pj8ZUdZddlmZddlZddlmZddlmZddlm Z m Z m Z m Z m Z mZmZedZedZd Zd ed <d Zd ed<dZded<dZded<dZded<dZded<edGddZd(dZd)d Zd*d!Zd+d"Z d,d#Zd-d$Zd-d%Z d.d&Z!d/d'Z"y)0z Regime intersection matrix and action mapping (SPX Regime State Space v2). ``classify_regime`` maps **every** discretized 6-tuple to a regime + action (exhaustive partition; no ``none`` bucket). ) annotationsN) dataclass)Literal) FeatureState HurstState MaDistState SkewState SpotVolState TermStateVrpState)%D_structural_damage C_crash_upA_mean_reversionA1_extended_aboveA2_extended_below B_momentum B1_bullish B2_bearishC1_squeeze_skewedC2_squeeze_buildingC3_vol_rising_neutralC4_vol_rising_bearE1_backwardation_bear_momE2_backwardation_bear_fearE3_backwardation_bull_trendE4_backwardation_extendedE5_backwardation_high_volE6_backwardation_chopF1_high_vrp_flat_aboveF2_high_vrp_flat_belowF3_high_vrp_flat_neutralF4_high_vrp_trend_aboveF5_high_vrp_trend_neutralF6_high_vrp_randomG1_choppy_bull_low_vrpG2_choppy_bear_low_vrpG3_choppy_neutral_low_vrpG4_low_vrp_randomB3_momentum_steep_skewB4_momentum_normal_skewH1_range_boundH2_chop_normal_skewH3_trend_steep_skewH4_trend_normal_skewH5_random_steep_skewH6_random_flat_skewH7_random_normal_skew) cashiron_condor_neutraliron_condor_neg_deltairon_condor_pos_deltaput_credit_spreadcall_debit_spreadput_debit_spreadlong_call_calendar long_straddle)lownormalhighztuple[VrpState, ...] VRP_STATES)antirandom persistentztuple[HurstState, ...] HURST_STATES)flatr<steepztuple[SkewState, ...] SKEW_STATES)contango backwardationztuple[TermState, ...] TERM_STATES)negativepositiveztuple[SpotVolState, ...]SPOT_VOL_STATES)belowneutralaboveztuple[MaDistState, ...] MA_STATEST)frozenc6eZdZUded<ded<ded<ded<y ) RegimeStateRegimeIdregimeActionIdactionr feature_statestr rationaleN)__name__ __module__ __qualname____annotations__T/opt/rentech/trading_bot/RenTech/strategy_stack/spx_regime_state_space/classifier.pyrRrRZs  Nr_rRc|\}}}}}}|dk(r|dk(r|dk(rt|dddS|dk(r_|dk(r9|dk(r|d k(rt|d d d S|dk(rt|d ddSt|dd dS|dk(rt|dddSt|dddS|dk(rt|dk(r#d}|dk(rt|d|dSt|d|dS|dk(r&|dk(r|dk(rt|ddd St|d!d"d#S|dk(rt|d$dd%St|d&d'd(S|dk(r|d)k(r|d*vr t|||S|d)k(r9|d k(r4|dk(rt|d+d"d,S|dk(rt|d-d.d/St|d0d'd1S|dk(r!|dk(rt|d2d"d3St|d4d'd5St|\}} t|d6|d7|d8S|dk(r|dk(rV|d k(r t||S|d9k(r t |\}} t|d:|d;|d8St |\}} t|d<|d=|d8S|d)k(r4|dk(rt|d>dd?S|dk(rt|d@ddASt|dBddCSt |\}} t|dD|dE|d8S|d)k(rE|d9k(r t|||S|d k(rt|dFd'dGSt|\}} t|dH|dI|d8S|dk(rV|d k(r t||S|d9k(r t |\}} t|dJ|dK|d8St |\}} t|dL|dM|d8S|d9k(r t|\}} t|dN|dO|d8S|d k(rt|dPd'dQSt|\}} t|dR|dS|d8S)Tz5Map any 6-tuple to regime + action (exhaustive tree).r=rArLr r2u?High VRP + below MA + persistent trend → capital preservationrJrNrCrr9z7Crash-up: spot-vol+ / flat skew / persistent / above MArr7u%Vol squeeze with skew → ride upsideru*Spot-vol+ / above MA → calendar long volrMrr:u%Spot-vol+ / neutral MA → long gammarr8u,Spot-vol+ / below MA → defensive put debitrGr;ru4Backwardation + below MA + low VRP → bear momentumru+Backwardation + below MA → defensive bearrz3Backwardation bull: low VRP + persistent + above MArr4u7Backwardation + extended above MA → harvest call skewru2Backwardation + high VRP + neutral MA → long volrr3u.Backwardation + neutral MA → neutral harvestr?)rDr<rz$High VRP chop + flat skew + above MAr r6z$High VRP chop + flat skew + below MAr!z&High VRP chop + flat skew + neutral MAr"z&High VRP + persistent trend + above MAr#z(High VRP + persistent + neutral/below MAr$u*High VRP + random walk → harvest by MA ()rDr)u/Low VRP momentum + steep skew → directional (r*u0Low VRP momentum + normal skew → directional (r%z$Low VRP + anti-persistent + above MAr&z$Low VRP + anti-persistent + below MAr'u,Low VRP + choppy + neutral MA → long gammar(u'Low VRP + random walk → directional (r+u1Normal VRP + choppy + flat skew → range harvestr,z#Normal VRP + choppy + normal skew (r-z!Normal VRP + trend + steep skew (r.z"Normal VRP + trend + normal skew (r/z"Normal VRP + random + steep skew (r0zNormal VRP + random + flat skewr1z#Normal VRP + random + normal skew ()_rs_mean_reversion_harvest _ic_by_ma_momentum_trend _debit_by_ma) stvrphurstskewtermspot_volmarVact_s r`classify_regimerqbs~+-(CdHb f},.2=  !  M   : = $ (M   $'';  %$<   ?'7      :     ='Fe|/J  ,=   = $1'I  +'I   &=+D     # ! <    f} F?t'::*2r48 8 F?tv~W},+:  W},':  *%8   L W}-+<  +%:   2Q  8A >    e| L v~&r2..w%b)Q,EbTK  ""%FC)B2$aH   F?W},':  W},&:  +>   b!Q   5bT ;     7?*2r48 8 6> %C   2Q  ! 1"Q 7     6>"2r* * 7?!"%FC%3B4q9   b!Q  " 0A 6    w2Q  " 0A 6    v~  ! ! -   r]FC   -bT3  r_ctjtttt t tD]*}t|}|j|k(s|jcSy)z=Lookup action for a regime id (first matching lattice point).r3) itertoolsproductr>rBrErHrKrOrqrTrV)rTcomborss r` map_actionrw_sU""  U # 99 99   !r_c8i}tjtttt t tD]W}|}t|}|jdk(r*|jdk7rtd|d|j|j||<Yt|gfS)uNReturn (n_states, duplicates) — duplicates should be empty; n_states == 324.r2r zunexpected cash for z -> ) rsrtr>rBrErHrKrOrqrVrTAssertionErrorlen)seenrurhrvs r`verify_full_coverager|os)+D""  ! R  99 2990E#E #7t4 {!KL L99R  t9b=r_ci}tjtttt t tD]9}t|}|j|jddz||j<;|S)z8Count how many of 324 lattice points map to each regime.r) rsrtr>rBrErHrKrOrqgetrT)countsrurvs r`regime_distribution_summaryrshF""  9U #"JJryy!4q8ryy 9 Mr_c t||||S)N)rTrVrWrY)rR)rhrTrVrYs r`rcrcs fV2QZ [[r_c|dk(ry|dk(ryy)NrN)r4zskewed IC (neg delta)rL)r5zskewed IC (pos delta))r3zdelta-neutral ICr^rns r`reres W}? W}? 4r_c|dk(ry|dk(ryy)NrN)r7z bull debitrL)r8z bear debit)r3z neutral ICr^rs r`rgrgs W}0 W}/ .r_c|dk(rdnd}|dk(rt|ddd|dS|dk(rt|d d d|d St|d d d|dS)NrDr<rNrr4zMean-reversion harvest (z skew) + above MArLrr6z skew) + below MArr3z skew) + neutral MArc)rhrnrkskew_lbls r`rdrds '/wxH W}   #&xj0A B    W}   &xj0A B     "8*,?@  r_cj|dk(rt|dddS|dk(rt|dddSt|d d d S) NrNrr7zr]rBrErHrKrOrRrqrwr|rrcrergrdrfr^r_r`rs3#! ), \  $= <'G $G%@ "@%B "B,D)D%B "B $zz ! &  \\ \ \ \  \5/  8r_