Adriano Dal Pastro
14522262e6
Reset del progetto su fondamenta verificate dopo la scoperta che l'intera libreria "validata OOS" era artefatto di feed contaminato (print fantasma del feed Cerbero TESTNET + storico Binance/USDT). - Storico ricostruito da Deribit MAINNET (ccxt pubblico, tokenless) e CERTIFICATO (certify_feed.py): BTC/ETH puliti su TUTTA la storia (mediana 2-6 bps vs Coinbase USD), integrita' OHLC + coerenza resample (maxΔ 0.00) + cross-venue OK. Alt esclusi (illiquidi/divergenti: LTC/DOGE 50-82% barre flat; XRP/BNB non certificabili). - Verdetto sul feed pulito: FADE / PAIRS / XS01 / TSM01 morti (ogni portafoglio Sharpe -2.3..-3.0, DD ~40%); solo SH01 e frammenti HONEST con segnale residuo, da ri-validare in isolamento. - Cleanup "restart pulito": strategie, stack live (src/live, src/portfolio, runner/executor, yml, docker), ~100 script ricerca/gate, waste/games/ portfolios, dati non certificati + cache e 60+ diari -> archiviati in Old/ (preservati, non cancellati). Diario consolidato in un unico documento. - Skeleton ricerca tenuto: Strategy ABC + indicatori + src/fractal + src/backtest/engine + load_data; tool dati certificati (rebuild_history, certify_feed, audit_feed, multi_source_check). - Universo dati ATTIVO: solo BTC/ETH (5m/15m/1h); guardrail fisico (load_data su alt -> FileNotFoundError). Esecuzione DISABILITATA, conto flat. Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>
53 lines
2.6 KiB
Python
53 lines
2.6 KiB
Python
from src.portfolio.runner import build_worker_for, pos_for_spec
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from src.portfolio.base import SleeveSpec
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from src.live.strategy_worker import StrategyWorker
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from src.live.pairs_worker import PairsWorker
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def test_build_single_worker_capital_from_alloc(tmp_path):
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spec = SleeveSpec(kind="single", name="MR01", sid="MR01_BTC", asset="BTC",
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params={"bb_window": 50, "k": 2.5, "sl_atr": 2.0, "max_bars": 24})
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w = build_worker_for(spec, alloc_capital=300.0, leverage=2.0, data_dir=tmp_path)
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assert isinstance(w, StrategyWorker)
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assert w.capital == 300.0 and w.leverage == 2.0
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def test_build_pairs_worker(tmp_path):
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spec = SleeveSpec(kind="pairs", name="PR01", sid="PR_ETHBTC", a="ETH", b="BTC",
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params={"n": 50, "z_in": 2.0, "z_exit": 0.75, "max_bars": 72})
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w = build_worker_for(spec, alloc_capital=200.0, leverage=2.0, data_dir=tmp_path)
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assert isinstance(w, PairsWorker)
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assert w.capital == 200.0
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def test_pos_for_spec_family_override():
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"""position_size per-famiglia (improvement-sweep punto 8): l'override PAIRS si
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applica ai soli PR_*, gli altri sleeve restano sul globale."""
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fam = {"PAIRS": 0.20}
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assert pos_for_spec("PR_ETHBTC", 0.5, fam) == 0.20
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assert pos_for_spec("PR_ADAETH", 0.5, fam) == 0.20
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assert pos_for_spec("MR01_BTC", 0.5, fam) == 0.5 # FADE -> globale
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assert pos_for_spec("SH_BTC", 0.5, fam) == 0.5 # SHAPE -> globale
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assert pos_for_spec("TSM01", 0.5, fam) == 0.5
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assert pos_for_spec("PR_ETHBTC", 0.5, {}) == 0.5 # nessun override
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def test_build_pairs_worker_position_size(tmp_path):
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spec = SleeveSpec(kind="pairs", name="PR01", sid="PR_ETHBTC", a="ETH", b="BTC",
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params={"n": 50, "z_in": 2.0, "z_exit": 0.75, "max_bars": 72})
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w = build_worker_for(spec, alloc_capital=200.0, leverage=2.0,
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position_size=0.20, data_dir=tmp_path)
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assert w.position_size == 0.20
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def test_build_ml_sh01_is_plain_strategyworker(tmp_path):
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"""SH01 (kind=ml) deve costruirsi come StrategyWorker che esegue SH01_shape_ml — NON il
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vecchio MLWorkerWrapper (SignalEngine squeeze scartato, che ignorava la strategia ed usciva
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a hold_bars=3). Regressione del bug di wiring scoperto il 2026-06-01."""
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spec = SleeveSpec(kind="ml", name="SH01", sid="SH_BTC", asset="BTC")
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w = build_worker_for(spec, alloc_capital=58.82, leverage=2.0, data_dir=tmp_path)
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assert isinstance(w, StrategyWorker)
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assert w.strategy.name == "SH01_shape_ml" # esegue davvero shape-ML
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assert not hasattr(w, "engine") # niente SignalEngine squeeze
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assert w.tf == "1h"
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