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test(portfolio): aggiorna regression-lock PORT06 dopo recupero dati BNB/DOGE/XRP

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Il recupero dello storico BNB/DOGE/XRP (29 mag) ha ampliato la copertura del
backtest -> metriche migliorate, non una regressione:
  Sharpe FULL 6.07 -> 6.47, Sharpe OOS 8.19 -> 8.82, DD FULL 4.9% -> 4.1%.
Aggiornati i tre valori attesi (tolleranze invariate) + commento col motivo.

Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>
This commit is contained in:
Adriano Dal Pastro
2026-05-31 07:10:40 +00:00
parent 5a219ca8e5
commit c13773e762
1 changed files with 7 additions and 4 deletions
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tests/portfolio/test_backtest_parity_cap.py
+7 -4
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@@ -4,7 +4,10 @@ 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)
# regression-lock dei numeri del default (cap pairs 0.33) — vedi report_families.
# Aggiornato 2026-05-31: il recupero dati BNB/DOGE/XRP (29 mag) ha ampliato la
# copertura storica -> metriche migliorate (Sharpe 6.07->6.47, OOS 8.19->8.82,
# DD 4.9%->4.1%). Nuovo baseline atteso, non una regressione.
assert r.full["sharpe"] == pytest.approx(6.47, abs=0.15)
assert r.oos["sharpe"] == pytest.approx(8.82, abs=0.25)
assert r.full["dd"] == pytest.approx(4.1, abs=0.5)