209 lines
4.1 KiB
YAML
209 lines
4.1 KiB
YAML
# Risk Management Configuration
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# Global risk parameters and limits
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risk_profiles:
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conservative:
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name: "Conservative"
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max_drawdown: 5.0
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max_positions: 3
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position_size_pct: 10.0
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max_position_size_pct: 15.0
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max_risk_per_trade: 1.5
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max_leverage: 1.0
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max_correlation: 0.5
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moderate:
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name: "Moderate"
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max_drawdown: 10.0
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max_positions: 5
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position_size_pct: 15.0
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max_position_size_pct: 20.0
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max_risk_per_trade: 2.0
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max_leverage: 1.0
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max_correlation: 0.7
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aggressive:
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name: "Aggressive"
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max_drawdown: 20.0
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max_positions: 10
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position_size_pct: 20.0
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max_position_size_pct: 25.0
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max_risk_per_trade: 3.0
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max_leverage: 1.0
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max_correlation: 0.8
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# Position sizing
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position_sizing:
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method: "risk_based" # Options: fixed, risk_based, kelly_criterion
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# Risk-based sizing parameters
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risk_based:
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use_stop_loss: true
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default_stop_loss_pct: 2.0
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max_position_value_pct: 25.0
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min_position_value_usd: 10.0
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# Fixed sizing parameters
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fixed:
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default_size_pct: 10.0
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# Stop loss and take profit
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stop_loss:
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type: "percentage" # Options: percentage, atr, fixed_price
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# Percentage-based
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percentage:
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conservative: 2.0
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moderate: 3.0
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aggressive: 4.0
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# ATR-based
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atr:
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multiplier:
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conservative: 1.5
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moderate: 2.0
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aggressive: 2.5
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period: 14
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# Trailing stop
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trailing:
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enabled: true
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distance_pct:
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conservative: 1.5
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moderate: 2.0
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aggressive: 3.0
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take_profit:
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type: "percentage" # Options: percentage, atr, risk_reward_ratio
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# Percentage-based
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percentage:
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conservative: 3.0
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moderate: 6.0
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aggressive: 8.0
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# Risk/Reward ratio
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risk_reward_ratio:
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conservative: 1.5
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moderate: 2.0
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aggressive: 2.5
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# Drawdown management
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drawdown:
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# Actions when drawdown thresholds reached
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actions:
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- threshold: 50 # % of max drawdown
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action: "reduce_position_size"
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reduction_pct: 25
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- threshold: 75
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action: "reduce_position_size"
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reduction_pct: 50
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- threshold: 90
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action: "pause_trading"
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- threshold: 100
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action: "stop_all_trading"
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# Drawdown recovery
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recovery:
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resume_at_pct: 50 # Resume when drawdown reduces to this %
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gradual_increase: true
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increase_step_pct: 10
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# Correlation limits
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correlation:
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max_correlation: 0.7
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correlation_period: 30 # days
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check_before_entry: true
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# Portfolio limits
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portfolio:
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max_total_exposure_pct: 80.0
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max_sector_exposure_pct: 40.0
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min_diversification: 3 # Minimum number of different symbols
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# Per-symbol limits
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per_symbol:
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max_positions: 1
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max_value_pct: 25.0
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# Time-based limits
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time_limits:
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# Trading hours (UTC)
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trading_hours:
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enabled: false
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start: "00:00"
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end: "23:59"
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# Daily limits
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daily:
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max_trades: 50
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max_loss_pct: 5.0
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max_loss_usd: 500.0
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reset_time: "00:00" # UTC
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# Weekly limits
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weekly:
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max_trades: 200
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max_loss_pct: 10.0
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# Monthly limits
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monthly:
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max_trades: 800
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max_loss_pct: 20.0
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# Circuit breakers
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circuit_breakers:
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# Consecutive losses
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consecutive_losses:
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enabled: true
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max_losses: 5
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pause_duration_minutes: 60
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# Rapid drawdown
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rapid_drawdown:
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enabled: true
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threshold_pct: 3.0 # % loss in short period
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period_minutes: 15
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pause_duration_minutes: 120
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# Volatility spike
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volatility_spike:
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enabled: true
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threshold_multiplier: 3.0 # 3x normal volatility
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action: "reduce_position_size"
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# Emergency settings
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emergency:
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# Kill switch
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kill_switch:
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enabled: true
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triggers:
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- max_daily_loss_pct: 10.0
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- max_drawdown_pct: 25.0
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- consecutive_errors: 10
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# Auto-close positions
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auto_close:
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on_max_drawdown: true
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on_kill_switch: true
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on_agent_error: true
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# Monitoring and alerts
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monitoring:
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# Alert thresholds
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alerts:
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drawdown_warning: 3.0 # %
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drawdown_critical: 4.5 # %
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position_size_warning: 20.0 # %
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correlation_warning: 0.8
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# Logging
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logging:
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log_all_trades: true
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log_rejected_signals: true
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log_risk_checks: true
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detailed_metrics: true
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