Allow exchange-minimum Kelly layers

2026-06-27 16:00:31 +03:00
parent 07d132632d
commit 7d84bf38cc
4 changed files with 117 additions and 5 deletions
@@ -394,6 +394,60 @@ def test_torch_forecast_kelly_buys_only_remaining_symbol_allocation(make_setting
    assert filled.diagnostics["checks"]["risk_size_ok"] is False


+def test_torch_forecast_kelly_allows_next_exchange_minimum_layer(make_settings, tmp_path) -> None:
+    settings = make_settings(
+        tmp_path,
+        strategy_mode="torch_forecast",
+        min_position_usdt=1,
+        max_position_usdt=8,
+        max_symbol_exposure_usdt=25,
+        max_total_exposure_usdt=75,
+        max_positions_per_symbol=6,
+        stop_loss_percent=0.04,
+        take_profit_percent=0.035,
+        kelly_sizing_enabled=True,
+        kelly_fraction=0.25,
+        kelly_max_fraction=0.20,
+        time_series_min_edge_percent=0.10,
+        time_series_min_probability_up=0.47,
+        time_series_min_confidence=0.4,
+    )
+    strategy = SpotStrategy(settings)
+    ticker = Ticker("HYPEUSDT", 63.14, 63.13, 63.15, 10_000_000, 1000, 1.0)
+
+    signal = strategy.entry_signal(
+        "HYPEUSDT",
+        [],
+        ticker,
+        open_positions_for_symbol=1,
+        forecast={
+            "usable": True,
+            "model": "torch_gru",
+            "expected_return_percent": 0.2115,
+            "probability_up": 0.5163,
+            "skill": 0.0156,
+            "block_entry": False,
+        },
+        account={
+            "equity": 98.6,
+            "cash": 88.54,
+            "exposure": 10.07,
+            "symbol": "HYPEUSDT",
+            "symbol_exposure_usdt": 5.05,
+            "open_positions_for_symbol": 1,
+            "exchange_min_entry_usdt": 5.07,
+        },
+    )
+
+    sizing = signal.diagnostics["position_sizing"]
+    assert signal.action == "BUY"
+    assert signal.diagnostics["checks"]["risk_size_ok"] is True
+    assert sizing["kelly_target_notional_usdt"] < sizing["kelly_open_symbol_exposure_usdt"]
+    assert sizing["kelly_raw_remaining_notional_usdt"] == 0.0
+    assert sizing["kelly_layer_mode"] is True
+    assert signal.diagnostics["position_notional_usdt"] == 5.07
+
+
 def test_torch_forecast_blocks_failed_quality_gate(make_settings, tmp_path) -> None:
    settings = make_settings(
        tmp_path,