feat(core): Vol-of-Vol guard in validate_entry + tests

Blocca entry se |DVOL_now - DVOL_24h_ago| >= threshold (default
5 pt). Fail-open quando dvol_24h_ago è None (gap dati). Independente
dal gate IV-RV: i due gate sono additivi.

Co-Authored-By: Claude Opus 4.7 (1M context) <noreply@anthropic.com>
This commit is contained in:
root
2026-05-08 22:36:59 +00:00
parent 3a5cf2554b
commit d36cdff609
2 changed files with 65 additions and 0 deletions
+14
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@@ -182,6 +182,20 @@ def validate_entry(ctx: EntryContext, cfg: StrategyConfig) -> EntryDecision:
f"(IV-RV={ctx.iv_minus_rv} < {entry_cfg.iv_minus_rv_min} vol pts)"
)
# §4-quater roadmap: vol-of-vol guard. Blocca entry quando il
# regime di volatilità sta cambiando bruscamente, anche se IV-RV
# è alto. Fail-open su gap dati 24h fa.
if (
entry_cfg.vol_of_vol_guard_enabled
and ctx.dvol_24h_ago is not None
):
delta = abs(ctx.dvol_now - ctx.dvol_24h_ago)
if delta >= entry_cfg.vol_of_vol_threshold_pt:
reasons.append(
f"DVOL shifted {delta} pt in {entry_cfg.vol_of_vol_lookback_hours}h "
f"(threshold {entry_cfg.vol_of_vol_threshold_pt})"
)
return EntryDecision(accepted=not reasons, reasons=reasons)