test: define realized ledger weight projection contract

tests/test_research_pipeline.py

@@ -291,3 +291,46 @@ def test_factor_backtest_exposes_net_benchmark_metrics() -> None:
 
     assert relative["n_observations"] == len(result.returns)
     assert relative["tracking_error"] > 0
+
+
+def test_factor_backtest_projects_actual_close_weights_from_ledger() -> None:
+    dates = _calendar()
+    scores = pd.DataFrame({"A": [1.0], "B": [0.0]}, index=dates[:1])
+    opens = pd.DataFrame(
+        {"A": [10.0, 10.0, 10.0, 10.0], "B": [20.0, 20.0, 20.0, 20.0]},
+        index=dates,
+    )
+    closes = pd.DataFrame(
+        {"A": [10.0, 11.0, 12.0, 12.0], "B": [20.0, 20.0, 20.0, 20.0]},
+        index=dates,
+    )
+    result = run_factor_backtest_research(
+        scores,
+        opens,
+        closes,
+        top_k=1,
+        gross_exposure=0.5,
+        execution_price_field="open",
+        valuation_price_field="close",
+        initial_cash=1_000.0,
+        config=ExecutionConfig(
+            commission_bps=0,
+            stamp_tax_bps=0,
+            slippage_bps=0,
+            min_trade_amount=0,
+        ),
+    )
+
+    weights = result.position_weights
+    cash = result.cash_weights
+
+    assert weights.index.equals(result.nav.index)
+    assert weights.columns.tolist() == ["A", "B"]
+    assert weights.loc[dates[0]].sum() == 0.0
+    assert cash.loc[dates[0]] == 1.0
+    assert weights.loc[dates[1], "A"] == pytest.approx(550.0 / 1_050.0)
+    pd.testing.assert_series_equal(
+        weights.sum(axis=1) + cash,
+        pd.Series(1.0, index=dates),
+        check_names=False,
+    )