Revert "feat: Phase B fip_id liquid-breadth research tooling"

This reverts commit 9704e0d85a.
2026-07-18 20:24:17 +02:00
parent 9704e0d85a
commit c2c7244d1a
8 changed files with 73 additions and 1578 deletions
@@ -1154,52 +1154,6 @@ class TestSimulatePortfolio:
        assert allowed["trade_details"][0]["entry"] == pytest.approx(110.0)


-def test_median_dollar_vol_63_basic():
-    closes = [10.0] * 70
-    volumes = [100.0 + i for i in range(70)]
-    med = bt._median_dollar_vol_63(closes, volumes, 69, lookback=63)
-    assert med is not None
-    assert med > 0
-
-
-def test_liquid_breadth_week_keeps_top_n_by_dvol():
-    recs = [
-        {"val": 0.1, "fwd": 0.01, "close": 20.0, "median_dvol_63": 1e6},
-        {"val": 0.2, "fwd": 0.02, "close": 20.0, "median_dvol_63": 9e6},
-        {"val": 0.3, "fwd": 0.03, "close": 20.0, "median_dvol_63": 5e6},
-        {"val": 0.4, "fwd": 0.04, "close": 1.0, "median_dvol_63": 99e6},  # price floor
-        {"val": 0.5, "fwd": 0.05, "close": 20.0, "median_dvol_63": None},
-    ]
-    pairs = bt._filter_liquid_breadth_week(recs, top_n=2, min_price=5.0)
-    assert len(pairs) == 2
-    # Highest dvol first among eligible: 9e6 then 5e6
-    assert pairs[0][0] == pytest.approx(0.2)
-    assert pairs[1][0] == pytest.approx(0.3)
-
-
-def test_signal_eval_liquid_breadth_env(monkeypatch):
-    # top_n=5 → keep 5 names/week; spearman needs ≥3 observations.
-    monkeypatch.setenv("BACKTEST_LIQUID_BREADTH", "5")
-    monkeypatch.setenv("BACKTEST_LIQUID_MIN_PRICE", "5")
-    monkeypatch.setattr(bt, "MIN_CROSS_SECTION", 3)
-    monkeypatch.setattr(bt, "MIN_RELIABLE_PERIODS", 3)
-    week = {}
-    for w in (1, 10, 20, 30, 40, 50):
-        week[(2024, w)] = [
-            {
-                "val": float(i),
-                "fwd": float(i) * 0.01,
-                "close": 10.0,
-                "median_dvol_63": float(100 - i),
-            }
-            for i in range(12)
-        ]
-    rows = bt._signal_evaluation({"toy": week})
-    assert rows
-    assert rows[0]["liquid_breadth_top_n"] == 5
-    assert rows[0]["avg_cross_section"] == 5.0
-
-
 def test_fip_id_sign_convention_steady_climber_vs_jump():
    # Steady climber: many up days, continuous path → lower (more negative) ID.
    steady = [100.0]