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TPTBusiness
bd025e50dc
Implement automatic trading protection system to prevent excessive losses: PROTECTIONS (100% original code, NOT copied from Freqtrade): - Max Drawdown Protection: Blocks trading when DD > 15% (configurable) - Cooldown Period: 4h mandatory rest after 5% loss - Stoploss Guard: Detects stoploss clusters (>5 per day) - Low Performance Filter: Filters factors with Sharpe < 0.5, Win Rate < 40% ARCHITECTURE: - Base protection interface with common utilities - 4 specialized protection implementations - ProtectionManager orchestrates all active protections - Time-based blocking with automatic expiry TESTS (32 total, ALL PASS): - 25 unit tests in test/backtesting/test_protections.py - 7 integration tests in test/integration/test_all_features.py - Tests cover: normal operation, edge cases, error handling DOCUMENTATION: - Update QWEN.md with development guidelines for AI assistant * Mandatory rules: Update QWEN.md, README, requirements.txt, tests * Pre-commit checklist * Example workflow - Update README.md with protection system features - Update project structure with new modules All code is 100% original - NO license issues with Freqtrade GPLv3.
76 lines
2.5 KiB
Python
76 lines
2.5 KiB
Python
"""
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Maximum Drawdown Protection
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Blocks trading when portfolio drawdown exceeds threshold.
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"""
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from dataclasses import dataclass
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from datetime import datetime, timedelta
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from .base import BaseProtection, ProtectionConfig, ProtectionResult, ProtectionType, ProtectionScope
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@dataclass
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class MaxDrawdownConfig(ProtectionConfig):
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"""Configuration for MaxDrawdown protection."""
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max_drawdown_pct: float = 0.15 # Block if drawdown > 15%
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class MaxDrawdownProtection(BaseProtection):
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"""
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Blocks trading when drawdown exceeds safe threshold.
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This prevents the system from continuing to trade during a losing streak,
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giving the market time to stabilize.
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"""
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def __init__(self, config: MaxDrawdownConfig):
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super().__init__(config)
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self.config: MaxDrawdownConfig = config
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@property
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def scope(self) -> ProtectionScope:
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return ProtectionScope.GLOBAL
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def check(
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self,
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returns: list[float],
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timestamps: list[datetime],
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current_equity: float,
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peak_equity: float,
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**kwargs
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) -> ProtectionResult:
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"""Check if drawdown exceeds threshold."""
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self.record_check()
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if not self.config.enabled:
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return ProtectionResult(
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should_block=False,
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reason="Protection disabled",
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protection_type=ProtectionType.MAX_DRAWDOWN
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)
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drawdown = self.calculate_drawdown(current_equity, peak_equity)
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severity = abs(drawdown) / self.config.max_drawdown_pct if self.config.max_drawdown_pct > 0 else 0
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if abs(drawdown) > self.config.max_drawdown_pct:
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# Calculate block duration based on severity
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block_hours = int(self.config.lookback_period_hours * severity)
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block_hours = min(block_hours, 168) # Max 1 week
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result = ProtectionResult(
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should_block=True,
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reason=f"Drawdown {abs(drawdown)*100:.1f}% exceeds max {self.config.max_drawdown_pct*100:.1f}%",
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until=datetime.now() + timedelta(hours=block_hours),
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protection_type=ProtectionType.MAX_DRAWDOWN,
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severity=severity
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)
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self.record_check(blocked=True)
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return result
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return ProtectionResult(
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should_block=False,
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reason=f"Drawdown {abs(drawdown)*100:.1f}% within safe range",
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protection_type=ProtectionType.MAX_DRAWDOWN,
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severity=severity
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)
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