33a80bbbe6
ts-trend current_weights now mirrors TrendRunner.run() per-name vol-scaled
sizing (p = sig * target_vol_daily / rv, long/flat, min_history=130 gate,
conditional gross-cap rescale) instead of forcing equal weight — paper book
magnitudes match the live book. Test asserts inverse-vol ordering, down/flat=0,
short-history exclusion, gross <= cap (binding + non-binding).
- Test the empty-{} sleeve skip path in paper-snapshot integration test.
- DRY: hoist shared _as_of_day/_iso into application/_date_axis.py; import in
stablecoin_runner, unlock_runner, ts_trend_strategy.
- Doc: note xsfunding current_weights as_of is non-binding (live snapshot);
note book_allocator.current_sleeve_weights mirrors un-gated inverse-vol path.
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
77 lines
2.5 KiB
Python
77 lines
2.5 KiB
Python
import math
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from fxhnt.application.ts_trend_strategy import TsTrendForward
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N = 200 # >= min_history (130) + vol_window so every long-enough symbol qualifies
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def _smooth_up():
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# gentle, low-vol uptrend (small daily increments, no wobble)
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return {i: 100.0 + i * 0.5 for i in range(N)}
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def _choppy_up():
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# same net uptrend but high realized vol: alternating overshoot around the trend line
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return {i: 100.0 + i * 0.5 + (3.0 if i % 2 == 0 else -3.0) for i in range(N)}
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def _down():
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return {i: float(2 * N - i) for i in range(N)} # strictly descending -> -1 signal
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def _short_up():
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# up-trending but only 50 closes (< min_history) -> must be excluded
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return {i: 100.0 + i * 0.5 for i in range(50)}
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def _panel():
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return {
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"SMOOTHUP": _smooth_up(),
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"CHOPPYUP": _choppy_up(),
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"DOWN": _down(),
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"SHORTUP": _short_up(),
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}
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def test_inverse_vol_smaller_weight_for_higher_vol():
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fwd = TsTrendForward(_panel, lookbacks=(20, 60, 120), gross_cap=10.0)
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w = fwd.current_weights("epoch:199")
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# (a) higher-vol up-trender gets the SMALLER weight (inverse-vol sizing)
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assert w["CHOPPYUP"] < w["SMOOTHUP"]
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assert w["SMOOTHUP"] > 0
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def test_down_and_flat_symbol_zero():
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fwd = TsTrendForward(_panel, lookbacks=(20, 60, 120), gross_cap=10.0)
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w = fwd.current_weights("epoch:199")
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# (b) down/flat symbol carries no weight
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assert w.get("DOWN", 0.0) == 0.0
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def test_short_history_excluded():
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fwd = TsTrendForward(_panel, lookbacks=(20, 60, 120), gross_cap=10.0)
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w = fwd.current_weights("epoch:199")
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# (c) symbol with < min_history closes is excluded
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assert "SHORTUP" not in w
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def test_gross_within_cap():
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# gross_cap small enough to bind -> gross is rescaled to exactly the cap
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fwd = TsTrendForward(_panel, lookbacks=(20, 60, 120), gross_cap=0.01)
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w = fwd.current_weights("epoch:199")
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gross = sum(abs(v) for v in w.values())
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assert gross <= 0.01 + 1e-9
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assert gross > 0 # something is held
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# gross_cap large enough NOT to bind -> sums to LESS than the cap (vol-scaled, not equal-weight)
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fwd2 = TsTrendForward(_panel, lookbacks=(20, 60, 120), gross_cap=1000.0)
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w2 = fwd2.current_weights("epoch:199")
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gross2 = sum(abs(v) for v in w2.values())
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assert gross2 <= 1000.0
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assert not math.isclose(gross2, 1000.0)
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def test_empty_when_no_history():
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fwd = TsTrendForward(_panel, lookbacks=(20, 60, 120), gross_cap=1.0)
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assert fwd.current_weights("epoch:5") == {}
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