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>

src/portfolio/runner.py

@@ -17,7 +17,7 @@ _STRAT_MODULE = {
     "MR07": "MR07_return_reversal", "SH01": "SH01_shape_ml",
     # DIP01/TR01/ROT02 sono honest a sé: vedi nota nel design (worker dedicati in fase 2)
 }
-DATA_DIR = Path("data/paper_trades")
+DATA_DIR = Path("data/portfolio_paper")
 
 
 def build_worker_for(spec: SleeveSpec, alloc_capital: float, leverage: float,
@@ -50,11 +50,15 @@ def _worker_equity(w) -> float:
 
 def rebalance_allocations(ledger: PortfolioLedger, workers: dict, weights: dict[str, float]):
     """Ribilancio: total_capital = Σ equity sleeve; riallinea il capitale-base di ogni worker
-    a peso×total. Le posizioni APERTE restano sul loro notional (approssimazione dichiarata)."""
+    a peso×total. I worker con posizione APERTA NON vengono ritoccati (la posizione mantiene
+    il suo notional, come da approssimazione dichiarata): il nuovo capitale-base si applica
+    alla prossima posizione, quando il worker è flat."""
     ledger.total_capital = sum(_worker_equity(w) for w in workers.values())
     alloc = ledger.allocate(weights)
     for sid, w in workers.items():
         inner = getattr(w, "worker", w)
+        if getattr(inner, "in_position", False):
+            continue
         inner.capital = alloc.get(sid, inner.capital)
     ledger.save()
 
@@ -74,6 +78,10 @@ def run(config_path: str = "portfolios.yml"):
 
     p: Portfolio = load_active_portfolio(config_path)
 
+    import yaml as _yaml
+    _ov = (_yaml.safe_load(__import__("pathlib").Path(config_path).read_text()) or {}).get("overrides", {})
+    poll = int(_ov.get("poll_seconds", 60))
+
     def _supported(s):
         return s.kind == "pairs" or s.name in _STRAT_MODULE
     live_specs = [s for s in p.sleeves if _supported(s)]
@@ -94,7 +102,6 @@ def run(config_path: str = "portfolios.yml"):
 
     inst_map = dict(INSTRUMENT_MAP)
     last_day = ""
-    poll = 60
     while True:
         try:
             keys = set()

tests/portfolio/test_backtest_parity_cap.py

@@ -0,0 +1,10 @@
+import pytest
+from scripts.portfolios._defs import PORTFOLIOS
+
+
+def test_port06_cap_backtest_numbers_locked():
+    r = PORTFOLIOS["PORT06"].backtest()
+    # regression-lock dei numeri del default (cap pairs 0.33) — vedi report_families
+    assert r.full["sharpe"] == pytest.approx(6.07, abs=0.15)
+    assert r.oos["sharpe"] == pytest.approx(8.19, abs=0.25)
+    assert r.full["dd"] == pytest.approx(4.9, abs=0.5)

tests/portfolio/test_runner_rebalance.py

@@ -2,12 +2,24 @@ from src.portfolio.runner import rebalance_allocations
 from src.portfolio.ledger import PortfolioLedger
 
 
-def test_rebalance_resizes_to_total(tmp_path):
-    L = PortfolioLedger("PX", total_capital=1000.0, data_dir=tmp_path)
-
 class FakeWorker:
-        def __init__(self, cap): self.capital = cap
-    workers = {"a": FakeWorker(700.0), "b": FakeWorker(500.0)}
+    def __init__(self, cap, in_position=False):
+        self.capital = cap
+        self.in_position = in_position
+
+
+def test_rebalance_resizes_flat_workers(tmp_path):
+    L = PortfolioLedger("PX", total_capital=1000.0, data_dir=tmp_path)
+    workers = {"a": FakeWorker(700.0), "b": FakeWorker(500.0)}   # equity 1200, both flat
     rebalance_allocations(L, workers, {"a": 0.5, "b": 0.5})
     assert L.total_capital == 1200.0
     assert workers["a"].capital == 600.0 and workers["b"].capital == 600.0
+
+
+def test_rebalance_skips_in_position_worker(tmp_path):
+    L = PortfolioLedger("PX", total_capital=1000.0, data_dir=tmp_path)
+    workers = {"a": FakeWorker(700.0, in_position=True), "b": FakeWorker(500.0)}
+    rebalance_allocations(L, workers, {"a": 0.5, "b": 0.5})
+    assert L.total_capital == 1200.0
+    assert workers["a"].capital == 700.0       # invariato: posizione aperta
+    assert workers["b"].capital == 600.0       # flat: riallineato

tests/portfolio/test_weighting.py

@@ -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