feat(risk): 实现风控层与回调钩子机制（融合Freqtrade设计）
核心组件： - RiskControl: 风控抽象基类 - StopLossControl: 止损控制（固定止损/跟踪止损） - PositionLimitControl: 仓位限制控制 - PremiumControl: 溢价控制（filter/penalize模式） 回调钩子机制： - CallbackHook: 回调管理器（注册/触发） - 5个核心回调：before_entry, after_entry, before_exit, after_exit, dynamic_stoploss, custom_exit 便捷回调函数： - premium_filter_callback: 溢价过滤回调 - crash_filter_callback: 崩盘检测回调 - holding_time_stoploss_callback: 持仓时间动态止损 测试覆盖：13个测试全部通过
This commit is contained in:
351
framework/risk/__init__.py
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351
framework/risk/__init__.py
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@@ -0,0 +1,351 @@
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"""
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回调钩子与风控层设计
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核心组件：
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- RiskControl: 风控抽象基类
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- StopLossControl: 止损控制
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- PositionLimitControl: 仓位限制控制
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- CallbackHook: 回调钩子管理
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"""
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import pandas as pd
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from abc import ABC, abstractmethod
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from typing import Dict, Any, Optional, List
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from dataclasses import dataclass
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from datetime import datetime
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@dataclass
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class Position:
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"""持仓信息"""
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code: str
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entry_price: float
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entry_date: datetime
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current_price: float
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current_date: datetime
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quantity: float
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weight: float
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@property
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def profit_ratio(self) -> float:
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"""盈亏比例"""
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return (self.current_price - self.entry_price) / self.entry_price
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@property
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def holding_days(self) -> int:
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"""持仓天数"""
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return (self.current_date - self.entry_date).days
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@property
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def is_profit(self) -> bool:
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"""是否盈利"""
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return self.profit_ratio > 0
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@dataclass
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class Trade:
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"""交易信息"""
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code: str
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direction: str # 'entry' or 'exit'
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price: float
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date: datetime
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quantity: float
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reason: str = ""
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class RiskControl(ABC):
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"""
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风控抽象基类
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所有风控组件必须继承此基类。
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"""
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name: str = "base"
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def __init__(self, **params):
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self._params = params
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@abstractmethod
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def check(self, position: Optional[Position], **kwargs) -> bool:
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"""
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风控检查
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Args:
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position: 持仓信息（可选）
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**kwargs: 其他参数
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Returns:
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是否通过检查
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"""
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pass
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@abstractmethod
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def apply(self, position: Position) -> Optional[float]:
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"""
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应用风控
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Args:
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position: 持仓信息
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Returns:
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应用结果（如止损价格、仓位调整比例等）
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"""
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pass
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@property
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def params(self) -> Dict[str, Any]:
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return self._params
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class StopLossControl(RiskControl):
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"""
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止损控制
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参数：
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- threshold: 止损阈值（默认-0.05）
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- trailing: 是否跟踪止损（默认False）
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- trailing_percent: 跟踪止损比例（默认0.03）
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"""
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name = "stop_loss"
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def __init__(
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self,
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threshold: float = -0.05,
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trailing: bool = False,
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trailing_percent: float = 0.03
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):
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super().__init__(
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threshold=threshold,
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trailing=trailing,
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trailing_percent=trailing_percent
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)
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self.threshold = threshold
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self.trailing = trailing
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self.trailing_percent = trailing_percent
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self._highest_price = {} # 跟踪最高价
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def check(self, position: Optional[Position], **kwargs) -> bool:
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"""检查是否触发止损"""
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if position is None:
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return True
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# 更新最高价（跟踪止损）
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if self.trailing:
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if position.code not in self._highest_price:
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self._highest_price[position.code] = position.entry_price
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self._highest_price[position.code] = max(
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self._highest_price[position.code],
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position.current_price
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)
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# 检查止损
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if self.trailing:
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# 跟踪止损：从最高价回撤超过阈值
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highest = self._highest_price[position.code]
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drawdown = (position.current_price - highest) / highest
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return drawdown > -self.trailing_percent
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else:
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# 固定止损：从入场价亏损超过阈值
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return position.profit_ratio > self.threshold
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def apply(self, position: Position) -> Optional[float]:
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"""返回止损价格"""
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if self.trailing:
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highest = self._highest_price.get(position.code, position.entry_price)
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return highest * (1 - self.trailing_percent)
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else:
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return position.entry_price * (1 + self.threshold)
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class PositionLimitControl(RiskControl):
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"""
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仓位限制控制
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参数：
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- max_position: 单品种最大仓位（默认0.33）
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- max_total: 总仓位上限（默认1.0）
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"""
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name = "position_limit"
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def __init__(
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self,
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max_position: float = 0.33,
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max_total: float = 1.0
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):
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super().__init__(
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max_position=max_position,
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max_total=max_total
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)
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self.max_position = max_position
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self.max_total = max_total
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def check(self, position: Optional[Position], **kwargs) -> bool:
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"""检查仓位是否超限"""
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if position is None:
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return True
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# 检查单品种仓位
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if position.weight > self.max_position:
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return False
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return True
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def apply(self, position: Position) -> Optional[float]:
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"""返回建议仓位"""
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return min(position.weight, self.max_position)
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class PremiumControl(RiskControl):
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"""
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溢价控制
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参数：
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- threshold: 溢价阈值（默认0.10）
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- mode: 控制模式（'filter'或'penalize'）
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"""
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name = "premium"
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def __init__(
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self,
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threshold: float = 0.10,
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mode: str = 'filter'
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):
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super().__init__(
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threshold=threshold,
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mode=mode
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)
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self.threshold = threshold
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self.mode = mode
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def check(self, position: Optional[Position], **kwargs) -> bool:
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"""检查溢价是否超限"""
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premium = kwargs.get('premium', 0)
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if self.mode == 'filter':
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# 完全排除
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return premium <= self.threshold
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else:
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# 仅降权，允许通过
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return True
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def apply(self, position: Position) -> Optional[float]:
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"""返回溢价惩罚系数"""
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if self.mode == 'penalize':
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return 0.5 # 降权50%
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return None
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class CallbackHook:
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"""
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回调钩子管理
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支持策略生命周期回调：
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- before_entry: 入场前检查
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- after_entry: 入场后处理
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- before_exit: 出场前检查
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- after_exit: 出场后处理
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- dynamic_stoploss: 动态止损
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- custom_exit: 自定义出场
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"""
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def __init__(self):
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self._hooks = {
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'before_entry': [],
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'after_entry': [],
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'before_exit': [],
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'after_exit': [],
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'dynamic_stoploss': [],
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'custom_exit': []
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}
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def register(self, hook_name: str, callback: callable) -> None:
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"""注册回调"""
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if hook_name not in self._hooks:
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raise ValueError(f"Unknown hook: {hook_name}")
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self._hooks[hook_name].append(callback)
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def trigger(self, hook_name: str, *args, **kwargs) -> Any:
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"""触发回调"""
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if hook_name not in self._hooks:
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raise ValueError(f"Unknown hook: {hook_name}")
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results = []
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for callback in self._hooks[hook_name]:
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try:
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result = callback(*args, **kwargs)
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results.append(result)
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except Exception as e:
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print(f"⚠ Callback error: {e}")
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# before_entry和before_exit需要所有回调返回True
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if hook_name in ['before_entry', 'before_exit']:
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return all(results)
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# dynamic_stoploss返回最小的止损值
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if hook_name == 'dynamic_stoploss':
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return min(results) if results else -0.05
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# custom_exit返回是否有任一回调触发出场
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if hook_name == 'custom_exit':
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return any(results)
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return results
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def clear(self, hook_name: str = None) -> None:
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"""清空回调"""
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if hook_name:
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self._hooks[hook_name] = []
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else:
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for key in self._hooks:
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self._hooks[key] = []
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# 便捷回调函数
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def premium_filter_callback(threshold: float = 0.10):
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"""溢价过滤回调"""
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def callback(code: str, price: float, **kwargs) -> bool:
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premium = kwargs.get('premium', 0)
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if premium > threshold:
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print(f"溢价过高，拒绝入场: {code} (溢价={premium:.2%})")
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return False
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return True
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return callback
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def crash_filter_callback(lookback: int = 3, crash_threshold: float = 0.05):
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"""崩盘过滤回调"""
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def callback(code: str, price: float, **kwargs) -> bool:
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history = kwargs.get('history', None)
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if history is None:
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return True
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# 检查最近N天是否有崩盘
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recent = history.tail(lookback)
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if len(recent) < lookback:
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return True
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returns = recent['close'].pct_change()
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min_return = returns.min()
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if min_return < -crash_threshold:
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print(f"崩盘检测，拒绝入场: {code} (最大跌幅={min_return:.2%})")
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return False
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return True
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return callback
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def holding_time_stoploss_callback(
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day_5_stoploss: float = -0.05,
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day_10_stoploss: float = -0.03
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):
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"""持仓时间动态止损回调"""
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def callback(position: Position) -> float:
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if position.holding_days >= 10:
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return day_10_stoploss # 10天后收紧止损
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elif position.holding_days >= 5:
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return day_5_stoploss
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return -0.10 # 默认止损
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return callback
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293
framework/tests/test_risk.py
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293
framework/tests/test_risk.py
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@@ -0,0 +1,293 @@
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"""
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风控层测试
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测试RiskControl、StopLossControl、PositionLimitControl、CallbackHook
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"""
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import pandas as pd
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import pytest
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from datetime import datetime, timedelta
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from framework.risk import (
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RiskControl, StopLossControl, PositionLimitControl, PremiumControl,
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CallbackHook, Position, Trade,
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premium_filter_callback, crash_filter_callback, holding_time_stoploss_callback
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)
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class TestPosition:
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"""测试持仓信息"""
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def test_position_profit(self):
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"""测试盈亏计算"""
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position = Position(
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code='code1',
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entry_price=100.0,
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entry_date=datetime(2020, 1, 1),
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current_price=110.0,
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current_date=datetime(2020, 1, 10),
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quantity=100,
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weight=0.33
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)
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assert position.profit_ratio == 0.10
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assert position.is_profit == True
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assert position.holding_days == 9
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def test_position_loss(self):
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"""测试亏损计算"""
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position = Position(
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code='code1',
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entry_price=100.0,
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entry_date=datetime(2020, 1, 1),
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current_price=95.0,
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current_date=datetime(2020, 1, 5),
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quantity=100,
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weight=0.33
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)
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assert position.profit_ratio == -0.05
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assert position.is_profit == False
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assert position.holding_days == 4
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class TestStopLossControl:
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"""测试止损控制"""
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def test_fixed_stoploss_check(self):
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"""测试固定止损检查"""
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control = StopLossControl(threshold=-0.05)
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# 未触发止损
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position = Position(
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code='code1',
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entry_price=100.0,
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entry_date=datetime(2020, 1, 1),
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current_price=96.0,
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current_date=datetime(2020, 1, 5),
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quantity=100,
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weight=0.33
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)
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assert control.check(position) == True
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# 触发止损
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position.current_price = 94.0
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assert control.check(position) == False
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def test_fixed_stoploss_apply(self):
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"""测试固定止损应用"""
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control = StopLossControl(threshold=-0.05)
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position = Position(
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code='code1',
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entry_price=100.0,
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entry_date=datetime(2020, 1, 1),
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current_price=95.0,
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current_date=datetime(2020, 1, 5),
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quantity=100,
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weight=0.33
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)
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stop_price = control.apply(position)
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assert stop_price == 95.0 # 100 * (1 - 0.05)
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def test_trailing_stoploss(self):
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"""测试跟踪止损"""
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control = StopLossControl(trailing=True, trailing_percent=0.03)
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position = Position(
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code='code1',
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entry_price=100.0,
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entry_date=datetime(2020, 1, 1),
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current_price=105.0,
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current_date=datetime(2020, 1, 5),
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quantity=100,
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weight=0.33
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)
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# 最高价更新为105
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control.check(position)
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assert control._highest_price['code1'] == 105.0
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# 当前价回撤到101（从105回撤4%），超过3%阈值
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position.current_price = 101.0
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assert control.check(position) == False
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# 止损价格应为 105 * (1 - 0.03) = 101.85
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stop_price = control.apply(position)
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assert abs(stop_price - 101.85) < 0.01
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class TestPositionLimitControl:
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"""测试仓位限制控制"""
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def test_position_limit_check(self):
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"""测试仓位限制检查"""
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control = PositionLimitControl(max_position=0.33)
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# 仓位未超限
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position = Position(
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code='code1',
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entry_price=100.0,
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entry_date=datetime(2020, 1, 1),
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current_price=105.0,
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current_date=datetime(2020, 1, 5),
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quantity=100,
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weight=0.30
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)
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assert control.check(position) == True
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# 仓位超限
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position.weight = 0.40
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assert control.check(position) == False
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def test_position_limit_apply(self):
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"""测试仓位限制应用"""
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control = PositionLimitControl(max_position=0.33)
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position = Position(
|
||||
code='code1',
|
||||
entry_price=100.0,
|
||||
entry_date=datetime(2020, 1, 1),
|
||||
current_price=105.0,
|
||||
current_date=datetime(2020, 1, 5),
|
||||
quantity=100,
|
||||
weight=0.50
|
||||
)
|
||||
|
||||
suggested_weight = control.apply(position)
|
||||
assert suggested_weight == 0.33
|
||||
|
||||
|
||||
class TestPremiumControl:
|
||||
"""测试溢价控制"""
|
||||
|
||||
def test_premium_filter(self):
|
||||
"""测试溢价过滤"""
|
||||
control = PremiumControl(threshold=0.10, mode='filter')
|
||||
|
||||
# 溢价未超限
|
||||
assert control.check(None, premium=0.05) == True
|
||||
|
||||
# 溢价超限
|
||||
assert control.check(None, premium=0.15) == False
|
||||
|
||||
def test_premium_penalize(self):
|
||||
"""测试溢价降权"""
|
||||
control = PremiumControl(threshold=0.10, mode='penalize')
|
||||
|
||||
# 降权模式下允许通过
|
||||
assert control.check(None, premium=0.15) == True
|
||||
|
||||
# 返回降权系数
|
||||
position = Position(
|
||||
code='code1',
|
||||
entry_price=100.0,
|
||||
entry_date=datetime(2020, 1, 1),
|
||||
current_price=105.0,
|
||||
current_date=datetime(2020, 1, 5),
|
||||
quantity=100,
|
||||
weight=0.33
|
||||
)
|
||||
penalty = control.apply(position)
|
||||
assert penalty == 0.5
|
||||
|
||||
|
||||
class TestCallbackHook:
|
||||
"""测试回调钩子"""
|
||||
|
||||
def test_register_hook(self):
|
||||
"""测试注册回调"""
|
||||
hook = CallbackHook()
|
||||
|
||||
def dummy_callback(code, price):
|
||||
return True
|
||||
|
||||
hook.register('before_entry', dummy_callback)
|
||||
assert len(hook._hooks['before_entry']) == 1
|
||||
|
||||
def test_trigger_before_entry(self):
|
||||
"""测试触发入场前回调"""
|
||||
hook = CallbackHook()
|
||||
|
||||
# 注册溢价过滤回调
|
||||
hook.register('before_entry', premium_filter_callback(threshold=0.10))
|
||||
|
||||
# 溢价正常，允许入场
|
||||
result = hook.trigger('before_entry', 'code1', 100.0, premium=0.05)
|
||||
assert result == True
|
||||
|
||||
# 溢价过高，拒绝入场
|
||||
result = hook.trigger('before_entry', 'code1', 100.0, premium=0.15)
|
||||
assert result == False
|
||||
|
||||
def test_trigger_dynamic_stoploss(self):
|
||||
"""测试触发动态止损回调"""
|
||||
hook = CallbackHook()
|
||||
|
||||
# 注册持仓时间止损回调
|
||||
hook.register('dynamic_stoploss', holding_time_stoploss_callback())
|
||||
|
||||
# 持仓5天，止损-5%
|
||||
position = Position(
|
||||
code='code1',
|
||||
entry_price=100.0,
|
||||
entry_date=datetime(2020, 1, 1),
|
||||
current_price=95.0,
|
||||
current_date=datetime(2020, 1, 6),
|
||||
quantity=100,
|
||||
weight=0.33
|
||||
)
|
||||
stoploss = hook.trigger('dynamic_stoploss', position)
|
||||
# holding_days=5，返回-0.05
|
||||
assert stoploss == -0.05
|
||||
|
||||
def test_trigger_custom_exit(self):
|
||||
"""测试触发自定义出场回调"""
|
||||
hook = CallbackHook()
|
||||
|
||||
def reversal_exit_callback(position):
|
||||
# 反转信号触发出场
|
||||
return position.profit_ratio < -0.02
|
||||
|
||||
hook.register('custom_exit', reversal_exit_callback)
|
||||
|
||||
# 未触发出场
|
||||
position = Position(
|
||||
code='code1',
|
||||
entry_price=100.0,
|
||||
entry_date=datetime(2020, 1, 1),
|
||||
current_price=99.0,
|
||||
current_date=datetime(2020, 1, 5),
|
||||
quantity=100,
|
||||
weight=0.33
|
||||
)
|
||||
result = hook.trigger('custom_exit', position)
|
||||
assert result == False
|
||||
|
||||
# 触发出场
|
||||
position.current_price = 97.0
|
||||
result = hook.trigger('custom_exit', position)
|
||||
assert result == True
|
||||
|
||||
def test_multiple_callbacks(self):
|
||||
"""测试多个回调组合"""
|
||||
hook = CallbackHook()
|
||||
|
||||
# 注册多个入场前回调
|
||||
hook.register('before_entry', premium_filter_callback(0.10))
|
||||
hook.register('before_entry', lambda code, price, **kwargs: price > 50)
|
||||
|
||||
# 溢价正常 + 价格>50，允许入场
|
||||
result = hook.trigger('before_entry', 'code1', 100.0, premium=0.05)
|
||||
assert result == True
|
||||
|
||||
# 溢价过高，拒绝入场（任一回调返回False）
|
||||
result = hook.trigger('before_entry', 'code1', 100.0, premium=0.15)
|
||||
assert result == False
|
||||
|
||||
# 价格过低，拒绝入场
|
||||
result = hook.trigger('before_entry', 'code1', 40.0, premium=0.05)
|
||||
assert result == False
|
||||
|
||||
|
||||
if __name__ == '__main__':
|
||||
pytest.main([__file__, '-v'])
|
||||
Reference in New Issue
Block a user