feat(ga): fitness v0 (DSR - dd_penalty * max_dd, kill on adversarial high)

Co-Authored-By: Claude Opus 4.7 (1M context) <noreply@anthropic.com>
This commit is contained in:
2026-05-09 20:11:13 +02:00
parent 3fbd5eba5e
commit 71cfcf786f
3 changed files with 89 additions and 0 deletions
+45
View File
@@ -0,0 +1,45 @@
from multi_swarm.agents.adversarial import AdversarialReport, Finding, Severity
from multi_swarm.agents.falsification import FalsificationReport
from multi_swarm.ga.fitness import compute_fitness
def make_falsification(
dsr: float = 0.7, max_dd: float = 0.2, n_trades: int = 30
) -> FalsificationReport:
return FalsificationReport(
sharpe=1.5,
dsr=dsr,
dsr_pvalue=0.05,
max_drawdown=max_dd,
total_return=0.3,
n_trades=n_trades,
n_bars=500,
)
def test_fitness_zero_trades_is_zero() -> None:
f = make_falsification(n_trades=0)
a = AdversarialReport()
assert compute_fitness(f, a) == 0.0
def test_fitness_increases_with_dsr() -> None:
a = AdversarialReport()
f1 = make_falsification(dsr=0.5)
f2 = make_falsification(dsr=0.9)
assert compute_fitness(f2, a) > compute_fitness(f1, a)
def test_fitness_decreases_with_drawdown() -> None:
a = AdversarialReport()
f1 = make_falsification(max_dd=0.1)
f2 = make_falsification(max_dd=0.4)
assert compute_fitness(f1, a) > compute_fitness(f2, a)
def test_fitness_zeroed_by_high_severity_finding() -> None:
f = make_falsification()
a = AdversarialReport(
findings=[Finding(name="degenerate", severity=Severity.HIGH, detail="x")]
)
assert compute_fitness(f, a) == 0.0