test(skyhook): demo anchors + dual-TF alignment + causality + V1 robustness (5 pass)

Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>

tests/test_skyhook.py

@@ -0,0 +1,91 @@
+"""Test della strategia SKH01 (Skyhook) — dual-timeframe regime+breakout su BTC/ETH.
+
+Coprono: fedelta' al brief (ancore demo BuzVola/BuzVolume), allineamento dual-TF, assenza di
+look-ahead (causalita'), e robustezza onesta del config V1 su entrambi gli asset.
+"""
+import sys
+from pathlib import Path
+
+import numpy as np
+import pandas as pd
+
+PROJECT_ROOT = Path(__file__).resolve().parents[1]
+sys.path.insert(0, str(PROJECT_ROOT))
+sys.path.insert(0, str(PROJECT_ROOT / "scripts" / "research" / "skyhook"))
+
+from src.data.downloader import load_data
+from src.strategies.skyhook import (
+    HTF_MIN, LTF_MIN, SkyhookParams, build_frames, chande01, skyhook_entries)
+
+# config V1 (vincente del lever-scout/grid; vedi diario 2026-06-23-skyhook)
+V1 = dict(ptn_n=55, sl_atr=2.5, tp_atr=6.0, vola_lo=35, vola_hi=95, vol_lo=0.0)
+
+
+# ---------------------------------------------------------------------------
+# Fedelta' al brief: indicatori tipo-Chande, normalizzati 0-100.
+# ---------------------------------------------------------------------------
+def test_chande01_anchors():
+    """Semantica del brief: volatilita'/volume STEADY -> 50 (neutro); in RAMPA -> 100; in CALO -> 0."""
+    n = 100
+    assert abs(chande01(np.full(n, 7.0), 13)[-1] - 50.0) < 1e-9      # costante -> neutro
+    assert abs(chande01(np.arange(n, dtype=float), 13)[-1] - 100.0) < 1e-9   # rampa su -> 100
+    assert abs(chande01(np.arange(n, 0, -1, dtype=float), 13)[-1] - 0.0) < 1e-9  # rampa giu' -> 0
+
+
+def test_demo_buzvola_buzvolume():
+    """Ancore della demo: ATR costante (vol steady) -> BuzVola 50; volume in rampa -> BuzVolume 100."""
+    n = 100
+    buz_vola = chande01(np.full(n, 2.0), 13)            # ATR steady
+    buz_volume = chande01(np.linspace(1000, 5000, n), 13)  # volume in rampa
+    assert abs(buz_vola[-1] - 50.0) < 1e-9
+    assert abs(buz_volume[-1] - 100.0) < 1e-9
+    # oscillatori sempre in [0,100]
+    assert chande01(np.random.default_rng(0).normal(size=500).cumsum() + 100, 13)[20:].min() >= -1e-9
+    assert chande01(np.random.default_rng(1).normal(size=500).cumsum() + 100, 13)[20:].max() <= 100 + 1e-9
+
+
+# ---------------------------------------------------------------------------
+# Allineamento dual-timeframe: 690 = 3 x 230, confini HTF subset dei confini LTF.
+# ---------------------------------------------------------------------------
+def test_dual_tf_alignment():
+    assert HTF_MIN == 3 * LTF_MIN
+    ltf, htf = build_frames(load_data("BTC", "5m"))
+    # ogni timestamp (open) HTF e' anche un open LTF (stessa griglia epoch)
+    ltf_opens = set(ltf["timestamp"].astype("int64").tolist())
+    htf_opens = htf["timestamp"].astype("int64").tolist()
+    inside = sum(t in ltf_opens for t in htf_opens)
+    assert inside / len(htf_opens) > 0.99, "i confini HTF devono essere un sottoinsieme dei confini LTF"
+
+
+# ---------------------------------------------------------------------------
+# Causalita': gli ingressi su un prefisso devono coincidere con la run completa.
+# ---------------------------------------------------------------------------
+def test_no_lookahead_entries():
+    p = SkyhookParams(**V1)
+    ltf, htf = build_frames(load_data("BTC", "5m"))
+    full = skyhook_entries(ltf, htf, p)
+    n = len(ltf)
+    cut = int(n * 0.85)
+    cut_ts = int(ltf["timestamp"].iloc[cut - 1])
+    htf_cut = htf[htf["timestamp"] <= cut_ts].reset_index(drop=True)
+    sub = skyhook_entries(ltf.iloc[:cut].reset_index(drop=True), htf_cut, p)
+    for i in range(cut - 200, cut):
+        a, b = full[i], sub[i]
+        assert (a is None) == (b is None)
+        if a is not None:
+            assert a["dir"] == b["dir"]
+            assert abs(a["sl"] - b["sl"]) < 1e-6 and abs(a["tp"] - b["tp"]) < 1e-6
+
+
+# ---------------------------------------------------------------------------
+# Robustezza onesta del config V1: PASS su BTC E ETH, netto fee, OOS.
+# ---------------------------------------------------------------------------
+def test_v1_robust_both_assets():
+    import skyhooklib as sk
+    p = SkyhookParams(**V1)
+    for a in ("BTC", "ETH"):
+        r = sk.run_asset(a, p, sk.FEE_RT)
+        assert r["full"]["sharpe"] >= 0.5, f"{a} FULL Sharpe basso: {r['full']['sharpe']}"
+        assert r["holdout"]["sharpe"] >= 0.2, f"{a} HOLD-OUT Sharpe basso: {r['holdout']['sharpe']}"
+        assert r["full"]["n_trades"] >= 20, f"{a} troppo pochi trade: {r['full']['n_trades']}"
+    assert sk.causality(p, "BTC")["ok"] and sk.causality(p, "ETH")["ok"]