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。
+    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）。
+    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

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()

frontend/src/pages/Settings.tsx

@@ -816,7 +816,7 @@ export default function SettingsPage() {
                             <p className="hint" style={{ margin: "0.35rem 0 0" }}>
                               {riskLossPct > 3
                                 ? "亏损幅度超过 3% 时不可启用倍投。"
-                                : "连续亏损日达阈值后，按基础幅度翻倍（不改保存的幅度值）。最多可设翻倍次数。"}
+                                : "连续亏损日达阈值后翻倍。到期结算无论盈亏（含小盈利）都按亏损日计；达标平仓盈利才打断连亏。"}
                             </p>
                           </div>
                           {martingaleOn && riskLossPct <= 3 ? (