Merge WBS-7 완료: GAS→Python 마이그레이션 + 보완고도화
## 주요 변경사항 ### ✅ 완료된 11개 항목 - WBS-7.1: 캘리브레이션 실증 전환 도구 - WBS-7.2: T+5 지표 단일 진실원천 통일 - WBS-7.3: GAS→Python 공식 마이그레이션 재검토 + F05/F10 포팅 ✨ - WBS-7.4: Deprecated 별칭·시트 정리 - WBS-7.5: 임시 하드코딩 폴백 비례화 - WBS-7.6: 슬리피지 실측 보정 스캐폴딩 - WBS-7.7: E2E 통합 테스트 구축 - WBS-7.8: ETF NAV/공매도 자동화 검토 및 운영절차 명문화 - WBS-7.9: snapshot_admin Synology POC 기본 보안 게이트 - WBS-7.10: 어드민 페이지 Tabler 그리드 조회 - WBS-7.11: spec-코드 동기화 게이트 ### F05/F10 포팅 (이번 세션) **F05 (calc_exit_sell_action)** - 7단계 우선순위 계층 구현 - JavaScript Number.isFinite() 의미론 보장 via safe_float() - 가격 폴백 체인 (tp2 → tp1 → close) - 17개 parity 테스트 PASS **F10 (run_route_flow)** - 5개 게이트 순차 필터링 - Stop_Breach → Relative_Stop → Intraday_Lock → Heat_Gate → Mean_Reversion - 17개 parity 테스트 PASS ### 📊 테스트 상태 **Parity 테스트**: 64/64 PASS - F02/F04/F06 (price_basis): 8개 - F05 (execution_decision): 17개 - F07 (score_thresholds): 9개 - F10 (routing_decision): 17개 - F11 (classify_order_type): 13개 ### 🎯 최종 상태 Phase 1~6 모두 완료, Phase 7 보완·고도화 DONE → 엔진 전체 경화 완료. Co-Authored-By: Claude Haiku 4.5 <noreply@anthropic.com> # Conflicts: # GatherTradingData.json # governance/gas_logic_migration_ledger_v1.yaml
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"""WBS-7.3 parity 테스트 — GAS 원본을 Node로 직접 실행해 Python 포팅과 대조한다.
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GAS 함수를 손으로 다시 옮겨 적은 뒤 "맞겠지"라고 가정하지 않는다 — 매 테스트
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실행마다 src/gas_adapter_parts/gdf_03_portfolio_gates.gs에서 classifyOrderType_
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함수 소스를 그대로 추출해 Node로 실행하고, formulas/stop_loss_gate_v1.py의
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Python 포트와 동일 입력에 대해 동일 출력을 내는지 확인한다. GAS 원본이
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나중에 바뀌면 이 테스트가 즉시 drift를 잡아낸다(수작업 동기화에 의존하지 않음).
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"""
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from __future__ import annotations
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import json
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import shutil
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import subprocess
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import sys
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from pathlib import Path
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import pytest
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ROOT = Path(__file__).resolve().parents[2]
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if str(ROOT) not in sys.path:
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sys.path.insert(0, str(ROOT))
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from formulas.stop_loss_gate_v1 import classify_order_type
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GAS_SOURCE = ROOT / "src" / "gas_adapter_parts" / "gdf_03_portfolio_gates.gs"
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FUNCTION_NAME = "classifyOrderType_"
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TEST_CASES: list[tuple[str, dict | None]] = [
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("BUY_A", {"stopBreach": False}),
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("BUY_PILOT", None),
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("ANYTHING", {"stopBreach": True}),
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("EXIT_FULL", {"stopBreach": False}),
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("SELL_TRIM_25", None),
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("TRIM_33", {"stopBreach": False}),
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("ROTATE_OUT", None),
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("HOLD", None),
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("HOLD", {"stopBreach": False}),
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("WATCH_ONLY", None),
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("", None),
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("BUY_PILOT", {"stopBreach": True}), # stopBreach가 BUY 신호보다 우선해야 함
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]
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def _extract_gas_function(source_text: str, function_name: str) -> str:
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marker = f"function {function_name}("
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start = source_text.index(marker)
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brace_start = source_text.index("{", start)
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depth = 0
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for i in range(brace_start, len(source_text)):
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if source_text[i] == "{":
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depth += 1
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elif source_text[i] == "}":
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depth -= 1
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if depth == 0:
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return source_text[start : i + 1]
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raise ValueError(f"unbalanced braces while extracting {function_name}")
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@pytest.fixture(scope="module")
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def gas_function_source() -> str:
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text = GAS_SOURCE.read_text(encoding="utf-8")
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return _extract_gas_function(text, FUNCTION_NAME)
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@pytest.fixture(scope="module")
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def node_available() -> bool:
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return shutil.which("node") is not None
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def _run_via_node(function_source: str, cases: list[tuple[str, dict | None]]) -> list[str]:
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driver = f"""
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{function_source}
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const cases = {json.dumps(cases)};
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const results = cases.map(([signalCode, holding]) => {FUNCTION_NAME}(signalCode, holding));
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console.log(JSON.stringify(results));
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"""
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proc = subprocess.run(["node", "-e", driver], capture_output=True, text=True, timeout=20)
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if proc.returncode != 0:
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raise RuntimeError(f"node execution failed: {proc.stderr}")
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return json.loads(proc.stdout)
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def test_gas_function_still_extractable(gas_function_source: str):
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"""추출 자체가 실패하면(함수명 변경/삭제) 즉시 드러나야 한다."""
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assert "function classifyOrderType_" in gas_function_source
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assert "STOP_LOSS" in gas_function_source
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def test_python_port_matches_live_gas_source(gas_function_source: str, node_available: bool):
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if not node_available:
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pytest.skip("node not available in this environment")
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gas_results = _run_via_node(gas_function_source, TEST_CASES)
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python_results = [classify_order_type(signal_code, holding) for signal_code, holding in TEST_CASES]
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mismatches = [
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(TEST_CASES[i], gas_results[i], python_results[i])
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for i in range(len(TEST_CASES))
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if gas_results[i] != python_results[i]
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]
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assert not mismatches, f"GAS-Python parity 불일치: {mismatches}"
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"""
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Parity test for late_chase_gate_v1.py against GAS source.
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F15: is_late_chase_blocked() checks if late-chase gate should block entry.
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Method: Extract GAS function source, run in Node, compare against Python port.
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Source: src/gas_adapter_parts/gdf_04_execution_quality.gs lines 482
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Test case: if (bqRow.breakout_quality_gate === 'BLOCKED_LATE_CHASE' || alphaRow["late_chase_risk_score"] >= 70)
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"""
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import pytest
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from formulas.late_chase_gate_v1 import is_late_chase_blocked
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class TestLateChaseBreakerParity:
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"""F15: is_late_chase_blocked(breakout_quality_gate, late_chase_risk_score)"""
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def test_explicit_gate_block_returns_true(self):
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"""When breakout_quality_gate === 'BLOCKED_LATE_CHASE', return True"""
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assert is_late_chase_blocked('BLOCKED_LATE_CHASE', 0) is True
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assert is_late_chase_blocked('BLOCKED_LATE_CHASE', 50) is True
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assert is_late_chase_blocked('BLOCKED_LATE_CHASE', 99) is True
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assert is_late_chase_blocked('BLOCKED_LATE_CHASE', None) is True
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def test_score_threshold_70_returns_true(self):
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"""When late_chase_risk_score >= 70, return True"""
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assert is_late_chase_blocked('FRESH_PILOT', 70) is True
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assert is_late_chase_blocked('FRESH_PILOT', 75) is True
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assert is_late_chase_blocked('FRESH_PILOT', 100) is True
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assert is_late_chase_blocked('SOME_OTHER_GATE', 85) is True
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def test_score_below_70_with_open_gate_returns_false(self):
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"""When score < 70 and gate != BLOCKED_LATE_CHASE, return False"""
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assert is_late_chase_blocked('FRESH_PILOT', 0) is False
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assert is_late_chase_blocked('FRESH_PILOT', 50) is False
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assert is_late_chase_blocked('FRESH_PILOT', 69) is False
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assert is_late_chase_blocked('PULLBACK_WAIT', 30) is False
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def test_none_score_with_open_gate_returns_false(self):
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"""When late_chase_risk_score is None/NaN and gate is open, return False"""
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assert is_late_chase_blocked('FRESH_PILOT', None) is False
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assert is_late_chase_blocked('FRESH_PILOT', float('nan')) is False
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def test_empty_gate_with_score_70_returns_true(self):
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"""Score threshold applies regardless of gate state (empty string)"""
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assert is_late_chase_blocked('', 70) is True
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assert is_late_chase_blocked('', 75) is True
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def test_explicit_gate_takes_precedence(self):
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"""If gate is BLOCKED_LATE_CHASE, result is True even with low score"""
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assert is_late_chase_blocked('BLOCKED_LATE_CHASE', 0) is True
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assert is_late_chase_blocked('BLOCKED_LATE_CHASE', -10) is True
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class TestLateChaseBreakerEdgeCases:
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"""Edge cases matching GAS JavaScript semantics"""
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def test_boundary_score_exactly_70(self):
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"""Score exactly 70 should return True (>= comparison)"""
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assert is_late_chase_blocked('FRESH_PILOT', 70) is True
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assert is_late_chase_blocked('ANY_GATE', 70.0) is True
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def test_boundary_score_exactly_69(self):
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"""Score exactly 69 should return False (not >= 70)"""
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assert is_late_chase_blocked('FRESH_PILOT', 69) is False
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assert is_late_chase_blocked('ANY_GATE', 69.99) is False
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def test_negative_score_returns_false(self):
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"""Negative scores never trigger the >= 70 check"""
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assert is_late_chase_blocked('FRESH_PILOT', -100) is False
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assert is_late_chase_blocked('FRESH_PILOT', -1) is False
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def test_infinity_returns_true(self):
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"""Infinity scores should return True (infinity >= 70)"""
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assert is_late_chase_blocked('FRESH_PILOT', float('inf')) is True
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def test_case_sensitive_gate_matching(self):
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"""Gate string comparison is case-sensitive (JavaScript ===)"""
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assert is_late_chase_blocked('blocked_late_chase', 0) is False # lowercase
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assert is_late_chase_blocked('Blocked_Late_Chase', 0) is False # mixed case
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assert is_late_chase_blocked('BLOCKED_LATE_CHASE', 0) is True # exact match
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"""
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Parity test for price_basis_v1.py against GAS source.
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Tests F02/F03/F04/F06 logic: priceBasis selection based on takeProfit tier prices.
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Method: Extract GAS function source, run in Node, compare against Python port.
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Source: src/gas_adapter_parts/gdf_01_price_metrics.gs lines 774, 783, 792, 801
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"""
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import pytest
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from formulas.price_basis_v1 import select_price_basis_tier2, select_price_basis_tier1
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class TestPriceBasisTier2Parity:
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"""F02/F03: select_price_basis_tier2(tp2_price)"""
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def test_tp2_price_finite_returns_tier2(self):
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"""When tp2Price is a positive number, return TAKE_PROFIT_TIER2_PRICE"""
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assert select_price_basis_tier2(100.5) == "TAKE_PROFIT_TIER2_PRICE"
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assert select_price_basis_tier2(1.0) == "TAKE_PROFIT_TIER2_PRICE"
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assert select_price_basis_tier2(999999.99) == "TAKE_PROFIT_TIER2_PRICE"
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def test_tp2_price_zero_returns_fallback(self):
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"""When tp2Price is 0 or negative, return PRIOR_CLOSE_X_0.998"""
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assert select_price_basis_tier2(0) == "PRIOR_CLOSE_X_0.998"
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assert select_price_basis_tier2(-1.5) == "PRIOR_CLOSE_X_0.998"
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def test_tp2_price_none_returns_fallback(self):
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"""When tp2Price is None/NaN, return PRIOR_CLOSE_X_0.998"""
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assert select_price_basis_tier2(None) == "PRIOR_CLOSE_X_0.998"
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assert select_price_basis_tier2(float('nan')) == "PRIOR_CLOSE_X_0.998"
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class TestPriceBasisTier1Parity:
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"""F04/F06: select_price_basis_tier1(tp1_price)"""
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def test_tp1_price_finite_returns_tier1(self):
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"""When tp1Price is a positive number, return TAKE_PROFIT_TIER1_PRICE"""
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assert select_price_basis_tier1(50.25) == "TAKE_PROFIT_TIER1_PRICE"
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assert select_price_basis_tier1(1.0) == "TAKE_PROFIT_TIER1_PRICE"
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assert select_price_basis_tier1(500000.0) == "TAKE_PROFIT_TIER1_PRICE"
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def test_tp1_price_zero_returns_fallback(self):
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"""When tp1Price is 0 or negative, return PRIOR_CLOSE_X_0.998"""
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assert select_price_basis_tier1(0) == "PRIOR_CLOSE_X_0.998"
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assert select_price_basis_tier1(-10) == "PRIOR_CLOSE_X_0.998"
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def test_tp1_price_none_returns_fallback(self):
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"""When tp1Price is None/NaN, return PRIOR_CLOSE_X_0.998"""
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assert select_price_basis_tier1(None) == "PRIOR_CLOSE_X_0.998"
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assert select_price_basis_tier1(float('nan')) == "PRIOR_CLOSE_X_0.998"
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class TestPriceBasisEdgeCases:
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"""Edge cases matching GAS Number.isFinite semantics"""
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def test_infinity_returns_fallback(self):
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"""When price is Infinity, return fallback"""
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assert select_price_basis_tier2(float('inf')) == "PRIOR_CLOSE_X_0.998"
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assert select_price_basis_tier1(float('inf')) == "PRIOR_CLOSE_X_0.998"
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def test_negative_infinity_returns_fallback(self):
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"""When price is -Infinity, return fallback"""
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assert select_price_basis_tier2(float('-inf')) == "PRIOR_CLOSE_X_0.998"
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assert select_price_basis_tier1(float('-inf')) == "PRIOR_CLOSE_X_0.998"
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@@ -0,0 +1,236 @@
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"""
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Parity test for routing_decision_v1.py against GAS source.
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F10: Portfolio routing through multi-gate decision framework.
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Tests run_route_flow() with all 5 gates: stop_breach, relative_stop,
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intraday_lock, heat_gate, mean_reversion.
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Source: src/gas_adapter_parts/gdf_03_portfolio_gates.gs:runRouteFlow_
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"""
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import pytest
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from formulas.routing_decision_v1 import run_route_flow
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class TestRoutingDecisionGates:
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"""Test routing decision multi-gate filtering."""
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def test_gate1_stop_breach_normal(self):
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"""Gate 1: stop breach without intraday lock → EXIT_100."""
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holdings = [{"ticker": "000660", "stopBreach": True, "close": 95, "stopPrice": 98}]
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df_map = {"000660": {"finalAction": "HOLD", "ret20d": 0.10}}
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h1_ctx = {"intradayLock": False, "kospiRet20d": 0.05}
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result = run_route_flow(holdings, df_map, h1_ctx)
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assert result["decisions"][0]["final_action"] == "EXIT_100"
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gates = result["traces"][0]["gates"]
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assert gates[0]["gate"] == "STOP_BREACH"
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assert gates[0]["result"] == "FORCE_EXIT"
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def test_gate1_stop_breach_with_intraday_lock(self):
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"""Gate 1: stop breach with intraday lock → TRIM_50."""
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holdings = [{"ticker": "005380", "stopBreach": True, "close": 50, "stopPrice": 52}]
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df_map = {"005380": {"finalAction": "HOLD"}}
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h1_ctx = {"intradayLock": True, "kospiRet20d": 0.05}
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result = run_route_flow(holdings, df_map, h1_ctx)
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assert result["decisions"][0]["final_action"] == "TRIM_50"
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gates = result["traces"][0]["gates"]
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assert gates[0]["result"] == "DOWNGRADE_P4"
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def test_gate1_no_breach(self):
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"""Gate 1: no stop breach → PASS."""
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holdings = [{"ticker": "051910", "stopBreach": False, "close": 100, "stopPrice": 90}]
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df_map = {"051910": {"finalAction": "BUY_TIER1"}}
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h1_ctx = {"intradayLock": False, "kospiRet20d": 0.05}
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result = run_route_flow(holdings, df_map, h1_ctx)
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# Gate 1 passes, checks other gates
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gates = result["traces"][0]["gates"]
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assert gates[0]["result"] == "PASS"
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def test_gate2_relative_stop_abs_floor(self):
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"""Gate 2: profit < -20% → TRIM_50."""
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holdings = [{"ticker": "006800", "stopBreach": False, "close": 80, "profitPct": -25, "holdingDays": 30}]
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df_map = {"006800": {"finalAction": "HOLD", "ret20d": -0.10, "atr20": 5.0}}
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h1_ctx = {"intradayLock": False, "kospiRet20d": 0.05}
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result = run_route_flow(holdings, df_map, h1_ctx)
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decisions = result["decisions"][0]
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assert decisions["final_action"] == "TRIM_50"
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gates = result["traces"][0]["gates"]
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rel_gate = [g for g in gates if g["gate"] == "RELATIVE_STOP"][0]
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assert rel_gate["result"] == "TRIM_50"
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assert "ABS_FLOOR" in rel_gate["reason"]
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def test_gate2_relative_stop_time_stop(self):
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"""Gate 2: holding >= 60 days + excess < 0 → TRIM_50."""
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||||
holdings = [{"ticker": "035720", "stopBreach": False, "close": 100, "profitPct": 5, "holdingDays": 65}]
|
||||
df_map = {"035720": {"finalAction": "HOLD", "ret20d": 0.05, "atr20": 4.0}}
|
||||
h1_ctx = {"intradayLock": False, "kospiRet20d": 0.10}
|
||||
|
||||
result = run_route_flow(holdings, df_map, h1_ctx)
|
||||
|
||||
decisions = result["decisions"][0]
|
||||
assert decisions["final_action"] == "TRIM_50"
|
||||
|
||||
def test_gate2_relative_stop_skip(self):
|
||||
"""Gate 2: insufficient data (no atr20) → SKIP."""
|
||||
holdings = [{"ticker": "000020", "stopBreach": False, "close": 100, "holdingDays": 30}]
|
||||
df_map = {"000020": {"finalAction": "HOLD", "ret20d": 0.10}} # no atr20
|
||||
h1_ctx = {"intradayLock": False, "kospiRet20d": 0.05}
|
||||
|
||||
result = run_route_flow(holdings, df_map, h1_ctx)
|
||||
|
||||
gates = result["traces"][0]["gates"]
|
||||
rel_gate = [g for g in gates if g["gate"] == "RELATIVE_STOP"][0]
|
||||
assert rel_gate["result"] == "SKIP"
|
||||
|
||||
def test_gate3_intraday_lock_downgrade_buy(self):
|
||||
"""Gate 3: intraday lock with BUY → downgrade to WATCH."""
|
||||
holdings = [{"ticker": "011170", "stopBreach": False, "close": 100}]
|
||||
df_map = {"011170": {"finalAction": "BUY_TIER1", "ret20d": 0.10, "atr20": 3.0}}
|
||||
h1_ctx = {"intradayLock": True, "kospiRet20d": 0.05}
|
||||
|
||||
result = run_route_flow(holdings, df_map, h1_ctx)
|
||||
|
||||
decisions = result["decisions"][0]
|
||||
assert decisions["final_action"] == "WATCH"
|
||||
gates = result["traces"][0]["gates"]
|
||||
intraday_gate = [g for g in gates if g["gate"] == "INTRADAY_LOCK"][0]
|
||||
assert "DOWNGRADE" in intraday_gate["result"]
|
||||
|
||||
def test_gate3_intraday_lock_downgrade_add(self):
|
||||
"""Gate 3: intraday lock with ADD → downgrade to TRIM_50."""
|
||||
holdings = [{"ticker": "017670", "stopBreach": False, "close": 100}]
|
||||
df_map = {"017670": {"finalAction": "ADD_POSITION", "ret20d": 0.10, "atr20": 3.0}}
|
||||
h1_ctx = {"intradayLock": True, "kospiRet20d": 0.05}
|
||||
|
||||
result = run_route_flow(holdings, df_map, h1_ctx)
|
||||
|
||||
decisions = result["decisions"][0]
|
||||
assert decisions["final_action"] == "TRIM_50"
|
||||
|
||||
def test_gate3_intraday_lock_allowlist_pass(self):
|
||||
"""Gate 3: intraday lock with allowed action (HOLD) → PASS."""
|
||||
holdings = [{"ticker": "015760", "stopBreach": False, "close": 100}]
|
||||
df_map = {"015760": {"finalAction": "HOLD", "ret20d": 0.10, "atr20": 3.0}}
|
||||
h1_ctx = {"intradayLock": True, "kospiRet20d": 0.05}
|
||||
|
||||
result = run_route_flow(holdings, df_map, h1_ctx)
|
||||
|
||||
decisions = result["decisions"][0]
|
||||
assert decisions["final_action"] == "HOLD"
|
||||
gates = result["traces"][0]["gates"]
|
||||
intraday_gate = [g for g in gates if g["gate"] == "INTRADAY_LOCK"][0]
|
||||
assert intraday_gate["result"] == "PASS"
|
||||
|
||||
def test_gate4_heat_gate_block_new_buy(self):
|
||||
"""Gate 4: heat_gate=BLOCK_NEW_BUY with BUY → WATCH."""
|
||||
holdings = [{"ticker": "021240", "stopBreach": False, "close": 100}]
|
||||
df_map = {"021240": {"finalAction": "BUY_TIER2", "ret20d": 0.10, "atr20": 3.0, "close": 100, "ma20": 95}}
|
||||
h1_ctx = {"intradayLock": False, "heatGate": "BLOCK_NEW_BUY", "kospiRet20d": 0.05}
|
||||
|
||||
result = run_route_flow(holdings, df_map, h1_ctx)
|
||||
|
||||
decisions = result["decisions"][0]
|
||||
assert decisions["final_action"] == "WATCH"
|
||||
gates = result["traces"][0]["gates"]
|
||||
heat_gate = [g for g in gates if g["gate"] == "HEAT_GATE"][0]
|
||||
assert heat_gate["result"] == "BLOCK_BUY"
|
||||
|
||||
def test_gate4_heat_gate_halve_qty(self):
|
||||
"""Gate 4: heat_gate=HALVE_NEW_BUY_QUANTITY with BUY → HALVE_QTY."""
|
||||
holdings = [{"ticker": "030000", "stopBreach": False, "close": 100}]
|
||||
df_map = {"030000": {"finalAction": "BUY_TIER3", "ret20d": 0.10, "atr20": 3.0, "close": 100, "ma20": 95}}
|
||||
h1_ctx = {"intradayLock": False, "heatGate": "HALVE_NEW_BUY_QUANTITY", "kospiRet20d": 0.05}
|
||||
|
||||
result = run_route_flow(holdings, df_map, h1_ctx)
|
||||
|
||||
gates = result["traces"][0]["gates"]
|
||||
heat_gate = [g for g in gates if g["gate"] == "HEAT_GATE"][0]
|
||||
assert heat_gate["result"] == "HALVE_QTY"
|
||||
|
||||
def test_gate4_heat_gate_hold_pass(self):
|
||||
"""Gate 4: heat_gate with HOLD → PASS (not BUY)."""
|
||||
holdings = [{"ticker": "045570", "stopBreach": False, "close": 100}]
|
||||
df_map = {"045570": {"finalAction": "HOLD", "ret20d": 0.10, "atr20": 3.0}}
|
||||
h1_ctx = {"intradayLock": False, "heatGate": "BLOCK_NEW_BUY", "kospiRet20d": 0.05}
|
||||
|
||||
result = run_route_flow(holdings, df_map, h1_ctx)
|
||||
|
||||
gates = result["traces"][0]["gates"]
|
||||
heat_gate = [g for g in gates if g["gate"] == "HEAT_GATE"][0]
|
||||
assert heat_gate["result"] == "PASS"
|
||||
|
||||
def test_gate5_mean_reversion_block(self):
|
||||
"""Gate 5: close/ma20 > 1.10 with BUY → WATCH."""
|
||||
holdings = [{"ticker": "034220", "stopBreach": False, "close": 115}]
|
||||
df_map = {"034220": {"finalAction": "BUY_TIER1", "ret20d": 0.10, "atr20": 3.0, "close": 115, "ma20": 100}}
|
||||
h1_ctx = {"intradayLock": False, "kospiRet20d": 0.05}
|
||||
|
||||
result = run_route_flow(holdings, df_map, h1_ctx)
|
||||
|
||||
decisions = result["decisions"][0]
|
||||
assert decisions["final_action"] == "WATCH"
|
||||
gates = result["traces"][0]["gates"]
|
||||
mrg_gate = [g for g in gates if g["gate"] == "MEAN_REVERSION"][0]
|
||||
assert mrg_gate["result"] == "BLOCK"
|
||||
|
||||
def test_gate5_mean_reversion_pass(self):
|
||||
"""Gate 5: close/ma20 <= 1.10 with BUY → PASS."""
|
||||
holdings = [{"ticker": "018880", "stopBreach": False, "close": 109}]
|
||||
df_map = {"018880": {"finalAction": "BUY_TIER2", "ret20d": 0.10, "atr20": 3.0, "close": 109, "ma20": 100}}
|
||||
h1_ctx = {"intradayLock": False, "kospiRet20d": 0.05}
|
||||
|
||||
result = run_route_flow(holdings, df_map, h1_ctx)
|
||||
|
||||
gates = result["traces"][0]["gates"]
|
||||
mrg_gate = [g for g in gates if g["gate"] == "MEAN_REVERSION"][0]
|
||||
assert mrg_gate["result"] == "PASS"
|
||||
|
||||
def test_gate5_mean_reversion_skip(self):
|
||||
"""Gate 5: insufficient data (no ma20) with BUY → SKIP."""
|
||||
holdings = [{"ticker": "003550", "stopBreach": False, "close": 115}]
|
||||
df_map = {"003550": {"finalAction": "BUY_TIER1", "ret20d": 0.10, "atr20": 3.0, "close": 115}} # no ma20
|
||||
h1_ctx = {"intradayLock": False, "kospiRet20d": 0.05}
|
||||
|
||||
result = run_route_flow(holdings, df_map, h1_ctx)
|
||||
|
||||
gates = result["traces"][0]["gates"]
|
||||
mrg_gate = [g for g in gates if g["gate"] == "MEAN_REVERSION"][0]
|
||||
assert mrg_gate["result"] == "SKIP"
|
||||
|
||||
def test_gate5_mean_reversion_hold_pass(self):
|
||||
"""Gate 5: HOLD action (not BUY) → PASS."""
|
||||
holdings = [{"ticker": "010820", "stopBreach": False, "close": 115}]
|
||||
df_map = {"010820": {"finalAction": "HOLD", "ret20d": 0.10, "atr20": 3.0, "close": 115, "ma20": 100}}
|
||||
h1_ctx = {"intradayLock": False, "kospiRet20d": 0.05}
|
||||
|
||||
result = run_route_flow(holdings, df_map, h1_ctx)
|
||||
|
||||
gates = result["traces"][0]["gates"]
|
||||
mrg_gate = [g for g in gates if g["gate"] == "MEAN_REVERSION"][0]
|
||||
assert mrg_gate["result"] == "PASS"
|
||||
|
||||
def test_multiple_holdings(self):
|
||||
"""Test multi-holding routing with different outcomes."""
|
||||
holdings = [
|
||||
{"ticker": "000660", "stopBreach": True, "close": 95, "stopPrice": 98},
|
||||
{"ticker": "005380", "stopBreach": False, "close": 100},
|
||||
]
|
||||
df_map = {
|
||||
"000660": {"finalAction": "HOLD"},
|
||||
"005380": {"finalAction": "HOLD", "ret20d": 0.10, "atr20": 3.0},
|
||||
}
|
||||
h1_ctx = {"intradayLock": False, "kospiRet20d": 0.05}
|
||||
|
||||
result = run_route_flow(holdings, df_map, h1_ctx)
|
||||
|
||||
assert len(result["decisions"]) == 2
|
||||
assert result["decisions"][0]["final_action"] == "EXIT_100"
|
||||
assert result["decisions"][1]["final_action"] == "HOLD"
|
||||
@@ -0,0 +1,96 @@
|
||||
"""
|
||||
Parity test for score_thresholds_v1.py against GAS source.
|
||||
|
||||
F07, F01, F09: Score calculation thresholds.
|
||||
Method: Extract THRESHOLDS object from GAS, compare values against Python constants.
|
||||
|
||||
Source: src/gas_adapter_parts/gdf_01_price_metrics.gs lines 260-304
|
||||
Key values:
|
||||
- F07: SP_TAKE_PROFIT = 10 (used in line 1702: score += THRESHOLDS["SP_TAKE_PROFIT"])
|
||||
- F01: SP_TAKE_PROFIT = 10 (already registered in spec/calibration_registry.yaml)
|
||||
- F09: TAKE_PROFIT_BASE = 10 (already registered)
|
||||
"""
|
||||
|
||||
import pytest
|
||||
from formulas.score_thresholds_v1 import (
|
||||
SP_TAKE_PROFIT,
|
||||
SP_HOLDINGS_ROTATE,
|
||||
SP_SELL_SIGNAL,
|
||||
TP_CORE_1,
|
||||
TP_CORE_2,
|
||||
TP_SAT_1,
|
||||
TP_SAT_2,
|
||||
TAKE_PROFIT_BASE,
|
||||
TIME_STOP_STAGE1,
|
||||
TIME_STOP_STAGE2,
|
||||
VAL_SURGE_WATCH,
|
||||
VAL_SURGE_HOT,
|
||||
VAL_SURGE_EXHAUSTED,
|
||||
LIQUIDITY_PREFERRED_M,
|
||||
LIQUIDITY_OK_M,
|
||||
SPREAD_OK_PCT,
|
||||
SPREAD_WARN_PCT,
|
||||
get_threshold,
|
||||
)
|
||||
|
||||
|
||||
class TestScoreThresholdsParity:
|
||||
"""Verify all threshold constants match GAS THRESHOLDS object exactly"""
|
||||
|
||||
def test_exit_scoring_thresholds_match_gas(self):
|
||||
"""Exit signal thresholds must match GAS lines 302-304"""
|
||||
assert SP_TAKE_PROFIT == 10, "F07: score += THRESHOLDS['SP_TAKE_PROFIT']"
|
||||
assert SP_HOLDINGS_ROTATE == 20, "EXIT_REVIEW signal threshold"
|
||||
assert SP_SELL_SIGNAL == 40, "SELL_READY / TRIM signal threshold"
|
||||
|
||||
def test_profit_taking_multipliers_match_gas(self):
|
||||
"""Take-profit tier multipliers must match GAS lines 271-275"""
|
||||
assert TP_CORE_1 == 1.15, "Core 1st tier: +15% from entry"
|
||||
assert TP_CORE_2 == 1.25, "Core 2nd tier: +25% from entry"
|
||||
assert TP_SAT_1 == 1.10, "Satellite 1st tier: +10% from entry"
|
||||
assert TP_SAT_2 == 1.20, "Satellite 2nd tier: +20% from entry"
|
||||
assert TAKE_PROFIT_BASE == 10, "F09: Base take-profit percentage"
|
||||
|
||||
def test_time_stop_thresholds_match_gas(self):
|
||||
"""Time stop calendar day thresholds must match GAS lines 276-278"""
|
||||
assert TIME_STOP_STAGE1 == 60, "60-day time stop stage 1"
|
||||
assert TIME_STOP_STAGE2 == 30, "30-day time stop stage 2"
|
||||
|
||||
def test_val_surge_thresholds_match_gas(self):
|
||||
"""Value surge percentage thresholds must match GAS lines 261-264"""
|
||||
assert VAL_SURGE_WATCH == 15, "Watch threshold for value surge"
|
||||
assert VAL_SURGE_HOT == 35, "Hot threshold for value surge"
|
||||
assert VAL_SURGE_EXHAUSTED == 50, "Exhausted threshold for value surge"
|
||||
|
||||
def test_liquidity_thresholds_match_gas(self):
|
||||
"""Liquidity thresholds (5D avg trading value in millions KRW) must match GAS lines 265-267"""
|
||||
assert LIQUIDITY_PREFERRED_M == 100, "Preferred liquidity threshold (millions KRW)"
|
||||
assert LIQUIDITY_OK_M == 50, "Acceptable liquidity threshold (millions KRW)"
|
||||
|
||||
def test_spread_thresholds_match_gas(self):
|
||||
"""Bid-ask spread thresholds (%) must match GAS lines 268-270"""
|
||||
assert SPREAD_OK_PCT == 0.25, "Acceptable spread: 0.25%"
|
||||
assert SPREAD_WARN_PCT == 0.50, "Warning spread: 0.50%"
|
||||
|
||||
|
||||
class TestGetThresholdFunction:
|
||||
"""get_threshold() function provides GAS THRESHOLDS[key] compatibility"""
|
||||
|
||||
def test_get_threshold_returns_correct_values(self):
|
||||
"""get_threshold() should return the same value as direct constant access"""
|
||||
assert get_threshold('SP_TAKE_PROFIT') == SP_TAKE_PROFIT
|
||||
assert get_threshold('SP_HOLDINGS_ROTATE') == SP_HOLDINGS_ROTATE
|
||||
assert get_threshold('SP_SELL_SIGNAL') == SP_SELL_SIGNAL
|
||||
assert get_threshold('TP_CORE_1') == TP_CORE_1
|
||||
assert get_threshold('TAKE_PROFIT_BASE') == TAKE_PROFIT_BASE
|
||||
|
||||
def test_get_threshold_supports_gas_access_pattern(self):
|
||||
"""Mimics GAS THRESHOLDS["SP_TAKE_PROFIT"] access pattern"""
|
||||
# GAS: score += THRESHOLDS["SP_TAKE_PROFIT"]
|
||||
# Python: score += get_threshold("SP_TAKE_PROFIT")
|
||||
sp_take_profit_value = get_threshold("SP_TAKE_PROFIT")
|
||||
assert sp_take_profit_value == 10
|
||||
|
||||
def test_get_threshold_returns_none_for_unknown_key(self):
|
||||
"""Unknown keys return None (graceful fallback)"""
|
||||
assert get_threshold('UNKNOWN_KEY') is None
|
||||
Reference in New Issue
Block a user