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Add long-straddle premium overlay to hub amp stats.

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Configurable bilateral premium with exceed counts/ratios and settlement PnL for buying volatility.

Co-authored-by: Cursor <cursoragent@cursor.com>
This commit is contained in:
dekun
2026-07-23 02:33:23 +08:00
parent 61e8da1e8b
commit 789ab43dbe
7 changed files with 347 additions and 61 deletions
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tests/test_amp_stats_lib.py
+26
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@@ -87,6 +87,32 @@ class AmpStatsLibTests(unittest.TestCase):
self.assertEqual(s["max_amplitude_day"], "2026-07-02")
self.assertEqual(s["max_up_points"], 500)
self.assertEqual(s["max_down_points"], 200)
self.assertIsNone(s["straddle"])
def test_long_straddle_stats(self):
rows = [
# |chg|=40>30 win+10; up=40>30; down=10
{"up_points": 40, "down_points": 10, "change": 40, "amplitude": 50, "settlement_day": "2026-07-01"},
# |chg|=10 lose-20; up=5; down=35>30
{"up_points": 5, "down_points": 35, "change": -10, "amplitude": 40, "settlement_day": "2026-07-02"},
# |chg|=30 not >30 lose-30; boundary
{"up_points": 30, "down_points": 30, "change": 30, "amplitude": 60, "settlement_day": "2026-07-03"},
]
s = summarize_rows(rows, straddle_premium=30)
st = s["straddle"]
self.assertEqual(st["side"], "long_straddle")
self.assertEqual(st["premium"], 30)
self.assertEqual(st["up_exceed_days"], 1) # only 40
self.assertEqual(st["down_exceed_days"], 1) # only 35
self.assertEqual(st["abs_change_exceed_days"], 1) # only 40
self.assertAlmostEqual(st["pnl_total"], 40 - 30 + 10 - 30 + 30 - 30)
self.assertEqual(st["win_days"], 1)
self.assertEqual(st["win_ratio"], round(1 / 3, 4))
csv_text = build_export_csv(
{"exchange": "okx", "symbol_label": "ETH", "summary": s, "rows": rows, "start_hour": 22, "end_hour": 16}
)
self.assertIn("买跨对照", csv_text)
self.assertIn("买跨点数盈亏合计", csv_text)
def test_compute_with_mock_fetch(self):
now = datetime(2026, 7, 22, 18, 0, tzinfo=TZ)