Treat option-option amplitude as a maximum cap.

Reject opens when range exceeds the setting; update UI and docs labels. Co-authored-by: Cursor <cursoragent@cursor.com>
2026-08-07 16:35:39 +08:00
parent 7d21bc26c7
commit eaf94448a2
9 changed files with 78 additions and 20 deletions
@@ -64,3 +64,49 @@ def test_compute_oo_sizing_1_1_and_reward() -> None:
 def test_amplitude_range_pct() -> None:
    a = AmplitudeHL(high=2030, low=1970, mid=2000, hours=12, bar_count=12)
    assert abs(a.range_pct - 3.0) < 1e-9
+
+
+def test_amplitude_max_gate() -> None:
+    from app.strategy.oo_selection import build_oo_pick_core
+
+    contracts = []
+    for k in (1900, 2000, 2100):
+        for side, letter in (("call", "C"), ("put", "P")):
+            contracts.append(
+                {
+                    "expiry_ymd": "260810",
+                    "expiry_ms": 1_786_320_000_000,
+                    "strike": float(k),
+                    "side": letter,
+                    "inst_id": f"ETH-{k}-{letter}",
+                }
+            )
+    amp = AmplitudeHL(high=2030, low=1970, mid=2000, hours=12, bar_count=12)
+    # 3% > 上限 1.5% → 拒
+    assert (
+        build_oo_pick_core(
+            contracts=contracts,
+            spot=2000,
+            call_ask=5,
+            put_ask=5,
+            min_hours=1,
+            min_leverage=1,
+            amplitude_hours=12,
+            amplitude_pct=1.5,
+            amplitude=amp,
+        )
+        is None
+    )
+    # 3% ≤ 上限 3.5% → 可过振幅门（杠杆/卖一足够）
+    ok = build_oo_pick_core(
+        contracts=contracts,
+        spot=2000,
+        call_ask=5,
+        put_ask=5,
+        min_hours=1,
+        min_leverage=1,
+        amplitude_hours=12,
+        amplitude_pct=3.5,
+        amplitude=amp,
+    )
+    assert ok is not None