Account calendar: reach probabilities, 2-payout horizon, outline cells, same-day payouts, real drawdown floors
- projectPerfectPath books each cycle's payout ON its final trading day and anchors ruin probabilities to the platform's real liquidation floor (Tradovate auto-liq) when reported, else the configured trailing drawdown with the maxLoss/$2,000 fallback - Account calendar shows the cumulative reach % on every projected day, caps the projection at two payouts ahead, and renders potential days as dashed outlines instead of shaded cells Co-Authored-By: Claude Fable 5 <noreply@anthropic.com>
This commit is contained in:
Brandon Li
co-authored by
Claude Fable 5
Claude Fable 5
parent
52d51afebb
commit
9b2d823210
+55
-16
@@ -204,16 +204,18 @@ const MONTH_NAMES = [
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];
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const DOW_LABELS = ['Sun', 'Mon', 'Tue', 'Wed', 'Thu', 'Fri', 'Sat'];
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function CalendarMonth({ year, month, pnlMap, fundMap, stageMap, projPnlMap, projFundMap, projStageMap, payoutDate }: {
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function CalendarMonth({ year, month, pnlMap, fundMap, stageMap, projPnlMap, projFundMap, projStageMap, projProbMap, payoutDate }: {
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year: number;
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month: number;
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pnlMap: Map<string, number>;
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fundMap: Map<string, number>;
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stageMap: Map<string, number>;
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/** Perfect-path projection — rendered faded and dashed on days with no real data. */
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/** Perfect-path projection — rendered as dashed outlines on days with no real data. */
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projPnlMap?: Map<string, number>;
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projFundMap?: Map<string, number>;
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projStageMap?: Map<string, number>;
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/** Cumulative probability of reaching each projected day (fair-walk ruin model). */
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projProbMap?: Map<string, number>;
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payoutDate?: string;
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}) {
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const daysInMonth = new Date(year, month, 0).getDate();
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@@ -265,11 +267,13 @@ function CalendarMonth({ year, month, pnlMap, fundMap, stageMap, projPnlMap, pro
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const hasData = pnl !== undefined;
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const positive = hasData && pnl! >= 0;
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// Projection only fills days with no real data.
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// Projection only fills days with no real data. Potential
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// days render as dashed OUTLINES — no fill.
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const projPnl = !hasData && fundAmt === undefined ? projPnlMap?.get(key) : undefined;
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const projFund = !hasData && fundAmt === undefined ? projFundMap?.get(key) : undefined;
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const isPayout = !hasData && key === payoutDate;
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const isProj = projPnl !== undefined || projFund !== undefined || isPayout;
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const projProb = isProj ? projProbMap?.get(key) : undefined;
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const stage = stageMap.get(key) ?? (isProj ? projStageMap?.get(key) : undefined);
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return (
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@@ -283,11 +287,11 @@ function CalendarMonth({ year, month, pnlMap, fundMap, stageMap, projPnlMap, pro
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: fundAmt !== undefined
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? 'bg-amber-50 border border-amber-100'
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: isPayout
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? 'bg-blue-50/60 border border-dashed border-blue-200'
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? 'border border-dashed border-blue-300'
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: projFund !== undefined
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? 'bg-amber-50/50 border border-dashed border-amber-200'
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? 'border border-dashed border-amber-300'
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: projPnl !== undefined
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? 'bg-green-50/50 border border-dashed border-green-200'
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? 'border border-dashed border-green-300'
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: 'bg-slate-50 border border-transparent'
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}`}
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>
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@@ -316,12 +320,12 @@ function CalendarMonth({ year, month, pnlMap, fundMap, stageMap, projPnlMap, pro
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</span>
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)}
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{projPnl !== undefined && (
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<span className="text-[11px] font-semibold tabular-nums leading-tight text-green-600/60">
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<span className="text-[11px] font-semibold tabular-nums leading-tight text-green-600/70">
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+${fmt(projPnl)}
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</span>
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)}
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{projFund !== undefined && (
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<span className="text-[10px] font-semibold tabular-nums leading-tight mt-0.5 text-amber-500/70">
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<span className="text-[10px] font-semibold tabular-nums leading-tight mt-0.5 text-amber-500/80">
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W/D −${fmt(Math.abs(projFund))}
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</span>
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)}
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@@ -330,6 +334,14 @@ function CalendarMonth({ year, month, pnlMap, fundMap, stageMap, projPnlMap, pro
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Payout ✓
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</span>
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)}
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{projProb !== undefined && (
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<span
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className="text-[8px] font-medium tabular-nums leading-tight mt-0.5 text-slate-400"
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title="Probability of the perfect path reaching this day (fair-walk ruin model, cumulative)"
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>
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{Math.round(projProb * 100)}%
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</span>
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)}
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</div>
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);
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})}
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@@ -474,26 +486,52 @@ export default function AccountPage() {
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const strokeGradId = 'equityStroke';
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// Perfect-path projection: what the future looks like if every trading day
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// books exactly its plan, cycles complete, and a 50% withdrawal fires the
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// day a cycle finishes. Same planner the trade path runs, so the numbers
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// (bumps and drain amounts included) are what would actually be aimed for.
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const projection = (cfg && !isDead) ? projectPerfectPath({
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// books exactly its plan, cycles complete, and the configured withdrawal
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// fires the day a cycle finishes. Same planner the trade path runs, so the
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// numbers (bumps and drain amounts included) are what would actually be
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// aimed for. Shown up to TWO payouts ahead.
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const rawProjection = (cfg && !isDead) ? projectPerfectPath({
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accountId: account.id,
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cfg,
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cycleDailyPnL: account.dailyPnL ?? [],
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fundTransactions,
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balance: account.amount,
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realizedPnL: account.realizedPnL,
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maxWithdrawals: 2,
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payout: {
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withdrawalPct: cfg.withdrawalPct,
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payoutCap: cfg.payoutCap,
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profitSplit: cfg.profitSplit,
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drawdown: cfg.trailingDrawdown ?? 0,
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// Same default chain the reporter uses for reach probabilities.
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drawdown: (cfg.trailingDrawdown ?? 0) > 0
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? cfg.trailingDrawdown!
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: Math.abs(cfg.maxLoss) > 0 ? Math.abs(cfg.maxLoss) : 2000,
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// The platform's real liquidation floor, when it reports one.
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startThreshold: account.autoLiqThreshold > 0
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? Math.round((account.autoLiqThreshold - cfg.accountSize) * 100) / 100
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: undefined,
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},
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}) : [];
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const projPnlMap = new Map(projection.filter((p) => p.withdrawal === undefined && !p.payoutReady).map((p) => [p.date, p.pnl]));
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// Cut the projection at the second payout — days beyond it are noise here.
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const secondPayoutIdx = (() => {
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let seen = 0;
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for (let i = 0; i < rawProjection.length; i++) {
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const p = rawProjection[i];
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if (p.withdrawal !== undefined || p.payoutReady) {
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seen++;
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if (seen >= 2 || p.payoutReady) return i;
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}
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}
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return -1;
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})();
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const projection = secondPayoutIdx >= 0 ? rawProjection.slice(0, secondPayoutIdx + 1) : rawProjection;
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// A payout day is the cycle's FINAL trading day — it can carry both the
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// day's booked P&L and the withdrawal.
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const projPnlMap = new Map(projection.filter((p) => p.pnl !== 0).map((p) => [p.date, p.pnl]));
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const projFundMap = new Map(projection.filter((p) => p.withdrawal !== undefined).map((p) => [p.date, p.withdrawal!]));
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const projStageMap = new Map(projection.map((p) => [p.date, p.stage]));
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/** Cumulative probability of the perfect path surviving through each projected day. */
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const projProbMap = new Map(projection.map((p) => [p.date, p.prob]));
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const payoutDate = projection.find((p) => p.payoutReady)?.date;
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// Build calendar data
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@@ -775,7 +813,7 @@ export default function AccountPage() {
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<h2 className="text-slate-900 font-bold text-base">Daily P&L</h2>
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{projection.length > 0 && (
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<span className="text-xs text-slate-400">
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Dashed days: the perfect path — planned targets booked daily, 50% withdrawals when a stage completes
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Dashed outlines: the perfect path, two payouts ahead — planned targets daily, the projected withdrawal on each cycle's final day, % = odds of reaching that day
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</span>
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)}
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</div>
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@@ -787,7 +825,8 @@ export default function AccountPage() {
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key={ym} year={y} month={m}
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pnlMap={pnlMap} fundMap={fundMap} stageMap={stageMap}
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projPnlMap={projPnlMap} projFundMap={projFundMap}
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projStageMap={projStageMap} payoutDate={payoutDate}
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projStageMap={projStageMap} projProbMap={projProbMap}
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payoutDate={payoutDate}
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/>
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);
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})}
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@@ -152,6 +152,11 @@ function collectFirmStats() {
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? cfg.trailingDrawdown!
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: Math.abs(cfg.maxLoss) > 0 ? Math.abs(cfg.maxLoss) : 2000,
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startHigh: highWater,
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// Tradovate reports the account's REAL liquidation
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// floor — anchor the trail there for exact room.
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startThreshold: autoLiqThreshold > 0
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? r2(autoLiqThreshold - cfg.accountSize)
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: undefined,
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},
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})
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.filter((p) => p.withdrawal !== undefined || p.payoutReady)
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+50
-21
@@ -398,6 +398,11 @@ export function projectPerfectPath(opts: {
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drawdown?: number;
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/** Current cycle's end-of-day equity-profit high-water mark. */
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startHigh?: number;
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/** The account's REAL current liquidation floor on the equity-profit
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* scale (platform floor − account size), when the platform reports
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* one (Tradovate auto-liq). The modeled trail never sits below it,
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* so today's room is exact and only tightens going forward. */
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startThreshold?: number;
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};
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}): ProjectedDay[] {
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const { accountId, cfg } = opts;
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@@ -424,10 +429,16 @@ export function projectPerfectPath(opts: {
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// telescope, so a whole day survives with exactly room/(room + target).
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let high = Math.max(0, opts.payout?.startHigh ?? 0, balance - cfg.accountSize);
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if (funds.some((f) => f.amount < 0)) high = Math.max(high, dd);
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// The platform's real floor (when reported) is the baseline the modeled
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// trail can never sit below — a floor that already trailed higher than
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// our history explains stays exact.
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const startThreshold = opts.payout?.startThreshold;
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let prob = 1;
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const dayProb = (dayTarget: number): number => {
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if (dd <= 0 || dayTarget <= 0) return 1;
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const threshold = high >= dd ? 0 : high - dd;
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if (dayTarget <= 0) return 1;
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if (dd <= 0 && startThreshold === undefined) return 1;
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const modeled = dd > 0 ? (high >= dd ? 0 : high - dd) : -Infinity;
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const threshold = Math.max(modeled, startThreshold ?? -Infinity);
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const room = (balance - cfg.accountSize) - threshold;
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if (room <= 0) return 0;
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return room / (room + dayTarget);
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@@ -485,32 +496,35 @@ export function projectPerfectPath(opts: {
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const daysNeeded = eff.minTradingDays > qualifyingDays(eff.minDayPnL, date);
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if (plan.dayTarget <= 0 && !daysNeeded) {
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// Cycle complete — nothing left to trade. The withdrawal takes
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// the completed stage's share of the EQUITY PROFIT (for a
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// $0-start account that is the whole balance), capped. Prop
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// payouts come out of profit, never the funded principal.
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// Fires the payout ON the given date — the day the cycle's final
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// trading day books, the payout becomes requestable. The withdrawal
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// takes the completed stage's share of the EQUITY PROFIT (for a
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// $0-start account that is the whole balance), capped. Prop payouts
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// come out of profit, never the funded principal. Returns true when
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// the projection should stop (no further stages).
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const finishCycle = (dayPnl: number, drain: boolean): boolean => {
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const { pct, cap } = stagePayout();
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const rawGross = round2(Math.max(0, balance - cfg.accountSize) * pct);
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const gross = cap > 0 ? Math.min(rawGross, round2(cap)) : rawGross;
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const withdrawal = -gross;
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if (cfg.withdrawalStages.length > 0 && withdrawals < maxWithdrawals && withdrawal < -1) {
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funds.push({ date, amount: withdrawal });
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balance = round2(balance + withdrawal);
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const net = round2(gross * profitSplit);
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if (cfg.withdrawalStages.length > 0 && withdrawals < maxWithdrawals && gross > 1) {
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funds.push({ date, amount: -gross });
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balance = round2(balance - gross);
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sim = []; // withdrawal excludes its day — fresh cycle
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withdrawals++;
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high = Math.max(high, dd); // a payout locks the trail at breakeven
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out.push({
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date, pnl: 0, stage, drain: eff.drain, withdrawal, prob,
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gross, net: round2(gross * profitSplit),
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});
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continue;
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out.push({ date, pnl: dayPnl, stage, drain, withdrawal: -gross, prob, gross, net });
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return false;
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}
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out.push({
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date, pnl: 0, stage, drain: eff.drain, payoutReady: true, prob,
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gross, net: round2(gross * profitSplit),
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});
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break;
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out.push({ date, pnl: dayPnl, stage, drain, payoutReady: true, prob, gross, net });
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return true;
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};
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if (plan.dayTarget <= 0 && !daysNeeded) {
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// The cycle was already complete before this day — the pending
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// payout lands on the first projected day.
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if (finishCycle(0, eff.drain)) break;
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continue;
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}
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// Extra days (min-day 0, days still owed) book a token dollar so the
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@@ -520,8 +534,23 @@ export function projectPerfectPath(opts: {
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sim.push({ date, pnl });
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balance = round2(balance + pnl);
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high = Math.max(high, balance - cfg.accountSize);
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// Did this day complete the cycle? Then it IS the payout day.
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const nd = nextTradingDate(date);
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const eff2 = effectiveNow();
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const plan2 = computeDayPlan(
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accountId, nd, eff2.profitTarget, eff2.consistency, sim, eff2.minDayPnL,
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eff2.minTradingDays, balance - cfg.accountSize, 0, cfg.splitEnabled, eff2.drain,
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);
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const doneAfter = plan2 !== null
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&& plan2.dayTarget <= 0
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&& eff2.minTradingDays <= qualifyingDays(eff2.minDayPnL, nd);
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if (doneAfter) {
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if (finishCycle(pnl, eff.drain)) break;
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} else {
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out.push({ date, pnl, stage, drain: eff.drain, prob });
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}
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}
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return out;
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}
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