pjepdZddlmZddlZddlZddlZddlZddlmZddl m Z ddl m Z ddl ZddlZe ej%j&dZedz d z d z Zed z Zeeej0vr"ej0j3deedd lmZmZmZd1d2d Zd3dZd3dZ d4dZ!d4dZ"d5dZ#edGddZ$ddddddddddddddd d6dZ%ddd d7dZ&d8dZ'dddddddddddddddddddddd dd!d" d9d#Z(ddd$dddddddddddddddddddd%dd!d& d:d'Z)ddd(d(d(d)ddddddddddddddddddd* d;d+Z*dd.Z-d/Z.e/d0k(re.yy)?u Combine the **VRP regime** book (+ IV overlays) with the **VXX contango** sleeve (90 % bear call credit spread + 10 % long OTM call) and report portfolio-level metrics with vs. without the VXX sleeve. **Percentage allocation “backtest”** (no Theta re-run): load realized trades from JSONLs and merge daily PnL with ``--allocation-json`` pointing at ``optimize_overlay_risk_fracs.py`` output (``portfolio_vrp_plus_vxx_cli_snippet`` fractions × ``--total-capital``). That is the same merge model the optimizer uses; sleeves are **fractions of the account**, then converted to USD risk budgets internally for scaling vs each JSONL’s ref risk. **One account, one starting equity** (``--total-capital``, default 100k): every equity curve starts at that number. **IV overlays and VXX** are scaled by **broker risk budget** (max loss for credit structures, debit paid for long premium): ``sleeve_pnl × (your_risk_usd / ref_risk_usd)``. Reference risk per sleeve defaults to the **median** ``broker_risk_usd`` in each JSONL (or inferred for legacy rows). Override with ``--put-risk-ref`` / ``--overlay-ref`` / ``--vxx-ref``. VRP still uses ``capital_vrp / vrp_ref``. Per-trade VRP risk lives inside ``VRPBacktester``. Active sleeves: VRP main, OTM put, straddle, risk reversal, VXX bear call, VXX long call. Calendar spread is **excluded** — drop-one-out analysis (Apr 2026) showed it lost -$10.5K with Sharpe -5.61 and removing it improved portfolio Sharpe by +0.069. Do not re-add without fresh evidence of profitability. Example:: python RenTech/strategy_stack/portfolio_vrp_plus_vxx.py \ --total-capital 100000 --capital-vxx-pct 0.024 --vxx-bear-pct 90 --vxx-call-pct 10 # Same as --capital-put 2000 on a 100k book: python RenTech/strategy_stack/portfolio_vrp_plus_vxx.py \ --total-capital 100000 --capital-put-pct 0.02 Or from Python / after ``vrp_backtest_theta.py``:: from RenTech.strategy_stack.portfolio_vrp_plus_vxx import execute_portfolio_merge execute_portfolio_merge( vrp_trades=Path("RenTech/data/logs/vrp_low_dd_ov2_vxxbundle_vrp_trades.jsonl"), total_portfolio_capital=100_000, ) Overlay JSONLs (defaults under ``RenTech/data/logs/``): ``stress_longvol_otm_put.jsonl``, ``stress_longvol_straddle.jsonl``, ``risk_reversal.jsonl`` from ``backtest_iv_stress_long_vol.py`` / ``backtest_iv_calendar_risk_reversal.py``; VXX: ``vxx_portfolio_bear_call.jsonl`` and ``vxx_portfolio_long_call.jsonl`` from ``optimize_vxx_portfolio.py`` / ``backtest_vxx_bear_call_contango.py`` and ``explore_vxx_decay_strategies.py`` (see those scripts for exact flags). **Optimize sleeve risk budgets:** :func:`optimize_sleeve_notionals` (or CLI ``--optimize-sleeves``) searches overlay + VXX **broker risk budgets (USD)** with an optional sum cap and a **soft** max-drawdown target, maximizing ``Calmar + sharpe_weight * Sharpe`` with VRP scale fixed to the account. **Sharpe-only allocation:** :func:`optimize_portfolio_sharpe` (or CLI ``--optimize-sharpe``) searches put/straddle/RR/VXX as **fractions of** ``--total-capital`` to maximize **Sharpe** on the merged book, with optional sum cap (``--sharpe-sum-cap-pct``) and optional **hard** max drawdown cap (``--sharpe-max-dd-pct``, default 10%% peak-to-trough; use ``0`` to disable). Mutually exclusive with ``--optimize-sleeves``. ) annotationsN) dataclass)Path)AnyRenTechdatalogsz)vrp_low_dd_ov2_vxxbundle_vrp_trades.jsonl) _load_jsonl_pnl_series_from_trades_require_jsonlc4t|}t|d|S)N exit_date)exit_keypnl_key)r r )pathrtradess I/opt/rentech/trading_bot/RenTech/strategy_stack/portfolio_vrp_plus_vxx.py _load_pnlrSs  F "6K QQc |jd}|'t|}tj|r|dkDr|St |jdd}|dvr.t t t|jdddSt|jdd}t|jd d }d }|dk\r t |dSt t |d |z|zzdS) z^Max loss / debit (USD) for one overlay position; legacy JSONL when ``broker_risk_usd`` absent.broker_risk_usdr structure)otm_putstraddle entry_premium?entry_net_premium spy_entryiY@皙?getfloatmathisfinitestrmaxabs)tradevxstenspycms r_infer_broker_risk_overlayr2Xs #$A} !H == AH UYY{B ' (B $$3uUYY:;  F !' (AHQK (D ( :!t}}Q/AEA :D :%)54 !2s2 ) :sBBBBc<|jsyt|}|sytd|D}g}|D]}|jd}|Gt j t |r)t |dkDr|jt |]t ||}t j |s|dkDs|j||sy|rtt t|dStt tj|dS)uB Reference USD for scaling an overlay/VXX sleeve to ``capital_*``. If **every** row has ``broker_risk_usd > 0``, use **sum** of those values (total capital deployed in the log — correct when contracts vary per trade). Otherwise fall back to the **median** of inferred per-trade risk (legacy JSONL). rc3K|]M}|jdduxr4tjt|dxrt|ddkDOyw)rNr)r$r&r'r%).0rAs r z5_overlay_sleeve_risk_reference_usd..sb   , , MM%"3 45 6 , !%& '! + ,sAArr) r=r allr$r&r'r%appendr)sumr>r?)rr@r documentedrBrAr,r-s r"_overlay_sleeve_risk_reference_usdrLs <<>  F  J D  EE# $ =T]]584qA KKa !hqk"A}}QAE A 5T#S)) uRYYt_%s ++rc(||jzS)N)cumsum)pnlcapitals r_equity_from_pnlrQs SZZ\ !!rT)frozenceZdZUdZded<ded<ded<ded<ded<ded <ded <ded <d ed <d ed<d ed<d ed<d ed<d ed<y)PortfolioPnLBasiszhVRP uses ``B_v = pnl/vrp_ref``. Overlays/VXX use **raw** daily $ PnL scaled by ``risk_budget/risk_ref``.zpd.DatetimeIndexindexr%eq0vrp_ref put_risk_refstraddle_risk_ref rr_risk_refvxx_bear_risk_refvxx_call_risk_ref pd.SeriesB_vB_pB_sB_rB_vbB_vcN)__name__ __module__ __qualname____doc____annotations__rrrTrTsQr  J N N N N N O OrrTj@)rWrXrYrZ overlay_refr[r\vxx_ref put_tradesstraddle_tradesrisk_reversal_tradesvxx_bear_tradesvxx_call_tradestotal_portfolio_capitalc"| xs tdz } | xs tdz } | xs tdz } | xs tdz } | xs tdz } |jj}|jst d|t | t }t | t }t | t }t | t}t | t}dfd }|||}|||}|||}dfd }|||}|||}t|d }| jr t| ntjt }| jr t| ntjt }| jr t| ntjt }| jr t| ntjt } | jr t| ntjt }!|j}"|||| |!fD]*}#|#jr|"j|#j}",|"j}"t!|"d kDr2|"d tj"d z }$|$|"vr|"j%d |$}"t't|d}%|j)|"d |%z }&|j)|"d }'|j)|"d }(|j)|"d })| j)|"d }*|!j)|"d }+t+|"t|t|t|t|t|t|t||&|'|(|)|*|+S)a Load JSONLs once; overlay/VXX daily PnL is **raw dollars** from the reference backtest. Risk refs default to **sum** of ``broker_risk_usd`` per file when every row documents it (dynamic contracts / 1:1 sizing); otherwise **median** of inferred per-trade risk (legacy). ``overlay_ref`` (if set) overrides put, straddle, and RR refs. ``vxx_ref`` overrides both VXX legs. stress_longvol_otm_put.jsonlstress_longvol_straddle.jsonlrisk_reversal.jsonlvxx_portfolio_bear_call.jsonlvxx_portfolio_long_call.jsonlzVRP trades JSONL not found: c|tt|dSttdStt|dSNrr)r%)explicitmedrks r_or_ovz(load_portfolio_pnl_basis.._or_ovsC  uX, ,  "u[)3/ /5:s##rc|tt|dSttdStt|dSrzr{)r|r}rls r_vxx_legz*load_portfolio_pnl_basis.._vxx_legsB  uX, ,  uW~s+ +5:s##rpnl_usd)r)dtyper)daysr) fill_value)rUrVrWrXrYrZr[r\r^r_r`rarbrc)r| float | Noner}r%returnr%)LOGS expanduserresolver=FileNotFoundErrorrLr2r;rpdSeriesr%rUemptyunion sort_valueslen Timedeltainsertr)reindexrT), vrp_tradesrWrXrYrZrkr[r\rlrmrnrorprqrrvrp_pathm_putm_strm_rrm_vbm_vcr~prsrrrrvbrvcrvrp_pnlput_pnlstr_pnlrr_pnl vxx_bear_pnl vxx_call_pnlall_idxr9t_padrfr^r_r`rarbrcs, ` ` rload_portfolio_pnl_basisrs90F'E EJ%Q$1P*PO/QD;P4P%Q$1P*PO%Q$1P*PO$$&..0H    ">xj IJJ .z;U VE .@Z [E -.BD^ _D -o?U VD -o?U VD$  e $B !5 )B  T "B$ $d +C $d +C)4G'1'9'9';i #QVAWG,;,C,C,Ei(299[`KaG0D0L0L0NY+ ,TVT]T]diTjF1@1H1H1J9_-PRPYPY`ePfL1@1H1H1J9_-PRPYPY`ePfLmmGw l C-wwmmAGG,G-!!#G 7|a R\\q11  nnQ.G U7^S !B //'a/ 02 5C //'a/ 0C //'a/ 0C ..Q. /C   A  6D   A  6D  ) *g2Y)"I**       rV@$@) vxx_bear_pct vxx_call_pctc| t|n |j}t|t|t|} } } t|} | |dz z} | |dz z}t|jdt|jdt|j d}}}t|j dt|jd}}||jz| |z |jzz| |z |jzz| |z |jzz| |z |jzz||z |jzz}|j|jzS)z>Full book: VRP + IV overlays + VXX, starting at ``basis.eq0``.r!-q=)r%rVr)rXrYrZr[r\r^r_r`rarbrcrN)basis capital_vrp capital_putcapital_straddlecapital_risk_reversal capital_vxxrrvrp_numcpcscrcvxxbearcallrrrrrdailys rmerged_full_equityr*sQ%0$;eK G{#U+;%ZBB  D <%' (D <%' (DU''/U5L5Le1TVYZ_ZkZkmrVsBB5**E2C8O8OQV4WC%)) 7eii  7eii   7eii   #: #  $ #: #  $  99u||~ %%rc t|d S)zePositive number, e.g. 8.91 for 8.91 % peak-to-trough (``_metrics_block`` stores negative max_dd_pct). max_dd_pctr%)metricss rmax_drawdown_pct_magnituderHs ','' ((r?PF)rrrmax_dd_limit_pctadditional_notionals_capmax_single_sleeve sharpe_weightrrrWrkrXrYrZrlr[r\rmrnrorprqmaxiterseedpolishc*+ddlm}m}t|| | | | | |||||||||*| t |n *j +t |}d|fd|fd|fd|fg}d}|)t |}|t jdd|f}t jj|}d"*+fd } || |||||dd }!t |!jdt |!jdt |!jd t |!jd f\}"}#}$}%t*+|"|#|$|% }&t|&d}'t|'}(|(dzk})id|)d+d|"d|#d|$d|%d|"|#z|$z|%zd|(d|'dd|'dd|'dd|'dd|'dd|&d|'d|'dzzdt|!jd t!|!j"d!t%|!j&iS)#u Search non‑negative **risk budgets** (USD) for **put / straddle / risk‑reversal / VXX** (VXX split by bear/call %) while **VRP scale** stays fixed at ``capital_vrp`` or ``total_portfolio_capital``. **Capital:** starting equity is always ``total_portfolio_capital`` (same as merge). Optional ``additional_notionals_cap`` requires ``capital_put + capital_straddle + capital_risk_reversal + capital_vxx <= cap`` — a combined **risk budget** (max loss / debit USD), not VRP. **Objective:** maximize ``Calmar + sharpe_weight * Sharpe`` on the **full** merged equity curve. **Feasibility:** solutions with max drawdown **above** ``max_dd_limit_pct`` (peak‑to‑trough %) are heavily penalized (soft constraint); the best reported point may be infeasible if the limit is too tight — check ``feasible`` and ``max_drawdown_pct`` in the result. Uses ``scipy.optimize.differential_evolution`` (non‑smooth OK). Install scipy if missing. r)LinearConstraintdifferential_evolutionrrWrXrYrZrkr[r\rlrmrnrorprqrrri)rc Ht|dt|dt|dt|df\}}}}t ||||}t|d}t|}t|dt|d} }| d zkDrd | z dzd zzS| | zz} | S) Nrrrrrrrrrrrcalmarsharpe皙?g.A@)r%r_metrics_blockr)r-rrrreqmdd_magrrscorerrrrrrs r objectivez,optimize_sleeve_notionals..objectives 1;ad U1Q4[%!+MBD  "$%%   2r "+A.q{+U1X;-? $t+ +39C?? ?//v rrdeferredbounds constraintsrrrworkersupdatingrrr optimizedrfeasiblecapital_vrp_scalerrrrsum_overlay_vxxmax_drawdown_pctrrcagr_pct return_pct end_equityequityobjective_score scipy_success scipy_messagenitr- np.ndarrayrr%)scipy.optimizerrrr%rVr>onesrandom default_rngr-rrrboolsuccessr(messageintr),rrrrrrrrrrrWrkrXrYrZrlr[r\rmrnrorprqrrrrrhirrcaprngrresrrrreq_optm_optrrrrs, ` ``` @@roptimize_sleeve_notionalsrMsVH $!+++'1'' 7 E$%0$;eK G  !BBi#rS"IRy 9FK+,- RWWV_c3 7  ))   %C( !  CceeAhsuuQx%a/5QTQVQVWXQY?[BB   !! F 6; /E ' .F)D00H H W  r  B      t   27R<$.  F  %/  %/  E*%  eL)  eL)  &  5?]U8_-LL  ckk*! " S[[)# $ s377|% rffffff?x)rrrsum_risk_budget_pctmax_sleeve_pctrfixed_vxx_fracfixed_straddle_fracrrrWrkrXrYrZrlr[r\rmrnrorprqrrrc 789:;<=ddlm}m}m}t |= fixed_straddle_frac + fixed_vxx_frac (cap=z , fs_fixed=z , fv_fixed=)) ValueError)cap_sumremfs_fixedfv_fixeds r_sum_cap_remainderz5optimize_portfolio_sharpe.._sum_cap_remainder-s_   8OC   8OC 7y H:[ !M  rc@t|dt|dfS)Nrrr)r-rrs r_unpackz*optimize_portfolio_sharpe.._unpack>s"1;%!+x? ?rcXt|dt|dt|dfSNrrrr)r-rs rrz*optimize_portfolio_sharpe.._unpackDs*1;ad U1Q4[(B BrcXt|dt|dt|dfSrr)r-rs rrz*optimize_portfolio_sharpe.._unpackJs*1;%!+uQqT{B Brcnt|dt|dt|dt|dfS)Nrrrrrr-s rrz*optimize_portfolio_sharpe.._unpackPs11;ad U1Q4[%!+E Errrc t|\}}}}t |z|z|z|z }t|dS)Nrr)rr) r-fpfsfrfvrrrtcrrrs r_metrics_from_fracsz6optimize_portfolio_sharpe.._metrics_from_fracs^sU BB  R"W"$r'R%%  b"%%rcn|}t|}tj|r t|SdS)NeA)rr&r'r%)r-rdr"s r_max_dd_pct_magz2optimize_portfolio_sharpe.._max_dd_pct_magns1#A&A*1-A#}}Q/58 8S 8rcb|}t|d}tj|sy| S)Nrr$)r%r&r')r-rrr"s rrz,optimize_portfolio_sharpe..objectiveys1  "q{#}}V$wrrrr sharpe_optT feasible_ddrput_frac straddle_fracrr_fracvxx_fracsum_fracrrrrrrrrrr)rrrr)rr%rr%)r-rrz!tuple[float, float, float, float])r-rrdictr)rrr rr%rrrVrrIr>rrrinftupler-rrrrrr(rrr)>rrrrrrrr r rrrWrkrXrYrZrlr[r\rmrnrorprqrrrrr rrrr cons_listrrn_dimrdd_limdd_tolr&rrrrrrr rrrrrrrr)r"rrrrr!rs> `` @@@@@@@roptimize_portfolio_sharper6s,\]\ & 'B!H!(x&3&?@ @'?@ @!H&,-x&3&DE E'DE E $!+++'1'' " E$%0$;eK G ~ B  4)c2Y' @  )c2Yb 2 C  )c2Yb 2 C)c2Yb C9= FI&+, )F )"''1e**=sCHI ))   %C F F & & 9  "&&%-&:P Q  "K !  CSUU^NBBBwRb"r'9BB   !! F 6< 0E ' .FK#&6 7& @@  { F  B     2   B   BGbL2%  W  r  B    t  %/  %/  E*%  eL)! " eL)# $ckk*S[[)377|+ rrgL@)rrrrrrrrrrWrkrXrYrZrlr[r\rmrnrorprqout_csv print_reportprint_vxx_sweepc| t|n t|}|xs tdz }|xs tdz }|xs tdz }|xs tdz }|xs tdz }| tdz }|jj}|rFt dd |fd |fd |fd |fd |ffD]'\}}|j rt d|d|)t || | | | | |||||||||}|j}|j}t|jdt|jdt|jd}"}!} t|jdt|jd}$}#||jz}%t|| z |j z}&t||!z |j"z}'t||"z |j$z}(t|})|)|dz z}*|)|dz z}+|*|#z |j&z},|+|$z |j(z}-||%j+z}.||%|&z|'z|(zj+z}/||,|-zj+z}0||%|&z|'z|(z|,z|-zj+z}1t-j.|.|/|0|1|%|&|'z|(z|,|-d|}2|rt1|.d}3t1|/d}4t1|0d}5t1|1d}6|%|&|'z|(z|,|-d}7t-j.|7j3}8t ddt dt dt dj5gd|dd |dd!| dd"|dd#| dd$|dd#|!dd%|dd#|"dd&|dd'|d(d)|d(d*|*dd#|#dd+|+dd#|$d|d,kDr4t d-d|z|z d.d/d|z|z d.d0d|z|z d.d1d|z|z d.d2 t d3|d,j7d4|d5j7d6t9|d7|3d8d9d: t dd;dd?d@d>dAd@d>dBdCd>dDdEd>dFdGd>dHdEd>dIdCd>dJdGd>dKdE}9t |9t d;|3|4|5|6fD]}:|:dL};t;|;t<tfrt?j@|;r|;dMdNndOdG}|:dQdRd>|:dSdRd>|:dTdUd>|:dVdWdX|<d>|:dYdZd>|:d[d\d>|:d]dZdX|:d^dZt d;t d_|6dY|4dYz }=|6d^|4d^z }>|6d]|4d]z }?|6dV|4dVz }@t?j@|6dLrAt?j@|4dLr)|6dL|4dLz }At d`|4dLd9da|6dLd9db|Adcddt de|4dYd9d4|6dYd9d6|=dfdgt dh|4d^d9d4|6d^d9d6|>dcdgt di|4d]d9da|6d]d9db|?dcddt dj|4dVdkda|6dVdkdb@dlddt dmt |8jCdno|r;|r8t ddt dpt dt dqdGd>drdsd>dHdEd>dJdGd>dKdEd>dtdEdu t dvd}Bdw}CdxD]}D||Dz}E|E|dz z}F|E|dz z}G|j&|F|#z z}H|j(|G|$z z}I|%|&z|'z|(z|Hz|Iz}J||Jj+z}Kt1|Kdy|Ddz}Ld}M|LdYCkDrLdY}CD}BDd,k(rd{}Mt Ed|d>Dd}d>LdYdZd>|Ld]dZdX|Ld^dZd>|LdVdWd~M BBd,kDrt dBdzdt d|j}|jDjGdd|2jI|d|rt d||2S)a/ Merge **VRP** (``pnl_usd`` on exit dates) with optional IV overlay JSONLs and VXX sleeve JSONLs. Missing overlay/VXX files contribute **zero** PnL (same as CLI defaults). All equity series start at ``total_portfolio_capital``. Overlay/VXX PnL scales as ``risk_budget / risk_ref`` (median ``broker_risk_usd`` per JSONL unless refs overridden). If ``capital_vrp`` is None, VRP PnL is scaled as ``total_portfolio_capital / vrp_ref``. Used by ``portfolio_vrp_plus_vxx.py`` CLI and ``vrp_backtest_theta.py --full-portfolio-report``. Nrtrurvrwrxportfolio_vrp_vxx_equity.csvuLoading trade logs …zOTM put overlayzStress straddlez Risk reversalz VXX bear callz VXX long callz [skip] u: file not found → rrr!) eq_vrp_onlyeq_vrp_plus_overlays eq_vxx_sleeveeq_full_portfoliopnl_vrp pnl_overlays pnl_vxx_bear pnl_vxx_call)rUzVRP onlyzVRP + overlayszVXX sleeve onlyzFULL (VRP + overlays + VXX))VRP IV_overlaysVXX_bearVXX_call z_===============================================================================================z6PORTFOLIO COMPARISON: VRP+Overlays vs VRP+Overlays+VXXrz Account start (all curves): $,.0fz | VRP PnL scale numerator $z vs ref $z: | IV overlay **risk budgets** (max loss / debit): put $z / ref $z , straddle $z, RR $z | VXX $z (.0fz % bear / u% call) → bear $z, call $ru` (same sleeves as **fraction of account** — what you set with *-pct flags or merge JSON: put .3fz %, straddle z%, RR z%, VXX uc%; dollar line above is that fraction × account, used to scale each overlay JSONL vs its ref risk)z Date range: u → z (z days; ~years.2fz yr CAGR horizon)u;───────────────────────────────────────────────────────────────────────────────────────────────────────── Portfolioz<30 Startz>10EndReturnz>9zRet%z>7CAGRz>8SharpezMaxDD$zMaxDD%Calmarrz>6.2f%n/alabel start_capitalz>10,.0fr total_returnz>+9,.0frz>6.1fz% rz>7.2f max_dd_usdz>9,.0frru1 ── IMPROVEMENT FROM ADDING VXX SLEEVE ──z CAGR%: u% → z% (z+.2fzpp)z Sharpe: +.3frz Calmar: z MaxDD%: z Return%: .1fz+.1fu% ── DAILY PNL CORRELATIONS ──c |dS)Nr]rirs rz)execute_portfolio_merge..js !Dr) float_formatuVXX RISK-BUDGET SENSITIVITY — same account start; VRP + IV overlays unchanged; total VXX risk budget = fraction × account (split bear/call by %)zVXX$zVXX%z>6RetPctz Notesu────────────────────────────────────────────────────────────g8) rg{Gz?rg{Gz?g?gQ?g333333?r"rg333333?zVXX=z.0%u← baseline (no VXX)z>8,.0fz>5.0%z% u ★ Best Sharpe at z VXX allocationT)parentsexist_okz%Y-%m-%d) date_formatu Daily equity CSV → )%r%rrrprintr=rrUrVr)rXrYrZr[r\r^r_r`rarbrcrNr DataFramercorrjoindater isinstancerr&r' to_stringparentmkdirto_csv)NrrrrrrrrrrrWrkrXrYrZrlr[r\rmrnrorprqr7r8r9rrrYprrrVrrrrrVPSRr cap_vxx_bear cap_vxx_callVBVCr< eq_no_vxxr> eq_with_vxxframem_vrpm_no_vxxm_vxxm_full corr_datacorr_dfhdrrcgcag_s sharpe_delta calmar_deltadd_delta ret_deltacagr_dbest_sharpe_allocbest_sharpe_valr-vxx_capbear_capcall_capvxx_bvxx_c combo_pnleq_combomcnotesN rexecute_portfolio_mergersb L%0$;eK G^A_GF'E EJ%Q$1P*PO/QD;P4P%Q$1P*PO%Q$1P*PO77$$&..0H &'  +  0 2 3 o . o .   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default 100k))typedefaulthelpz--allocation-jsonuRun merged portfolio from optimize_overlay_risk_fracs.py output: sleeve fractions × --total-capital (incompatible with --capital-*-pct / --optimize-*).z --capital-vrpzGVRP PnL scale numerator vs --vrp-ref (default: same as --total-capital)z--capital-vrp-pctFRACuZVRP scale numerator = FRAC × --total-capital (e.g. 1.0); overrides --capital-vrp when set)rrmetavarrz --capital-puti'zfPut overlay broker risk budget USD (max loss / debit); scaled vs ref (median broker_risk_usd in JSONL)z--capital-put-pctu_Put risk budget = FRAC × --total-capital (e.g. 0.02 for 2%%); overrides --capital-put when setz--capital-straddlezStraddle sleeve risk budget USDz--capital-straddle-pctuUStraddle risk budget = FRAC × --total-capital; overrides --capital-straddle when setz--capital-risk-reversalz$Risk-reversal sleeve risk budget USDz--capital-risk-reversal-pctuTRR risk budget = FRAC × --total-capital; overrides --capital-risk-reversal when setz --capital-vxxi:zETotal VXX sleeve broker risk budget USD (split bear/call by %% flags)z--capital-vxx-pctuQVXX total risk budget = FRAC × --total-capital; overrides --capital-vxx when setz--vxx-bear-pctZz7Percent of VXX capital to bear call (rest to long call)z--vxx-call-pct z#Percent of VXX capital to long callz --vrp-refi)rrz --overlay-refzCOverride risk ref USD for all three IV overlays (put, straddle, RR)z--put-risk-refz!Override put overlay risk ref USDz--straddle-risk-refz --rr-risk-refz --vxx-refzAOverride risk ref USD for both VXX JSONLs (bear call + long call)z--vxx-bear-risk-refz--vxx-call-risk-refz --vrp-tradesz"VRP closed trades JSONL (default: rz --put-tradesrtz--straddle-tradesruz--risk-reversal-tradesrvz--vxx-bear-tradesrwz--vxx-call-tradesrxz --out-csvr;z--no-vxx-sweep store_truezASkip the VXX notional sensitivity table after the main comparison)actionrz--optimize-sleeveszeSearch put/straddle/RR/VXX risk budgets (USD) to maximize Calmar + w*Sharpe with a max-DD soft targetz--optimize-sharpezbSearch sleeve allocation fractions (of --total-capital) to maximize Sharpe on the full merged bookz--sharpe-sum-cap-pctrzeWith --optimize-sharpe, max sum of put+straddle+RR+VXX fractions (default 0.35); use 0 for no sum capz--sharpe-max-sleeve-pctrzWWith --optimize-sharpe, upper bound per sleeve fraction (default 0.25 of total capital)z--sharpe-max-dd-pctrPCTz[With --optimize-sharpe, hard cap on peak-to-trough max DD %% (default 10); use 0 to disablez--sharpe-fixed-vxx-pctzWith --optimize-sharpe, hold VXX sleeve at FRAC of --total-capital and optimize only IV sleeves (put/straddle/RR). --sharpe-sum-cap-pct then limits put+straddle+RR only (add this FRAC separately for total overlay+VXX).z--sharpe-fixed-straddle-pctzhWith --optimize-sharpe, hold straddle sleeve at FRAC (use 0 when straddle JSONL is disabled / zero PnL).z --max-dd-pctzWWith --optimize-sleeves, penalize paths whose max drawdown exceeds this %% (default 10)z--notionals-budgetz_With --optimize-sleeves, cap sum of risk budgets put+straddle+RR+VXX (default 100k); 0 = no capz--notionals-budget-pctutWith --optimize-sleeves, cap sum = FRAC × --total-capital; overrides --notionals-budget when set (0 still = no cap)z--sharpe-weightz3With --optimize-sleeves, objective += this * Sharpez--opt-max-sleevezKWith --optimize-sleeves, upper bound USD per searched sleeve (default 100k)z--opt-max-sleeve-pctunWith --optimize-sleeves, per-sleeve upper bound = FRAC × --total-capital; overrides --opt-max-sleeve when setz --opt-maxiterrz5DE maxiter for --optimize-sleeves / --optimize-sharpez --opt-seedrz3RNG seed for --optimize-sleeves / --optimize-sharpez&--optimize-sharpe / --optimize-sleevesz2ERROR: --allocation-json cannot be combined with: z, )filerz$ERROR: --allocation-json not found: )rzERROR: --allocation-json z: rrrrrrrzH========================================================================zIPORTFOLIO BACKTEST (merge model): sleeve sizes from % allocations in JSONz JSON: z put r!z.4fz % straddle z% RR z% VXX z% of $rIz | VXX split rJ/z bear/callz VRP PnL scale numerator $z (capital_vrp_pct from JSON)z- (default: full --total-capital vs --vrp-ref)zI======================================================================== r)rkrXrYrZrlr[r\rrrrrr r rWrmrnrorprqrrzI ========================================================================zKSHARPE-OPTIMIZED ALLOCATION (fractions of --total-capital; VRP scale fixed)disabledr^rWrXr)rz | fixed VXX frac: z.6fz | fixed straddle frac: z DD cap (hard): z | feasible_dd: z put_frac=r*z straddle_frac=r+z rr_frac=r,z vxx_frac=r-z sum=r.z USD @ $z: put=$z straddle=$z RR=$z VXX=$rrNz Sharpe=rrKz Calmar=rz max_dd%=rz CAGR=z ret%=rz% end=$rz [r]z Re-run with: zZ .venv/bin/python RenTech/strategy_stack/portfolio_vrp_plus_vxx.py \ --total-capital z \ --capital-put-pct z.8fz \ --capital-straddle-pct z# \ --capital-risk-reversal-pct z \ --capital-vxx-pct z \ --vxx-bear-pct gz --vxx-call-pct z \ --no-vxx-sweeprr7r8Tr9FrrrzEOPTIMIZED SLEEVE RISK BUDGETS (VRP scale fixed; single account start)u Feasible (max DD ≤ z%): rz capital_put=z capital_straddle=z capital_risk_reversal=z capital_vxx=z sum(risk budgets overlay+VXX)=rz | VRP scale numerator=rz max_dd_pct=z % Calmar=z objective (Calmar + z *Sharpe)=rri)MargparseArgumentParser add_argumentr%rDEFAULT_VRP_TRADES_JSONLnameradd_mutually_exclusive_groupr parse_argsrallocation_jsonrrIrrrroptimize_sharpeoptimize_sleevesrfrisysstderrexitrrr=rrrJSONDecodeErrorOSErrorrrrrrrrrnotionals_budget_pctnotionals_budgetopt_max_sleeveopt_max_sleeve_pctr/rkrXrYrZrlr[r\sharpe_sum_cap_pctsharpe_max_dd_pctr6rsharpe_max_sleeve_pctsharpe_fixed_vxx_pctsharpe_fixed_straddle_pctrWrmrnrorprq opt_maxiteropt_seedr&r'rr7rrr no_vxx_sweep)ap_opt_grpargsr!badcap_vrp_resolvedajallocecap_putcap_strcap_rrcap_vxx vxx_bear_eff vxx_call_effrp budget_capr _risk_ref_kwsharpe_sum_cap sharpe_dd_caprtc2dd_notefeas_ddfv_note_cg_cgss rmainr#s  -V WB OO  V  OO N OO  V  OO  i OO  u  OO  n OO(uf:<OO  d OO-E6?AOO%  c OO  T  OO  ` OO$5"RTOO$5">@OOKeWO=OO  R  OO$5$EhOiOO)tODOOO%O>OO  P  OO)tODOO)tODOO (12J2O2O1PPQ R  OONt>\7\O]OO'dDCb23 U>23 E !$U=%9:  h YZ h '( UW_r)#.l57?R;OPS:TU&.2%c*'%'/B2Fs1K6RTUYQZ[',Al3-?z K E ! /6F0G/MMij k /4y8ef g oT../ T../  #.  d&:&:" /%%4+D+DTV .**0N0N^` /  d&:&:"    , $++ ,!VTa  ! # 4001 4../N *eD$;$;<<$$&&00$$ 0000L !&t'>'>!?1!D%PTPgPgJh %d&<&< = BdNdNdHe % OO $($6$6 ) !/  !!;!;<  +   44 !% > > ** ** LL  !00 "&!:!: !00 !00! 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