File size: 7,142 Bytes
0f038be 6ca93dc 0f038be 6ca93dc 0f038be 6ca93dc 0f038be 6ca93dc | 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 68 69 70 71 72 73 74 75 76 77 78 79 80 81 82 83 84 85 86 87 88 89 | """Position sizing: growth-optimal fractions, score bands, caps and the bankroll replay."""
import numpy as np
import pytest
from fly_trader import config
from fly_trader.agent import sizing
def test_kelly_counts_the_tail_and_needs_an_edge():
assert sizing.kelly_fraction(np.array([-0.01, 0.005, -0.02])) == 0.0 # no edge
wins = np.full(90, 0.10); rugs = np.full(10, -1.0)
assert sizing.kelly_fraction(np.r_[wins, rugs]) == 0.0 # +10 % x 90 cannot pay for 10 total losses (mean -1 %)
f = sizing.kelly_fraction(np.r_[np.full(95, 0.10), np.full(5, -1.0)]) # mean +4.5 %: a small bet
assert 0.0 < f < 0.5
f_even = sizing.kelly_fraction(np.r_[np.full(50, 0.2), np.full(50, -0.1)]) # classic: p/L - q/W = 0.5/0.1 - 0.5/0.2 = 2.5 -> capped by the grid
assert f_even == pytest.approx(0.99)
def test_bands_rank_by_margin_and_higher_certainty_bets_more(monkeypatch):
rng = np.random.default_rng(0); m = rng.uniform(0, 0.1, 4000)
r = np.where(rng.random(4000) < 0.86 + 0.8 * m, 0.08, -0.50) # +8 % wins vs -50 % crashes; the win rate rises with the margin
table = sizing.build_table(m, r)
assert len(table) == sizing.N_BANDS and table[0]["lo"] == 0.0 and [b["lo"] for b in table] == sorted(b["lo"] for b in table)
assert table[-1]["kelly"] > table[0]["kelly"]
monkeypatch.setattr(config, "GAS_RESERVE_SOL", 0.3); monkeypatch.setattr(config, "KELLY_FRACTION", 0.25); monkeypatch.setattr(config, "MAX_POSITION_FRACTION", 1.0)
monkeypatch.setattr(config, "MAX_POOL_SHARE", 1.0); monkeypatch.setattr(config, "MIN_POSITION_SOL", 0.0); monkeypatch.setattr(config, "LABEL_SIZE_SOL", 1e9)
lo, _ = sizing.size_position(0.5 + 0.001, 0.5, table, 10.3, 10.3, 1000.0)
hi, _ = sizing.size_position(0.5 + 0.099, 0.5, table, 10.3, 10.3, 1000.0)
assert hi > lo >= 0 and hi > 0 # the weakest band may have no edge at all
def test_caps_minimum_and_fallback(monkeypatch):
table = [{"lo": 0.0, "n": 100, "mean": 0.05, "win": 0.7, "kelly": 0.8}]
monkeypatch.setattr(config, "GAS_RESERVE_SOL", 0.3); monkeypatch.setattr(config, "KELLY_FRACTION", 0.25); monkeypatch.setattr(config, "MAX_POSITION_FRACTION", 0.10)
monkeypatch.setattr(config, "MAX_POOL_SHARE", 0.02); monkeypatch.setattr(config, "MIN_POSITION_SOL", 0.02); monkeypatch.setattr(config, "MAX_POSITION_SOL", 0.1)
monkeypatch.setattr(config, "LABEL_SIZE_SOL", 0.5)
s, why = sizing.size_position(0.9, 0.8, table, 5.3, 5.3, 1000.0)
assert s == pytest.approx(0.5) and "bankroll cap" in why # 0.25*0.8*5 = 1.0 -> 10 % of 5 = 0.5
s, why = sizing.size_position(0.9, 0.8, table, 5.3, 5.3, 10.0)
assert s == pytest.approx(0.2) and "label size" in why # 2 % of a 10 SOL pool: the size its labels were priced at
s, why = sizing.size_position(0.9, 0.8, table, 5.3, 0.31, 1000.0)
assert s == 0.0 and "minimum" in why # only 0.01 SOL free above the reserve
assert sizing.size_position(0.7, 0.8, table, 5.3, 5.3, 1000.0)[0] == 0.0 # below the line: no band
assert sizing.size_position(0.9, 0.8, [], 5.3, 5.3, 1000.0)[0] == pytest.approx(0.1) # no table: the fixed size
def test_bankroll_replay_enforces_cash_and_compounds(monkeypatch):
monkeypatch.setattr(config, "GAS_RESERVE_SOL", 0.3); monkeypatch.setattr(config, "KELLY_FRACTION", 0.25); monkeypatch.setattr(config, "MAX_POSITION_FRACTION", 0.10)
monkeypatch.setattr(config, "MIN_POSITION_SOL", 0.02); monkeypatch.setattr(config, "MAX_POSITION_SOL", 0.1)
ts = np.arange(200) * 3600.0; m = np.full(200, 0.05); r = np.full(200, 0.05) # every trade +5 %, one at a time
table = [{"lo": 0.0, "n": 200, "mean": 0.05, "win": 1.0, "kelly": 0.99}]
sized = sizing.simulate_bankroll(ts, 1800.0, m, r, table, start_sol=5.0); fixed = sizing.simulate_bankroll(ts, 1800.0, m, r, None, start_sol=5.0)
assert sized["final_sol"] > fixed["final_sol"] > 5.0 and sized["max_drawdown"] == 0.0 and sized["trades"] == 200
monkeypatch.setattr(config, "MAX_POOL_SHARE", 0.02)
shallow = sizing.simulate_bankroll(ts, 1800.0, m, r, table, start_sol=5.0, res_quote=np.full(200, 1.0)) # 1 SOL pools: 0.02 SOL cap
assert shallow["final_sol"] < sized["final_sol"] and shallow["trades"] == 200 # the pool-depth cap binds, as live
def test_flat_sizing_ignores_the_bands(monkeypatch):
"""A selective fly resolves too few trades a week for bands (they flipped between Kelly 0.97, 0 and 0.15): every buy
that cleared the line gets the same share of the bankroll."""
monkeypatch.setattr(config, "GAS_RESERVE_SOL", 0.3); monkeypatch.setattr(config, "MAX_POSITION_FRACTION", 0.10); monkeypatch.setattr(config, "MIN_POSITION_SOL", 0.02)
monkeypatch.setattr(config, "LABEL_SIZE_SOL", 0.5); monkeypatch.setattr(config, "MAX_POOL_SHARE", 0.02)
dead = [{"lo": 0.0, "n": 52, "mean": -0.01, "win": 0.4, "kelly": 0.0}]
assert sizing.size_position(0.9, 0.8, dead, 3.3, 3.3, 1000.0)[0] == 0.0 # the band says no edge
s, why = sizing.size_position(0.9, 0.8, dead, 3.3, 3.3, 1000.0, flat=True)
assert s == pytest.approx(0.3) and why.startswith("flat") # 10 % of 3 SOL deployable
@pytest.mark.parametrize("flat", [True, False])
def test_a_bigger_bankroll_never_buys_bigger_than_the_labels(monkeypatch, flat):
"""In the 2026-09-26 replay a 500 SOL book sized past the label size lost 426 SOL over 60 days; capped at it, it made
the same +13 SOL as a 5 or 50 SOL book. From 5 SOL up, the same pool gets the same buy."""
monkeypatch.setattr(config, "GAS_RESERVE_SOL", 0.3); monkeypatch.setattr(config, "MAX_POSITION_FRACTION", 0.10); monkeypatch.setattr(config, "MIN_POSITION_SOL", 0.02)
monkeypatch.setattr(config, "KELLY_FRACTION", 1.0); monkeypatch.setattr(config, "LABEL_SIZE_SOL", 0.5); monkeypatch.setattr(config, "MAX_POOL_SHARE", 0.02)
table = [{"lo": 0.0, "n": 500, "mean": 0.2, "win": 0.9, "kelly": 0.99}]
for pool, want in ((10.0, 0.2), (100.0, 0.5), (10_000.0, 0.5)):
sizes = {b: sizing.size_position(0.9, 0.8, table, b, b, pool, flat=flat)[0] for b in (5.3, 50.3, 500.3, 5000.3)}
assert all(v == pytest.approx(want) for v in sizes.values()), (pool, sizes)
def test_labels_are_priced_at_a_fixed_size_not_a_share_of_the_bankroll(monkeypatch):
from fly_trader.market import exit_cost
monkeypatch.setattr(config, "LABEL_SIZE_SOL", 0.5); monkeypatch.setattr(config, "MAX_POOL_SHARE", 0.02)
a = exit_cost.cost_at_size(0.02, 200.0)
monkeypatch.setattr(config, "CAPITAL_SOL", 500.0)
assert exit_cost.cost_at_size(0.02, 200.0) == pytest.approx(a) # a bigger bankroll does not change the labels
assert exit_cost.label_size(200.0) == pytest.approx(0.5) and exit_cost.label_size(10.0) == pytest.approx(0.2) and exit_cost.label_size(None) == 0.5
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