fix(sizing): reserve entry commission when sizing percent_of_equity#78
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TradingView sizes a percent_of_equity order so that notional + entry_fee stays within the target equity fraction: qty = equity*pct / (price * pointvalue * (1 + commRate)), commRate = commission_value/100 for a percent commission. The engine omitted the (1+commRate) divisor and sized slightly large, drifting the compounding equity/position path. Proven from TV exports (clean-room probes at pct=10 AND pct=100, percent commission): TV reserves the commission for BOTH fractional AND all-in sizing — first-entry qty = equity/(price*(1+commRate)) to the lot step, 16/16. So the reservation is not gated on headroom; the fix is global. New helper reserve_percent_commission() applied to both PERCENT_OF_EQUITY sizing branches (calc_qty + calc_qty_for_type). Percent commission only; FIXED/CASH qty types and commission_value==0 are exact no-ops. Gate (full R7): ctest 79/79; run_corpus 239 exc/12 strong/1 anomaly, byte-identical (corpus has no percent-commission percent_of_equity, so no-op there); data sweep net-0: one strategy strong->excellent (its true tier once sized correctly), one excellent->strong. The latter is a TRUTHFUL re-grade, not a regression: it is percent_of_equity=100 all-in (a margin-cascade strategy) whose prior excellent was an artifact of the under-sizing bug coincidentally matching TV's proprietary liquidation path; under correct sizing its honest tier is strong. Improves per-trade sizing accuracy for the ~50 percent-commission strategies in the dataset. Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>
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Summary
TradingView sizes a
percent_of_equityorder sonotional + entry_feestays within the target equity fraction:qty = equity*pct / (price*pointvalue*(1 + commRate)),commRate = commission_value/100for a percent commission. The engine omitted the(1+commRate)divisor and sized slightly large, drifting the compounding equity/position path.Proof (clean-room TV probes)
Two minimal probes (
percent_of_equity=10and=100,commission.percent=0.05, 1-bar holds so no margin fragmentation) were TV-exported. TV's first-entry qty (equity = initial_capital, decisive) matchesequity/(price*(1+commRate))to the lot step for both:/(1+c)So TV reserves the commission for fractional AND all-in sizing — the reservation is not gated on headroom, and the fix is global (16/16 clean entries exact).
Fix
New
reserve_percent_commission()helper applied to bothPERCENT_OF_EQUITYsizing branches (calc_qty+calc_qty_for_type). Percent commission only;FIXED/CASHqty types andcommission_value==0are exact no-ops.Gate (full R7)
run_corpus239 exc / 12 strong / 1 anomaly, byte-identical (corpus has no percent-commissionpercent_of_equity→ no-op there)The excellent→strong move is a truthful re-grade, not a regression: that strategy is
percent_of_equity=100all-in (margin-cascade), and its prior excellent was an artifact of the under-sizing bug coincidentally matching TV's proprietary liquidation path to <0.01% exit-p90. Under correct sizing its honest tier is strong. The fix improves per-trade sizing accuracy for the ~50 percent-commission strategies in the dataset.🤖 Generated with Claude Code