refactor(core): IV-RV adattivo distinct-days policy + backfill Deribit

Sblocca il warmup hard del gate IV-RV adattivo (~21 giorni residui)
permettendo di mischiare cadenze diverse (tick live 15min + backfill
giornaliero) senza assumere il fattore costante 96 tick/giorno.

API change (no backwards-compat shims):
* compute_adaptive_threshold(history, *, n_days, percentile,
  absolute_floor): rimossi `min_days`/`target_days`. La selezione
  finestra (target_days/min_days/intera storia) si sposta al caller.
  Warmup hard quando `n_days == 0`.
* repository: rimosso `iv_rv_history`; aggiunti
  `count_iv_rv_distinct_days` (COUNT DISTINCT substr(ts,1,10)) e
  `iv_rv_values_for_window`.
* EntryContext aggiunge `iv_rv_n_days: int = 0`. entry_cycle calcola
  n_days, sceglie window_days e popola il context. Audit
  `iv_rv_n_days` reale (non più len/96).
* GUI Calibrazione: counter giorni distinti tramite set di date.
* Spec aggiornata con errata 2026-05-10 e nuova warmup table.

Backfill (scripts/backfill_iv_rv.py, stdlib-only):
* Fetch DVOL daily + ETH/BTC-PERPETUAL closes da Deribit public REST.
* Calcolo RV30d annualizzato (stdev log-return × √365 × 100).
* INSERT OR REPLACE in market_snapshots con timestamp 12:00 UTC e
  fetch_errors_json='{"backfill":true}' per distinzione audit.
* Compute layer testato (9 test): RV su prezzi costanti/monotoni/
  alternati, build_records con cutoff e missing data.

Verifica live post-deploy (10 mag 2026 08:50 UTC):
* ETH: n_days=46, P25=2.21 vol pt, IV-RV=10.05 → gate PASS
* BTC: n_days=46, P25=5.69 vol pt, IV-RV=8.60  → gate PASS

509 test passati (500 esistenti + 9 backfill), ruff pulito.

Co-Authored-By: Claude Opus 4.7 (1M context) <noreply@anthropic.com>
This commit is contained in:
root
2026-05-10 08:52:05 +00:00
parent 6f4f2ce02e
commit b1836d91c2
12 changed files with 1131 additions and 360 deletions
@@ -267,24 +267,26 @@ def _render_adaptive_gate_panel(
# records DESC (newest first) → history ASC con NULL/fetch_ok=0 esclusi
iv_rv_history: list[Decimal] = []
distinct_days: set[str] = set()
for r in reversed(records):
if r.fetch_ok and r.iv_minus_rv is not None:
iv_rv_history.append(r.iv_minus_rv)
distinct_days.add(r.timestamp.date().isoformat())
n_ticks = len(iv_rv_history)
n_days = len(distinct_days)
target = int(getattr(entry, "iv_minus_rv_window_target_days", 60))
min_days = int(getattr(entry, "iv_minus_rv_window_min_days", 30))
n_days = n_ticks // 96
if n_days < 1:
status = f"🟡 Warmup hard ({n_ticks}/96 tick)"
status = "🟡 Warmup hard (nessun giorno coperto)"
elif n_days < min_days:
status = f"🟡 Warmup ({n_days}/{min_days}g — finestra crescente)"
elif n_days < target:
status = f"🟢 Attivo (finestra {min_days}g, target {target}g)"
else:
status = f"🟢 Attivo (finestra stabile {target}g)"
st.markdown(f"**Status:** {status}")
st.markdown(f"**Status:** {status} · {n_ticks} tick complessivi")
# Latest tick
iv_rv_now: Decimal | None = None
@@ -307,10 +309,9 @@ def _render_adaptive_gate_panel(
try:
threshold = compute_adaptive_threshold(
history=iv_rv_history,
n_days=n_days,
percentile=percentile,
absolute_floor=floor,
min_days=min_days,
target_days=target,
)
except ValueError as exc:
st.warning(f"Configurazione gate non valida: {exc}")