Add martingale mode for risk-based percent sizing.

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>

backend/tests/test_risk_sizing.py

@@ -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()