02317a14ab
A blocked RebalancePlan places zero orders but the account keeps its prior positions, so plan_and_record must not advance the multistrat_exec_pos basis or book a forward_record in that case — otherwise every subsequent executed return is computed against a phantom target book that was never placed. Also wires CockpitBacktestRefProvider to alias multistrat_exec -> multistrat so the reconciliation gate actually reconciles the executed track against the modeled book's basis-matched backtest reference, as the registry comment already (incorrectly) claimed. Plus a doc comment clarifying positions_after is the intended target basis, and type-annotated locals in compute_exec_return to keep the inferred return type float instead of Any. Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
43 lines
1.5 KiB
Python
43 lines
1.5 KiB
Python
"""C1: the EXECUTED multistrat track (`multistrat_exec`) has no `backtest_summary` row of its own — it must
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alias to the MODELED multistrat's basis-matched reference (persisted under sid `multistrat`) so the
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reconciliation gate can catch execution decay (spec §4)."""
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from __future__ import annotations
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from fxhnt.application.forward_ingest import CockpitBacktestRefProvider
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class _FakeSummary:
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def __init__(self, strategy_id: str, cagr: float) -> None:
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self.strategy_id = strategy_id
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self.cagr = cagr
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class _FakeRepo:
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def __init__(self, summaries: list[_FakeSummary]) -> None:
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self._summaries = summaries
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def all_backtest_summaries(self) -> list[_FakeSummary]:
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return self._summaries
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def test_multistrat_exec_aliases_to_modeled_multistrat_reference() -> None:
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repo = _FakeRepo([_FakeSummary("multistrat", 0.20)])
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provider = CockpitBacktestRefProvider(repo)
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ref = provider.reference("multistrat_exec", 30)
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assert ref is not None
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expected = (1.0 + 0.20) ** (30 / 365.0) - 1.0
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assert abs(ref.expected_window_return - expected) < 1e-12
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# sanity: the alias doesn't change the modeled track's own reference
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direct = provider.reference("multistrat", 30)
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assert direct is not None
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assert abs(direct.expected_window_return - expected) < 1e-12
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def test_track_with_no_alias_and_no_row_returns_none() -> None:
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repo = _FakeRepo([_FakeSummary("multistrat", 0.20)])
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provider = CockpitBacktestRefProvider(repo)
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assert provider.reference("some_other_track", 30) is None
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