From b0aa90aa32cc29f9d86da99ea29954d4328300f7 Mon Sep 17 00:00:00 2001
From: Pigbibi <20649888+Pigbibi@users.noreply.github.com>
Date: Wed, 8 Jul 2026 22:59:53 +0800
Subject: [PATCH] feat(risk): tune crypto risk-gate weights and add thesis
 ledger

Co-Authored-By: Claude <noreply@anthropic.com>
Co-authored-by: Cursor <cursoragent@cursor.com>
---
 .github/workflows/thesis-check.yml            | 70 +++++++++++++++++++
 docs/thesis-ledger.json                       | 28 ++++++++
 src/crypto_strategies/entrypoints/__init__.py |  4 +-
 3 files changed, 100 insertions(+), 2 deletions(-)
 create mode 100644 .github/workflows/thesis-check.yml
 create mode 100644 docs/thesis-ledger.json

diff --git a/.github/workflows/thesis-check.yml b/.github/workflows/thesis-check.yml
new file mode 100644
index 0000000..1ebaf13
--- /dev/null
+++ b/.github/workflows/thesis-check.yml
@@ -0,0 +1,70 @@
+name: Thesis Check
+
+on:
+  schedule:
+    - cron: "0 2 1 * *"
+  workflow_dispatch:
+
+permissions:
+  contents: read
+  issues: write
+
+jobs:
+  thesis:
+    runs-on: ubuntu-latest
+    timeout-minutes: 10
+    steps:
+      - name: Checkout
+        uses: actions/checkout@v6
+
+      - name: Set up Python
+        uses: actions/setup-python@v6
+        with:
+          python-version: "3.11"
+
+      - name: Validate thesis ledger
+        env:
+          GH_TOKEN: ${{ secrets.GITHUB_TOKEN }}
+          GITHUB_REPOSITORY: ${{ github.repository }}
+        run: |
+          set -euo pipefail
+          python - <<'PY'
+          import json, os, pathlib, subprocess, sys
+          path = pathlib.Path("docs/thesis-ledger.json")
+          if not path.exists():
+              print("::error::docs/thesis-ledger.json missing")
+              sys.exit(1)
+          data = json.loads(path.read_text())
+          strategies = data.get("strategies") or {}
+          if not strategies:
+              print("::error::no strategies in thesis ledger")
+              sys.exit(1)
+          failures = []
+          warnings = []
+          for name, row in strategies.items():
+              fals = row.get("falsification_conditions") or []
+              if not row.get("thesis"):
+                  failures.append(f"{name}: missing thesis")
+              if len(fals) < 2:
+                  failures.append(f"{name}: need >=2 falsification_conditions")
+              hit = row.get("hit_rate")
+              if hit is not None and float(hit) < 0.5:
+                  warnings.append(f"{name}: hit_rate {hit} < 0.5")
+              if str(row.get("verdict", "")).lower() in {"falsified", "failed", "reject"}:
+                  failures.append(f"{name}: verdict={row.get('verdict')}")
+          print(f"[thesis-check] strategies={len(strategies)} failures={len(failures)} warnings={len(warnings)}")
+          for item in failures:
+              print(f"::error::{item}")
+          for item in warnings:
+              print(f"::warning::{item}")
+          repo = os.environ.get("GITHUB_REPOSITORY", "")
+          token = os.environ.get("GH_TOKEN", "")
+          if failures and repo and token:
+              title = f"[thesis-check] falsification/validation failures ({len(failures)})"
+              body = "\n".join(f"- {x}" for x in failures)
+              # create issue (best-effort)
+              subprocess.run([
+                  "gh", "issue", "create", "--title", title, "--body", body + "\n\ncc @Pigbibi"
+              ], check=False)
+          sys.exit(1 if failures else 0)
+          PY
diff --git a/docs/thesis-ledger.json b/docs/thesis-ledger.json
new file mode 100644
index 0000000..8e3ab5a
--- /dev/null
+++ b/docs/thesis-ledger.json
@@ -0,0 +1,28 @@
+{
+  "strategies": {
+    "crypto_live_pool_rotation": {
+      "thesis": "加密实时池轮动可在趋势市捕获相对强度并借助 ATR 止损控制尾部",
+      "falsification_conditions": [
+        "滚动12个月相对 BTC 超额 < 0",
+        "ATR 止损后仍出现 >30% 单笔回撤"
+      ],
+      "created": "2025-09-01",
+      "last_verified": "2026-07-08",
+      "verdict": "active",
+      "hit_rate": null,
+      "status_note": "runtime_enabled"
+    },
+    "crypto_btc_dca": {
+      "thesis": "BTC 智能定投在波动分层下优于固定金额 DCA",
+      "falsification_conditions": [
+        "相对等额定投 12个月超额 < 0",
+        "高波动加仓规则连续失效 3 个月"
+      ],
+      "created": "2025-09-01",
+      "last_verified": "2026-07-08",
+      "verdict": "active",
+      "hit_rate": null,
+      "status_note": "shadow_candidate"
+    }
+  }
+}
diff --git a/src/crypto_strategies/entrypoints/__init__.py b/src/crypto_strategies/entrypoints/__init__.py
index 91b2d9d..a3c65de 100644
--- a/src/crypto_strategies/entrypoints/__init__.py
+++ b/src/crypto_strategies/entrypoints/__init__.py
@@ -426,7 +426,7 @@ def evaluate_crypto_trend_rotation(ctx: StrategyContext) -> StrategyDecision:
         risk_flags=risk_flags,
         diagnostics=diagnostics,
     )
-    return apply_risk_gate(decision, max_single_weight=0.50)
+    return apply_risk_gate(decision, max_single_weight=0.30)
 
 
 crypto_trend_rotation_entrypoint = CallableStrategyEntrypoint(
@@ -615,7 +615,7 @@ def evaluate_crypto_equity_combo(ctx: StrategyContext) -> StrategyDecision:
         risk_flags=risk_flags,
         diagnostics=diagnostics,
     )
-    return apply_risk_gate(decision)
+    return apply_risk_gate(decision, max_single_weight=0.30)
 
 
 crypto_equity_combo_entrypoint = CallableStrategyEntrypoint(