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>
2026-05-10 08:52:05 +00:00
parent 6f4f2ce02e
commit b1836d91c2
12 changed files with 1131 additions and 360 deletions
@@ -0,0 +1,176 @@
+"""TDD per il backfill IV-RV (``scripts/backfill_iv_rv.py``).
+
+Testa solo la parte pura (compute RV + assemblaggio record). I/O HTTP
+e SQLite restano nel main del CLI: testati manualmente al deploy.
+"""
+
+from __future__ import annotations
+
+import importlib.util
+import sys
+from datetime import UTC, date, datetime, timedelta
+from decimal import Decimal
+from pathlib import Path
+
+import pytest
+
+REPO_ROOT = Path(__file__).resolve().parents[2]
+
+
+def _load_backfill_module() -> object:
+    """Load scripts/backfill_iv_rv.py as a module without polluting sys.path."""
+    spec = importlib.util.spec_from_file_location(
+        "_cerbero_bite_backfill_iv_rv", REPO_ROOT / "scripts" / "backfill_iv_rv.py"
+    )
+    if spec is None or spec.loader is None:
+        raise RuntimeError("cannot load backfill_iv_rv module")
+    module = importlib.util.module_from_spec(spec)
+    sys.modules[spec.name] = module
+    spec.loader.exec_module(module)
+    return module
+
+
+@pytest.fixture(scope="module")
+def mod():
+    return _load_backfill_module()
+
+
+# ---------------------------------------------------------------------------
+# compute_rv30d_annualized
+# ---------------------------------------------------------------------------
+
+
+def test_constant_prices_yield_zero_rv(mod) -> None:
+    closes = [Decimal("100")] * 31  # 30 returns of log(1)=0
+    rv = mod.compute_rv30d_annualized(closes)
+    assert rv == Decimal("0")
+
+
+def test_too_few_closes_raises(mod) -> None:
+    with pytest.raises(ValueError, match="need at least 31 closes"):
+        mod.compute_rv30d_annualized([Decimal("100")] * 10)
+
+
+def test_monotonic_growth_yields_low_rv(mod) -> None:
+    """Crescita +1% ogni giorno: log returns costanti → stdev = 0 → RV = 0."""
+    closes = [Decimal("100") * (Decimal("1.01") ** i) for i in range(31)]
+    rv = mod.compute_rv30d_annualized(closes)
+    # Tutti i log returns sono identici (log 1.01) → stdev zero
+    assert rv == Decimal("0")
+
+
+def test_alternating_returns_yield_known_rv(mod) -> None:
+    """Returns alternati ±2% ogni giorno: stdev nota."""
+    # closes: 100, 102, 100, 102, ... (ricorda: returns = log(c[i]/c[i-1]))
+    closes = [Decimal("100")] + [
+        Decimal("102") if i % 2 == 0 else Decimal("100") for i in range(30)
+    ]
+    rv = mod.compute_rv30d_annualized(closes)
+    # |log return| ~ 0.0198, stdev ≈ 0.0198 (alternano segno con media ≈ 0)
+    # Annualized = 0.0198 * sqrt(365) * 100 ≈ 37.86 vol pts
+    assert Decimal("36") <= rv <= Decimal("40")
+
+
+# ---------------------------------------------------------------------------
+# build_backfill_records
+# ---------------------------------------------------------------------------
+
+
+def test_build_records_skips_days_without_30d_history(mod) -> None:
+    """Per i primi 30 giorni della serie spot, RV30d non è calcolabile."""
+    today = date(2026, 5, 10)
+    days = [today - timedelta(days=i) for i in range(45)]
+    spots = {d.isoformat(): Decimal("100") for d in days}
+    dvols = {d.isoformat(): Decimal("50") for d in days}
+
+    records = mod.build_backfill_records(
+        asset="ETH",
+        spots_by_day=spots,
+        dvols_by_day=dvols,
+        oldest_day=today - timedelta(days=40),
+    )
+    # Per ogni record day, servono 30 giorni precedenti di spot.
+    # Lo spot più vecchio è today-44; quindi il primo giorno computabile
+    # è today-44+30 = today-14. Cap a oldest_day=today-40 → window day-14..day-0.
+    assert len(records) == 15  # day-14..day-0 incluso
+    for r in records:
+        assert r.asset == "ETH"
+        assert r.fetch_ok is True
+        assert r.iv_minus_rv == Decimal("50")  # rv=0 con prezzi costanti
+        assert r.timestamp.tzinfo == UTC
+        assert r.timestamp.hour == 12
+
+
+def test_build_records_filters_to_requested_window(mod) -> None:
+    """oldest_day applicato come cutoff inferiore inclusivo."""
+    today = date(2026, 5, 10)
+    days = [today - timedelta(days=i) for i in range(45)]
+    spots = {d.isoformat(): Decimal("100") for d in days}
+    dvols = {d.isoformat(): Decimal("50") for d in days}
+
+    records = mod.build_backfill_records(
+        asset="BTC",
+        spots_by_day=spots,
+        dvols_by_day=dvols,
+        oldest_day=today - timedelta(days=5),
+    )
+    # day-5..day-0 → 6 record
+    assert len(records) == 6
+    record_days = {r.timestamp.date() for r in records}
+    assert record_days == {today - timedelta(days=i) for i in range(6)}
+
+
+def test_build_records_skips_days_missing_dvol(mod) -> None:
+    """Se manca DVOL per un giorno della finestra, lo si salta (no record)."""
+    today = date(2026, 5, 10)
+    days = [today - timedelta(days=i) for i in range(45)]
+    spots = {d.isoformat(): Decimal("100") for d in days}
+    dvols = {
+        d.isoformat(): Decimal("50")
+        for d in days
+        if d != today - timedelta(days=2)
+    }
+    records = mod.build_backfill_records(
+        asset="ETH",
+        spots_by_day=spots,
+        dvols_by_day=dvols,
+        oldest_day=today - timedelta(days=5),
+    )
+    record_days = {r.timestamp.date() for r in records}
+    assert today - timedelta(days=2) not in record_days
+    assert len(records) == 5
+
+
+def test_build_records_skips_days_missing_spot(mod) -> None:
+    """Se manca lo spot del giorno target, no record per quel giorno."""
+    today = date(2026, 5, 10)
+    days = [today - timedelta(days=i) for i in range(45)]
+    spots = {
+        d.isoformat(): Decimal("100")
+        for d in days
+        if d != today - timedelta(days=2)
+    }
+    dvols = {d.isoformat(): Decimal("50") for d in days}
+    records = mod.build_backfill_records(
+        asset="ETH",
+        spots_by_day=spots,
+        dvols_by_day=dvols,
+        oldest_day=today - timedelta(days=5),
+    )
+    record_days = {r.timestamp.date() for r in records}
+    assert today - timedelta(days=2) not in record_days
+
+
+def test_build_records_uses_noon_utc_timestamp(mod) -> None:
+    today = date(2026, 5, 10)
+    days = [today - timedelta(days=i) for i in range(35)]
+    spots = {d.isoformat(): Decimal("100") for d in days}
+    dvols = {d.isoformat(): Decimal("50") for d in days}
+    records = mod.build_backfill_records(
+        asset="ETH",
+        spots_by_day=spots,
+        dvols_by_day=dvols,
+        oldest_day=today,
+    )
+    assert len(records) == 1
+    assert records[0].timestamp == datetime(2026, 5, 10, 12, 0, tzinfo=UTC)