Initial commit — Trading AI Secure project complet
Architecture Docker (8 services), FastAPI, TimescaleDB, Redis, Streamlit. Stratégies : scalping, intraday, swing. MLEngine + RegimeDetector (HMM). BacktestEngine + WalkForwardAnalyzer + Optuna optimizer. Routes API complètes dont /optimize async. Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>
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Tika
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config/risk_limits.example.yaml
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config/risk_limits.example.yaml
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# Configuration Risk Management - Trading AI Secure
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# Copier ce fichier vers risk_limits.yaml et ajuster selon votre profil de risque
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# ============================================================================
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# LIMITES GLOBALES DU PORTFOLIO
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# ============================================================================
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global_limits:
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# Capital et Exposition
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max_portfolio_risk: 0.02 # 2% du capital total en risque simultané
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max_position_size: 0.05 # 5% du capital par position maximum
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max_total_exposure: 1.0 # 100% du capital (pas de levier)
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min_cash_reserve: 0.10 # 10% du capital en réserve
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# Drawdown et Pertes
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max_drawdown: 0.10 # 10% drawdown maximum avant halt
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max_daily_loss: 0.03 # 3% perte journalière maximum
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max_weekly_loss: 0.07 # 7% perte hebdomadaire maximum
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max_monthly_loss: 0.15 # 15% perte mensuelle maximum
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# Corrélation et Diversification
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max_correlation: 0.7 # Corrélation maximum entre positions
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min_diversification: 3 # Minimum 3 positions non-corrélées
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max_same_strategy_positions: 5 # Maximum 5 positions par stratégie
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# Liquidité
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min_daily_volume: 1000000 # 1M$ volume quotidien minimum
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max_position_vs_volume: 0.01 # Maximum 1% du volume quotidien
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min_spread_pct: 0.001 # 0.1% spread maximum acceptable
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# Concentration
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max_sector_exposure: 0.30 # 30% maximum par secteur
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max_asset_class_exposure: 0.50 # 50% maximum par classe d'actif
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max_currency_exposure: 0.40 # 40% maximum par devise
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# ============================================================================
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# LIMITES PAR STRATÉGIE
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# ============================================================================
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strategy_limits:
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# Stratégie Scalping (Court Terme)
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scalping:
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enabled: true
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max_trades_per_day: 50 # Maximum 50 trades par jour
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max_trades_per_hour: 10 # Maximum 10 trades par heure
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risk_per_trade: 0.005 # 0.5% du capital par trade
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max_holding_time: 1800 # 30 minutes maximum
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max_slippage: 0.001 # 0.1% slippage maximum acceptable
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min_profit_target: 0.003 # 0.3% profit minimum visé
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max_consecutive_losses: 3 # Pause après 3 pertes consécutives
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# Paramètres adaptatifs
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adaptive_params:
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min_confidence: 0.65 # Confiance minimum pour trade
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bb_period: 20 # Période Bollinger Bands
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bb_std: 2.0 # Écart-type Bollinger
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rsi_period: 14 # Période RSI
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rsi_oversold: 30 # Seuil oversold
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rsi_overbought: 70 # Seuil overbought
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volume_threshold: 1.5 # Ratio volume vs moyenne
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# Stratégie Intraday (Moyen Terme)
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intraday:
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enabled: true
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max_trades_per_day: 10 # Maximum 10 trades par jour
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max_trades_per_hour: 3 # Maximum 3 trades par heure
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risk_per_trade: 0.015 # 1.5% du capital par trade
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max_holding_time: 86400 # 1 jour maximum
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max_slippage: 0.002 # 0.2% slippage maximum
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min_profit_target: 0.01 # 1% profit minimum visé
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max_consecutive_losses: 3 # Pause après 3 pertes
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# Paramètres adaptatifs
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adaptive_params:
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min_confidence: 0.60 # Confiance minimum
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ema_fast: 9 # EMA rapide
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ema_slow: 21 # EMA lente
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ema_trend: 50 # EMA tendance
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atr_multiplier: 2.5 # Multiplicateur ATR pour stops
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volume_confirmation: 1.2 # Confirmation volume
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min_adx: 25 # ADX minimum (force tendance)
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# Stratégie Swing (Long Terme)
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swing:
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enabled: true
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max_trades_per_week: 5 # Maximum 5 trades par semaine
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max_trades_per_day: 2 # Maximum 2 trades par jour
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risk_per_trade: 0.025 # 2.5% du capital par trade
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max_holding_time: 432000 # 5 jours maximum
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max_slippage: 0.003 # 0.3% slippage maximum
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min_profit_target: 0.03 # 3% profit minimum visé
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max_consecutive_losses: 2 # Pause après 2 pertes
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# Paramètres adaptatifs
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adaptive_params:
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min_confidence: 0.55 # Confiance minimum
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sma_short: 20 # SMA courte
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sma_long: 50 # SMA longue
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rsi_period: 14 # Période RSI
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macd_fast: 12 # MACD rapide
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macd_slow: 26 # MACD lente
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macd_signal: 9 # Signal MACD
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# ============================================================================
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# LIMITES DYNAMIQUES (Ajustées selon conditions)
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# ============================================================================
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dynamic_limits:
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# Ajustements selon volatilité
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volatility_adjustments:
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enabled: true
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low_volatility_threshold: 0.01 # < 1% volatilité quotidienne
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high_volatility_threshold: 0.03 # > 3% volatilité quotidienne
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# Réductions en haute volatilité
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high_vol_position_size_mult: 0.5 # Réduire taille positions de 50%
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high_vol_risk_mult: 0.7 # Réduire risque total de 30%
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high_vol_trades_mult: 0.5 # Réduire nombre trades de 50%
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# Ajustements selon drawdown
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drawdown_adjustments:
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enabled: true
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# Paliers de drawdown
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mild_drawdown: 0.05 # 5% drawdown
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moderate_drawdown: 0.08 # 8% drawdown
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severe_drawdown: 0.10 # 10% drawdown (halt)
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# Réductions selon palier
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mild_position_size_mult: 0.8 # -20% taille positions
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moderate_position_size_mult: 0.5 # -50% taille positions
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# Ajustements selon losing streak
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losing_streak_adjustments:
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enabled: true
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# Paliers de pertes consécutives
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minor_streak: 3 # 3 pertes consécutives
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major_streak: 5 # 5 pertes consécutives
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critical_streak: 7 # 7 pertes (pause trading)
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# Réductions
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minor_trades_mult: 0.7 # -30% nombre trades
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minor_risk_mult: 0.5 # -50% risque par trade
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major_trades_mult: 0.5 # -50% nombre trades
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major_risk_mult: 0.3 # -70% risque par trade
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# ============================================================================
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# CIRCUIT BREAKERS (Arrêts Automatiques)
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# ============================================================================
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circuit_breakers:
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# Drawdown excessif
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max_drawdown_breaker:
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enabled: true
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threshold: 0.10 # 10% drawdown
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action: "halt_trading" # Arrêter trading
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notification: ["telegram", "email", "sms"]
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# Perte journalière
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daily_loss_breaker:
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enabled: true
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threshold: 0.03 # 3% perte journalière
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action: "halt_trading"
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notification: ["telegram", "email"]
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# Volatilité extrême
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volatility_spike_breaker:
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enabled: true
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threshold_multiplier: 3.0 # 3x volatilité normale
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action: "reduce_exposure" # Réduire exposition
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notification: ["telegram"]
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# Flash crash
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flash_crash_breaker:
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enabled: true
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price_move_threshold: 0.05 # 5% mouvement en 1 minute
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action: "halt_trading"
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notification: ["telegram", "sms"]
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# API failure
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api_failure_breaker:
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enabled: true
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max_consecutive_failures: 3 # 3 échecs consécutifs
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action: "close_positions" # Fermer positions
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notification: ["telegram", "email", "sms"]
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# Corrélation excessive
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correlation_breaker:
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enabled: true
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threshold: 0.85 # 85% corrélation
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action: "block_new_trades" # Bloquer nouveaux trades
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notification: ["telegram"]
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# ============================================================================
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# ALERTES ET NOTIFICATIONS
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# ============================================================================
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alerts:
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# Seuils d'alerte (avant circuit breakers)
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warning_thresholds:
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drawdown_warning: 0.08 # Alerte à 8% drawdown
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daily_loss_warning: 0.025 # Alerte à 2.5% perte journalière
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position_size_warning: 0.04 # Alerte si position > 4%
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correlation_warning: 0.6 # Alerte si corrélation > 60%
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# Canaux de notification
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notification_channels:
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telegram:
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enabled: true
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priority: "high"
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bot_token: "" # À configurer
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chat_id: "" # À configurer
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email:
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enabled: true
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priority: "medium"
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smtp_server: "smtp.gmail.com"
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smtp_port: 587
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from_email: "" # À configurer
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to_email: "" # À configurer
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password: "" # À configurer
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sms:
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enabled: false # Coûteux, urgences uniquement
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priority: "critical"
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provider: "twilio"
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account_sid: "" # À configurer
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auth_token: "" # À configurer
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from_number: "" # À configurer
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to_number: "" # À configurer
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# ============================================================================
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# PARAMÈTRES AVANCÉS
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# ============================================================================
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advanced:
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# Kelly Criterion
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kelly_criterion:
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enabled: true
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fraction: 0.25 # Utiliser 25% du Kelly (conservateur)
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min_trades_for_calculation: 30 # Minimum 30 trades pour calcul
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# Value at Risk (VaR)
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var_calculation:
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enabled: true
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confidence_level: 0.95 # 95% confiance
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time_horizon_days: 1 # Horizon 1 jour
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method: "historical" # historical, parametric, monte_carlo
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# Position Sizing
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position_sizing:
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method: "kelly_adaptive" # kelly_adaptive, fixed_fractional, volatility_based
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min_position_size: 0.01 # 1% minimum
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max_position_size: 0.05 # 5% maximum
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# Rebalancing
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portfolio_rebalancing:
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enabled: true
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frequency: "daily" # daily, weekly, monthly
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threshold: 0.05 # Rebalancer si drift > 5%
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# ============================================================================
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# NOTES
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# ============================================================================
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# 1. Ces limites sont CONSERVATRICES par défaut
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# 2. Ajuster selon votre tolérance au risque
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# 3. JAMAIS désactiver circuit breakers en production
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# 4. Tester changements en paper trading d'abord
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# 5. Documenter toute modification
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