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Add martingale mode for risk-based percent sizing.

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Enable in settings (default off): after N consecutive loss days, double the effective risk_loss_pct up to a configurable max; blocked when base pct > 3%.

Co-authored-by: Cursor <cursoragent@cursor.com>
This commit is contained in:
dekun
2026-08-07 09:55:29 +08:00
parent 3d1f9f3d50
commit 0f552eb50e
9 changed files with 476 additions and 10 deletions
Download Patch File Download Diff File Expand all files Collapse all files
backend/app/api/fleet.py
+3
View File
@@ -284,6 +284,9 @@ async def fleet_status(_tok: Annotated[str, Depends(require_fleet_token)]) -> di
"risk_perp_unit": _pick("risk_perp_unit", 1.0),
"risk_option_unit": _pick("risk_option_unit", 2.0),
"risk_exit_unit": _pick("risk_exit_unit", 15.0),
"martingale_enabled": st.get("martingale_enabled"),
"martingale_doubles": st.get("martingale_doubles"),
"risk_effective_loss_pct": st.get("risk_effective_loss_pct"),
},
"position": {
"status": pos.get("status") or ("open" if pos.get("has_position") else "flat"),
backend/app/api/settings.py
+76
View File
@@ -61,6 +61,9 @@ KEYS = (
"risk_perp_unit",
"risk_option_unit",
"risk_exit_unit",
"martingale_enabled",
"martingale_start_after_loss_days",
"martingale_max_doubles",
)
@@ -104,6 +107,9 @@ class StrategySettingsBody(BaseModel):
risk_perp_unit: float | None = Field(default=None, ge=0.01, le=100)
risk_option_unit: float | None = Field(default=None, ge=0.01, le=100)
risk_exit_unit: float | None = Field(default=None, ge=0.1, le=1_000_000)
martingale_enabled: bool | None = None
martingale_start_after_loss_days: int | None = Field(default=None, ge=1, le=30)
martingale_max_doubles: int | None = Field(default=None, ge=1, le=10)
def _as_bool(raw: str | None, default: bool) -> bool:
@@ -298,6 +304,29 @@ def _read_settings() -> dict:
"risk_perp_unit": float(db.get_setting("risk_perp_unit", "1") or 1),
"risk_option_unit": float(db.get_setting("risk_option_unit", "2") or 2),
"risk_exit_unit": float(db.get_setting("risk_exit_unit", "15") or 15),
"martingale_enabled": _as_bool(
db.get_setting(
"martingale_enabled", str(s.martingale_enabled)
),
s.martingale_enabled,
),
"martingale_start_after_loss_days": int(
float(
db.get_setting(
"martingale_start_after_loss_days",
str(s.martingale_start_after_loss_days),
)
or s.martingale_start_after_loss_days
)
),
"martingale_max_doubles": int(
float(
db.get_setting(
"martingale_max_doubles", str(s.martingale_max_doubles)
)
or s.martingale_max_doubles
)
),
"risk_sizing_preview": _risk_preview_safe(),
"exchange": rt.exchange,
"perp_inst_id": rt.perp_inst_id,
@@ -378,6 +407,9 @@ async def put_strategy_settings(
"risk_loss_usdt",
"risk_capital_source",
"risk_manual_capital_usdt",
"martingale_enabled",
"martingale_start_after_loss_days",
"martingale_max_doubles",
)
hit = [k for k in locked_keys if k in data]
if hit:
@@ -439,6 +471,50 @@ async def put_strategy_settings(
detail="以损定仓选用亏损幅度时，须填写 risk_loss_pct > 0",
)
# 倍投：仅以损定仓 + 亏损幅度% + 基础幅度≤3%；条件不满足则强制关闭
from ..strategy.risk_sizing import MARTINGALE_MAX_BASE_PCT
loss_mode_final = str(
data.get(
"risk_loss_mode",
db.get_setting("risk_loss_mode", "percent") or "percent",
)
).strip().lower()
pct_final = data.get("risk_loss_pct")
if pct_final is None:
pct_final = float(db.get_setting("risk_loss_pct", "1") or 1)
else:
pct_final = float(pct_final)
existing_mg = _as_bool(
db.get_setting("martingale_enabled", str(s.martingale_enabled)),
s.martingale_enabled,
)
want_mg = (
bool(data["martingale_enabled"])
if "martingale_enabled" in data
else existing_mg
)
mg_eligible = (
sizing_mode == "risk_based"
and loss_mode_final in ("percent", "pct", "%", "幅度")
and float(pct_final) <= MARTINGALE_MAX_BASE_PCT + 1e-12
)
if want_mg and not mg_eligible:
explicit_on = "martingale_enabled" in data and bool(data["martingale_enabled"])
if explicit_on:
if sizing_mode != "risk_based":
reason = "倍投模式仅可在以损定仓下开启"
elif loss_mode_final not in ("percent", "pct", "%", "幅度"):
reason = "倍投模式仅可在「亏损幅度%」下开启"
else:
reason = (
f"以损定仓亏损幅度超过 {MARTINGALE_MAX_BASE_PCT:g}% 时不可启用倍投"
)
raise HTTPException(status_code=400, detail=reason)
data["martingale_enabled"] = False
elif not mg_eligible:
data["martingale_enabled"] = False
for k, v in data.items():
if k in KEYS:
db.set_setting(k, str(v))
backend/app/config.py
+4
View File
@@ -76,6 +76,10 @@ class Settings(BaseSettings):
min_option_leverage: float = 100.0 # 现价/卖一权利金 下限
# 以损定仓权利金口径：actual=盘口卖一；selection=指数/选约杠杆（控节奏，默认）
risk_leverage_basis: str = "selection"
# 倍投：默认关；仅以损定仓+亏损幅度%且基础幅度≤3% 可开
martingale_enabled: bool = False
martingale_start_after_loss_days: int = 2 # 连续亏损 N 天后开始翻倍
martingale_max_doubles: int = 3 # 最多翻倍次数（如 2→4→8→16 为 3 次）
atm_open_offset_enabled: bool = False # 开仓 ATM 偏差限制开关（默认关）
max_atm_open_offset: float = 3.0 # 开启后：|ATM行权价−标的| 上限（点）
# 固定方向：关=现有 ATM/比价规则；开=指定永续多/空，期权 Put/Call 且须实值或平值
backend/app/strategy/engine.py
+28
View File
@@ -187,6 +187,23 @@ class StrategyEngine:
"perp_qty_eth": perp_qty,
"option_qty_eth": opt_qty,
}
try:
from .risk_sizing import resolve_martingale
martingale = resolve_martingale(
self.db, ledger=self.ledger, base_pct=risk_loss_pct
)
except Exception:
logger.exception("resolve_martingale for state() failed")
martingale = {
"enabled": False,
"eligible": False,
"doubles": 0,
"loss_days": 0,
"start_after_loss_days": 2,
"max_doubles": 3,
"effective_pct": risk_loss_pct,
}
rest_until = row["rest_until_ms"]
rest_left = 0
if rest_until:
@@ -235,6 +252,17 @@ class StrategyEngine:
"risk_last_k": risk_last_k if risk_last_k > 0 else None,
"risk_sizing_preview": risk_preview,
"risk_sizing_locked": bool(trade_locked and sizing_mode == "risk_based"),
"martingale_enabled": bool(martingale.get("enabled")),
"martingale_eligible": bool(martingale.get("eligible")),
"martingale_doubles": int(martingale.get("doubles") or 0),
"martingale_loss_days": int(martingale.get("loss_days") or 0),
"martingale_start_after_loss_days": int(
martingale.get("start_after_loss_days") or 2
),
"martingale_max_doubles": int(martingale.get("max_doubles") or 3),
"risk_effective_loss_pct": float(
martingale.get("effective_pct") or risk_loss_pct
),
"min_option_hours": min_hours,
"min_option_leverage": min_opt_lev,
"atm_open_offset_enabled": atm_off_on,
backend/app/strategy/risk_sizing.py
+118 -1
View File
@@ -255,7 +255,121 @@ def resolve_budget(db: Database | None = None) -> tuple[float | None, str, float
pct = ledger.get_setting_float("risk_loss_pct", 1.0)
if pct <= 0:
return None, "亏损幅度须 > 0", capital
return float(capital) * (float(pct) / 100.0), f"percent@{src}", capital
mg = resolve_martingale(database, ledger=ledger, base_pct=float(pct))
effective = float(mg["effective_pct"])
detail = f"percent@{src}"
if int(mg.get("doubles") or 0) > 0:
detail += (
f"|mg×{int(2 ** int(mg['doubles']))}"
f"(连亏{int(mg.get('loss_days') or 0)}天)"
)
return float(capital) * (effective / 100.0), detail, capital
MARTINGALE_MAX_BASE_PCT = 3.0
def consecutive_loss_days(db: Database | None = None) -> int:
"""
按上海日历「平仓日」汇总净盈亏，从最近有平仓的一天往前数连续亏损天数。
某日净盈亏 < 0 计为亏损日；无平仓的日历日不计入、不打断（按有成交日序列）。
"""
from collections import defaultdict
from datetime import datetime, timezone
from zoneinfo import ZoneInfo
database = db or get_db()
rows = database.fetchall(
"""SELECT realized_pnl, close_at_ms FROM groups
WHERE status='closed' AND close_at_ms IS NOT NULL
ORDER BY close_at_ms ASC"""
)
if not rows:
return 0
sh = ZoneInfo("Asia/Shanghai")
day_pnl: dict[str, float] = defaultdict(float)
for r in rows:
try:
ms = int(r["close_at_ms"] or 0)
except (TypeError, ValueError):
continue
if ms <= 0:
continue
day = (
datetime.fromtimestamp(ms / 1000.0, tz=timezone.utc)
.astimezone(sh)
.strftime("%Y-%m-%d")
)
day_pnl[day] += float(r["realized_pnl"] or 0)
if not day_pnl:
return 0
streak = 0
for d in reversed(sorted(day_pnl.keys())):
if float(day_pnl[d]) < 0:
streak += 1
else:
break
return streak
def resolve_martingale(
db: Database | None = None,
*,
ledger: Ledger | None = None,
base_pct: float | None = None,
) -> dict[str, Any]:
"""
倍投状态：仅以损定仓 + 亏损幅度% + 开关开启 + 基础幅度≤3% 时生效。
doubles: 已翻倍次数（0=用基础幅度）；effective_pct = base * 2^doubles。
"""
database = db or get_db()
led = ledger or Ledger(database)
enabled = led.get_setting_bool("martingale_enabled", False)
pct = (
float(base_pct)
if base_pct is not None
else float(led.get_setting_float("risk_loss_pct", 1.0))
)
start_after = int(
round(led.get_setting_float("martingale_start_after_loss_days", 2.0))
)
max_doubles = int(round(led.get_setting_float("martingale_max_doubles", 3.0)))
start_after = max(1, min(30, start_after))
max_doubles = max(1, min(10, max_doubles))
loss_days = consecutive_loss_days(database)
out: dict[str, Any] = {
"enabled": bool(enabled),
"eligible": False,
"blocked": "",
"base_pct": round(pct, 4),
"effective_pct": round(pct, 4),
"doubles": 0,
"loss_days": int(loss_days),
"start_after_loss_days": start_after,
"max_doubles": max_doubles,
}
if not enabled:
out["blocked"] = "off"
return out
if not is_risk_based(led):
out["blocked"] = "not_risk_based"
return out
loss_mode = (
led.get_setting_str("risk_loss_mode", "percent") or "percent"
).strip().lower()
if loss_mode not in ("percent", "pct", "%", "幅度"):
out["blocked"] = "not_percent_mode"
return out
if pct > MARTINGALE_MAX_BASE_PCT + 1e-12:
out["blocked"] = f"base_pct>{MARTINGALE_MAX_BASE_PCT:g}"
return out
out["eligible"] = True
doubles = 0
if loss_days >= start_after:
doubles = min(int(loss_days - start_after + 1), max_doubles)
out["doubles"] = doubles
out["effective_pct"] = round(float(pct) * (2**doubles), 6)
return out
def _trading_balances(db: Database) -> tuple[float | None, float | None]:
@@ -444,6 +558,7 @@ def preview_risk_sizing(db: Database | None = None) -> dict[str, Any]:
return out
r = compute_risk_sizing(index_px=float(idx), option_ask=float(ask), db=database)
perp_u, opt_u, exit_u = read_risk_units(ledger)
mg = resolve_martingale(database, ledger=ledger)
out.update(
{
"ok": r.ok,
@@ -464,6 +579,8 @@ def preview_risk_sizing(db: Database | None = None) -> dict[str, Any]:
"perp_unit": perp_u,
"option_unit": opt_u,
"exit_unit": exit_u,
"martingale": mg,
"risk_effective_loss_pct": mg.get("effective_pct"),
}
)
return out
backend/tests/test_risk_sizing.py
+93
View File
@@ -149,3 +149,96 @@ def test_compute_risk_sizing_respects_basis(tmp_path, monkeypatch) -> None:
assert r2.k is not None and r2.k > 1.0
assert r2.option_ask == 10.0
db.close()
def test_consecutive_loss_days_and_martingale(tmp_path, monkeypatch) -> None:
monkeypatch.setenv("MODE", "SIM")
from datetime import datetime, timezone
from zoneinfo import ZoneInfo
from app.models.db import Database
from app.strategy.risk_sizing import consecutive_loss_days, resolve_martingale
db = Database(tmp_path / "mg.db")
sh = ZoneInfo("Asia/Shanghai")
def day_ms(ymd: str, hour: int = 16) -> int:
dt = datetime.strptime(ymd, "%Y-%m-%d").replace(
hour=hour, tzinfo=sh
)
return int(dt.astimezone(timezone.utc).timestamp() * 1000)
# 插入：盈利日打断后连亏 3 天（有成交日序列，跳过无成交日）
rows = [
("g1", day_ms("2026-07-28"), 10.0),
("g2", day_ms("2026-07-29"), -5.0),
("g3", day_ms("2026-07-30"), -3.0),
("g4", day_ms("2026-07-31"), -1.0),
]
for gid, ms, pnl in rows:
db.execute(
"""INSERT INTO groups(
group_id, status, realized_pnl, close_at_ms, open_at_ms
) VALUES(?,?,?,?,?)""",
(gid, "closed", pnl, ms, ms - 3600_000),
)
assert consecutive_loss_days(db) == 3
db.set_setting("sizing_mode", "risk_based")
db.set_setting("risk_loss_mode", "percent")
db.set_setting("risk_loss_pct", "2")
db.set_setting("martingale_enabled", "true")
db.set_setting("martingale_start_after_loss_days", "2")
db.set_setting("martingale_max_doubles", "3")
mg = resolve_martingale(db, base_pct=2.0)
assert mg["eligible"] is True
assert mg["loss_days"] == 3
# 连亏3天、start=2 → doubles = min(3-2+1, 3) = 2 → 2%*4 = 8%
assert mg["doubles"] == 2
assert abs(float(mg["effective_pct"]) - 8.0) < 1e-9
db.set_setting("risk_loss_pct", "3.1")
mg2 = resolve_martingale(db, base_pct=3.1)
assert mg2["eligible"] is False
assert mg2["doubles"] == 0
assert abs(float(mg2["effective_pct"]) - 3.1) < 1e-9
db.close()
def test_martingale_doubles_capped(tmp_path, monkeypatch) -> None:
monkeypatch.setenv("MODE", "SIM")
from datetime import datetime, timezone
from zoneinfo import ZoneInfo
from app.models.db import Database
from app.strategy.risk_sizing import resolve_martingale
db = Database(tmp_path / "mg_cap.db")
sh = ZoneInfo("Asia/Shanghai")
def day_ms(ymd: str) -> int:
dt = datetime.strptime(ymd, "%Y-%m-%d").replace(hour=12, tzinfo=sh)
return int(dt.astimezone(timezone.utc).timestamp() * 1000)
for i, ymd in enumerate(
["2026-07-26", "2026-07-27", "2026-07-28", "2026-07-29", "2026-07-30"]
):
db.execute(
"""INSERT INTO groups(
group_id, status, realized_pnl, close_at_ms, open_at_ms
) VALUES(?,?,?,?,?)""",
(f"c{i}", "closed", -1.0, day_ms(ymd), day_ms(ymd) - 1000),
)
db.set_setting("sizing_mode", "risk_based")
db.set_setting("risk_loss_mode", "percent")
db.set_setting("martingale_enabled", "true")
db.set_setting("martingale_start_after_loss_days", "2")
db.set_setting("martingale_max_doubles", "3")
mg = resolve_martingale(db, base_pct=2.0)
# 连亏5、start2 → raw=4，cap=3 → 2%*8=16%
assert mg["doubles"] == 3
assert abs(float(mg["effective_pct"]) - 16.0) < 1e-9
db.close()
frontend/src/api/client.ts
+24
View File
@@ -322,6 +322,27 @@ export type PlanState = {
liquidity_ok?: boolean;
liquidity_detail?: string | null;
}[];
risk_perp_unit?: number;
risk_option_unit?: number;
risk_exit_unit?: number;
risk_last_k?: number | null;
risk_sizing_preview?: {
ok?: boolean;
locked?: boolean;
detail?: string;
budget?: number;
k?: number;
[key: string]: unknown;
};
risk_sizing_locked?: boolean;
martingale_enabled?: boolean;
martingale_eligible?: boolean;
martingale_doubles?: number;
martingale_loss_days?: number;
risk_effective_loss_pct?: number;
risk_loss_pct?: number;
sizing_mode?: "manual" | "risk_based";
risk_based?: boolean;
ledger: { equity: number; available: number; reserved: number };
mode?: "SIM" | "LIVE";
sim?: boolean;
@@ -364,6 +385,9 @@ export type StrategySettings = {
risk_option_unit?: number;
risk_exit_unit?: number;
risk_sizing_preview?: Record<string, unknown>;
martingale_enabled?: boolean;
martingale_start_after_loss_days?: number;
martingale_max_doubles?: number;
exchange?: string;
};
frontend/src/pages/Plan.tsx
+7
View File
@@ -223,6 +223,13 @@ export default function PlanPage() {
: plan?.risk_sizing_preview?.budget != null
? `预算${fmt(plan.risk_sizing_preview.budget, 2)}U`
: null,
plan?.martingale_enabled &&
(plan?.martingale_doubles ?? 0) > 0 &&
!riskLocked
? `倍投×${2 ** Number(plan.martingale_doubles)}(${fmt(plan.risk_effective_loss_pct ?? plan.risk_loss_pct ?? 0, 2)}%)`
: plan?.martingale_enabled && !riskLocked
? "倍投开"
: null,
!riskLocked && plan?.risk_sizing_preview?.ok === false
? String(plan.risk_sizing_preview.detail || "预览失败")
: null,
frontend/src/pages/Settings.tsx
+123 -9
View File
@@ -105,6 +105,9 @@ export default function SettingsPage() {
const [riskPerpUnit, setRiskPerpUnit] = useState(1);
const [riskOptUnit, setRiskOptUnit] = useState(2);
const [riskExitUnit, setRiskExitUnit] = useState(15);
const [martingaleOn, setMartingaleOn] = useState(false);
const [martingaleStartAfter, setMartingaleStartAfter] = useState(2);
const [martingaleMaxDoubles, setMartingaleMaxDoubles] = useState(3);
const [riskPreview, setRiskPreview] = useState<Record<string, unknown> | null>(
null,
);
@@ -215,6 +218,9 @@ export default function SettingsPage() {
setRiskPerpUnit(s.risk_perp_unit ?? 1);
setRiskOptUnit(s.risk_option_unit ?? 2);
setRiskExitUnit(s.risk_exit_unit ?? 15);
setMartingaleOn(s.martingale_enabled === true);
setMartingaleStartAfter(s.martingale_start_after_loss_days ?? 2);
setMartingaleMaxDoubles(s.martingale_max_doubles ?? 3);
setRiskPreview(
s.risk_sizing_preview && typeof s.risk_sizing_preview === "object"
? s.risk_sizing_preview
@@ -376,6 +382,13 @@ export default function SettingsPage() {
risk_perp_unit: riskPerpUnit,
risk_option_unit: riskOptUnit,
risk_exit_unit: riskExitUnit,
martingale_enabled:
sizingMode === "risk_based" &&
riskLossMode === "percent" &&
riskLossPct <= 3 &&
martingaleOn,
martingale_start_after_loss_days: martingaleStartAfter,
martingale_max_doubles: martingaleMaxDoubles,
exchange,
};
// 以损定仓不提交手填名义/出场，避免禁用输入框脏值导致 422
@@ -719,13 +732,14 @@ export default function SettingsPage() {
id="riskLossMode"
className="mono"
value={riskLossMode}
onChange={(e) =>
setRiskLossMode(
onChange={(e) => {
const mode =
e.target.value === "absolute"
? "absolute"
: "percent",
)
}
: "percent";
setRiskLossMode(mode);
if (mode !== "percent") setMartingaleOn(false);
}}
>
<option value="percent">亏损幅度（占本金 %）</option>
<option value="absolute">亏损值（USDT）</option>
@@ -778,11 +792,93 @@ export default function SettingsPage() {
step="0.01"
min="0.01"
value={riskLossPct}
onChange={(e) =>
setRiskLossPct(Number(e.target.value))
}
onChange={(e) => {
const v = Number(e.target.value);
setRiskLossPct(v);
if (v > 3) setMartingaleOn(false);
}}
/>
</div>
<div className="field">
<label htmlFor="mgOn">倍投模式</label>
<select
id="mgOn"
className="mono"
value={martingaleOn ? "on" : "off"}
disabled={riskLossPct > 3}
onChange={(e) =>
setMartingaleOn(e.target.value === "on")
}
>
<option value="off">关闭（默认）</option>
<option value="on">开启</option>
</select>
<p className="hint" style={{ margin: "0.35rem 0 0" }}>
{riskLossPct > 3
? "亏损幅度超过 3% 时不可启用倍投。"
: "连续亏损日达阈值后，按基础幅度翻倍（不改保存的幅度值）。最多可设翻倍次数。"}
</p>
</div>
{martingaleOn && riskLossPct <= 3 ? (
<>
<div className="field">
<label htmlFor="mgStart">
连续亏损几天后开始翻倍
</label>
<input
id="mgStart"
className="mono"
type="number"
step="1"
min="1"
max="30"
value={martingaleStartAfter}
onChange={(e) =>
setMartingaleStartAfter(
Number(e.target.value),
)
}
/>
</div>
<div className="field">
<label htmlFor="mgMax">最多翻倍次数</label>
<input
id="mgMax"
className="mono"
type="number"
step="1"
min="1"
max="10"
value={martingaleMaxDoubles}
onChange={(e) =>
setMartingaleMaxDoubles(
Number(e.target.value),
)
}
/>
<p
className="hint"
style={{ margin: "0.35rem 0 0" }}
>
例：幅度 {riskLossPct}%、连亏{" "}
{martingaleStartAfter} 天起翻、最多{" "}
{martingaleMaxDoubles} 次 →{" "}
{[0, 1, 2, 3]
.filter((d) => d <= martingaleMaxDoubles)
.map(
(d) =>
`${Number(
(
riskLossPct *
2 ** d
).toPrecision(6),
)}%`,
)
.join(" → ")}
</p>
</div>
</>
) : null}
</>
) : (
<div className="field">
@@ -835,7 +931,25 @@ export default function SettingsPage() {
? "选约杠杆"
: "";
const basisS = basis ? ` · ${basis}` : "";
return `k=${pk ?? "—"} · 预算=${budS}U · 估亏=${mxS}U · 永续=${perp ?? "—"} · 期权=${opt ?? "—"} · 出场=${exit ?? "—"}${basisS}`;
const mg =
riskPreview.martingale &&
typeof riskPreview.martingale === "object"
? (riskPreview.martingale as Record<
string,
unknown
>)
: null;
const mgD = Number(mg?.doubles);
const mgS =
mg != null &&
mg.enabled === true &&
Number.isFinite(mgD) &&
mgD > 0
? ` · 倍投×${2 ** mgD}(连亏${Number(mg.loss_days) || 0}天·有效${Number(mg.effective_pct)}%)`
: mg != null && mg.enabled === true
? ` · 倍投待命(连亏${Number(mg.loss_days) || 0}天)`
: "";
return `k=${pk ?? "—"} · 预算=${budS}U · 估亏=${mxS}U · 永续=${perp ?? "—"} · 期权=${opt ?? "—"} · 出场=${exit ?? "—"}${basisS}${mgS}`;
})()}
</div>
</div>