Add trailing stops and parameter sweeps
Trailing stops: strategies can pass trailing_stop_pct to enter_long/enter_short. advance_trailing_stop in app/engine/portfolio.py ratchets the stop with the price (up for longs, down for shorts) and never loosens; the engine persists the ratcheted level and the backtester applies the same logic. Position gains a trailing_stop_pct column (additive migration). momentum exposes it as a param. Parameter sweeps: app/backtest/sweep.py runs a cartesian grid through the same backtester and ranks by return minus max drawdown. POST /api/sweep plus a dashboard Parameter sweep panel.
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@@ -10,6 +10,7 @@ from app.broker.base import Broker
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from app.config import Settings
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from app.engine.portfolio import (
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account_equity,
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advance_trailing_stop,
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apply_close,
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apply_open,
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order_qty,
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@@ -202,6 +203,7 @@ class TradingEngine:
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size=intent.size if intent.size is not None else 1.0,
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stop_loss=intent.stop_loss,
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take_profit=intent.take_profit,
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trailing_stop_pct=intent.trailing_stop_pct,
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reason=intent.reason or intent.action,
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)
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@@ -213,6 +215,7 @@ class TradingEngine:
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stop_loss: float | None,
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take_profit: float | None,
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reason: str,
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trailing_stop_pct: float = 0.0,
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qty_override: float | None = None,
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) -> None:
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price = self.last_price
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@@ -250,6 +253,7 @@ class TradingEngine:
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entry_fee=fill.fee,
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stop_loss=stop_loss,
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take_profit=take_profit,
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trailing_stop_pct=trailing_stop_pct,
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)
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self.store.record_order(
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position_id=self.position.id,
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@@ -317,6 +321,21 @@ class TradingEngine:
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position = self.position
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if position is None:
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return
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# Ratchet a trailing stop before testing levels, so a bar that both
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# advances the trail and reverses is handled consistently.
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if position.trailing_stop_pct and position.trailing_stop_pct > 0:
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advanced = advance_trailing_stop(
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position.side,
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position.stop_loss,
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position.trailing_stop_pct,
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candle.high,
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candle.low,
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)
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if advanced is not None and advanced != position.stop_loss:
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position.stop_loss = advanced
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self.store.update_stop_loss(position.id, advanced)
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hit = risk_exit(
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position.side,
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position.stop_loss,
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