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/tests/test_risk_sizing.py

@@ -242,3 +242,45 @@ def test_martingale_doubles_capped(tmp_path, monkeypatch) -> None:
     assert mg["doubles"] == 3
     assert abs(float(mg["effective_pct"]) - 16.0) < 1e-9
     db.close()
+
+
+def test_expiry_settle_counts_as_loss_even_if_profit(tmp_path, monkeypatch) -> None:
+    """到期结算小盈利也按亏损计入倍投连亏日。"""
+    monkeypatch.setenv("MODE", "SIM")
+    from datetime import datetime, timezone
+    from zoneinfo import ZoneInfo
+
+    from app.models.db import Database
+    from app.strategy.risk_sizing import consecutive_loss_days
+
+    db = Database(tmp_path / "mg_exp.db")
+    sh = ZoneInfo("Asia/Shanghai")
+
+    def day_ms(ymd: str) -> int:
+        dt = datetime.strptime(ymd, "%Y-%m-%d").replace(hour=16, tzinfo=sh)
+        return int(dt.astimezone(timezone.utc).timestamp() * 1000)
+
+    # 达标盈利打断；随后两天均为到期小盈利 → 仍计连亏 2
+    rows = [
+        ("e0", day_ms("2026-07-28"), 20.0, "fixed_usdt"),
+        ("e1", day_ms("2026-07-29"), 3.5, "expiry"),
+        ("e2", day_ms("2026-07-30"), 1.2, "expiry"),
+    ]
+    for gid, ms, pnl, reason in rows:
+        db.execute(
+            """INSERT INTO groups(
+                 group_id, status, realized_pnl, close_at_ms, open_at_ms, close_reason
+               ) VALUES(?,?,?,?,?,?)""",
+            (gid, "closed", pnl, ms, ms - 3600_000, reason),
+        )
+    assert consecutive_loss_days(db) == 2
+
+    # 再来一天达标盈利 → 连亏清零
+    db.execute(
+        """INSERT INTO groups(
+             group_id, status, realized_pnl, close_at_ms, open_at_ms, close_reason
+           ) VALUES(?,?,?,?,?,?)""",
+        ("e3", "closed", 15.0, day_ms("2026-07-31"), day_ms("2026-07-31") - 1000, "fixed_usdt"),
+    )
+    assert consecutive_loss_days(db) == 0
+    db.close()