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feat(strategy): abbandono gating settimanale — entry daily 24/7

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Crypto opera 24/7: la cadenza settimanale lunedì-only era un retaggio
TradFi senza giustificazione. La nuova cadenza è giornaliera (cron
0 14 * * *), con i gate quantitativi a decidere se entrare o saltare.

Cambiamenti principali:

* runtime/orchestrator.py — _CRON_ENTRY 0 14 * * * (era MON)
* runtime/auto_pause.py — pause_until(days=) (era weeks=); minimo
  clamp 1 giorno (era 1 settimana)
* core/backtest.py — MondayPick→DailyPick, monday_picks→daily_picks
  (1 pick per calendar-day all'ora target); Sharpe annualization su
  ~120 trade/anno (era 52)
* config/schema.py — default cron daily; max_concurrent_positions 1→5;
  AutoPauseConfig.pause_weeks→pause_days, default 14
* runtime/option_chain_snapshot_cycle.py + orchestrator — cron */15
  per accumulo continuo dataset di backtest empirico

Strategy yamls (config_version 1.3.0 → 1.4.0, hash rigenerati):

* strategy.yaml — max_concurrent 1→5, cap_aggregate coerente
* strategy.aggressiva.yaml — max_concurrent 2→8, cap_aggregate
  3200→6400, max_contracts_per_trade invariato a 16
* strategy.conservativa.yaml — max_concurrent 1→3
* tutti — pause_weeks→pause_days: 14

GUI (pages/7_📚_Strategia.py):

* slider Trade/anno: range 20-200 (era 8-30), default 110, help
  riallineato sulla math 365 candidature × pass-rate 30-40%
* card profili: versione letta dinamicamente da config_version invece
  che hard-coded "v1.2.0"
* warning "entrambi perdono soldi" ora valuta i P/L effettivi
  (cons['annual_pl'], aggr['annual_pl']) invece del win_rate grezzo;
  aggiunto stato intermedio quando solo conservativo è in perdita

Tests (450/450 passati):

* test_auto_pause: pause_days, clamp ≥1 giorno
* test_backtest: rinomina + ridisegno daily picks (assert su
  calendar-day dedupe e hour filter)
* test_sizing_engine: other_open_positions=5 per cap default
* test_config_loader: version 1.4.0

Docs (README + 9 file in docs/) — tutti i riferimenti weekly/lunedì
allineati a daily/24-7, volume option_chain ricalcolato per cron
*/15 (~1.1 MB/giorno, ~400 MB/anno).

Co-Authored-By: Claude Opus 4.7 (1M context) <noreply@anthropic.com>
This commit is contained in:
root
2026-05-03 16:21:16 +00:00
parent dabcc8d15b
commit 6ff021fbf4
26 changed files with 216 additions and 181 deletions
Download Patch File Download Diff File Expand all files Collapse all files
tests/unit/test_auto_pause.py
+9 -9
View File
@@ -68,16 +68,16 @@ def test_is_paused_returns_false_when_until_in_past() -> None:
# ---------------------------------------------------------------------------
def test_pause_until_adds_weeks() -> None:
until = pause_until(_NOW, weeks=2)
assert until == _NOW + timedelta(weeks=2)
def test_pause_until_adds_days() -> None:
until = pause_until(_NOW, days=14)
assert until == _NOW + timedelta(days=14)
def test_pause_until_clamps_to_one_week_minimum() -> None:
# weeks <= 0 deve cmq dare almeno 1 settimana di pausa, altrimenti
# la cron settimanale potrebbe scattare comunque.
assert pause_until(_NOW, weeks=0) == _NOW + timedelta(weeks=1)
assert pause_until(_NOW, weeks=-3) == _NOW + timedelta(weeks=1)
def test_pause_until_clamps_to_one_day_minimum() -> None:
# days <= 0 deve cmq dare almeno 1 giorno di pausa, altrimenti
# la cron giornaliera potrebbe scattare comunque.
assert pause_until(_NOW, days=0) == _NOW + timedelta(days=1)
assert pause_until(_NOW, days=-3) == _NOW + timedelta(days=1)
# ---------------------------------------------------------------------------
@@ -90,7 +90,7 @@ def _cfg(**overrides: object) -> AutoPauseConfig:
"enabled": True,
"lookback_trades": 5,
"max_drawdown_pct": Decimal("0.10"),
"pause_weeks": 2,
"pause_days": 14,
}
base.update(overrides)
return AutoPauseConfig(**base) # type: ignore[arg-type]
tests/unit/test_backtest.py
+28 -28
View File
@@ -11,9 +11,9 @@ from cerbero_bite.config import StrategyConfig, golden_config
from cerbero_bite.core.backtest import (
bs_put_delta,
bs_put_price,
daily_picks,
estimate_credit_eth,
find_strike_for_delta,
monday_picks,
normal_cdf,
run_backtest,
simulate_entry_filters,
@@ -87,7 +87,7 @@ def test_estimate_credit_returns_positive_credit_in_normal_regime() -> None:
# ---------------------------------------------------------------------------
# Monday picks + entry filter simulation
# Daily picks + entry filter simulation
# ---------------------------------------------------------------------------
@@ -114,35 +114,35 @@ def _snap(
)
def test_monday_picks_extracts_one_per_iso_week() -> None:
monday_2026_05_04 = datetime(2026, 5, 4, 14, 0, tzinfo=UTC)
monday_2026_05_11 = datetime(2026, 5, 11, 14, 0, tzinfo=UTC)
def test_daily_picks_extracts_one_per_calendar_day() -> None:
day1 = datetime(2026, 5, 4, 14, 0, tzinfo=UTC)
day2 = datetime(2026, 5, 5, 14, 0, tzinfo=UTC) # Tuesday: PICKED ora (crypto 24/7)
snapshots = [
_snap(ts=monday_2026_05_04),
_snap(ts=monday_2026_05_04 + timedelta(minutes=15)), # not picked
_snap(ts=monday_2026_05_11),
_snap(ts=day1),
_snap(ts=day1 + timedelta(minutes=15)), # stesso giorno, deduplicato
_snap(ts=day2),
]
picks = monday_picks(snapshots)
picks = daily_picks(snapshots)
assert len(picks) == 2
assert picks[0].timestamp == monday_2026_05_04
assert picks[1].timestamp == monday_2026_05_11
assert picks[0].timestamp == day1
assert picks[1].timestamp == day2
def test_monday_picks_skips_other_days_and_hours() -> None:
def test_daily_picks_skips_other_hours() -> None:
snapshots = [
_snap(ts=datetime(2026, 5, 4, 13, 0, tzinfo=UTC)), # Monday 13:00
_snap(ts=datetime(2026, 5, 5, 14, 0, tzinfo=UTC)), # Tuesday 14:00
_snap(ts=datetime(2026, 5, 4, 13, 0, tzinfo=UTC)), # 13:00 → skipped
_snap(ts=datetime(2026, 5, 5, 15, 30, tzinfo=UTC)), # 15:30 → skipped
]
assert monday_picks(snapshots) == []
assert daily_picks(snapshots) == []
def test_monday_picks_filters_by_asset() -> None:
monday = datetime(2026, 5, 4, 14, 0, tzinfo=UTC)
def test_daily_picks_filters_by_asset() -> None:
day = datetime(2026, 5, 4, 14, 0, tzinfo=UTC)
snapshots = [
_snap(ts=monday, asset="BTC"),
_snap(ts=monday, asset="ETH"),
_snap(ts=day, asset="BTC"),
_snap(ts=day, asset="ETH"),
]
picks = monday_picks(snapshots, asset="ETH")
picks = daily_picks(snapshots, asset="ETH")
assert len(picks) == 1
assert picks[0].snapshot.asset == "ETH"
@@ -156,8 +156,8 @@ def test_simulate_entry_filters_accepts_clean_snapshot(
type("MP", (), {"timestamp": monday, "snapshot": snap})() # type: ignore[arg-type]
]
# Hack: build via real dataclass
from cerbero_bite.core.backtest import MondayPick
picks = [MondayPick(timestamp=monday, snapshot=snap)]
from cerbero_bite.core.backtest import DailyPick
picks = [DailyPick(timestamp=monday, snapshot=snap)]
results = simulate_entry_filters(picks, cfg, capital_usd=Decimal("1500"))
assert len(results) == 1
assert results[0].accepted is True
@@ -167,8 +167,8 @@ def test_simulate_entry_filters_rejects_dvol_out_of_band() -> None:
cfg = golden_config()
monday = datetime(2026, 5, 4, 14, 0, tzinfo=UTC)
snap = _snap(ts=monday, dvol=20, funding=0.10) # below 35
from cerbero_bite.core.backtest import MondayPick
picks = [MondayPick(timestamp=monday, snapshot=snap)]
from cerbero_bite.core.backtest import DailyPick
picks = [DailyPick(timestamp=monday, snapshot=snap)]
results = simulate_entry_filters(picks, cfg, capital_usd=Decimal("1500"))
assert results[0].accepted is False
assert any("dvol" in r.lower() for r in results[0].reasons)
@@ -182,8 +182,8 @@ def test_simulate_entry_filters_skips_incomplete_snapshot() -> None:
# dvol=None ⇒ skipped
fetch_ok=False,
)
from cerbero_bite.core.backtest import MondayPick
picks = [MondayPick(timestamp=monday, snapshot=incomplete)]
from cerbero_bite.core.backtest import DailyPick
picks = [DailyPick(timestamp=monday, snapshot=incomplete)]
results = simulate_entry_filters(picks, cfg, capital_usd=Decimal("1500"))
assert results[0].accepted is False
assert results[0].skipped_for_data is True
@@ -208,8 +208,8 @@ def _synthetic_year_of_snapshots(
base = monday + timedelta(weeks=week)
# Lunedì 14:00 è il pick
rows.append(_snap(ts=base, spot=spot, dvol=dvol, funding=funding))
# Tick intermedi che NON cadono di lunedì alle 14:00:
# offset +1h così vengono ignorati da `monday_picks`.
# Tick intermedi che NON cadono alle 14:00:
# offset +1h (=15:00) così vengono ignorati da `daily_picks`.
for d in (2, 8, 14, 19):
rows.append(
_snap(
tests/unit/test_config_loader.py
+1 -1
View File
@@ -68,7 +68,7 @@ def test_compute_hash_is_independent_of_recorded_hash_value(tmp_path: Path) -> N
def test_load_repo_strategy_yaml(tmp_path: Path) -> None:
"""The committed strategy.yaml validates with the recorded hash."""
result = load_strategy(REPO_ROOT / "strategy.yaml")
assert result.config.config_version == "1.3.0"
assert result.config.config_version == "1.4.0"
assert result.config.sizing.kelly_fraction == Decimal("0.13")
assert result.computed_hash == result.config.config_hash
tests/unit/test_sizing_engine.py
+2 -1
View File
@@ -144,7 +144,8 @@ def test_aggregate_cap_at_975_reduces_to_one(cfg: StrategyConfig) -> None:
def test_concurrent_positions_at_cap_returns_zero(cfg: StrategyConfig) -> None:
res = compute_contracts(_ctx(capital_usd="1500", other_open_positions=1), cfg)
# Default cap = 5 (entry daily). other_open_positions=5 ⇒ cap raggiunto.
res = compute_contracts(_ctx(capital_usd="1500", other_open_positions=5), cfg)
assert res.n_contracts == 0
assert res.reason_if_zero is not None
assert "position" in res.reason_if_zero.lower()