pj<fdZddlmZddlZddlZddlZddlZddlmZddl m Z ddl m Z ddl ZddlZe ej%j&dZeeej,vr"ej,j/deeddlmZdd lmZdd lmZe d Zed z d z dz Zedz Z dZ!edGddZ"d dZ# d!dZ$d"dZ% d#dZ& d$dZ'd%dZ(d&dZ) d'dZ*d(dZ+d)dZ,e-dk(re,yy)*u Volatility Edge VIX ETN sleeve (Zarattini / Mele / Aziz, SSRN 5316487). Implements Strategies 2–4 on short-vol (SVXY/SVIX) and long-vol (VIXY) ETNs: * ``evrp`` — short when expected VRP > 0 (20% allocation) * ``evrp_boc`` — eVRP + VIX vs VIX3M term structure (Strategy 3) * ``evrp_boc_sizing`` — Strategy 4, size = VIX/100 * ``evrp_boc_sizing_v200`` — Strategy 4 with VIX/200 (conservative) Signals use daily SPY/VIX/VIX3M closes (paper: 3:45 PM ET + MOC). Rebalance when target weight drifts > ``rebalance_threshold``; ``tcost_bps`` per traded notional. Example:: cd /Users/robzingale/trading_bot && PYTHONUNBUFFERED=1 \ .venv/bin/python RenTech/strategy_stack/run_volatility_edge_etn.py \ --variant evrp_boc --start 2016-01-04 --end 2026-04-02 --capital 100000 # Strategy 3 vs 4 (VIX/200) comparison table cd /Users/robzingale/trading_bot && PYTHONUNBUFFERED=1 \ .venv/bin/python RenTech/strategy_stack/run_volatility_edge_etn.py --compare-s3-s4 ) annotationsN) dataclass)Path)Literal) DataLoader)_load_vix3m_series)load_spy_vix_from_yfinance)evrpevrp_bocevrp_boc_sizingevrp_boc_sizing_v200passiveRenTechdatalogsvolatility_edge_etn)r rT)frozenc~eZdZUdZded<dZded<dZded <d Zded <d Zd ed<dZ d ed<dZ d ed<dZ d ed<y) VolEdgeConfigr Variantvariant int rv_lookback{Gz?floatrebalance_threshold@ tcost_bpsSVXYstr short_tickerVIXY long_tickerSVIXshort_stitch_tickerz 2022-03-30 stitch_dateN) __name__ __module__ __qualname__r__annotations__rrr r#r%r'r(J/opt/rentech/trading_bot/RenTech/strategy_stack/run_volatility_edge_etn.pyrr;sT!GW!K!%%IuL#K%%#K#r.rcXt}|jtjdz j d}|j tjdzj d}|j |||}|jrtd||djt}tj|jjd|_ |j|jj!j#dS) Ndays%Y-%m-%d)startendzNo daily data for close)rminpd Timedeltastrftimemax fetch_dailyempty RuntimeErrorastyper to_datetimeindex tz_localizereindexffill pct_changefillna)tickerrDloaderr6r7dfr8s r/_daily_returnsrMGs \F YY[2< z from rr`gMbP?r\)vspy)rr\) rpaperrr short_vol_proxylong_vol_proxy n_rebalancespct_days_short pct_days_longcorr_spy)"rcrangerrarlrrxrabsrr r>appendr=r; DataFramerCrBcumprod_metricsupdater#r'r(r%rsumroundmeanrFrHrIrbcorr)idxrgrrrs ret_shortret_longcapitalcfgnrrrowsrhdtr t_shortt_longr_sr_lport_retrrgrossdailyrcappnleqmetas r/run_volatility_edge_backtestrs CAG FD 1X-  VSXXa[!F9a$II(KKchhqk" 1 &  INN1%&HMM!$%S=6C</ '! 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BCdJE, BQ DKK{{7#&#:#:"%"2"2!348O8O7PPVWZWfWfVgh!ool 3 7 7 9:#EU9-=-E,K,K,M$MqQ"5E(Oe,C+I+I+K#KQO 1Y->->s-C-N-N-P-W-WX[-\]^d & $;r.c `t|}|dz }t|jd}||z dz }|dkDr||z d|z zdz n td}|dkDrt|jdn td}|dkDr2t|j |z t j dznd } t||jz dz j} |||d z|d z| | d zt j|r|t j dzd z|d Std|d S) Nr_rprr[r\r]rzr9r`) capital_usdending_equity_usdtotal_return_pctcagr_pctsharpemax_drawdown_pct vol_ann_pct n_sessions) rcrrardrrerfcummaxr:rq) rrrryearsr7totcagrsdrdds r/rrs( AA IE  C )c/C16C#I3; '# -e D!"Qquu!u} E%LB8:U U1668b=499U#33 4F RYY[ 3&++- .B %K5LJ8< b8IrDIIe,,u4  PUUZ|  r.ctj|tjdz jd}tj|tjdzjd}t ||}tj |j jd|_|j |j tj|k\|j tj|kz}t|dkrtdt|d|d|t|}t||j|jtj|j }t|j |} tj"|d j%|j't(|d j%|j't(|j%|j't(|| d | } | j+gd} tj,| j | fS)Nir2r4dzToo few sessions (z) for  → )rSrTrUr8 vix_close)rgrrrsrO ret_long_volrD)rgrrrs)subset)r; Timestampr<r=r rCrDrErc SystemExitr rYr#r'r(rMr%rrFrBrrb DatetimeIndex) r6r7ryf_startyf_endspy_vixrrsrrpanels r/load_signal_panelrs U#bll&<<FFzRHll3",,B"77 A A* MF(6:GNN7==1==dCGM -- ",,u- -'--2<E  EKK (% //r.ct|||\}}t||d|d|d|d|d||\}}t|dj|d<t|d j|d <|j j } | j r| jd } | jjd d t| d} t| d} |j| d| jtj|ddzdtd|j d|ddd|ddd|ddd |d!d"d#|d$d d %td&| d %|S)'NrgrrrsrOr)rrgrrrsrrrrrr6rr7T)parentsexist_ok _daily.csvz _meta.jsonFrrindent utf-8encoding z : return r+.1fz% CAGR r % Sharpe r.2f maxDD r.1fu % ρ(SPY) rflushu → )rrr"r{ expanduserresolvesuffix with_suffixparentmkdirrto_csv write_textjsondumpsprintr) r6r7rr out_prefixrrrrprefix daily_path meta_paths r/ run_and_writer1s#5#s3JC.  $ %LGn(~&  KE4A &DMc"glln%DK  " " $ , , .F }}##B' MMt4 +,Jxz*+I LL5L) D3d:WM S[[M4(:#;D"ABZ &jh0DE()#.k$z:J39O Q   HZL !. Kr.c|td|d|ddg}tD]E}t|}tjd|z }t |||||}|j |Gtd z }|jrztd dtj|d g jd j} | d jtjj!d} tD]}tjtd|dz d g jd } | djt} dD]} d| z }|| j#| j$j'| j$j!dz| | j#| j$j'| j$j!dzz}|d|zj)z}|jj!d}|j+dkDrBt|j-|j+dz t/j0dznd}t||j3z dz j5}t|j6d|z dz dz}td|d| dd|dd|dd |d!zd"d# d|j d$d%itd&z }|j9t;j<|d'(d)zd*+td,|dy)-Nu# === Volatility Edge standalone · rz ===Tr)rvolatility_edge_etn_r6r7rrrzstock_only_tactical70_plus_stock_only_plus_equity_dip_plus_sector_momentum_plus_tactical_aw_plus_tsmom_plus_fund_plus_nav_q_mtm_daily.csvz9 === Stock-only + Vol Edge blends (static weight add) ===r{) parse_datesequity_mtm_usdr9rr|)rog?rrprr\r]rr`rz @ z.0%z vol: return rrrrrr%notez4blend uses existing stock_only_tactical70 fund dailyz&volatility_edge_etn_compare_s3_s4.jsonrrrrrz Wrote )rCOMPARE_VARIANTSrDEFAULT_OUT_PREFIXrrrLOGSis_filer;read_csv set_index sort_indexrBrrHrIrFrDunionrrdrrerfrr:rarrr)r6r7rresultsrrrXr stock_pathsdfsretvdfvretvwwblendrrshrrout_jsons r/ compare_s3_s4rZs 0uSE FdSG#G, '',@ *JJ5c7X[\t  IJ JRVWkk*6(;EEfMXXZ#$++E2==?FFsK' G++-gYjAAPVxi {#**51D) "HDLL)9)9$**)EFMMcRRUWZ^ZfZfJJ$$TZZ0[&+Ve 4466MMO**3/IJSTU1668aeeem3diinDEZ]B,s2779:BGGBK'1C785@ RHM#d:bQTXU]^`ad^deh]iijk   &  VWX>>H  715  %d&>&> ?DNN+   x=1 : 5__++1E1E0Fay.QQFdjj/DHH $,,'   r.__main__)rJr"rDpd.DatetimeIndexreturn pd.Series) rDr%rSr"rTr"rUz pd.Timestampr&r')rgr'rhrrirr&r) rrr rrrrrsrr&ztuple[float, float])rr%rgr'rrr'rsr'rr'rr'rrrrr&ztuple[pd.DataFrame, dict])rr'rrrr'r&dict)r6r"r7r"rrr&z%tuple[pd.DatetimeIndex, pd.DataFrame]) r6r"r7r"rrrrrrr&r()r6r"r7r"rrr&None)r&r)).r __future__rrrresys dataclassesrpathlibrtypingrnumpynppandasr;__file__rr_REPOr"pathinsert"RenTech.strategy_stack.data_loaderr6RenTech.strategy_stack.spx_regime_state_space.featuresr %RenTech.strategy_stack.vrp_backtesterr rrrrrrMrYrlrxrrrrrr#r)r-r.r/r9s.# ! 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