490e6cd575
Equity = prior equity + the PRIOR held book marked to today's close (Σ positions_before.qty·(close−entry)), and the throttled book is sized off that running equity so gains compound. Previously positions were re-derived each day at that day's close, so unrealized≡0 and equity only reflected realized slivers, discarding all held-position appreciation. Also fix positions_before to anchor on nav rows (one per rebalanced run_date) instead of position rows, so a FLAT book (full exit / kill-switch, which persists zero position rows) is honored as the prior: the day after a kill correctly sees an EMPTY book rather than the last non-empty book before it. Updated test_backfill_rerun_is_idempotent_* to assert compounding equity reproduction instead of the old realized-monotone model. Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
38 lines
2.1 KiB
Python
38 lines
2.1 KiB
Python
import datetime as dt
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from fxhnt.adapters.persistence.paper_repo import PaperRepo
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from fxhnt.application.paper_book import persist_paper_book
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def _p(repo, d, px, lev=1.0):
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persist_paper_book(repo, capital=100000.0, run_date=d, sleeve_weights={"s": 1.0},
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symbol_weights_by_sleeve={"s": {"X": 1.0}}, prices={"X": px},
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at=dt.datetime(2026, 1, 1, tzinfo=dt.UTC), leverage=lev)
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def test_equity_compounds_off_prior_equity():
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r = PaperRepo("sqlite://"); r.migrate()
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_p(r, "2026-01-01", 100.0) # day0: no prior -> equity = capital
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assert r.nav_history()[-1].equity == 100000.0
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_p(r, "2026-01-02", 110.0) # prior qty 1000 *(110-100)=+10000 -> 110000
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assert abs(r.nav_history()[-1].equity - 110000.0) < 1e-6
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pos = r.positions_at("2026-01-02") # sized off 110000 -> qty 110000/110=1000
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assert abs(pos[0].qty - 110000.0 / 110.0) < 1e-6
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_p(r, "2026-01-03", 121.0) # +10% again, compounded -> 121000
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assert abs(r.nav_history()[-1].equity - 121000.0) < 1e-6
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def test_killed_flat_book_keeps_equity_flat():
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r = PaperRepo("sqlite://"); r.migrate()
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_p(r, "2026-01-01", 100.0)
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_p(r, "2026-01-02", 110.0) # equity 110000
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_p(r, "2026-01-03", 130.0, lev=0.0) # kill: prior(qty1000)*(130-110)=+20000 -> 130000, FLAT book
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assert abs(r.nav_history()[-1].equity - 130000.0) < 1e-6
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assert r.positions_at("2026-01-03") == []
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_p(r, "2026-01-04", 200.0) # prior empty -> gain 0 -> equity flat 130000
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assert abs(r.nav_history()[-1].equity - 130000.0) < 1e-6
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def test_rerun_is_idempotent():
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r = PaperRepo("sqlite://"); r.migrate()
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seq = [("2026-01-01", 100.0), ("2026-01-02", 110.0), ("2026-01-03", 121.0)]
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for d, px in seq: _p(r, d, px)
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first = [(n.run_date, n.equity) for n in r.nav_history()]
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for d, px in seq: _p(r, d, px) # re-run ascending
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assert [(n.run_date, n.equity) for n in r.nav_history()] == first
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