momentum devandClaude Opus 5
9034839661
Tradier returns total_equity 0.0 during its overnight maintenance window -- sixteen times in the last fourteen days, all around 01:06. Three defects compounded so that a zero could size a position off default_equity: account_equity = equity or config.default_equity `or` cannot tell "not supplied" from "read as zero", so a real 0.0 became 100000. Then the position-value cap, derived from the same equity, was itself 0 -- and the guard if max_position_value is not None and max_position_value > 0: SKIPPED the cap precisely when the cap said "no room". Finally the auto path (~96% of approval requests) had no `pos_cap <= 0` early-out, unlike the manual path at request_entry_approval. Net effect on a ~$250 account: risk 5% of 100k = $5,000, capped only by liquidity. The broker would have rejected it for buying power, which is luck rather than design. Never fired in live hours -- every zero read landed with the market closed, and _current_equity caches the last good value -- so this is latent, not a realised loss. The reachable path is a boot that coincides with the maintenance window, when no good read has been cached yet. Distinguish None from zero, refuse to size on non-positive equity, treat a zero cap as "no room" rather than "no cap", and mirror the manual path's early-out. TRADING_DEFAULT_EQUITY is set to 300 on the live stack so even the untested fallback cannot oversize. Co-Authored-By: Claude Opus 5 (1M context) <noreply@anthropic.com> Claude-Session: https://claude.ai/code/session_01A2LepdJfPCfK5Q8uznjFBM
114 lines
4.7 KiB
Python
114 lines
4.7 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 (
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PositionSizingConfig,
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calculate_position_size,
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rank_risk_factor,
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)
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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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def test_max_risk_dollars_caps_wide_stop():
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# $90k, 1% = $900 budget; entry 2.00 stop 1.69 (0.31/sh wide stop)
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uncapped = calculate_position_size(2.00, 1.69, equity=90000, config=CFG)
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assert abs(uncapped.risk_amount - 900) < 2 # risks the full % budget
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capped = calculate_position_size(2.00, 1.69, equity=90000, config=CFG, max_risk_dollars=500)
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assert capped.position_size < uncapped.position_size # sized down
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assert 490 < capped.risk_amount <= 500.5 # hard $ cap honored (~$500)
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def test_max_risk_dollars_noop_when_budget_smaller():
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# small account: 1% of $300 = $3 budget << the $500 cap -> cap doesn't bind
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r = calculate_position_size(4.0, 3.80, equity=300, config=CFG, max_risk_dollars=500)
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assert r.position_size == 14 # unchanged from the % budget
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def test_risk_amount_reports_actual_not_budget():
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# after a binding value cap, risk_amount = the SIZED position's risk, not the budget
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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 abs(r.risk_amount - 30 * 0.02) < 1e-6 # ~$0.60 actual, not the $3 budget
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def test_rank_risk_factor_concentrates():
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assert rank_risk_factor(1, 0) == 1.0 # concentration OFF -> full
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assert rank_risk_factor(5, 0) == 1.0
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assert rank_risk_factor(1, 2) == 1.0 # rank-1 full budget
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assert rank_risk_factor(2, 2) == 0.5 # rank-2 half
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assert rank_risk_factor(3, 2) == 0.0 # outside top-2 -> skip
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assert rank_risk_factor(0, 2) == 1.0 # unranked -> not concentrated
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# --- zero-equity guards (2026-09-13) -----------------------------------------
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# Tradier returned total_equity 0.0 sixteen times in fourteen days, all inside
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# its ~01:06 maintenance window. `equity or default` read that real zero as
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# "not supplied" and sized off default_equity (100k) — on a $241 account that
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# is a position risking 5% of 100k. Two independent holes made it reachable:
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# the falsy-zero fallback, and a `max_position_value > 0` test that SKIPPED the
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# cap exactly when the cap was zero.
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def test_zero_equity_refuses_to_size():
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"""A real 0.0 reading must size nothing — never fall back to default_equity."""
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r = calculate_position_size(
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4.0, 3.80, equity=0.0,
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config=PositionSizingConfig(risk_per_trade_pct=0.05, default_equity=100000),
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)
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assert r.position_size == 0
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assert r.dollar_amount == 0.0
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def test_negative_equity_refuses_to_size():
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r = calculate_position_size(4.0, 3.80, equity=-5.0, config=CFG)
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assert r.position_size == 0
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def test_none_equity_still_uses_the_default():
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"""The documented fallback must survive: not-passed is not the same as zero."""
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r = calculate_position_size(
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4.0, 3.80, equity=None,
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config=PositionSizingConfig(risk_per_trade_pct=0.01, default_equity=100000),
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)
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assert r.position_size > 0
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def test_zero_position_cap_blocks_the_trade():
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"""A cap of 0 means no room (no settled cash / gross budget spent), not 'no cap'."""
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r = calculate_position_size(4.0, 3.80, equity=300, config=CFG, max_position_value=0.0)
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assert r.position_size == 0
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def test_positive_cap_still_caps():
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r = calculate_position_size(4.0, 3.80, equity=300, config=CFG, max_position_value=40.0)
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assert r.position_size == 10 # 40 / 4.00
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