risk

Stage 06 | 风控决策

in signals + analysis + portfolio state -> out position plan (direction, entry, stop, target, sizing)

Rule-based risk engine with 以损定仓 (size-from-stop-loss) position sizing. Asset-aware adapters for different market mechanics.

Pipeline Position

01 kline -> 02 intel -> 03 signal -> 04 copilot -> 05 backtest
                                  -> [06 risk] -> 07 executor -> 08 journal

Capabilities

• Position sizing: risk_amount / stop_loss_distance * entry_price
• Risk rules: max position %, max portfolio exposure, drawdown limits
• Asset-aware adapters:
  • A-shares: T+1, 100-share lots
  • US equities: margin rules
  • Crypto: 24/7, leverage limits
  • Commodities: contract rolls
• Rejects signals with signal_data_age exceeding threshold
• Outputs: approved/rejected verdict + adjusted position size

Source

Adapted from tradinghouse/src/risk/risk_engine.py + position_sizer.py. Risk engine is already asset-agnostic. Position sizer uses 以损定仓 formula.

Credential Policy

No credentials in this repo. Risk engine is pure computation, no external API calls.

Tech Stack

Python 3.11+ | Pydantic (frozen models)

Status

Scaffolding. Core logic exists in tradinghouse, migration pending.