feat(live): RotationWorker (ROT02) dual-momentum top-k risk-gated

2026-05-29 17:41:13 +02:00
parent e7e8041dae
commit a40315563e
2 changed files with 141 additions and 0 deletions
@@ -0,0 +1,32 @@
+import numpy as np
+import pandas as pd
+from src.live.rotation_worker import RotationWorker
+
+
+def _df(n=200, slope=1.0):
+    c = np.linspace(100, 100 + slope * n, n)
+    ts = (pd.date_range("2023-01-01", periods=n, freq="1D", tz="UTC").astype("int64") // 10**6)
+    return pd.DataFrame({"timestamp": ts, "open": c, "high": c, "low": c, "close": c, "volume": 1.0})
+
+
+def test_rotation_picks_top_momentum_when_risk_on(tmp_path):
+    w = RotationWorker(universe=["BTC", "AAA", "BBB"], top_k=2, gross=0.45, data_dir=tmp_path)
+    data = {"BTC": _df(slope=1.0), "AAA": _df(slope=3.0), "BBB": _df(slope=0.1)}
+    w.tick(data)
+    assert w.weights["AAA"] > 0
+    assert abs(sum(w.weights.values()) - 0.45) < 1e-9
+
+
+def test_rotation_flat_when_risk_off(tmp_path):
+    # BTC in downtrend -> risk_off -> nessuna posizione
+    w = RotationWorker(universe=["BTC", "AAA"], top_k=1, gross=0.45, data_dir=tmp_path)
+    data = {"BTC": _df(slope=-1.0), "AAA": _df(slope=3.0)}
+    w.tick(data)
+    assert sum(w.weights.values()) == 0.0
+
+
+def test_rotation_persists_and_resumes(tmp_path):
+    w = RotationWorker(universe=["BTC", "AAA"], top_k=1, gross=0.45, data_dir=tmp_path)
+    w.tick({"BTC": _df(slope=1.0), "AAA": _df(slope=3.0)})
+    w2 = RotationWorker(universe=["BTC", "AAA"], top_k=1, gross=0.45, data_dir=tmp_path)
+    assert w2.weights == w.weights