Fix lookback entry bugs: current-price sizing + MHD expiration filter

Bug #2 (paper trader): lookback entries sized using historical entry_price_est
but filled at current market price, causing cash overdraft. Fix: override
entry_price_est with get_latest_bars() close before entering _process_entries.

Bug #3 (paper trader + backtester): paper trader was missing the per-candidate
MHD expiration check that the backtester already had. Also adds
lookback_min_remaining_days (default 3) to reject candidates with too little
holding time remaining — prevents entering a position the day before forced exit.

Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>

apps/backtester/run.py

@@ -1842,6 +1842,11 @@ class BacktestRunner:
             if elapsed >= candidate_mhd:
                 continue  # would have timed out by now
 
+            remaining = candidate_mhd - elapsed
+            min_remaining = self.config.execution.lookback_min_remaining_days
+            if min_remaining is not None and remaining < min_remaining:
+                continue  # too little holding time left to be worthwhile
+
             candidate.features["is_lookback_entry"] = True
             candidate.features["lookback_days_elapsed"] = elapsed
             candidate.features["lookback_original_execution_date"] = (
@@ -7845,6 +7850,11 @@ class BacktestRunner:
                 and unrealized_r > engine_cfg.rotation_max_unrealized_r
             ):
                 continue
+            if (
+                engine_cfg.rotation_min_unrealized_r is not None
+                and unrealized_r >= engine_cfg.rotation_min_unrealized_r
+            ):
+                continue
 
             trade = simulate_rotation_exit(
                 position=position,

apps/paper_trader/engine.py

@@ -1825,6 +1825,24 @@ class PaperTradingEngine:
                 lookback_rows = await self._detector.get_candidates_for_lookback(
                     today, self._lookback_start_date(today), self._config
                 )
+            # Override entry_price_est with current market price for lookback rows.
+            # Sizing was designed for the historical reaction-day price; filling at
+            # today's market price without updating entry_price_est causes share counts
+            # to be based on a stale price, which can result in the account going into
+            # negative cash (cost = shares × current_price > shares × hist_price).
+            if lookback_rows:
+                lb_symbols = list({str(r.get("symbol", "")).upper() for r in lookback_rows if r.get("symbol")})
+                try:
+                    latest_bars = self._broker.get_latest_bars(lb_symbols)
+                    for row in lookback_rows:
+                        sym = str(row.get("symbol", "")).upper()
+                        bar = latest_bars.get(sym)
+                        if bar is not None:
+                            row["lookback_original_entry_price_est"] = row.get("entry_price_est")
+                            row["entry_price_est"] = bar.close
+                except Exception as e:
+                    logger.warning("lookback_price_override_failed", error=str(e))
+
             if lookback_rows:
                 macro_data_lb = await self._fetch_macro(today)
                 lookback_entries, lookback_rejected = await self._process_entries(
@@ -2322,6 +2340,42 @@ class PaperTradingEngine:
                 ecfg = next((e for e in engines if e.engine_id == eid), None)
                 candidate_batches.append((ecfg, acs))
 
+        # ============================================================
+        # Lookback MHD expiration filter (mirrors BacktestRunner run.py:1832-1843).
+        # Reject lookback candidates whose holding window has expired or whose
+        # remaining holding period is too short to be worthwhile.
+        # ============================================================
+        min_remaining = self._config.execution.lookback_min_remaining_days
+        if min_remaining is not None or True:  # always run expiry check
+            from libs.backtest.execution import build_effective_execution_config
+            filtered_batches: list[tuple[Any, list[Any]]] = []
+            for ecfg, batch in candidate_batches:
+                filtered: list[Any] = []
+                for candidate in batch:
+                    if not candidate.features.get("is_lookback_entry", False):
+                        filtered.append(candidate)
+                        continue
+                    elapsed = int(candidate.features.get("lookback_days_elapsed", 0))
+                    eff_exec = build_effective_execution_config(candidate, self._config)
+                    candidate_mhd = eff_exec.max_holding_days
+                    if elapsed >= candidate_mhd:
+                        logger.info(
+                            "lookback_skip_expired",
+                            symbol=candidate.symbol, elapsed=elapsed, mhd=candidate_mhd,
+                        )
+                        continue
+                    remaining = candidate_mhd - elapsed
+                    if min_remaining is not None and remaining < min_remaining:
+                        logger.info(
+                            "lookback_skip_insufficient_remaining",
+                            symbol=candidate.symbol, elapsed=elapsed, mhd=candidate_mhd,
+                            remaining=remaining, min_required=min_remaining,
+                        )
+                        continue
+                    filtered.append(candidate)
+                filtered_batches.append((ecfg, filtered))
+            candidate_batches = filtered_batches
+
         # ============================================================
         # Phase 2: Cross-Engine Global Score Ranking
         # Apply strategy_engine_selection_mode before allocation.
@@ -3187,6 +3241,11 @@ class PaperTradingEngine:
                 and unrealized_r > engine_cfg.rotation_max_unrealized_r
             ):
                 continue
+            if (
+                engine_cfg.rotation_min_unrealized_r is not None
+                and unrealized_r >= engine_cfg.rotation_min_unrealized_r
+            ):
+                continue
 
             try:
                 self._broker.close_position(sym)

libs/backtest/domain.py

@@ -1852,6 +1852,7 @@ class ExecutionConfig(BaseModel):
     trailing_warmup_days: int = 0              # days after entry before trailing activates
     max_holding_days: int = 10
     lookback_entry_enabled: bool = False       # enter positions for pre-start events still within holding window
+    lookback_min_remaining_days: int | None = 3  # min holding days remaining for a lookback entry to be allowed
     no_follow_through_exit: bool = False       # exit at D+1 close if close < entry price
     early_failure_close_below_entry_and_reaction_close: bool = False
     early_failure_no_progress_days: int | None = None
@@ -1942,6 +1943,7 @@ class StrategyEngineConfig(BaseModel):
     rotation_fitness_threshold: float = 0.20
     rotation_min_candidate_score: float = 0.40
     rotation_max_unrealized_r: float | None = None
+    rotation_min_unrealized_r: float | None = None
     trailing_model_override: str | None = None
     trailing_warmup_days_override: int | None = None
     use_reaction_day_low_stop_override: bool | None = None