feat(portfolio): SleeveSpec/Portfolio/backtest con parità verso report_families

Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>
2026-05-29 15:55:29 +02:00
parent 9ff469cb8e
commit 3f6b0ccf91
2 changed files with 103 additions and 0 deletions
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+import pytest
+from src.portfolio.base import Portfolio, SleeveSpec
+from scripts.analysis.report_families import build_everything
+from scripts.analysis.combine_portfolio import port_returns, metrics, SPLIT
+
+
+def _master9_specs():
+    fade = [SleeveSpec(kind="single", name=f"{c}", sid=f"{c}_{a}", asset=a, cluster=f"{a}-rev")
+            for a in ("BTC", "ETH") for c in ("MR01", "MR02", "MR07")]
+    honest = [SleeveSpec(kind="single", name="DIP01", sid="DIP01_BTC", asset="BTC", cluster="BTC-rev"),
+              SleeveSpec(kind="single", name="TR01", sid="TR01_basket", cluster="trend"),
+              SleeveSpec(kind="single", name="ROT02", sid="ROT02_rot", cluster="rotation")]
+    return fade + honest
+
+
+def test_master9_backtest_matches_report():
+    p = Portfolio(code="PORT03", label="Master", sleeves=_master9_specs(), weighting="equal")
+    res = p.backtest()
+    S, _, _, _ = build_everything()
+    dr_ref = port_returns(S)
+    ref_full, ref_oos = metrics(dr_ref), metrics(dr_ref, lo=SPLIT)
+    assert res.full["sharpe"] == pytest.approx(ref_full["sharpe"], abs=1e-6)
+    assert res.full["dd"] == pytest.approx(ref_full["dd"], abs=1e-6)
+    assert res.oos["sharpe"] == pytest.approx(ref_oos["sharpe"], abs=1e-6)