deploy: 2026-03-20 07:49

risk/drawdown_monitor.py

@@ -0,0 +1,67 @@
+"""Drawdown monitoring and equity curve tracking."""
+
+from __future__ import annotations
+
+from dataclasses import dataclass, field
+from typing import List
+
+from loguru import logger
+
+
+@dataclass
+class DrawdownState:
+    """Current drawdown statistics."""
+
+    current_drawdown: float = 0.0
+    max_drawdown: float = 0.0
+    peak_equity: float = 0.0
+    trough_equity: float = 0.0
+    is_in_drawdown: bool = False
+
+
+class DrawdownMonitor:
+    """Track equity curve and compute drawdown metrics."""
+
+    def __init__(self, max_drawdown_limit: float = 0.15):
+        self.limit = max_drawdown_limit
+        self._equity_curve: List[float] = []
+        self._peak: float = 0.0
+        self._max_dd: float = 0.0
+
+    def update(self, equity: float) -> DrawdownState:
+        """Record new equity point and recalculate drawdown."""
+        self._equity_curve.append(equity)
+
+        if equity > self._peak:
+            self._peak = equity
+
+        current_dd = (self._peak - equity) / self._peak if self._peak > 0 else 0.0
+        if current_dd > self._max_dd:
+            self._max_dd = current_dd
+
+        state = DrawdownState(
+            current_drawdown=current_dd,
+            max_drawdown=self._max_dd,
+            peak_equity=self._peak,
+            trough_equity=min(self._equity_curve) if self._equity_curve else 0.0,
+            is_in_drawdown=current_dd > 0,
+        )
+
+        if current_dd >= self.limit:
+            logger.warning(
+                "DRAWDOWN ALERT: {:.2%} >= limit {:.2%}", current_dd, self.limit
+            )
+
+        return state
+
+    @property
+    def equity_curve(self) -> List[float]:
+        return list(self._equity_curve)
+
+    @property
+    def max_drawdown(self) -> float:
+        return self._max_dd
+
+    def is_breached(self) -> bool:
+        """Return True if max drawdown limit has been exceeded."""
+        return self._max_dd >= self.limit