matitos
9dc00eba95
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.
65 lines
2.1 KiB
Python
65 lines
2.1 KiB
Python
from __future__ import annotations
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import logging
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from collections.abc import Iterator
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from sqlalchemy import Engine, create_engine, inspect, text
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from sqlalchemy.orm import Session, sessionmaker
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from app.config import REPO_ROOT, get_settings
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from app.models import Base
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logger = logging.getLogger(__name__)
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_settings = get_settings()
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# Additive migrations for existing databases. ``create_all`` only creates missing
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# tables; it never alters existing ones, so new nullable/defaulted columns are
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# added here as (table, column, DDL type) tuples.
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_ADDITIVE_COLUMNS: list[tuple[str, str, str]] = [
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("strategy_configs", "name", "VARCHAR(80) DEFAULT ''"),
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("positions", "trailing_stop_pct", "FLOAT DEFAULT 0"),
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]
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def _normalize_url(url: str) -> tuple[str, dict]:
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connect_args: dict = {}
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if url.startswith("sqlite"):
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prefix, _, path = url.partition("sqlite:///")
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if path and not path.startswith("/"):
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url = f"{prefix}sqlite:///{REPO_ROOT / path}"
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connect_args = {"check_same_thread": False}
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return url, connect_args
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_url, _connect_args = _normalize_url(_settings.database_url)
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engine = create_engine(_url, connect_args=_connect_args, pool_pre_ping=True)
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SessionLocal = sessionmaker(bind=engine, autoflush=False, expire_on_commit=False)
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def _apply_additive_columns(target: Engine) -> None:
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inspector = inspect(target)
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existing_tables = set(inspector.get_table_names())
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with target.begin() as connection:
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for table, column, ddl in _ADDITIVE_COLUMNS:
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if table not in existing_tables:
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continue
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columns = {col["name"] for col in inspector.get_columns(table)}
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if column in columns:
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continue
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logger.info("migrating: adding %s.%s", table, column)
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connection.execute(text(f"ALTER TABLE {table} ADD COLUMN {column} {ddl}"))
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def init_db() -> None:
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Base.metadata.create_all(bind=engine)
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_apply_additive_columns(engine)
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def get_session() -> Iterator[Session]:
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session = SessionLocal()
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try:
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yield session
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finally:
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session.close()
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