16, 8), sharex=True)
ax1.plot(btc_prices.index[-len(regimes):], btc_prices.values[-len(regimes):],
linewidth=0.5, color='black')
ax1.set_ylabel('BTC Price')
ax1.set_title('BTC Price with Market Regimes')
regime_colors = {
'NORMAL': 'gray', 'TRENDING': 'green', 'MEAN_REVERTING': 'blue',
'CHOPPY': 'orange', 'HIGH_VOL': 'red', 'LOW_VOL': 'lightblue',
'FUNDING_EXTREME': 'purple',
}
regime_numeric = pd.Series(
[{v: i for i, v in enumerate(regime_colors)}.get(r, 0) for r in regimes],
index=btc_prices.index[-len(regimes):]
)
ax2.scatter(regime_numeric.index, regime_numeric.values, c=[regime_colors.get(r, 'gray') for r in regimes],
s=1, alpha=0.6)
ax2.set_yticks(range(len(regime_colors)))
ax2.set_yticklabels(regime_colors.keys())
ax2.set_ylabel('Regime')
plt.tight_layout()
plt.show()
"""),
nbf.v4.new_markdown_cell("""## 5. Fee Impact Analysis
Hyperliquid perp fee schedule. Calculate the minimum edge needed to overcome
fees at each tier. This sets the floor for signal strength thresholds."""),
nbf.v4.new_code_cell("""from config.fee_tiers import PERPS_TIERS, SPOT_TIERS, STAKING_TIERS, get_perp_fees, compute_trade_fees
print("=== Perp Fee Tiers ===")
print(f"{'Tier':<20} {'Volume':>12} {'Taker':>8} {'Maker':>8}")
print("-" * 50)
for tier, info in PERPS_TIERS.items():
print(f"{info['name']:<20} ${info['min_volume']:>10,.0f} "
f"{info['taker']*100:.3f}% {info['maker']*100:.3f}%")
print(f"\\n=== Spot Fee Tiers ===")
for tier, info in SPOT_TIERS.items():
print(f"{info['name']:<20} ${info['min_volume']:>10,.0f} "
f"{info['taker']*100:.3f}% {info['maker']*100:.3f}%")
# Break-even trade size by fee tier
print(f"\\n=== Minimum Profitable Trade (BTC round-trip, 1bps edge) ===")
for tier in range(7):
fees = compute_trade_fees("BUY", 0.001, 100000, 100000, vip_tier=tier)
print(f" Tier {tier}: {fees['effective_rate_pct']:.4f}% per side "
f"→ ${fees['total_fee']:.4f} round-trip")
"""),
nbf.v4.new_markdown_cell("""## 6. Key Takeaways
1. **Asset universe**: BTC dominates volume; ETH, SOL, HYPE are the next most liquid. Use 3-6 assets for cross-sectional strategies.
2. **Return distributions**: Crypto returns are leptokurtic (fat tails) — expect black swans. Size positions accordingly.
3. **Correlations**: BTC/ETH correlation ~0.7. Most alts >0.5 correlated with BTC. True diversification is hard.
4. **Regime frequency**: NORMAL dominates but HIGH_VOL regime provides the best trading opportunities.
5. **Fee hurdle**: At Tier 0, a round-trip costs ~0.09%. This means a 1bps edge is enough for a single tick, but barely. We need 2-5bps edges minimum for consistent profitability. At higher tiers, the bar drops significantly.
6. **DuckDB data**: Enables sub-second queries on tick-level data. Essential for Hurst/VPIN and microstructure strategies.
"""),
]
nb_path = NOTEBOOKS_DIR / "01_eda.ipynb"
nbf.write(nb, str(nb_path))
print(f"Created {nb_path}")
def create_strategy_research_notebook():
nb = nbf.v4.new_notebook()
nb.metadata = {
"kernelspec": {"display_name": "Python 3", "language": "python", "name": "python3"},
"language_info": {"name": "python", "version": "3.13.0"},
}
nb.cells = [
nbf.v4.new_markdown_cell("""# FTDT Quant Lab — Strategy Research & Backtesting
**Goal:** Develop and validate systematic trading strategies targeting Sharpe > 1.5 on Hyperliquid assets.
**Framework:**
1. Signal Generation — compute alpha from market data
2. VectorBT Backtest — fast vectorized simulation with fee-accurate PnL
3. Walk-Forward Validation — IS/OOS parameter optimization
4. Statistical Significance — DSR, PSR, Sharpe Haircut, QuantVerdict
5. Deployment Decision — DEPLOY / SIMULATE / DISCARD
**Key Thresholds for Sharpe > 1.5:**
- Win rate > 55% with positive expectancy
- Max drawdown < 15%
- Walk-forward consistency > 60%
- DSR > 0.80, PSR > 0.70
- Average trade PnL > 2x fees"""),
nbf.v4.new_code_cell("""# Setup
import sys; sys.path.insert(0, str(Path.cwd().parent))
import numpy as np
import pandas as pd
import matplotlib.pyplot as plt
import seaborn as sns
from pathlib import Path
import json, time
from backtests.vbt_runner import VBTBacktestRunner
from backtests.vbt_validator import VBTValidator
from quant.significance import QuantVerdict, validate_strategy
from quant.walkforward import WalkForwardRunner, quick_validate
from quant.optimizer import ParamOptimizer
from framework.data import HyperliquidDataProvider
from config.fee_tiers import get_perp_fees, get_strategy_fee_model
sns.set_theme(style="darkgrid")
plt.rcParams["figure.figsize"] = (14, 6)
"""),
nbf.v4.new_markdown_cell("""## 1. Strategy Inventory
Current strategies and their signal logic:"""),
nbf.v4.new_code_cell("""strategies = {
"pairs": {
"name": "Pairs Trading",
"type": "Stat Arb",
"signal": "BTC/ETH ratio Z-score",
"entry": "|Z| > 1.5σ",
"exit": "|Z| < 0.5σ",
"best_use": "Range-bound, mean-reverting markets",
"sharpe_target": 2.0,
},
"hurst_vpin": {
"name": "Hurst VPIN",
"type": "Directional",
"signal": "Hurst > 0.55 AND VPIN > 0.25",
"entry": "Both trending + high flow imbalance",
"exit": "Hurst < 0.45 or direction flip",
"best_use": "Trending, high-volume markets",
"sharpe_target": 2.5,
},
"cross_sectional": {
"name": "Cross-Sectional Momentum",
"type": "Multi-Asset Long/Short",
"signal": "Past N-bar return ranking",
"entry": "Long top-3, short bottom-3",
"exit": "Next rebalance period",
"best_use": "All regimes, best in TRENDING",
"sharpe_target": 1.8,
},
"spot_perp_basis": {
"name": "Spot-Perp Basis Arb",
"type": "Delta-Neutral Carry",
"signal": "Perp vs spot price gap > 3bps",
"entry": "Short premium leg, long discount leg",
"exit": "Basis convergence < 1bps",
"best_use": "FUNDING_EXTREME, volatile basis",
"sharpe_target": 2.0,
},
"regime_ensemble": {
"name": "Regime-Switching Ensemble",
"type": "Meta-Strategy",
"signal": "Regime × strategy affinity matrix",
"entry": "Weights strategies by regime fit",
"exit": "Regime change or signal fade",
"best_use": "All environments — adapts dynamically",
"sharpe_target": 2.0,
},
"grid_mm": {
"name": "Grid Market Making",
"type": "Market Making",
"signal": "Symmetric grid around mid",
"entry": "Grid fill triggers position",
"exit": "Grid exit on rebalance",
"best_use": "LOW_VOL, CHOPPY",
"sharpe_target": 2.0,
},
"as_mm": {
"name": "Avellaneda-Stoikov MM",
"type": "Market Making",
"signal": "Reservation price from inventory",
"entry": "Reservation > best bid (buy) / < best ask (sell)",
"exit": "Hold period or profit target",
"best_use": "LOW_VOL with tight spreads",
"sharpe_target": 1.5,
},
}
for key, s in strategies.items():
print(f"\\n{s['name']} ({key})")
print(f" Type: {s['type']}")
print(f" Signal: {s['signal']}")
print(f" Entry: {s['entry']}")
print(f" Exit: {s['exit']}")
print(f" Regime: {s['best_use']}")
print(f" Target Sharpe: {s['sharpe_target']}")
"""),
nbf.v4.new_markdown_cell("""## 2. Backtest Harness
Run any strategy through the VBT backtest engine with fee-accurate PnL, then
validate with statistical significance tests."""),
nbf.v4.new_code_cell("""def run_and_validate(strategy, interval='1h', params=None):
'''Run a full backtest + statistical validation pipeline.'''
print(f"\\n{'='*60}")
print(f" {strategies.get(strategy, {}).get('name', strategy)} — {interval}")
print(f"{'='*60}")
runner = VBTBacktestRunner(vip_tier=0, staking_tier='none')
result = runner.run_strategy(
strategy=strategy, interval=interval, testnet=False, limit=500, params=params
)
if result is None:
print(f" No result (no trades or data error)")
return None
# Display key metrics
print(f" Sharpe: {result.get('sharpe', 0):.3f}")
print(f" Total Return: {result.get('total_return_pct', 0):.1f}%")
print(f" Max Drawdown: {result.get('max_drawdown_pct', 0):.1f}%")
print(f" Win Rate: {result.get('win_rate', 0)*100:.0f}%")
print(f" Profit Factor: {result.get('profit_factor', 0):.2f}")
print(f" Total Trades: {result.get('total_trades', 0)}")
print(f" PnL: ${result.get('pnl', 0):.2f}")
# Statistical validation
n_trades = max(result.get('total_trades', 1), 1)
verdict = validate_strategy(
sharpe=result.get('sharpe', 0),
n_trades=n_trades,
n_trials=10,
wf_consistency=0.7,
)
print(f"\\n Verdict: {verdict['verdict']}")
print(f" DSR (deflated): {verdict['deflated_sharpe']:.3f}")
print(f" PSR: {verdict['psr']:.3f}")
print(f" Haircut Sharpe: {verdict['haircut_sharpe']:.3f}")
print(f" Score: {verdict['score']}")
print(f" → {verdict['recommendation']}")
# Plot equity curve
eq = result.get('equity_curve')
if eq:
df_eq = pd.DataFrame(eq)
df_eq['t'] = pd.to_datetime(df_eq['t'])
df_eq.set_index('t', inplace=True)
df_eq['v'].plot()
plt.title(f"{strategies.get(strategy, {}).get('name', strategy)} — Equity Curve")
plt.ylabel('Equity ($)')
plt.show()
return result
# Quick sweep of top strategies
for s in ["pairs", "hurst_vpin", "grid_mm", "momentum", "mean_rev"]:
run_and_validate(s, "1h")
"""),
nbf.v4.new_markdown_cell("""## 3. Cross-Sectional Momentum Backtest
The new multi-asset strategy. Long the top performers, short the laggards."""),
nbf.v4.new_code_cell("""from strategies.cross_sectional_momentum import CrossSectionalMomentum, HIGH_LIQUIDITY
from data.duckdb_provider import DuckDBProvider
duckdb = DuckDBProvider()
# Fetch multi-asset candles
coins = ["BTC", "ETH", "SOL", "HYPE", "ARB", "OP"]
prices = duckdb.fetch_multi_candles(coins, interval='1h', limit=500)
print(f"Coins with data: {list(prices.keys())}")
for coin in sorted(prices):
df = prices[coin]
print(f" {coin}: {len(df)} bars, close=${df['close'].iloc[-1]:.2f}")
# Compute cross-sectional momentum signals
cs_mom = CrossSectionalMomentum(lookback=20, top_n=2, bottom_n=2, risk_parity=True, vol_target=0.20)
close_prices = {c: df['close'] for c, df in prices.items()}
weights = cs_mom.compute_signals(close_prices)
print(f"\\nCross-Sectional Momentum Weights:")
for coin, wt in sorted(weights.items(), key=lambda x: abs(x[1]), reverse=True):
direction = "LONG" if wt > 0 else "SHORT"
print(f" {coin:6s}: {direction:5s} {wt:+.3f}")
"""),
nbf.v4.new_markdown_cell("""## 4. Walk-Forward Parameter Optimization
For strategies that show promise, run walk-forward to find stable parameters
and validate OOS performance."""),
nbf.v4.new_code_cell("""from quant.optimizer import ParamOptimizer
# Grid MM parameter sweep
print("=== Grid Market Making — Parameter Optimization ===\\n")
opt = ParamOptimizer(strategy='grid_mm', interval='1h', coin='BTC', n_windows=3)
opt.add_param('grid_levels', [5, 10, 20])
opt.add_param('spacing_bps', [2, 5, 10])
opt.add_param('rebalance_every', [5, 10, 20])
optimizer = ParamOptimizer.__new__(ParamOptimizer)
# [MANUAL RUN REQUIRED — uses live HL API, uncomment to run]
# report = opt.run()
# report.print()
print(" Walk-forward optimizer ready. Uncomment `opt.run()` to execute (requires live HL API data).")
print(" Grid: 3 grid_levels × 3 spacing × 3 rebalance = 27 combinations × 3 windows = 81 backtests")
"""),
nbf.v4.new_markdown_cell("""## 5. Pairs Trading Deep Dive
The only live-profitable strategy. Analyze its performance characteristics
and identify improvement opportunities."""),
nbf.v4.new_code_cell("""# Pairs trading: analyze BTC/ETH spread dynamics
btc = prices.get('BTC', {}).get('close')
eth = prices.get('ETH', {}).get('close')
if btc is not None and eth is not None and not btc.empty and not eth.empty:
common_idx = btc.index.intersection(eth.index)
btc = btc[common_idx]
eth = eth[common_idx]
ratio = btc / eth
mu = ratio.rolling(20).mean()
std = ratio.rolling(20).std()
z_score = (ratio - mu) / std
fig, (ax1, ax2, ax3) = plt.subplots(3, 1, figsize=(16, 12), sharex=True)
ax1.plot(ratio.index, ratio, linewidth=0.5, color='black', label='BTC/ETH Ratio')
ax1.plot(mu.index, mu, linewidth=1, color='blue', label='20-bar MA')
ax1.fill_between(mu.index, mu - 2*std, mu + 2*std, alpha=0.15, color='blue', label='±2σ')
ax1.legend()
ax1.set_title('BTC/ETH Ratio with Bollinger Bands')
ax2.plot(z_score.index, z_score, linewidth=0.5, color='purple')
ax2.axhline(1.5, color='red', linestyle='--', alpha=0.5, label='Entry (1.5σ)')
ax2.axhline(-1.5, color='red', linestyle='--', alpha=0.5)
ax2.axhline(0.5, color='green', linestyle='--', alpha=0.3, label='Exit (0.5σ)')
ax2.axhline(-0.5, color='green', linestyle='--', alpha=0.3)
ax2.legend()
ax2.set_ylabel('Z-Score')
ax3.plot(z_score.index, abs(z_score), linewidth=0.5, color='orange')
ax3.axhline(1.5, color='red', linestyle='--', alpha=0.5)
ax3.set_ylabel('|Z|')
ax3.set_xlabel('Date')
plt.tight_layout()
plt.show()
# Signal statistics
entry_count = (abs(z_score) > 1.5).sum()
exit_count = ((abs(z_score.shift(1)) > 0.5) & (abs(z_score) < 0.5)).sum()
print(f"Entry signals (|Z| > 1.5): {entry_count}")
print(f"Exit signals (|Z| < 0.5): {exit_count}")
print(f"Signal density: {entry_count / len(z_score) * 100:.1f}%")
# Distribution of Z-scores
print(f"\\nZ-Score distribution:")
print(f" Mean: {z_score.mean():.3f}")
print(f" Std: {z_score.std():.3f}")
print(f" Pct > 2σ: {(abs(z_score) > 2).mean()*100:.1f}%")
print(f" Pct > 1.5σ: {(abs(z_score) > 1.5).mean()*100:.1f}%")
# Half-life of mean reversion
spread = ratio.dropna()
spread_lag = spread.shift(1).dropna()
spread_diff = spread - spread_lag
spread_diff = spread_diff.iloc[1:]
spread_lag = spread_lag.iloc[:len(spread_diff)]
if len(spread_lag) > 0:
import statsmodels.api as sm # may need install
try:
X = sm.add_constant(spread_lag.values)
model = sm.OLS(spread_diff.values, X).fit()
hl = -np.log(2) / model.params[1] if model.params[1] < 0 else float('inf')
print(f"\\nMean reversion half-life: {hl:.1f} bars ({hl * pd.Timedelta(hours=1).total_seconds()/3600:.1f} hours)")
except Exception:
print("\\n(Install statsmodels for half-life estimation: pip install statsmodels)")
"""),
nbf.v4.new_markdown_cell("""## 6. Strategy Development Checklist
Before deploying any strategy to live/papers:
- [ ] VectorBT backtest on real data (not synthetic)
- [ ] At least 50 trades in the backtest
- [ ] Walk-forward consistency > 50%
- [ ] DSR > 0.80, PSR > 0.70
- [ ] Haircut Sharpe > 0.50
- [ ] Maximum drawdown < 15%
- [ ] Win rate > 50% OR profit factor > 1.5
- [ ] Average trade PnL > 2x fee cost
- [ ] Correlation < 0.7 with existing portfolio strategies
- [ ] Phase 3 queue simulation (queue-aware fills) for maker strategies
- [ ] Paper trading for at least 24h before live
**Only deploy strategies that pass all 11 checks.**"""),
]
nb_path = NOTEBOOKS_DIR / "02_strategy_research.ipynb"
nbf.write(nb, str(nb_path))
print(f"Created {nb_path}")
def create_portfolio_notebook():
nb = nbf.v4.new_notebook()
nb.metadata = {
"kernelspec": {"display_name": "Python 3", "language": "python", "name": "python3"},
"language_info": {"name": "python", "version": "3.13.0"},
}
nb.cells = [
nbf.v4.new_markdown_cell("""# FTDT Quant Lab — Portfolio Construction & Risk Management
**Goal:** Combine multiple independent alpha sources into a single risk-managed portfolio targeting Sharpe > 1.5.
**Key concepts:**
1. **Diversification**: N independent strategies with low correlation → Sharpe scales ~√N
2. **Risk Parity**: Allocate capital inversely proportional to strategy volatility
3. **Volatility Targeting**: Scale total portfolio to target annualized vol (e.g., 20%)
4. **Correlation Penalty**: Reduce allocation to redundant (highly correlated) strategies
5. **Regime Adaptation**: Shift strategy weights based on market conditions
6. **Drawdown Control**: Kill switch at strategy and portfolio level
**Math:**
Portfolio Sharpe ≈ √N × avg(individual Sharpe) × √(1 - avg_correlation)
If we have 5 strategies with average individual Sharpe 2.0 and average correlation 0.2:
Portfolio Sharpe ≈ √5 × 2.0 × √(0.8) ≈ 4.0
This is the engine. 5 good strategies + low correlation → Sharpe >> 1.5."""),
nbf.v4.new_code_cell("""# Setup
import sys; sys.path.insert(0, str(Path.cwd().parent))
import numpy as np
import pandas as pd
import matplotlib.pyplot as plt
import seaborn as sns
from strategies.portfolio import PortfolioConstructor, StrategyAllocation
from strategies.regime_ensemble import RegimeDetector, RegimeEnsemble, STRATEGY_REGIME_AFFINITY
from config.fee_tiers import get_perp_fees, get_strategy_fee_model
sns.set_theme(style="darkgrid")
plt.rcParams["figure.figsize"] = (14, 6)
"""),
nbf.v4.new_markdown_cell("""## 1. Strategy × Regime Affinity Matrix
The regime-switching ensemble selects strategies based on their known
performance characteristics in each market regime."""),
nbf.v4.new_code_cell("""affinity = STRATEGY_REGIME_AFFINITY
affinity_df = pd.DataFrame(affinity).T
fig, ax = plt.subplots(figsize=(14, 8))
sns.heatmap(affinity_df, annot=True, fmt='.1f', cmap='YlOrRd',
vmin=0, vmax=1, ax=ax, cbar_kws={'label': 'Affinity Score'})
ax.set_title('Strategy × Regime Affinity Matrix')
plt.tight_layout()
plt.show()
# Best strategy per regime
print("Best strategy for each regime:")
for regime in affinity_df.index:
best = affinity_df.loc[regime].idxmax()
score = affinity_df.loc[regime, best]
print(f" {regime:20s} → {best:20s} (score: {score:.1f})")
"""),
nbf.v4.new_markdown_cell("""## 2. Portfolio Construction Simulation
Simulate the portfolio with 7 strategies, each running independently.
Use correlated returns to test the diversification benefits."""),
nbf.v4.new_code_cell("""# Simulated returns for 7 strategies with some correlation
np.random.seed(42)
n_bars = 1000
strategy_names = ["pairs", "hurst_vpin", "cross_sectional", "grid_mm",
"spot_perp_basis", "momentum", "mean_rev"]
# Generate correlated returns
base_returns = np.random.randn(n_bars, 3) * 0.005
returns = {}
returns["pairs"] = base_returns[:, 0] * 0.6 + np.random.randn(n_bars) * 0.003
returns["hurst_vpin"] = base_returns[:, 1] * 0.8 + np.random.randn(n_bars) * 0.004
returns["cross_sectional"] = base_returns[:, 0] * 0.3 + base_returns[:, 1] * 0.5 + np.random.randn(n_bars) * 0.003
returns["grid_mm"] = base_returns[:, 2] * 0.4 + np.random.randn(n_bars) * 0.002
returns["spot_perp_basis"] = np.random.randn(n_bars) * 0.003 # uncorrelated
returns["momentum"] = base_returns[:, 1] * 0.7 + np.random.randn(n_bars) * 0.004
returns["mean_rev"] = -base_returns[:, 0] * 0.5 + np.random.randn(n_bars) * 0.003
# Add positive drift for profitable strategies
for name, r in returns.items():
returns[name] = r + 0.0005 # Small positive edge
# Compute correlation
ret_df = pd.DataFrame(returns)
corr = ret_df.corr()
sns.heatmap(corr, annot=True, fmt='.2f', cmap='RdBu_r', center=0,
vmin=-1, vmax=1, square=True)
plt.title('Strategy Return Correlation Matrix')
plt.show()
"""),
nbf.v4.new_code_cell("""# Build and simulate portfolio
pf = PortfolioConstructor(
capital=100_000,
vol_target=0.20,
max_correlation=0.70,
max_drawdown_stop=0.15,
portfolio_mdd_stop=0.10,
)
for name in strategy_names:
pf.register_strategy(name)
# Feed returns
for i in range(n_bars):
for name in strategy_names:
pf.update_returns(name, [returns[name][i]])
pf.update_portfolio_value({
name: returns[name][i] * pf.capital * 0.1
for name in strategy_names
})
# Portfolio metrics
metrics = pf.summary()
print(f"=== Portfolio Metrics ===")
print(f"Total Equity: ${metrics.total_equity:,.2f}")
print(f"Total PnL: ${metrics.total_pnl:,.2f} ({metrics.total_pnl_pct*100:.1f}%)")
print(f"Volatility: {metrics.vol_20d*100:.1f}%")
print(f"Sharpe Ratio: {metrics.sharpe:.2f}")
print(f"Sortino Ratio: {metrics.sortino:.2f}")
print(f"Max Drawdown: {metrics.max_drawdown_pct*100:.1f}%")
print(f"Win Rate: {metrics.win_rate*100:.0f}%")
# Equity curve
eq = list(pf.portfolio_equity_history)
plt.plot(eq, linewidth=0.5)
plt.title('Portfolio Equity Curve')
plt.ylabel('Equity ($)')
plt.xlabel('Bar')
plt.show()
"""),
nbf.v4.new_markdown_cell("""## 3. Risk Decomposition
Where is the risk coming from? Which strategies contribute most to drawdowns?"""),
nbf.v4.new_code_cell("""# Risk attribution per strategy
allocations = pf.compute_allocations({"BTC": 100000, "ETH": 3500, "SOL": 200, "HYPE": 10})
print("=== Portfolio Allocation ===")
print(f"{'Strategy':<20} {'Weight':>8} {'Allocation':>12} {'Vol 20d':>10}")
print("-" * 55)
for name in strategy_names:
alloc = allocations.get(name, 0)
st = pf.strategies.get(name)
if st:
print(f"{name:<20} {st.weight:>7.1%} ${alloc:>10,.0f} {st.vol_20d*100:>8.1f}%")
total_alloc = sum(allocations.values())
print(f"\\n{'Total':<20} {' ':>8} ${total_alloc:>10,.0f}")
print(f"Reserve: ${pf.capital - total_alloc:>10,.0f}")
# Drawdown per strategy
print(f"\\n=== Drawdown Analysis ===")
for name, st in pf.strategies.items():
if st.peak_equity > 0:
dd = (1.0 - st.equity / st.peak_equity) * 100
print(f" {name:<20s}: DD={dd:5.1f}% | Equity=${st.equity:,.0f} | Peak=${st.peak_equity:,.0f}")
"""),
nbf.v4.new_markdown_cell("""## 4. Regime-Adaptive Allocation
Test the regime-switching ensemble: how do weights shift across regimes?"""),
nbf.v4.new_code_cell("""# Simulate different regimes
ensemble = RegimeEnsemble()
# Seed with some signals
for name in strategy_names:
ensemble.update_strategy_signal(name, "BUY", 0.6 + np.random.random() * 0.2)
# Test in different regimes by feeding artificial price patterns
np.random.seed(42)
print("=== Strategy Weights by Regime ===\\n")
# TRENDING: strong upward drift
for i in range(200):
ensemble.feed_price(100000 + i * 50 + np.random.randn() * 200)
trending_weights = ensemble.compute_weights()
print("TRENDING:")
for s, w in sorted(trending_weights.items(), key=lambda x: x[1], reverse=True)[:5]:
print(f" {s:20s}: {w:.1%}")
# Reset detector and test MEAN_REVERTING
ensemble.detector.prices.clear()
for i in range(200):
px = 100000 + np.sin(i * 0.1) * 2000 + np.random.randn() * 500
ensemble.feed_price(px)
mr_weights = ensemble.compute_weights()
print("\\nMEAN_REVERTING:")
for s, w in sorted(mr_weights.items(), key=lambda x: x[1], reverse=True)[:5]:
print(f" {s:20s}: {w:.1%}")
# Compare
print(f"\\n=== Weight Shift Analysis ===")
for name in sorted(strategy_names):
tw = trending_weights.get(name, 0)
mw = mr_weights.get(name, 0)
shift = mw - tw
direction = "▲ MR" if shift > 0.01 else ("▼ TREND" if shift < -0.01 else "— same")
print(f" {name:20s}: TR={tw:.2%} MR={mw:.2%} ({direction})")
"""),
nbf.v4.new_markdown_cell("""## 5. Sharpe Decomposition
Target: Sharpe > 1.5. How many strategies do we need?
```
Portfolio Sharpe = √N × avg(individual Sharpe) × √(1 - avg_correlation)
= √N × Sᵢ × √(1 - ρ̄)
```
**Scenarios:**
| N strategies | Avg Sharpe | Avg Corr | Portfolio Sharpe | Target? |
|-------------|-----------|---------|-----------------|---------|
| 3 | 1.5 | 0.3 | 2.17 | ✅ |
| 5 | 1.0 | 0.2 | 2.00 | ✅ |
| 5 | 0.8 | 0.5 | 1.26 | ❌ |
| 7 | 1.0 | 0.3 | 2.21 | ✅ |
| 7 | 0.7 | 0.2 | 1.66 | ✅ |
**Conclusion:** With 5-7 strategies averaging 1.0 individual Sharpe and correlation below 0.3, we comfortably exceed Sharpe 1.5. The key is keeping correlation low — redundant strategies destroy the diversification benefit."""),
nbf.v4.new_code_cell("""def portfolio_sharpe(n_strategies, avg_sharpe, avg_correlation):
return np.sqrt(n_strategies) * avg_sharpe * np.sqrt(1 - avg_correlation)
# Parameter sweep
ns = range(2, 11)
sharpes = [0.5, 0.8, 1.0, 1.2, 1.5]
corrs = [0.1, 0.2, 0.3, 0.5]
print("=== Portfolio Sharpe Projections ===\\n")
print(f"{'N':>3} | ", end="")
for s in sharpes:
print(f"Sᵢ={s:.1f} ", end="")
print("| ρ̄=0.2")
for n in ns:
print(f"{n:3d} | ", end="")
for s in sharpes:
ps = portfolio_sharpe(n, s, 0.2)
marker = " ✅" if ps > 1.5 else " "
print(f"{ps:5.2f}{marker} ", end="")
print()
print(f"\\nTarget line: Sharpe > 1.50")
print(f"Bold numbers pass the target. Strategy: maximize N × Sᵢ × (1 - ρ̄)")
"""),
nbf.v4.new_markdown_cell("""## 6. Deployment Pipeline
The complete pipeline from idea → deployment:
```
IDEA → Signal Generation → VBT Backtest → Walk-Forward →
→ DSR/PSR/Haircut → QuantVerdict →
→ Paper Trading (24h+) → Queue Simulation →
→ LIVE (1/10 size, daily PnL stop)
```
**Operational rules:**
- Never deploy more than 2 new strategies simultaneously
- Each strategy starts at 1/10 target size for 1 week
- Daily PnL stop: halt strategy if -2% in one day
- Weekly review: check Sharpe, DD, win rate vs. backtest
- Monthly rebalancing: re-run walk-forward to update parameters
- Kill switch: any strategy -15% from peak → disabled
- Portfolio kill: total equity -10% from peak → all strategies paused"""),
]
nb_path = NOTEBOOKS_DIR / "03_portfolio.ipynb"
nbf.write(nb, str(nb_path))
print(f"Created {nb_path}")
if __name__ == "__main__":
create_eda_notebook()
create_strategy_research_notebook()
create_portfolio_notebook()
print(f"\\nAll notebooks created in {NOTEBOOKS_DIR}")