research: prepare effective risk floor ab

tests/unit/test_portfolio_capacity_research.py

@@ -10,6 +10,7 @@ import pytest
 from app.services import backtest_service as bt
 from scripts.portfolio_capacity_research import (
     ANCHOR_YEARS,
+    RISK_FLOOR_ARMS,
     aggregate_results,
     bootstrap_median_interval,
     build_cells,
@@ -20,6 +21,7 @@ from scripts.portfolio_capacity_research import (
 )
 from scripts.run_portfolio_construction_matrix import (
     CACHE_VERSION,
+    STUDIES,
     _assert_clean_worktree,
     _build_candidate_cache,
     _checkpoint_state,
@@ -29,6 +31,7 @@ from scripts.run_portfolio_construction_matrix import (
     _load_snapshot,
     _markdown,
     _operational_summary,
+    _risk_floor_markdown,
     _worker_init,
     _worker_run_cell,
     _write_cell_checkpoint,
@@ -538,6 +541,29 @@ def test_cohort_manifest_realizes_seven_frozen_clusters():
     assert len(cells) == (
         len(manifest['empty_book']) + len(manifest['warm_book'])
     ) * 4 * 2
+    floor_cells = build_cells(manifest, arms=RISK_FLOOR_ARMS)
+    assert len(floor_cells) == (
+        len(manifest['empty_book']) + len(manifest['warm_book'])
+    ) * 2 * 2
+    assert {row['arm_id'] for row in floor_cells} == {
+        'cap10_incumbent',
+        'cap10_min_risk_005',
+    }
+
+
+def test_risk_floor_study_changes_only_the_effective_risk_floor():
+    control, treatment = RISK_FLOOR_ARMS
+
+    assert control['max_positions'] == treatment['max_positions'] == 10
+    assert (
+        control['weekly_top_n_rebalance']
+        == treatment['weekly_top_n_rebalance']
+        is False
+    )
+    assert control['min_initial_risk_fraction'] is None
+    assert treatment['min_initial_risk_fraction'] == 0.005
+    assert STUDIES['risk-floor-ab']['arms'] == RISK_FLOOR_ARMS
+    assert STUDIES['capacity-bracket']['arms'] != RISK_FLOOR_ARMS
 
 
 def test_zero_outcome_horizon_extends_rank_replay_to_last_session(monkeypatch):
@@ -700,6 +726,18 @@ def test_aggregate_reports_paired_years_and_separate_warm_iqrs():
     assert cash_empty['headline']['ev_net_r']['paired_delta_median'] == pytest.approx(
         0.2
     )
+    cash_paths = next(
+        row
+        for row in report['paired_path_distributions']
+        if row['arm_id'] == 'cash_unbounded'
+        and row['protocol'] == 'empty_book'
+        and row['cost_per_side_pct'] == 0.1
+    )
+    assert cash_paths['metrics']['ev_net_r']['paired_delta_mean'] == pytest.approx(
+        0.2
+    )
+    assert cash_paths['metrics']['ev_net_r']['positive_fraction'] == 1.0
+    assert cash_paths['metrics']['ev_net_r']['identical_fraction'] == 0.0
     cash_warm = next(
         row
         for row in report['warm_seed_dispersion']
@@ -738,6 +776,43 @@ def test_aggregate_reports_paired_years_and_separate_warm_iqrs():
     assert 'Rank-only qualified rows removed: 137000.' in markdown
     assert 'formal promotion gate' in markdown
 
+    focused_cells = [
+        row
+        for row in cells
+        if row['arm_id'] == 'cap10_incumbent'
+    ] + [
+        {
+            **row,
+            'arm_id': 'cap10_min_risk_005',
+        }
+        for row in cells
+        if row['arm_id'] == 'cash_unbounded'
+    ]
+    focused_analysis = aggregate_results(
+        focused_cells,
+        arms=RISK_FLOOR_ARMS,
+        include_warm_dispersion=False,
+    )
+    assert focused_analysis['warm_seed_dispersion'] == []
+    focused_markdown = _risk_floor_markdown({
+        'generated_at': '2026-08-05T00:00:00Z',
+        'arms': list(RISK_FLOOR_ARMS),
+        'protocols': ['empty_book', 'warm_book'],
+        'costs_per_side_pct': [0.1, 0.2],
+        'analysis': focused_analysis,
+        'operational_summary': _operational_summary(
+            focused_cells,
+            arms=RISK_FLOOR_ARMS,
+        ),
+    })
+    assert '# Effective initial-risk floor A/B' in focused_markdown
+    assert 'Mean dEV' in focused_markdown
+    assert 'Identical' in focused_markdown
+    assert 'Mean dGtP' in focused_markdown
+    assert 'Mean dCalmar/MAR' in focused_markdown
+    assert 'Floor rejects' in focused_markdown
+    assert 'not independent evidence' in focused_markdown
+
 
 def test_synthetic_worker_matrix_covers_four_arms_protocols_and_costs(monkeypatch):
     monkeypatch.setenv('BACKTEST_SNAPSHOT_OFFLINE', '0')