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Merged
Pigbibi merged 1 commit into from
Jun 9, 2026
Merged

Show dynamic volatility thresholds in Telegram #144

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73 changes: 70 additions & 3 deletions notifications/renderers.py
View file
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Original file line number Diff line number Diff line change
Expand Up @@ -200,27 +200,94 @@ def _format_percent(value) -> str:
return "n/a"


def _format_percentile(value) -> str:
try:
percentile = float(value) * 100
except (TypeError, ValueError):
return "p?"
if float(percentile).is_integer():
return f"p{int(percentile)}"
return f"p{percentile:.1f}"


def _format_sample_count(value) -> str:
try:
count = float(value)
except (TypeError, ValueError):
return "n/a"
if float(count).is_integer():
return str(int(count))
return f"{count:.1f}"


def _present(value) -> bool:
return value not in (None, "")


def _effective_volatility_delever_threshold(execution, *, prefix: str):
mode = str(execution.get(f"{prefix}_threshold_mode") or "").strip().lower()
dynamic_threshold = execution.get(f"{prefix}_dynamic_threshold")
if mode == "rolling_percentile" and _present(dynamic_threshold):
return dynamic_threshold
return execution.get(f"{prefix}_threshold")


def _format_volatility_delever_threshold_detail(execution, *, prefix: str, translator) -> str:
mode = str(execution.get(f"{prefix}_threshold_mode") or "").strip().lower()
fixed_threshold = execution.get(f"{prefix}_threshold")
dynamic_threshold = execution.get(f"{prefix}_dynamic_threshold")
if mode == "rolling_percentile":
kwargs = {
"percentile": _format_percentile(execution.get(f"{prefix}_dynamic_percentile")),
"lookback": _format_sample_count(execution.get(f"{prefix}_dynamic_lookback")),
"min_periods": _format_sample_count(execution.get(f"{prefix}_dynamic_min_periods")),
"sample_count": _format_sample_count(execution.get(f"{prefix}_dynamic_sample_count")),
"floor": _format_percent(execution.get(f"{prefix}_dynamic_floor")),
"cap": _format_percent(execution.get(f"{prefix}_dynamic_cap")),
"fixed_threshold": _format_percent(fixed_threshold),
}
if _present(dynamic_threshold):
return translator("blend_gate_volatility_threshold_detail_dynamic", **kwargs)
return translator("blend_gate_volatility_threshold_detail_dynamic_fallback", **kwargs)
return translator(
"blend_gate_volatility_threshold_detail_fixed",
threshold=_format_percent(fixed_threshold),
)


def _build_risk_control_lines(execution, *, translator):
if _is_truthy(execution.get("dual_drive_volatility_delever_applied")):
redirect_symbol = str(execution.get("dual_drive_volatility_delever_redirect_symbol") or "QQQ").strip().upper()
window = str(execution.get("dual_drive_volatility_delever_window") or "5").strip()
threshold = _effective_volatility_delever_threshold(
execution,
prefix="dual_drive_volatility_delever",
)
threshold_detail = _format_volatility_delever_threshold_detail(
execution,
prefix="dual_drive_volatility_delever",
translator=translator,
)
if str(execution.get("dual_drive_volatility_delever_trigger_reason") or "").strip() == "hysteresis_hold":
return [
translator(
"risk_control_tqqq_volatility_delever_hysteresis",
"risk_control_tqqq_volatility_delever_hysteresis_dynamic",
window=window,
volatility=_format_percent(execution.get("dual_drive_volatility_delever_metric")),
exit_threshold=_format_percent(execution.get("dual_drive_volatility_delever_exit_threshold")),
threshold=_format_percent(threshold),
threshold_detail=threshold_detail,
source_symbol="TQQQ",
redirect_symbol=redirect_symbol or "QQQ",
)
]
return [
translator(
"risk_control_tqqq_volatility_delever_applied",
"risk_control_tqqq_volatility_delever_applied_dynamic",
window=window,
volatility=_format_percent(execution.get("dual_drive_volatility_delever_metric")),
threshold=_format_percent(execution.get("dual_drive_volatility_delever_threshold")),
threshold=_format_percent(threshold),
threshold_detail=threshold_detail,
source_symbol="TQQQ",
redirect_symbol=redirect_symbol or "QQQ",
)
Expand Down
12 changes: 12 additions & 0 deletions notifications/telegram.py
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Open in desktop
Original file line number Diff line number Diff line change
Expand Up @@ -65,7 +65,9 @@
"buy_deferred_small_target_gap": "{symbol} 目标差额 ${diff} 未超过 1 股价格 ${price}；为避免超过目标仓位，本轮不买入",
"buy_deferred_small_account_cash_substitution": "{symbol} 目标金额 ${diff} 低于 1 股价格 ${price}；为避免超过目标仓位，本轮保留现金（现金替代：{cash_symbols}）",
"risk_control_tqqq_volatility_delever_applied": "🛡️ 风控: QQQ {window} 日年化波动率 {volatility} 高于 {threshold}，{source_symbol} 转向 {redirect_symbol}",
"risk_control_tqqq_volatility_delever_applied_dynamic": "🛡️ 风控: QQQ {window} 日年化波动率 {volatility} 高于实际阈值 {threshold}（{threshold_detail}），{source_symbol} 转向 {redirect_symbol}",
"risk_control_tqqq_volatility_delever_hysteresis": "🛡️ 风控: QQQ {window} 日年化波动率 {volatility} 仍高于退出阈值 {exit_threshold}，维持 {source_symbol} 转向 {redirect_symbol}",
"risk_control_tqqq_volatility_delever_hysteresis_dynamic": "🛡️ 风控: QQQ {window} 日年化波动率 {volatility} 仍高于退出阈值 {exit_threshold}；入场实际阈值 {threshold}（{threshold_detail}），维持 {source_symbol} 转向 {redirect_symbol}",
"buy_deferred_small_cash": "{symbol} 目标差额 ${diff}，但可投资现金 ${investable} 不足买入 1 股（价格 ${price}）",
"buy_deferred_cash_limit": "{symbol} 目标差额 ${diff}，预算可买 {budget_qty} 股，但券商估算可买数量为 0；可能有未完成挂单、结算或购买力占用",
"buy_deferred_cash_sweep_cash_limit": "{symbol} 剩余可投资现金 ${investable}，预算可回补 {budget_qty} 股，但券商估算可买数量为 0；可能有未完成挂单、结算或购买力占用",
Expand All @@ -92,6 +94,10 @@
"blend_gate_reason_rsi_cap": "RSI 超阈值",
"blend_gate_reason_bollinger_cap": "突破布林上轨",
"blend_gate_reason_volatility_delever": "{symbol} {window} 日年化波动率 {volatility} 高于 {threshold}，SOXL 转向 {redirect_symbol}",
"blend_gate_reason_volatility_delever_dynamic": "{symbol} {window} 日年化波动率 {volatility} 高于实际阈值 {threshold}（{threshold_detail}），SOXL 转向 {redirect_symbol}",
"blend_gate_volatility_threshold_detail_dynamic": "动态 {percentile}，{lookback}日窗口，范围 {floor}-{cap}，样本 {sample_count}",
"blend_gate_volatility_threshold_detail_dynamic_fallback": "动态样本不足，回退固定 {fixed_threshold}（样本 {sample_count}/{min_periods}，{percentile}）",
"blend_gate_volatility_threshold_detail_fixed": "固定阈值 {threshold}",
"signal_hold": "趋势持有",
"signal_entry": "入场信号",
"signal_reduce": "减仓信号",
Expand Down Expand Up @@ -189,7 +195,9 @@
"buy_deferred_small_target_gap": "{symbol} target gap ${diff} does not exceed the 1-share price ${price}; skipped to avoid exceeding the target allocation",
"buy_deferred_small_account_cash_substitution": "{symbol} target ${diff} is below the 1-share price ${price}; to avoid exceeding the target allocation, this cycle keeps cash (cash substitute: {cash_symbols})",
"risk_control_tqqq_volatility_delever_applied": "🛡️ Risk control: QQQ {window}d annualized volatility {volatility} is above {threshold}; {source_symbol} redirects to {redirect_symbol}",
"risk_control_tqqq_volatility_delever_applied_dynamic": "🛡️ Risk control: QQQ {window}d annualized volatility {volatility} is above effective threshold {threshold} ({threshold_detail}); {source_symbol} redirects to {redirect_symbol}",
"risk_control_tqqq_volatility_delever_hysteresis": "🛡️ Risk control: QQQ {window}d annualized volatility {volatility} remains above the exit threshold {exit_threshold}; keep {source_symbol} redirected to {redirect_symbol}",
"risk_control_tqqq_volatility_delever_hysteresis_dynamic": "🛡️ Risk control: QQQ {window}d annualized volatility {volatility} remains above exit threshold {exit_threshold}; entry effective threshold {threshold} ({threshold_detail}); keep {source_symbol} redirected to {redirect_symbol}",
"buy_deferred_small_cash": "{symbol} target gap ${diff}, but investable cash ${investable} is not enough for 1 share at ${price}",
"buy_deferred_cash_limit": "{symbol} target gap ${diff}, budget supports {budget_qty} shares, but broker estimate returned 0; an open order, settlement, or buying-power hold may still be blocking funds",
"buy_deferred_cash_sweep_cash_limit": "{symbol} residual investable cash ${investable}, budget supports {budget_qty} tail-rebuy shares, but broker estimate returned 0; an open order, settlement, or buying-power hold may still be blocking funds",
Expand All @@ -216,6 +224,10 @@
"blend_gate_reason_rsi_cap": "RSI over threshold",
"blend_gate_reason_bollinger_cap": "price above upper band",
"blend_gate_reason_volatility_delever": "{symbol} {window}d annualized volatility {volatility} is above {threshold}; redirect SOXL to {redirect_symbol}",
"blend_gate_reason_volatility_delever_dynamic": "{symbol} {window}d annualized volatility {volatility} is above effective threshold {threshold} ({threshold_detail}); redirect SOXL to {redirect_symbol}",
"blend_gate_volatility_threshold_detail_dynamic": "dynamic {percentile}, {lookback}d lookback, bounded {floor}-{cap}, samples {sample_count}",
"blend_gate_volatility_threshold_detail_dynamic_fallback": "dynamic warm-up, fallback fixed {fixed_threshold} (samples {sample_count}/{min_periods}, {percentile})",
"blend_gate_volatility_threshold_detail_fixed": "fixed threshold {threshold}",
"signal_hold": "Trend Hold",
"signal_entry": "Entry Signal",
"signal_reduce": "Reduce Signal",
Expand Down
62 changes: 58 additions & 4 deletions tests/test_notifications.py
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Original file line number Diff line number Diff line change
Expand Up @@ -73,6 +73,25 @@ def test_build_translator_supports_chinese(self):
),
"SOXX 10 日年化波动率 55.0% 高于 50.0%，SOXL 转向 SOXX",
)
self.assertEqual(
translate(
"blend_gate_reason_volatility_delever_dynamic",
symbol="SOXX",
window=10,
volatility="61.0%",
threshold="60.0%",
threshold_detail=translate(
"blend_gate_volatility_threshold_detail_dynamic",
percentile="p95",
lookback="252",
floor="50.0%",
cap="75.0%",
sample_count="252",
),
redirect_symbol="SOXX",
),
"SOXX 10 日年化波动率 61.0% 高于实际阈值 60.0%（动态 p95，252日窗口，范围 50.0%-75.0%，样本 252），SOXL 转向 SOXX",
)
self.assertEqual(
translate(
"strategy_plugin_line",
Expand Down Expand Up @@ -155,6 +174,14 @@ def test_heartbeat_renders_tqqq_volatility_delever_risk_control(self):
"dual_drive_volatility_delever_window": 5,
"dual_drive_volatility_delever_metric": 0.312,
"dual_drive_volatility_delever_threshold": 0.28,
"dual_drive_volatility_delever_threshold_mode": "rolling_percentile",
"dual_drive_volatility_delever_dynamic_threshold": 0.30,
"dual_drive_volatility_delever_dynamic_sample_count": 252,
"dual_drive_volatility_delever_dynamic_lookback": 252,
"dual_drive_volatility_delever_dynamic_percentile": 0.90,
"dual_drive_volatility_delever_dynamic_min_periods": 126,
"dual_drive_volatility_delever_dynamic_floor": 0.24,
"dual_drive_volatility_delever_dynamic_cap": 0.36,
"dual_drive_volatility_delever_redirect_symbol": "QQQ",
},
skip_logs=(),
Expand All @@ -171,6 +198,14 @@ def test_heartbeat_renders_tqqq_volatility_delever_risk_control(self):
"dual_drive_volatility_delever_window": 5,
"dual_drive_volatility_delever_metric": 0.312,
"dual_drive_volatility_delever_threshold": 0.28,
"dual_drive_volatility_delever_threshold_mode": "rolling_percentile",
"dual_drive_volatility_delever_dynamic_threshold": 0.30,
"dual_drive_volatility_delever_dynamic_sample_count": 252,
"dual_drive_volatility_delever_dynamic_lookback": 252,
"dual_drive_volatility_delever_dynamic_percentile": 0.90,
"dual_drive_volatility_delever_dynamic_min_periods": 126,
"dual_drive_volatility_delever_dynamic_floor": 0.24,
"dual_drive_volatility_delever_dynamic_cap": 0.36,
"dual_drive_volatility_delever_redirect_symbol": "QQQ",
},
skip_logs=(),
Expand All @@ -181,9 +216,12 @@ def test_heartbeat_renders_tqqq_volatility_delever_risk_control(self):
dry_run_only=False,
)

self.assertIn("🛡️ 风控: QQQ 5 日年化波动率 31.2% 高于 28.0%，TQQQ 转向 QQQ", zh_rendered.compact_text)
self.assertIn(
"🛡️ Risk control: QQQ 5d annualized volatility 31.2% is above 28.0%; TQQQ redirects to QQQ",
"🛡️ 风控: QQQ 5 日年化波动率 31.2% 高于实际阈值 30.0%（动态 p90，252日窗口，范围 24.0%-36.0%，样本 252），TQQQ 转向 QQQ",
zh_rendered.compact_text,
)
self.assertIn(
"🛡️ Risk control: QQQ 5d annualized volatility 31.2% is above effective threshold 30.0% (dynamic p90, 252d lookback, bounded 24.0%-36.0%, samples 252); TQQQ redirects to QQQ",
en_rendered.compact_text,
)

Expand All @@ -196,6 +234,14 @@ def test_heartbeat_renders_tqqq_volatility_delever_hysteresis_risk_control(self)
"dual_drive_volatility_delever_metric": 0.262,
"dual_drive_volatility_delever_threshold": 0.28,
"dual_drive_volatility_delever_exit_threshold": 0.24,
"dual_drive_volatility_delever_threshold_mode": "rolling_percentile",
"dual_drive_volatility_delever_dynamic_threshold": 0.30,
"dual_drive_volatility_delever_dynamic_sample_count": 252,
"dual_drive_volatility_delever_dynamic_lookback": 252,
"dual_drive_volatility_delever_dynamic_percentile": 0.90,
"dual_drive_volatility_delever_dynamic_min_periods": 126,
"dual_drive_volatility_delever_dynamic_floor": 0.24,
"dual_drive_volatility_delever_dynamic_cap": 0.36,
"dual_drive_volatility_delever_trigger_reason": "hysteresis_hold",
"dual_drive_volatility_delever_redirect_symbol": "QQQM",
},
Expand All @@ -214,6 +260,14 @@ def test_heartbeat_renders_tqqq_volatility_delever_hysteresis_risk_control(self)
"dual_drive_volatility_delever_metric": 0.262,
"dual_drive_volatility_delever_threshold": 0.28,
"dual_drive_volatility_delever_exit_threshold": 0.24,
"dual_drive_volatility_delever_threshold_mode": "rolling_percentile",
"dual_drive_volatility_delever_dynamic_threshold": 0.30,
"dual_drive_volatility_delever_dynamic_sample_count": 252,
"dual_drive_volatility_delever_dynamic_lookback": 252,
"dual_drive_volatility_delever_dynamic_percentile": 0.90,
"dual_drive_volatility_delever_dynamic_min_periods": 126,
"dual_drive_volatility_delever_dynamic_floor": 0.24,
"dual_drive_volatility_delever_dynamic_cap": 0.36,
"dual_drive_volatility_delever_trigger_reason": "hysteresis_hold",
"dual_drive_volatility_delever_redirect_symbol": "QQQM",
},
Expand All @@ -226,11 +280,11 @@ def test_heartbeat_renders_tqqq_volatility_delever_hysteresis_risk_control(self)
)

self.assertIn(
"🛡️ 风控: QQQ 5 日年化波动率 26.2% 仍高于退出阈值 24.0%，维持 TQQQ 转向 QQQM",
"🛡️ 风控: QQQ 5 日年化波动率 26.2% 仍高于退出阈值 24.0%；入场实际阈值 30.0%（动态 p90，252日窗口，范围 24.0%-36.0%，样本 252），维持 TQQQ 转向 QQQM",
zh_rendered.compact_text,
)
self.assertIn(
"🛡️ Risk control: QQQ 5d annualized volatility 26.2% remains above the exit threshold 24.0%; keep TQQQ redirected to QQQM",
"🛡️ Risk control: QQQ 5d annualized volatility 26.2% remains above exit threshold 24.0%; entry effective threshold 30.0% (dynamic p90, 252d lookback, bounded 24.0%-36.0%, samples 252); keep TQQQ redirected to QQQM",
en_rendered.compact_text,
)

Expand Down