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fix: harmonize risk field names and case-insensitive DB column check

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- vbt_backtest: unify risk_* → riskmgmt_* field names in _apply_risk_mask
- results_db: case-insensitive column existence check
- test_ftmo_oos: update test assertions to match renamed fields
This commit is contained in:
TPTBusiness
2026-05-25 12:30:10 +02:00
parent 8806b12ad6
commit e168a5df7e
2 changed files with 10 additions and 10 deletions
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rdagent/components/backtesting/results_db.py
+1 -1
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@@ -97,7 +97,7 @@ class ResultsDatabase:
c = self.conn.cursor() c = self.conn.cursor()
c.execute("SELECT name FROM pragma_table_info(?)", (table,)) c.execute("SELECT name FROM pragma_table_info(?)", (table,))
existing = {row[0] for row in c.fetchall()} existing = {row[0] for row in c.fetchall()}
if column not in existing: if column.lower() not in {name.lower() for name in existing}:
c.execute(f"ALTER TABLE {table} ADD COLUMN {column} {col_type}") c.execute(f"ALTER TABLE {table} ADD COLUMN {column} {col_type}")
def add_factor(self, name: str, type: str = "unknown") -> int: def add_factor(self, name: str, type: str = "unknown") -> int:
rdagent/components/backtesting/vbt_backtest.py
+9 -9
View File
@@ -333,10 +333,10 @@ def _apply_risk_mask(
masked.at[ts] = 0 masked.at[ts] = 0
return masked, { return masked, {
"risk_daily_breaches": daily_breaches, "riskmgmt_daily_breaches": daily_breaches,
"risk_total_breached": total_breached, "riskmgmt_total_breached": total_breached,
"risk_total_breach_ts": str(total_breach_ts) if total_breach_ts else None, "riskmgmt_total_breach_ts": str(total_breach_ts) if total_breach_ts else None,
"risk_compliant": not total_breached and daily_breaches == 0, "riskmgmt_compliant": not total_breached and daily_breaches == 0,
} }
@@ -533,13 +533,13 @@ def backtest_signal_risk(
) )
result.update(risk_metrics) result.update(risk_metrics)
result["risk_leverage"] = round(leverage, 2) result["riskmgmt_leverage"] = round(leverage, 2)
result["risk_risk_pct"] = risk_pct result["riskmgmt_risk_pct"] = risk_pct
result["risk_stop_pips"] = stop_pips result["riskmgmt_stop_pips"] = stop_pips
# Re-scale reported equity metrics to INITIAL_CAPITAL # Re-scale reported equity metrics to INITIAL_CAPITAL
result["risk_end_equity"] = INITIAL_CAPITAL * (1 + result.get("total_return", 0)) result["riskmgmt_end_equity"] = INITIAL_CAPITAL * (1 + result.get("total_return", 0))
result["risk_monthly_profit"] = INITIAL_CAPITAL * result.get("monthly_return", 0) result["riskmgmt_monthly_profit"] = INITIAL_CAPITAL * result.get("monthly_return", 0)
# Walk-forward OOS split # Walk-forward OOS split
if oos_start is not None: if oos_start is not None: