Count expiry settlements as martingale losses.

Even small-profit expiry closes count toward consecutive loss days; only non-expiry profitable days break the streak.

Co-authored-by: Cursor <cursoragent@cursor.com>

backend/app/strategy/risk_sizing.py

@@ -269,10 +269,26 @@ def resolve_budget(db: Database | None = None) -> tuple[float | None, str, float
 MARTINGALE_MAX_BASE_PCT = 3.0
 
 
+def _is_expiry_close_reason(reason: str | None) -> bool:
+    r = str(reason or "").strip().lower()
+    return r in ("expiry", "到期", "到期结算", "到期结算全平")
+
+
+def _martingale_day_pnl_contrib(realized_pnl: float, close_reason: str | None) -> float:
+    """
+    倍投连亏日口径：到期结算无论实际盈亏（含小盈利）一律按亏损计入；
+    其它平仓按真实 realized_pnl。
+    """
+    if _is_expiry_close_reason(close_reason):
+        return -1.0
+    return float(realized_pnl or 0.0)
+
+
 def consecutive_loss_days(db: Database | None = None) -> int:
     """
-    按上海日历「平仓日」汇总净盈亏，从最近有平仓的一天往前数连续亏损天数。
-    某日净盈亏 < 0 计为亏损日；无平仓的日历日不计入、不打断（按有成交日序列）。
+    按上海日历「平仓日」汇总倍投口径盈亏，从最近有平仓的一天往前数连续亏损天数。
+    某日合计 < 0 计为亏损日；到期结算组无论盈亏均按亏损计入。
+    无平仓的日历日不计入、不打断（按有成交日序列）。
     """
     from collections import defaultdict
     from datetime import datetime, timezone
@@ -280,7 +296,7 @@ def consecutive_loss_days(db: Database | None = None) -> int:
 
     database = db or get_db()
     rows = database.fetchall(
-        """SELECT realized_pnl, close_at_ms FROM groups
+        """SELECT realized_pnl, close_at_ms, close_reason FROM groups
            WHERE status='closed' AND close_at_ms IS NOT NULL
            ORDER BY close_at_ms ASC"""
     )
@@ -300,7 +316,10 @@ def consecutive_loss_days(db: Database | None = None) -> int:
             .astimezone(sh)
             .strftime("%Y-%m-%d")
         )
-        day_pnl[day] += float(r["realized_pnl"] or 0)
+        day_pnl[day] += _martingale_day_pnl_contrib(
+            float(r["realized_pnl"] or 0),
+            r["close_reason"],
+        )
     if not day_pnl:
         return 0
     streak = 0