volatility regime detection - when to switch strategies

from enum import Enum
from dataclasses import dataclass
from typing import Dict, Optional, Callable
import numpy as np

class VolRegime(Enum):
    LOW = "low_volatility"
    NORMAL = "normal"
    HIGH = "high_volatility"
    TRANSITIONING = "regime_change"

@dataclass
class RegimeConfig:
    low_vol_threshold: float = 16.0
    high_vol_threshold: float = 24.0
    lookback_days: int = 5
    min_days_for_switch: int = 2
    transition_buffer: float = 1.5  # buffer zone

class RegimeDetector:
    def __init__(self, config: RegimeConfig):
        self.config = config
        self.vix_history = []
        self.current_regime = VolRegime.NORMAL
        self.days_in_regime = 0
        self.strategy_allocations = {
            VolRegime.LOW: {"momentum": 0.50, "mean_rev": 0.15, "vol_sell": 0.35},
            VolRegime.NORMAL: {"momentum": 0.35, "mean_rev": 0.35, "vol_sell": 0.30},
            VolRegime.HIGH: {"momentum": 0.15, "mean_rev": 0.55, "vol_sell": 0.10},
            VolRegime.TRANSITIONING: {"momentum": 0.25, "mean_rev": 0.25, "vol_sell": 0.20}
        }

    def update(self, vix_value: float) -> VolRegime:
        """Update regime based on new VIX reading"""
        self.vix_history.append(vix_value)
        if len(self.vix_history) > self.config.lookback_days:
            self.vix_history = self.vix_history[-self.config.lookback_days:]

        new_regime = self._classify_regime(vix_value)

        if new_regime != self.current_regime:
            self.days_in_regime = 1
            # Don't switch immediately - wait for confirmation
            if self._confirm_regime_change(new_regime):
                self.current_regime = new_regime
        else:
            self.days_in_regime += 1

        return self.current_regime

    def _classify_regime(self, vix: float) -> VolRegime:
        """Raw classification without transition logic"""
        if vix < self.config.low_vol_threshold:
            return VolRegime.LOW
        elif vix > self.config.high_vol_threshold:
            return VolRegime.HIGH
        else:
            return VolRegime.NORMAL

    def _confirm_regime_change(self, proposed: VolRegime) -> bool:
        """Require multiple days before switching"""
        if len(self.vix_history) < self.config.min_days_for_switch:
            return False

        recent = self.vix_history[-self.config.min_days_for_switch:]
        all_agree = all(
            self._classify_regime(v) == proposed for v in recent
        )
        return all_agree

    def get_allocations(self) -> Dict[str, float]:
        """Get strategy allocations for current regime"""
        return self.strategy_allocations.get(
            self.current_regime,
            self.strategy_allocations[VolRegime.NORMAL]
        )

    def get_regime_stats(self) -> dict:
        """Return current regime analysis"""
        avg_vix = np.mean(self.vix_history) if self.vix_history else 0
        return {
            "current_regime": self.current_regime.value,
            "days_in_regime": self.days_in_regime,
            "avg_vix_5d": round(avg_vix, 2),
            "allocations": self.get_allocations()
        }