feat(live): SH01 in esecuzione reale shadow (diversificatore decorrelato)

L'infrastruttura no-TP esisteva gia': _place_real_tp ritorna subito senza TP, _real_close chiude tutta la quota a market reduce-only (exit a orizzonte H=12). Bastava: (1) _exec_for accetta kind 'ml', (2) SH01 in execution.sleeves. Disaster-bracket on-book = unica protezione di coda di SH01 (esce a H=12 ben prima del -30%). Motivo: SH01 e' il diversificatore piu' decorrelato (corr 0.07) — senza i 5 sleeve PAPER il DD del portafoglio sale 3.96->5.35%, OOS Sharpe 8.58->8.27. Test: SH01 open/close reale senza TP + disaster bracket (93/93). Copertura reale ora ~81% (resta paper solo TR01/ROT02/TSM01, bloccati dal capitale). Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>
2026-06-08 11:18:06 +00:00
parent c6970d96c9
commit 0b900a5420
5 changed files with 92 additions and 17 deletions
@@ -31,6 +31,53 @@ class FakeExec:
                    "oid-close", "filled", True)


+class FakeFullExec(FakeExec):
+    """Aggiunge open/place_tp_limit/place_disaster_sl per testare il ciclo SH01 completo."""
+    def __init__(self):
+        super().__init__([{"state": "untriggered"}])
+        self.tp_calls = 0
+        self.dsl_calls = 0
+        self.close_amounts = []
+
+    def open(self, instrument, side, notional, label=None):
+        amt = round(notional / 100.0, 6)
+        return Fill(instrument, side, notional, amt, 100.0, 0.0, 0.05, "oid-open", "filled", True)
+
+    def place_tp_limit(self, *a, **k):
+        self.tp_calls += 1                       # NON deve essere chiamato per SH01 (no TP)
+        return Fill("x", "sell", 0.0, 0.0, None, 0.0, 0.0, None, None, False)
+
+    def place_disaster_sl(self, instrument, side, amount, stop, label=None):
+        self.dsl_calls += 1
+        return Fill(instrument, "sell", 0.0, amount, None, 0.0, 0.0, "dsl-1", "untriggered", True)
+
+    def close_amount(self, instrument, side, amount, label=None):
+        self.close_amounts.append(amount)
+        return Fill(instrument, "sell", 0.0, amount, 105.0, 0.0, 0.05, "oid-close", "filled", True)
+
+
+def test_sh01_real_open_close_no_tp(tmp_path, monkeypatch):
+    """SH01 (no TP/SL, exit a orizzonte): apre reale, NON piazza TP, piazza disaster,
+    chiude TUTTA la quota a market reduce-only."""
+    from src.live.strategy_worker import StrategyWorker
+    from src.strategies.base import Signal
+    notified = []
+    monkeypatch.setattr("src.live.strategy_worker.notify_event",
+                        lambda ev, data=None: notified.append(ev))
+    fake = FakeFullExec()
+    w = StrategyWorker(strategy=SimpleNamespace(name="SH01_shape_ml", fee_rt=0.001),
+                       asset="BTC", tf="1h", capital=100.0, position_size=0.5, leverage=2.0,
+                       data_dir=tmp_path, executor=fake, exec_instrument="BTC_USDC-PERPETUAL")
+    w._open_position(Signal(idx=0, direction=1, entry_price=100.0,
+                            metadata={"max_bars": 12}), 100.0)   # niente tp/sl
+    assert w.real_in_position and fake.tp_calls == 0             # nessun TP per SH01
+    assert fake.dsl_calls == 1 and w.real_dsl_order_id           # disaster bracket sì
+    amt = w.real_amount
+    w._close_position(105.0, "time_limit")
+    assert not w.real_in_position
+    assert fake.close_amounts == [amt]                          # chiude TUTTA la quota a market
+
+
 def _worker(tmp_path, fake, monkeypatch, notified):
    monkeypatch.setattr("src.live.strategy_worker.notify_event",
                        lambda ev, data=None: notified.append(ev))