Promote production portfolio strategy

2026-07-04 07:48:38 +02:00
parent 66ef0564c1
commit 5f2d108227
22 changed files with 1677 additions and 132 deletions
@@ -130,6 +130,45 @@ def test_activation_percentile_prefers_residual_with_raw_fallback():
    assert cands[1][bt.PRODUCTION_PERCENTILE_KEY] == 70.0


+def test_low_volatility_percentile_prefers_lower_realized_vol():
+    cands = [
+        {"iso_week": (2026, 1), "vol_6m": 0.04},
+        {"iso_week": (2026, 1), "vol_6m": 0.01},
+        {"iso_week": (2026, 1), "vol_6m": 0.02},
+    ]
+
+    bt._assign_low_volatility_percentiles(cands)
+
+    assert cands[1][bt.LOW_VOL_PERCENTILE_KEY] == 100.0
+    assert cands[2][bt.LOW_VOL_PERCENTILE_KEY] == 50.0
+    assert cands[0][bt.LOW_VOL_PERCENTILE_KEY] == 0.0
+
+
+def test_residual_low_vol_blend_is_research_only_rank():
+    cands = [{
+        bt.PRODUCTION_PERCENTILE_KEY: 80.0,
+        bt.LOW_VOL_PERCENTILE_KEY: 60.0,
+    }]
+
+    bt._assign_residual_low_vol_blend(cands)
+
+    assert cands[0][bt.RESIDUAL_LOW_VOL_BLEND_KEY] == 74.0
+
+
+def test_residual_high_vol_blend_is_research_only_rank():
+    cands = [{
+        bt.PRODUCTION_PERCENTILE_KEY: 80.0,
+        bt.VOL_PERCENTILE_KEY: 60.0,
+    }]
+
+    bt._assign_residual_high_vol_blend(cands)
+
+    assert cands[0][bt.RESIDUAL_HIGH_VOL_BLEND_90_10_KEY] == 78.0
+    assert cands[0][bt.RESIDUAL_HIGH_VOL_BLEND_80_20_KEY] == 76.0
+    assert cands[0][bt.RESIDUAL_HIGH_VOL_BLEND_KEY] == 74.0
+    assert cands[0][bt.RESIDUAL_HIGH_VOL_BLEND_60_40_KEY] == 72.0
+
+
 def test_strategy_variants_keep_only_current_research_candidates():
    variants = {cfg["variant"]: cfg for cfg in bt.STRATEGY_VARIANTS}

@@ -142,9 +181,43 @@ def test_strategy_variants_keep_only_current_research_candidates():
    assert variants["production_residual_80_fixed10"]["percentile_key"] == bt.PRODUCTION_PERCENTILE_KEY
    assert variants["legacy_raw_80_fixed10"]["percentile_key"] == bt.RAW_PERCENTILE_KEY
    assert variants["residual_80_fixed15"]["max_positions"] == 15
+    assert variants["residual80_lowvol50_fixed10"]["filters"] == (
+        (bt.PRODUCTION_PERCENTILE_KEY, 80.0),
+        (bt.LOW_VOL_PERCENTILE_KEY, 50.0),
+    )
+    assert variants["residual80_lowvol_blend_fixed10"]["ranking_key"] == bt.RESIDUAL_LOW_VOL_BLEND_KEY
+    assert variants["residual80_highvol50_fixed10"]["filters"] == (
+        (bt.PRODUCTION_PERCENTILE_KEY, 80.0),
+        (bt.VOL_PERCENTILE_KEY, 50.0),
+    )
+    assert variants["residual80_highvol_blend90_10_fixed10"]["ranking_key"] == bt.RESIDUAL_HIGH_VOL_BLEND_90_10_KEY
+    assert variants["residual80_highvol_blend80_20_fixed10"]["ranking_key"] == bt.RESIDUAL_HIGH_VOL_BLEND_80_20_KEY
+    assert variants["residual80_highvol_blend_fixed10"]["ranking_key"] == bt.RESIDUAL_HIGH_VOL_BLEND_KEY
+    assert variants["residual80_highvol_blend60_40_fixed10"]["ranking_key"] == bt.RESIDUAL_HIGH_VOL_BLEND_60_40_KEY
+    assert variants["highvol80_fixed10"]["percentile_key"] == bt.VOL_PERCENTILE_KEY
+    assert variants["lowvol80_fixed10"]["percentile_key"] == bt.LOW_VOL_PERCENTILE_KEY
    assert all(cfg["risk_scale"] is None for cfg in bt.STRATEGY_VARIANTS)


+def test_low_vol_strategy_variant_applies_secondary_filter():
+    cfg = {
+        "percentile_key": bt.PRODUCTION_PERCENTILE_KEY,
+        "cutoff": 80.0,
+        "filters": (
+            (bt.PRODUCTION_PERCENTILE_KEY, 80.0),
+            (bt.LOW_VOL_PERCENTILE_KEY, 70.0),
+        ),
+    }
+    base = {
+        "meets_core": True,
+        "direction": "long",
+        bt.PRODUCTION_PERCENTILE_KEY: 85.0,
+    }
+
+    assert bt._qualifies_strategy_variant({**base, bt.LOW_VOL_PERCENTILE_KEY: 75.0}, cfg)
+    assert not bt._qualifies_strategy_variant({**base, bt.LOW_VOL_PERCENTILE_KEY: 65.0}, cfg)
+
+
 def test_strategy_variant_sims_emit_fixed_variants_without_mutating_qualified(monkeypatch):
    cands = [{
        "qualified": False,
@@ -153,6 +226,13 @@ def test_strategy_variant_sims_emit_fixed_variants_without_mutating_qualified(mo
        "momentum_percentile": 90.0,
        "residual_momentum_percentile": 91.0,
        "activation_momentum_percentile": 91.0,
+        "low_vol_6m_percentile": 80.0,
+        "residual_low_vol_blend_score": 87.7,
+        "vol_6m_percentile": 20.0,
+        "residual_high_vol_blend_90_10_score": 83.9,
+        "residual_high_vol_blend_80_20_score": 76.8,
+        "residual_high_vol_blend_score": 69.7,
+        "residual_high_vol_blend_60_40_score": 62.6,
    }]
    calls = []

@@ -187,10 +267,57 @@ def test_strategy_variant_sims_emit_fixed_variants_without_mutating_qualified(mo
    assert all(call["exit_policy"] == "hold" for call in calls)
    assert any(call["ranking_key"] == bt.PRODUCTION_PERCENTILE_KEY for call in calls)
    assert any(call["ranking_key"] == bt.RAW_PERCENTILE_KEY for call in calls)
+    assert any(call["ranking_key"] == bt.RESIDUAL_LOW_VOL_BLEND_KEY for call in calls)
+    assert any(call["ranking_key"] == bt.RESIDUAL_HIGH_VOL_BLEND_90_10_KEY for call in calls)
+    assert any(call["ranking_key"] == bt.RESIDUAL_HIGH_VOL_BLEND_80_20_KEY for call in calls)
+    assert any(call["ranking_key"] == bt.RESIDUAL_HIGH_VOL_BLEND_KEY for call in calls)
+    assert any(call["ranking_key"] == bt.RESIDUAL_HIGH_VOL_BLEND_60_40_KEY for call in calls)
+    assert any(call["ranking_key"] == bt.VOL_PERCENTILE_KEY for call in calls)
+    assert any(call["ranking_key"] == bt.LOW_VOL_PERCENTILE_KEY for call in calls)
    assert any(call["max_positions"] == 15 for call in calls)
    assert cands[0]["qualified"] is False


+def test_exit_policy_sims_use_80_20_entry_variant(monkeypatch):
+    calls = []
+
+    def fake_sim(candidates, prices, spy_closes, exit_policy, hold_days, **kwargs):
+        calls.append({"exit_policy": exit_policy, "hold_days": hold_days, **kwargs})
+        return {
+            "starting_capital": bt.SIM_STARTING_CAPITAL,
+            "final_equity": 11_000.0,
+            "total_return_pct": 10.0,
+            "cagr_pct": 9.0,
+            "max_drawdown_pct": 5.0,
+            "sharpe": 1.1,
+            "trades": 1,
+            "win_rate": 100.0,
+            "avg_trade_pnl": 100.0,
+            "best_trade_r": 1.0,
+            "worst_trade_r": 1.0,
+            "best_trade_pnl": 100.0,
+            "worst_trade_pnl": 100.0,
+            "avg_hold_days": 30.0,
+            "exit_reasons": {exit_policy: 1},
+            "skipped_book_full": 0,
+            "spy_return_pct": 1.0,
+            "yearly_returns": [],
+            "start_date": "2026-01-01",
+            "end_date": "2026-02-01",
+        }
+
+    monkeypatch.setattr(bt, "_simulate_portfolio", fake_sim)
+
+    rows = bt._exit_policy_sims([], {}, {}, 30)
+
+    assert [r["exit_policy"] for r in rows] == [
+        cfg["exit_policy"] for cfg in bt.EXIT_POLICY_VARIANTS
+    ]
+    assert all(r["entry_variant"] == bt.EXIT_ENTRY_VARIANT for r in rows)
+    assert all(call["ranking_key"] == bt.RESIDUAL_HIGH_VOL_BLEND_80_20_KEY for call in calls)
+    assert all(call["exit_policy"] != "target" for call in calls)
+
+
 def test_build_research_recommendation_applies_promotion_rules():
    report = {
        "strategy_variants": {"variants": [
@@ -200,6 +327,10 @@ def test_build_research_recommendation_applies_promotion_rules():
             "max_drawdown_pct": 20.0, "cagr_pct": 32.0, "skipped_book_full": 0},
            {"variant": "raw_90_fixed10", "label": "Cutoff 90", "sharpe": 1.25,
             "max_drawdown_pct": 19.0, "cagr_pct": 28.0},
+            {"variant": "residual80_highvol_blend_fixed10", "label": "High-vol 70/30",
+             "sharpe": 1.68, "max_drawdown_pct": 21.0, "cagr_pct": 43.0},
+            {"variant": "residual80_highvol_blend80_20_fixed10", "label": "High-vol 80/20",
+             "sharpe": 1.55, "max_drawdown_pct": 19.0, "cagr_pct": 39.0},
        ]},
    }

@@ -210,6 +341,8 @@ def test_build_research_recommendation_applies_promotion_rules():
    assert "not needed yet" in by_topic["capacity_15"]["text"]
    assert by_topic["cutoff_90"]["candidate"] is False
    assert "Cutoff 90" in by_topic["cutoff_90"]["text"]
+    assert by_topic["high_vol_overlay"]["candidate"] is True
+    assert "High-vol 80/20" in by_topic["high_vol_overlay"]["text"]


 class TestStopFillR:
@@ -442,6 +575,32 @@ class TestSimulatePortfolio:
        assert sim["trades"] == 1
        assert sim["worst_trade_r"] == pytest.approx(-2.0)  # (90 − 100) / 5

+    def test_sma50_policy_exits_on_close_break(self):
+        closes = [100.0] * 56 + [90.0, 91.0]
+        prices = {"AAA": _sim_prices(self.ORD, closes)}
+        entry_ord = self.ORD + 55
+        cand = _sim_cand("AAA", entry_ord, entry=100.0, stop=80.0, target=130.0)
+
+        sim = bt._simulate_portfolio([cand], prices, None, "sma50", 30)
+
+        assert sim is not None
+        assert sim["trades"] == 1
+        assert sim["exit_reasons"] == {"sma50": 1}
+        assert sim["worst_trade_r"] == pytest.approx(-0.5)
+
+    def test_low20_policy_exits_on_prior_low_break(self):
+        closes = [100.0] * 26 + [95.0, 96.0]
+        prices = {"AAA": _sim_prices(self.ORD, closes)}
+        entry_ord = self.ORD + 25
+        cand = _sim_cand("AAA", entry_ord, entry=100.0, stop=80.0, target=130.0)
+
+        sim = bt._simulate_portfolio([cand], prices, None, "low20", 30)
+
+        assert sim is not None
+        assert sim["trades"] == 1
+        assert sim["exit_reasons"] == {"low20": 1}
+        assert sim["worst_trade_r"] == pytest.approx(-0.25)
+
    def test_nothing_qualified_returns_none(self):
        assert bt._simulate_portfolio([], {}, None, "hold", 30) is None

@@ -547,6 +706,26 @@ def test_build_recommendation_flags_outlier_dependence():
    assert robustness and "WARNING" in robustness[0]


+def test_build_recommendation_prefers_production_monitor_headline():
+    rec = bt._build_recommendation({
+        "portfolio_monitor": {
+            "production_strategy": bt.PRODUCTION_PORTFOLIO_STRATEGY,
+            "runs": [{
+                "strategy": bt.PRODUCTION_PORTFOLIO_STRATEGY,
+                "lookback": "all",
+                "lookback_label": "All history",
+                "cagr_pct": 44.4,
+                "sharpe": 1.72,
+                "max_drawdown_pct": 23.8,
+            }],
+        },
+        "overall_qualified": {},
+    })
+    assert rec["headline"] is not None
+    assert "3x ATR trailing exit" in rec["headline"]
+    assert any(item["topic"] == "production" for item in rec["items"])
+
+
 def test_window_setups_too_short_returns_empty():
    assert bt._window_setups([], {}, {}) == []

@@ -607,7 +786,7 @@ async def test_run_backtest_smoke(session):
    for key in (
        "overall_qualified", "overall_all", "by_direction", "sweep",
        "gate_ablation", "time_exit_sweep", "portfolio_sim", "strategy_variants",
-        "recommendation", "research_recommendation",
+        "exit_policy_variants", "portfolio_monitor", "recommendation", "research_recommendation",
    ):
        assert key in report
    # the oscillating series should yield at least some resolved setups
@@ -633,6 +812,8 @@ async def test_run_backtest_smoke(session):
    assert isinstance(report["portfolio_sim"]["policies"], list)
    assert report["portfolio_sim"]["params"]["max_positions"] == bt.SIM_MAX_POSITIONS
    assert isinstance(report["strategy_variants"]["variants"], list)
+    assert isinstance(report["exit_policy_variants"]["variants"], list)
+    assert report["portfolio_monitor"] is None or isinstance(report["portfolio_monitor"]["runs"], list)

    # sweep: lowering the momentum-percentile cutoff can only add qualifiers
    sweep = sorted(report["sweep"], key=lambda r: r["min_momentum_percentile"], reverse=True)