bb4ec3e2ae
The ForwardTracker now optionally throttles booked exposure off the live track's own running drawdown: flatten to 0 once drawdown exceeds kill_dd, re-enter once it recovers inside reenter_dd. The drawdown SIGNAL tracks shadow (un-throttled) equity so recovery is observable while flat; the booked NAV reflects the throttled book. No-lookahead (each day's decision uses prior-day kill-state); state is persisted (shadow_nav/shadow_peak/ killed) and lazy-inits for tracks that predate the switch. Wired ON in both live entry points via new settings combined_book_kill_dd (0.15) / combined_book_reenter_dd (0.07): the Dagster combined_forward_nav asset and the forward-track CLI. Default OFF at the tracker/factory level so existing trackers and tests are unchanged. Tests 54 passed (incl. new live-killswitch test); mypy clean on changed lines (pre-existing debt untouched). Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>
76 lines
3.4 KiB
Python
76 lines
3.4 KiB
Python
"""Generic ForwardTracker: first-run freeze, forward-only booking, idempotency, extra round-trip."""
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from __future__ import annotations
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from fxhnt.application.forward_tracker import ForwardTracker
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class _Recomputable:
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"""Recomputable-series strategy: always returns the full known series."""
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def __init__(self, series: list[tuple[str, float]]) -> None:
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self._series = series
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def advance(self, last_date, extra):
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return list(self._series), extra
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class _LiveBooking:
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"""Live-booking strategy: books one row for `today`, carries a counter in extra."""
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def __init__(self, today: str, ret: float) -> None:
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self._today, self._ret = today, ret
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def advance(self, last_date, extra):
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n = int(extra.get("runs", 0)) + 1
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return [(self._today, self._ret)], {"runs": n}
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def test_first_run_freezes_and_books_nothing(tmp_path) -> None:
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p = str(tmp_path / "s.json")
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st = ForwardTracker(_Recomputable([("2026-01-01", 0.01), ("2026-01-02", 0.02)]), p).step()
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assert st.forward_days == 0 # freeze: nothing booked on first run
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assert st.inception == "2026-01-02" # inception = latest known date
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assert st.last_date == "2026-01-02"
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def test_second_run_books_only_forward_days(tmp_path) -> None:
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p = str(tmp_path / "s.json")
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strat = _Recomputable([("2026-01-01", 0.01), ("2026-01-02", 0.02)])
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ForwardTracker(strat, p).step() # freeze at 2026-01-02
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strat._series.append(("2026-01-03", 0.05)) # a new day appears
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st = ForwardTracker(strat, p).step()
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assert st.forward_days == 1 # only 2026-01-03 booked
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assert abs(st.forward_return_pct - 5.0) < 1e-9
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assert st.last_date == "2026-01-03"
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def test_idempotent_rerun_books_nothing(tmp_path) -> None:
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p = str(tmp_path / "s.json")
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strat = _Recomputable([("2026-01-01", 0.01), ("2026-01-02", 0.02), ("2026-01-03", 0.05)])
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ForwardTracker(strat, p).step() # freeze at 2026-01-03
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st = ForwardTracker(strat, p).step() # nothing new
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assert st.forward_days == 0
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def test_killswitch_flattens_live_track_and_reenters(tmp_path) -> None:
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p = str(tmp_path / "s.json")
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# ramp (peak) -> crash past kill_dd -> recovery; freeze on first run, then book forward
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series = [(f"2026-01-{i+1:02d}", 0.01) for i in range(10)] # ramp
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ForwardTracker(_Recomputable(series), p, kill_dd=0.15).step() # freeze at last ramp day
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series += [(f"2026-02-{i+1:02d}", -0.06) for i in range(5)] # ~-26% crash -> breach
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st = ForwardTracker(_Recomputable(series), p, kill_dd=0.15).step()
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import json
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days = json.load(open(p))["days"]
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crash = [d for d in days if d["date"].startswith("2026-02")]
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assert any(d["ret"] == 0.0 and d["killed"] for d in crash) # flattened during crash
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# a flattened day books 0 even though the underlying return was -0.06
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assert any(d["killed"] and d["ret"] == 0.0 for d in crash)
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assert st.forward_days == 5
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def test_extra_carry_state_round_trips(tmp_path) -> None:
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p = str(tmp_path / "s.json")
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ForwardTracker(_LiveBooking("2026-01-01", 0.0), p).step() # freeze, extra={"runs":1}
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ForwardTracker(_LiveBooking("2026-01-02", 0.01), p).step() # books 2026-01-02
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import json
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extra = json.load(open(p))["extra"]
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assert extra["runs"] == 2 # advance saw prior extra and incremented
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