fix(portfolio): runner data_dir dedicata, no resize posizioni aperte, poll da config, +test cap/cluster_rp

Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>
2026-05-29 16:22:33 +02:00
parent d02bc10ab5
commit 0f582db265
4 changed files with 49 additions and 8 deletions
@@ -39,3 +39,15 @@ def test_inverse_vol_prefers_low_vol():
    w = W.inverse_vol(["lo", "hi"], df, lookback=90)
    assert w["lo"] > w["hi"]
    assert pytest.approx(sum(w.values())) == 1.0
+
+
+def test_cluster_rp_equal_across_clusters():
+    idx = pd.date_range("2024-01-01", periods=100, freq="D", tz="UTC")
+    rng = np.random.default_rng(1)
+    cols = ["MR01_BTC", "MR02_BTC", "PR_ETHBTC"]
+    df = pd.DataFrame({c: rng.normal(0, 0.02, 100) for c in cols}, index=idx)
+    clusters = {"MR01_BTC": "BTC-rev", "MR02_BTC": "BTC-rev", "PR_ETHBTC": "ETH-rev"}
+    w = W.cluster_rp(cols, clusters, df, lookback=90)
+    assert pytest.approx(sum(w.values())) == 1.0
+    # due cluster equipesati: il cluster con 1 solo sleeve (ETH-rev) prende ~0.5
+    assert pytest.approx(w["PR_ETHBTC"], abs=1e-9) == 0.5