b295447bdf
L1 pure-alpha layer: wrap BLUE's live AlphaAssetSelector/AlphaBetSizer/ AlphaExitEngineV7 behind V-TYPES boundaries (wrap, not reimplement). max_leverage is a required explicit param (live default 5.0 / blue_parity 8.0 / recorded 9.0); smoke + tests confirm max_leverage=9.0 reproduces recorded sizing exactly (notional_fraction 0.20x9=1.8 = recorded our_leverage max). 7 tests pass. Exchange-agnostic: conviction leverage sizes quantity; exchange-lev map is L3. Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
88 lines
3.6 KiB
Python
88 lines
3.6 KiB
Python
"""V3a: V-TYPES wrappers over BLUE's live alpha kernels — parity + drift guards."""
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from __future__ import annotations
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import math
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import sys
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sys.path.insert(0, "/mnt/dolphinng5_predict")
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import pytest
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from hypothesis import given, settings, strategies as st
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from pydantic import ValidationError
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from prod.clean_arch.violet.alpha_wrappers import (
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AssetPick, SizeDecision, VioletAssetSelector, VioletBetSizer,
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)
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def _sizer(max_leverage: float = 9.0) -> VioletBetSizer:
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return VioletBetSizer(base_fraction=0.20, min_leverage=0.5, max_leverage=max_leverage)
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def _universe(n: int = 4, bars: int = 60) -> dict:
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return {
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f"A{i}USDT": [100.0 * (1 + 0.001 * math.sin(0.1 * t) + 0.0005 * i * t) for t in range(bars)]
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for i in range(n)
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}
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# ── sizing reproduces the recorded model ──────────────────────────────────────
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def test_notional_fraction_is_fraction_times_conviction():
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d = _sizer().calculate(capital=69_000.0, vel_div=-0.05, trade_direction=-1)
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assert d.notional_fraction == pytest.approx(d.fraction * d.conviction_leverage)
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def test_extreme_short_signal_saturates_at_max_leverage_9():
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# vel_div at/under extreme drives conviction to the cap; with max_leverage=9
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# and base_fraction 0.20, notional_fraction == 1.8 — the recorded our_leverage max.
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d = _sizer(9.0).calculate(capital=69_000.0, vel_div=-0.20, trade_direction=-1)
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assert d.conviction_leverage == pytest.approx(9.0)
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assert d.notional_fraction == pytest.approx(1.8)
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def test_max_leverage_parameterization_is_live_not_a_default():
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# The drift guard: the kernel default is 5.0, blue_parity passes 8.0, live is
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# 9.0. Passing different caps MUST change the saturated conviction — proving
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# VIOLET never inherits a hardcoded/drifted value.
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cap5 = _sizer(5.0).calculate(capital=69_000.0, vel_div=-0.20, trade_direction=-1)
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cap9 = _sizer(9.0).calculate(capital=69_000.0, vel_div=-0.20, trade_direction=-1)
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assert cap5.conviction_leverage == pytest.approx(5.0)
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assert cap9.conviction_leverage == pytest.approx(9.0)
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assert cap5.conviction_leverage != cap9.conviction_leverage
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def test_size_decision_is_typed_and_frozen():
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d = _sizer().calculate(capital=50_000.0, vel_div=-0.04, trade_direction=-1)
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assert isinstance(d, SizeDecision)
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with pytest.raises(ValidationError):
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d.fraction = 0.5 # frozen
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# ── selection returns a typed pick or None ────────────────────────────────────
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def test_selector_returns_typed_short_pick():
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pick = VioletAssetSelector(lookback_horizon=50).pick(_universe(), regime_direction=-1)
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if pick is not None:
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assert isinstance(pick, AssetPick)
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assert pick.side == "SHORT"
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def test_selector_empty_universe_is_none():
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assert VioletAssetSelector(lookback_horizon=50).pick({}, regime_direction=-1) is None
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# ── property: conviction always within the kernel envelope; output finite ─────
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@given(
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vel_div=st.floats(min_value=-0.5, max_value=0.5, allow_nan=False, allow_infinity=False),
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cap=st.floats(min_value=1.0, max_value=1e7, allow_nan=False, allow_infinity=False),
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)
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@settings(max_examples=60, deadline=None)
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def test_conviction_within_envelope_and_finite(vel_div, cap):
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d = _sizer(9.0).calculate(capital=cap, vel_div=vel_div, trade_direction=-1)
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assert 0.0 <= d.conviction_leverage <= 9.0 + 1e-9
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assert math.isfinite(d.notional_fraction) and d.notional_fraction >= 0.0
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assert 0 <= d.bucket_idx <= 3
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