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Allow disabling stop loss exits

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Codex
2026-06-29 16:39:36 +03:00
parent d58e20aa4d
commit 4bc8a4c4a0
8 changed files with 151 additions and 22 deletions
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tools/calibrate_torch_thresholds.py
+20 -8
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@@ -569,6 +569,7 @@ def _full_backtest(
rows: list[dict[str, Any]] = []
max_hold = max(12, horizon * 8)
stop_loss_percent = max(0.003, min(0.08, float(settings.stop_loss_percent))) * 100.0
stop_loss_exit_enabled = bool(getattr(settings, "stop_loss_exit_enabled", True))
atr_multiplier = max(0.5, min(10.0, float(settings.atr_trailing_multiplier)))
for record in sorted(records, key=lambda item: (item.timestamp, item.symbol)):
position = positions.get(record.symbol)
@@ -576,10 +577,15 @@ def _full_backtest(
position["highest"] = max(position["highest"], record.close)
net_percent = _net_percent(position["entry_price"], record.close, round_trip_cost)
held = record.index - int(position["entry_index"])
atr_stop = (
record.close <= position["highest"] - record.atr * atr_multiplier
atr_stop_level = (
position["highest"] - record.atr * atr_multiplier
if record.atr > 0 and position["highest"] > position["entry_price"]
else False
else None
)
atr_stop = bool(
atr_stop_level is not None
and record.close <= atr_stop_level
and (stop_loss_exit_enabled or atr_stop_level > position["entry_price"])
)
weak_forecast = (
record.expected_percent < thresholds.edge
@@ -587,7 +593,7 @@ def _full_backtest(
or record.skill <= 0.0
)
exit_reason = ""
if net_percent <= -stop_loss_percent:
if stop_loss_exit_enabled and net_percent <= -stop_loss_percent:
exit_reason = "stop_loss"
elif atr_stop:
exit_reason = "atr_trailing_stop"
@@ -663,6 +669,7 @@ def _benchmark_backtest(
rows: list[dict[str, Any]] = []
max_hold = max(12, horizon * 8)
stop_loss_percent = max(0.003, min(0.08, float(settings.stop_loss_percent))) * 100.0
stop_loss_exit_enabled = bool(getattr(settings, "stop_loss_exit_enabled", True))
atr_multiplier = max(0.5, min(10.0, float(settings.atr_trailing_multiplier)))
for record in sorted(records, key=lambda item: (item.timestamp, item.symbol)):
position = positions.get(record.symbol)
@@ -670,13 +677,18 @@ def _benchmark_backtest(
position["highest"] = max(position["highest"], record.close)
net_percent = _net_percent(position["entry_price"], record.close, round_trip_cost)
held = record.index - int(position["entry_index"])
atr_stop = (
record.close <= position["highest"] - record.atr * atr_multiplier
atr_stop_level = (
position["highest"] - record.atr * atr_multiplier
if record.atr > 0 and position["highest"] > position["entry_price"]
else False
else None
)
atr_stop = bool(
atr_stop_level is not None
and record.close <= atr_stop_level
and (stop_loss_exit_enabled or atr_stop_level > position["entry_price"])
)
exit_reason = ""
if net_percent <= -stop_loss_percent:
if stop_loss_exit_enabled and net_percent <= -stop_loss_percent:
exit_reason = "stop_loss"
elif atr_stop:
exit_reason = "atr_trailing_stop"