momentum devandClaude Opus 4.8
638843ca3a
For going live on a SMALL real account ($300). The sizer assumed a $100k default -> at $300 it would size $1,000 positions and get rejected. Now: - _current_equity() reads actual broker equity (cached get_account) and sizes off it, so a $300 account sizes for $300. - max_position_value caps each position to ~1/3 of equity (TRADING_MAX_POSITION_PCT) so N positions fit buying power. - max_shares liquidity cap (TRADING_LIQUIDITY_MAX_VOLUME_PCT * day volume) wired through the trigger book -> submit_breakout_now; off at small size, for scaling. Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
36 lines
1.4 KiB
Python
36 lines
1.4 KiB
Python
"""Account-aware position sizing: risk-based, capped by buying power + liquidity.
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Critical for a small REAL account ($300) — sizing must come off real equity and
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no single position can exceed buying power.
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"""
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from strategy.risk.position_sizing import PositionSizingConfig, calculate_position_size
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CFG = PositionSizingConfig(risk_per_trade_pct=0.01)
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def test_sizes_off_small_equity():
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# $300 equity, 1% = $3 risk; entry 4.00 stop 3.80 (risk 0.20) -> 14 shares
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# (3/0.20 = 14.999.. truncates down — conservative, never over-risk)
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r = calculate_position_size(4.0, 3.80, equity=300, config=CFG)
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assert r.position_size == 14
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assert r.dollar_amount <= 300 * CFG.risk_per_trade_pct / 0.20 * 4.0 + 1e-6
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def test_value_cap_binds_on_tight_stop():
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# tight stop -> risk-based wants 150 sh ($600); cap at $120 -> 30 shares
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r = calculate_position_size(4.0, 3.98, equity=300, config=CFG, max_position_value=120)
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assert r.position_size == 30
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assert r.dollar_amount <= 120 + 1e-6
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def test_liquidity_cap_binds():
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r = calculate_position_size(4.0, 3.80, equity=300, config=CFG, max_shares=5)
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assert r.position_size == 5
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def test_default_equity_when_unset():
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# no equity passed -> falls back to config default (not zero)
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r = calculate_position_size(4.0, 3.80, config=PositionSizingConfig(default_equity=100000))
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assert r.position_size > 0
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