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TL;DR: Reference Python implementation of the Five Iron Rules and DRIP-ON one-way ratchet. Illustrative only — not a live trading system, not connected to LP capital.

Summary

Reference Python implementation of the Five Iron Rules and DRIP-ON one-way ratchet. Illustrative only — not a live trading system, not connected to LP capital.

Preview

"""
Iron Rules + DRIP-ON — Reference Math

Illustrative implementation of the Five Iron Rules invariants and the DRIP-ON
one-way ratchet. NOT a live trading system. NOT connected to LP capital. NOT a
rebalance engine. Reference math only — used to specify behaviors that the real
system must guarantee.

Five Iron Rules:
  IR-1  Share count only goes up (one-way ratchet).
  IR-2  Leverage ceiling — hard cap below 1.10x.
  IR-3  Reserve floor — minimum cash buffer always held.
  IR-4  Concentration cap — single-name max position size.
  IR-5  Permanent HWM — incentive only on net new HWM, never resets.

DRIP-ON: every dollar of premium / dividend / coupon income reinvests into
shares. Premium does not exit the fund.
"""
from dataclasses import dataclass, field
from typing import Dict

LEVERAGE_CEILING = 1.10
RESERVE_FLOOR_PCT = 0.05  # 5% min cash buffer
CONCENTRATION_CAP = 0.15   # 15% max single name at cost


@dataclass
class Position:
    ticker: str
    shares: float
    cost_basis: float  # avg cost per share


@dataclass
class Fund:
    nav: float
    cash: float
    debt: float
    positions: Dict[str, Position] = field(default_factory=dict)
    hwm: float = 0.0

    # ---- Iron Rule invariants ----
    def leverage(self) -> float:
        """Gross exposure / NAV. Must stay <= LEVERAGE_CEILING (IR-2)."""
        gross = sum(p.shares * p.cost_basis for p in self.positions.values())
        return gross / self.nav if self.nav else 0.0

    def reserve_pct(self) -> float:
        """Cash / NAV. Must stay >= RESERVE_FLOOR_PCT (IR-3)."""
        return self.cash / self.nav if self.nav else 0.0

    def concentration(self, ticker: str) -> float:
        """Single-name fraction of NAV. Must stay <= CONCENTRATION_CAP (IR-4)."""
        p = self.positions.get(ticker)
        if not p:
            return 0.0
        return (p.shares * p.cost_basis) / self.nav

    def assert_invariants(self):
        assert self.leverage() <= LEVERAGE_CEILING, f"IR-2 violated: lev={self.leverage():.3f}"
        assert self.reserve_pct() >= RESERVE_FLOOR_PCT, f"IR-3 violated: cash={self.reserve_pct():.3f}"
        for tkr in self.positions:
            c = self.concentration(tkr)
            assert c <= CONCENTRATION_CAP, f"IR-4 violated on {tkr}: conc={c:.3f}"

    # ---- DRIP-ON ratchet ----
    def drip_in(self, ticker: str, dollars: float, market_price: float):
        """Reinvest premium/dividend/coupon income. Share count goes up (IR-1)."""
        p = self.positions.setdefault(ticker, Position(ticker, 0.0, market_price))
        new_shares = dollars / market_price
        new_total_shares = p.shares + new_shares
        new_cost = ((p.shares * p.cost_basis) + dollars) / new_total_shares
        p.shares = new_total_shares
        p.cost_basis = new_cost
        # IR-1: never decrement

    def reclaim_assigned(self, ticker: str, shares_assigned: float, market_price: float):
        """On covered-call assignment, auto-buy back at next bid. Share count net-up."""
        cost = shares_assigned * market_price
        assert self.cash >= cost, "need cash to reclaim; reserve floor must hold"

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husshtech / wiki/concepts/drip-on/code/iron-rules-drip-on-reference-math.py (open) — relates to wiki/concepts/drip-on.md
husshone / wiki/concepts/sell-the-wall/code/iron-rules-drip-on-reference-math.py (open) — relates to wiki/concepts/sell-the-wall.md
husshtech / wiki/concepts/aloha-flywheel/code/iron-rules-drip-on-reference-math.py (open) — relates to wiki/concepts/aloha-flywheel.md

Relations

wiki/concepts/drip-on.md
wiki/concepts/sell-the-wall.md
wiki/concepts/aloha-flywheel.md