Adriano Dal Pastro
432c1ad790
Bug: i flat si dividevano l'INTERO total includendo il capitale dei worker in
posizione, che lo trattenevano in piu' -> equity gonfiata di Sigma(capital-alloc)
sugli in-pos. Caso MR02_BTC 15m seedato (181.19) e in posizione al ribilancio
00:01: +4.77 fantasma. allocate(weights, reserved={sid:cap}): gli in-pos
trattengono il loro, i flat si dividono total-Sigma(reserved) per peso
rinormalizzato -> Sigma alloc == total sempre. Parita' runner intatta
(5.8e-08). Test conservazione (ledger + runner). Suite verde.
Co-Authored-By: Claude Fable 5 <noreply@anthropic.com>
44 lines
1.9 KiB
Python
44 lines
1.9 KiB
Python
from pathlib import Path
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from src.portfolio.ledger import PortfolioLedger
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def test_alloc_split_by_weights(tmp_path):
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L = PortfolioLedger("PORTX", total_capital=1000.0, data_dir=tmp_path)
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alloc = L.allocate({"a": 0.6, "b": 0.4})
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assert alloc == {"a": 600.0, "b": 400.0}
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def test_alloc_conserves_total_with_reserved(tmp_path):
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# un worker in posizione (reserved) trattiene capitale != alloc: i flat si
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# dividono il RESTO per peso rinormalizzato e Σalloc == total (no doppio conteggio).
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# Regressione del bug 2026-06-13 (MR02_BTC 15m in-pos al ribilancio: +4.77 fantasma).
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L = PortfolioLedger("PORTX", total_capital=1000.0, data_dir=tmp_path)
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alloc = L.allocate({"a": 0.5, "b": 0.25, "c": 0.25}, reserved={"a": 181.0})
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assert abs(sum(alloc.values()) - 1000.0) < 1e-6 # equity conservata
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assert alloc["a"] == 181.0 # in-pos tiene il suo
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# b e c si dividono 819 per peso 0.25/0.25 -> 409.5 ciascuno
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assert abs(alloc["b"] - 409.5) < 1e-6 and abs(alloc["c"] - 409.5) < 1e-6
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def test_alloc_no_reserved_is_legacy(tmp_path):
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L = PortfolioLedger("PORTX", total_capital=1000.0, data_dir=tmp_path)
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assert L.allocate({"a": 0.6, "b": 0.4}) == {"a": 600.0, "b": 400.0}
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def test_update_tracks_equity_and_dd(tmp_path):
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L = PortfolioLedger("PORTX", total_capital=1000.0, data_dir=tmp_path)
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L.update_equity({"a": 700.0, "b": 500.0})
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assert L.equity == 1200.0 and L.peak == 1200.0 and L.max_dd == 0.0
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L.update_equity({"a": 500.0, "b": 400.0})
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assert L.equity == 900.0
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assert abs(L.max_dd - 25.0) < 1e-9
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def test_persist_and_resume(tmp_path):
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L = PortfolioLedger("PORTX", total_capital=1000.0, data_dir=tmp_path)
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L.update_equity({"a": 1100.0})
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L.save()
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L2 = PortfolioLedger("PORTX", total_capital=1000.0, data_dir=tmp_path)
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assert L2.equity == 1100.0 and L2.peak == 1100.0
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assert (tmp_path / "PORTX" / "equity.jsonl").exists()
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