jongjae0305
108 lines
3.4 KiB
Python
108 lines
3.4 KiB
Python
"""
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risk/manager.py
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리스크 매니저 L1~L5
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기획서 v2.1 기준
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"""
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import logging
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from app.config import (
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SL_PCT, DAILY_SL_PCT, CONSEC_LOSS,
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AI_RISK_SL_MAP, POS_SIZE_PCT, MAX_POSITIONS
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)
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logger = logging.getLogger(__name__)
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class RiskManager:
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def __init__(self, init_cash: float):
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self.init_cash = init_cash
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self.daily_pnl = 0.0
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self.weekly_pnl = 0.0
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self.monthly_pnl = 0.0
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self.consec_loss = 0
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self.trading_stopped = False
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self.stop_reason = ""
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self.risk_level = "보통"
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def set_risk_level(self, level: str):
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"""AI 판단 결과로 risk_level 설정"""
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self.risk_level = level
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def get_sl_pct(self) -> float:
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"""현재 risk_level에 따른 손절 비율 반환"""
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return AI_RISK_SL_MAP.get(self.risk_level, SL_PCT)
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def get_pos_size(self, cash: float, multiplier: float = 1.0) -> float:
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"""포지션 사이즈 계산 (AI multiplier 반영)"""
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return cash * POS_SIZE_PCT * multiplier
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# ── 손실 기록 ──
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def record_trade(self, pnl: float):
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"""매매 결과 기록 및 손실 한도 체크"""
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self.daily_pnl += pnl
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self.weekly_pnl += pnl
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self.monthly_pnl += pnl
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if pnl < 0:
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self.consec_loss += 1
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else:
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self.consec_loss = 0
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self._check_limits()
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def _check_limits(self):
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"""L1~L5 손실 한도 체크"""
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# L2: 일일 누적 손실 -3%
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if self.daily_pnl / self.init_cash < -DAILY_SL_PCT:
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self._stop("L2", f"일일 손실 {self.daily_pnl/self.init_cash*100:.1f}% 도달")
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# L3: 연속 손절 3회
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if self.consec_loss >= CONSEC_LOSS:
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self._stop("L3", f"{CONSEC_LOSS}연속 손절 발생")
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# L4: 주간 누적 -7%
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if self.weekly_pnl / self.init_cash < -0.07:
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self._stop("L4", f"주간 손실 {self.weekly_pnl/self.init_cash*100:.1f}%")
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# L5: 월간 누적 -15%
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if self.monthly_pnl / self.init_cash < -0.15:
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self._stop("L5", f"월간 손실 {self.monthly_pnl/self.init_cash*100:.1f}%")
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def _stop(self, level: str, reason: str):
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self.trading_stopped = True
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self.stop_reason = f"{level}: {reason}"
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logger.warning(f"매매 중단 - {self.stop_reason}")
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# ── 상태 조회 ──
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def can_trade(self) -> bool:
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return not self.trading_stopped
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def can_add_position(self, current_positions: int) -> bool:
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return (not self.trading_stopped
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and current_positions < MAX_POSITIONS)
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def reset_daily(self):
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"""매일 장 시작 전 일일 손익 초기화"""
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self.daily_pnl = 0.0
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self.consec_loss = 0
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self.trading_stopped = False
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self.stop_reason = ""
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def reset_weekly(self):
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self.weekly_pnl = 0.0
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def reset_monthly(self):
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self.monthly_pnl = 0.0
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def status(self) -> dict:
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return {
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"trading_stopped": self.trading_stopped,
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"stop_reason" : self.stop_reason,
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"daily_pnl" : self.daily_pnl,
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"weekly_pnl" : self.weekly_pnl,
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"monthly_pnl" : self.monthly_pnl,
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"consec_loss" : self.consec_loss,
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"risk_level" : self.risk_level,
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"sl_pct" : self.get_sl_pct(),
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}
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