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Add perpetual-options hedge overlay to amp-stats with hit rates and daily PnL.

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Co-authored-by: Cursor <cursoragent@cursor.com>
This commit is contained in:
dekun
2026-07-28 14:20:42 +08:00
parent 845884fc67
commit d049c5d317
7 changed files with 543 additions and 19 deletions
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tests/test_amp_stats_lib.py
+49
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@@ -90,6 +90,55 @@ class AmpStatsLibTests(unittest.TestCase):
self.assertEqual(s["max_up_points"], 500)
self.assertEqual(s["max_down_points"], 200)
self.assertIsNone(s["straddle"])
self.assertIsNone(s["perp_hedge"])
def test_perp_hedge_hit_and_pnl(self):
from lib.hub.amp_stats_lib import perp_hedge_day_pnl
# spot=1800 optLev=100 → prem/coin=18; 1:2 → premium=36
# A move ≈ 52.83; B portfolio move = 51
rows = [
{"open": 1800, "close": 1860, "change": 60, "up_points": 60, "down_points": 0, "amplitude": 60, "settlement_day": "2026-07-01"},
{"open": 1800, "close": 1740, "change": -60, "up_points": 0, "down_points": 60, "amplitude": 60, "settlement_day": "2026-07-02"},
{"open": 1800, "close": 1820, "change": 20, "up_points": 20, "down_points": 0, "amplitude": 20, "settlement_day": "2026-07-03"},
]
hedge = {
"spot": 1800,
"target_profit_u": 15,
"perp_leverage": 10,
"option_leverage": 100,
"ratio_perp": 1,
"ratio_opt": 2,
"ct_mult": 0.01,
}
s = summarize_rows(rows, perp_hedge=hedge)
ph = s["perp_hedge"]
self.assertIsNotNone(ph)
self.assertEqual(ph["opt_coins"], 2.0)
self.assertEqual(ph["premium_total"], 36.0)
self.assertAlmostEqual(ph["move_b"], 51.0, places=4)
self.assertEqual(ph["hit_a_days"], 1) # only +60
self.assertEqual(ph["hit_b_days"], 1) # only -60
# up day pnl = 60 - 36 - fee
up_pnl = perp_hedge_day_pnl(change=60, open_px=1800, close_px=1860, premium_total=36, opt_coins=2)
down_pnl = perp_hedge_day_pnl(change=-60, open_px=1800, close_px=1740, premium_total=36, opt_coins=2)
self.assertAlmostEqual(down_pnl, 60 * (2 - 1) - 36, places=4) # 24
self.assertAlmostEqual(ph["down_pnl_total"], down_pnl, places=4)
self.assertGreater(up_pnl, 0)
self.assertEqual(ph["up_days"], 2)
self.assertEqual(ph["down_days"], 1)
csv_text = build_export_csv(
{
"exchange": "okx",
"symbol_label": "ETH",
"summary": s,
"rows": rows,
"start_hour": 16,
"end_hour": 16,
}
)
self.assertIn("永期对冲对照", csv_text)
self.assertIn("永期盈亏", csv_text)
def test_long_straddle_stats(self):
rows = [