Module book 

Book: trading a full month or a full year, the way a person would

sim.rs grades strategies one trade at a time. That answers “is this trade a good bet?”, but not “what would my account have looked like if I had run this for all of 2022?”. This file answers the second question.

What “trade a full period” means here

1. Start flat: cash only, capital dollars, at the close of the last trading day before the period.
2. Every close, decide: SD is read from bars up to and including that close, and nothing later. The strategy says what it wants to hold.
3. Fill at the next open (stocks) or at that close (options, the option simulator’s rule, since option prices come from the close). Every fill pays costs.
4. Mark to market every close: the equity curve is cash plus what every open position is worth that day.
5. End flat: everything still open is closed at the period’s last close, at marked value minus closing costs.

Nothing in the period can see the period’s future: SD’s models for year Y are refitted on bars whose outcomes were known before Y began (see sd_year).

Two kinds of strategy

• Allocator: stock strategies. Each close they return target weights (negative = short); the book trades the difference.
• Option strategies from strategy/mod.rs: each symbol’s trades come from super::sim::run_window, and the book sizes each one at a fixed fraction of equity (“risk 2% of the account per trade”).

Structs

Closed

One finished position, for win ratio and expectancy.

DayView

What an allocator may look at on one close.

EqualHold

Equal weight in every symbol that trades on day one, held.

Event

An event a live runner would announce.

FireMomentum

Trade fresh squeeze fires in the direction of momentum.

HoldOne

Buy one symbol on day one, hold to the end.

Lane

One symbol, lined up on the shared calendar.

Metrics

The standard scorecard.

MoveTilt

Rank by SD’s expected move and hold the top (or bottom) names, weekly.

Run

The result of trading one strategy over one period.

SdSide

Hold every name SD puts above 0.5, equal weight, rebalanced weekly.

StretchReversion

Few-day mean reversion: own the names stretched furthest below their 21-bar average (on the side SD calls up), re-picked every 5 days.

SwingFire

Few-day swing: buy fresh fires (first half of their expected life) with a clear upward lean; sell as soon as the fire is no longer fresh.

Constants

PALETTE

A colour per series that reads on light and dark pages.

RISK_FREE

Annual risk-free rate subtracted in Sharpe and Sortino.

STOCK_COST

Stock costs: half-spread + slippage per side, as a fraction of notional.

Traits

Allocator

A stock strategy: target weights each close.

Functions

allocators

Every stock strategy the year runs include, in report order.

metrics

run_allocator

Trade an allocator over calendar days start..=end (start = the close before the period, where the first decision is made).

run_options

Size option trades into an account: each trade may lose at most risk_frac of equity at entry, at most max_open at once (later ones are skipped).

svg_bars

Grouped bars: one group per bucket label, one bar per series (values 0..1).

svg_equity

Line chart of equity curves, each starting at 100.

svg_heatmap

Heat map: one row per strategy, one column per period, cell = return.