Add trailing stops and parameter sweeps
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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.
This commit is contained in:
matitos committed 2026-09-19 23:04:20 +00:00
1 parent d80e7b155e
commit 9dc00eba95
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@@ -26,6 +26,7 @@ class Intent:
size: float | None = None
stop_loss: float | None = None
take_profit: float | None = None
trailing_stop_pct: float = 0.0
reason: str = ""
@@ -121,18 +122,24 @@ class StrategyContext:
size: float | None = None,
stop_loss: float | None = None,
take_profit: float | None = None,
trailing_stop_pct: float = 0.0,
reason: str = "",
) -> None:
self._intents.append(Intent("enter_long", size, stop_loss, take_profit, reason))
self._intents.append(
Intent("enter_long", size, stop_loss, take_profit, trailing_stop_pct, reason)
)
def enter_short(
self,
size: float | None = None,
stop_loss: float | None = None,
take_profit: float | None = None,
trailing_stop_pct: float = 0.0,
reason: str = "",
) -> None:
self._intents.append(Intent("enter_short", size, stop_loss, take_profit, reason))
self._intents.append(
Intent("enter_short", size, stop_loss, take_profit, trailing_stop_pct, reason)
)
def close(self, reason: str = "") -> None:
self._intents.append(Intent("close", reason=reason))