fix(alloc): per-strategy cap now binds (concentration limit, holds cash) instead of a renormalise no-op (B2a)

The equal-weight cap+renormalise was algebraically a no-op — n=1 got 100% weight despite a 50% cap.
Cap without renormalising: when 1/n > max_strategy_weight the book holds cash rather than over-
concentrating; common case (1/n <= cap) is plain equal weight. + tests that exercise the binding cap.

Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>

src/fxhnt/application/allocation_engine.py

@@ -102,12 +102,10 @@ def compute_allocation(
     # 2. marginal-Sharpe quality gate (equal-weight book), 3. equal-weight survivors
     survivors = equal_weight_marginal_prune(eligible) if policy.marginal_gate else set(eligible)
     n = len(survivors)
-    base = {s: 1.0 / n for s in survivors}
-    # per-strategy cap + renormalise (inert for pure equal weight, honours the policy guardrail)
-    if any(w > policy.max_strategy_weight + 1e-12 for w in base.values()):
-        capped = {s: min(w, policy.max_strategy_weight) for s, w in base.items()}
-        tot = sum(capped.values())
-        base = {s: w / tot for s, w in capped.items()} if tot > 0 else base
+    # equal-weight, capped at the per-strategy concentration limit. NO renormalise: when the cap binds
+    # (1/n > max_strategy_weight, i.e. very few survivors) the book deliberately holds cash rather than
+    # over-concentrating in one strategy. For the common case (1/n <= cap) this is plain equal weight.
+    base = {s: min(1.0 / n, policy.max_strategy_weight) for s in survivors}
     # 5. rare latching aggregate killswitch -> flatten
     book = deploy_book_returns({s: eligible[s] for s in survivors})
     if killswitch_active(book, policy.kill_dd, policy.reenter_dd):

tests/unit/test_compute_allocation.py

@@ -18,7 +18,7 @@ def test_equal_weight_and_ex_ante_leverage():
     # perfect complements make the equal-weight book flat (constant per-day average), i.e. zero full-history
     # vol, which degenerately forces K=0 and defeats the point of this test (a positive, bounded K).
     a = {f"2026-06-{d:02d}": (0.01 if d % 2 else -0.005) for d in range(1, 21)}
-    b = {f"2026-06-{d:02d}": (0.01 if d % 2 else -0.005) for d in range(1, 21)}
+    b = {f"2026-06-{d:02d}": (0.01 if d % 3 == 0 else -0.005) for d in range(1, 21)}
     w = compute_allocation({"a": a, "b": b}, pol)
     assert set(w) == {"a", "b"}
     assert abs(w["a"] - w["b"]) < 1e-9                       # equal base weights
@@ -52,3 +52,30 @@ def test_killswitch_flattens():
     crash = {f"2026-06-{d:02d}": -0.04 for d in range(1, 11)}   # deep DD → killswitch
     w = compute_allocation({"a": crash, "b": crash}, pol)
     assert all(v == 0.0 for v in w.values())                   # flattened
+
+
+def test_per_strategy_cap_binds_and_holds_cash():
+    # n=1 with the default 0.5 cap: the sole survivor must be capped at 0.5 (not 1.0) BEFORE leverage —
+    # the concentration guardrail fires and the book holds cash.
+    pol = AllocationPolicy(min_history_days=5, marginal_gate=False, max_strategy_weight=0.5,
+                           kill_dd=0.99, reenter_dd=0.98)
+    a = {f"2026-06-{d:02d}": (0.01 if d % 2 else -0.005) for d in range(1, 21)}
+    w = compute_allocation({"a": a}, pol)
+    # base weight is capped at 0.5; target = K * 0.5, so w["a"] / K == 0.5 (cap fired, not 1.0)
+    from fxhnt.application.allocation_engine import full_history_vol
+    from fxhnt.application.promotion_corr import deploy_book_returns
+    vol = full_history_vol(deploy_book_returns({"a": a}))
+    k = min(pol.max_leverage, pol.kelly_fraction * pol.target_vol / vol)
+    assert abs(w["a"] - k * 0.5) < 1e-9        # capped at 0.5, NOT k*1.0
+
+
+def test_cap_does_not_bind_when_many_strategies():
+    pol = AllocationPolicy(min_history_days=5, marginal_gate=False, max_strategy_weight=0.5,
+                           kill_dd=0.99, reenter_dd=0.98)
+    strat = {f"s{i}": {f"2026-06-{d:02d}": (0.01 if (d + i) % 2 else -0.005) for d in range(1, 21)}
+             for i in range(3)}
+    w = compute_allocation(strat, pol)
+    # 1/3 < 0.5 → no cap → equal 1/3 base each (× K)
+    k = sum(w.values())
+    for v in w.values():
+        assert abs(v - k / 3) < 1e-9