first commit

2026-05-03 23:37:55 -04:00
commit 8b96dd1465
18 changed files with 1048 additions and 0 deletions
--- a/risk_manager.py
+++ b/risk_manager.py
@@ -0,0 +1,84 @@
+from __future__ import annotations
+
+import logging
+from dataclasses import dataclass
+from enum import Enum
+
+from config import Config
+from portfolio import Position
+
+log = logging.getLogger(__name__)
+
+
+class ExitReason(Enum):
+    HARD_STOP = "hard_stop"          # Price dropped too far from entry
+    TRAILING_STOP = "trailing_stop"  # Price dropped too far from peak
+    TAKE_PROFIT = "take_profit"      # Price hit the profit target
+    TIME_LIMIT = "time_limit"        # Position held too long
+
+
+@dataclass
+class ExitSignal:
+    reason: ExitReason
+    current_price: float
+    pnl_pct: float
+
+
+class RiskManager:
+    def __init__(self, config: Config):
+        self.config = config
+
+    def check(self, position: Position, current_price: float) -> ExitSignal | None:
+        """
+        Evaluate a position against all exit rules. Returns an ExitSignal if any
+        rule triggers, otherwise None. Also updates the position's peak price.
+
+        Rules are checked in priority order:
+          1. Hard stop  — worst-case absolute floor
+          2. Trailing stop — peak-relative stop, protects accumulated gains
+          3. Take profit — locks in the profit target
+          4. Time limit — exits stagnant positions to free capital
+        """
+        position.update_peak(current_price)
+
+        pnl_pct = position.pnl_pct(current_price)
+        drop_from_peak = position.drop_from_peak_pct(current_price)
+        hours_held = position.hours_held()
+
+        # 1. Hard stop-loss
+        if pnl_pct <= -self.config.hard_stop_pct:
+            log.warning(
+                "%s HARD STOP: pnl=%.2f%% (limit=%.2f%%)",
+                position.pair, pnl_pct, -self.config.hard_stop_pct,
+            )
+            return ExitSignal(ExitReason.HARD_STOP, current_price, pnl_pct)
+
+        # 2. Trailing stop
+        if drop_from_peak >= self.config.trailing_stop_pct:
+            log.warning(
+                "%s TRAILING STOP: dropped %.2f%% from peak $%.6f (current $%.6f)  pnl=%.2f%%",
+                position.pair, drop_from_peak, position.peak_price, current_price, pnl_pct,
+            )
+            return ExitSignal(ExitReason.TRAILING_STOP, current_price, pnl_pct)
+
+        # 3. Take profit
+        if pnl_pct >= self.config.take_profit_pct:
+            log.info(
+                "%s TAKE PROFIT: pnl=%.2f%% (target=%.2f%%)",
+                position.pair, pnl_pct, self.config.take_profit_pct,
+            )
+            return ExitSignal(ExitReason.TAKE_PROFIT, current_price, pnl_pct)
+
+        # 4. Time limit
+        if hours_held >= self.config.max_hold_hours:
+            log.info(
+                "%s TIME LIMIT: held %.1fh / %dh  pnl=%.2f%%",
+                position.pair, hours_held, self.config.max_hold_hours, pnl_pct,
+            )
+            return ExitSignal(ExitReason.TIME_LIMIT, current_price, pnl_pct)
+
+        log.debug(
+            "%s HOLD: pnl=%.2f%%  peak_drop=%.2f%%  held=%.1fh  peak=$%.6f",
+            position.pair, pnl_pct, drop_from_peak, hours_held, position.peak_price,
+        )
+        return None