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- # 博弈式风险管理体系配置
- # 反脆弱仓位管理
- position_sizing:
- # 基础凯利公式
- kelly:
- fraction: 0.5 # 半凯利（保守）
- max_position: 1.0 # 最大仓位
- min_position: 0.0 # 最小仓位
- # 凸性调节
- convexity:
- enabled: true
- gamma: 0.2 # 凸性系数
- positive_boost: 0.1 # 正凸性提升
- negative_penalty: 0.15 # 负凸性惩罚
- # 生态适应系数
- regime_adjustment:
- spring: 1.0
- summer: 1.2
- autumn: 0.8
- winter: 0.5
- # 单品种限制
- single_symbol:
- max_weight: 0.30 # 最大30%
- # 风险预算系统
- risk_budget:
- # 预算分配
- allocation:
- monthly_pct: 0.05 # 月度风险预算（账户价值5%）
- cooling_period_days: 3 # 冷却期（交易日）
- # 触发阈值
- thresholds:
- warning: 0.10 # 预警（预算消耗10%）
- cooling: 0.20 # 冷却触发（预算消耗20%）
- stop: 0.50 # 停止交易（预算消耗50%）
- # 计算方式
- calculation:
- method: "actual_loss" # "actual_loss", "var_based"
- lookback_trades: 20 # 回看交易次数
- # 动态对冲矩阵
- hedging:
- # 系统性风险对冲
- systematic:
- enabled: true
- beta_threshold: 1.2
- hedge_instruments:
- - put_option # 买入Put
- - index_future # 股指期货
- hedge_ratio: 0.5 # 对冲比例
- # 波动率对冲
- volatility:
- enabled: true
- iv_rank_threshold: 80
- instruments:
- - vix_etf # VIX ETF
- - long_straddle # 买入跨式
- allocation: 0.05 # 占账户5%
- # 流动性对冲
- liquidity:
- enabled: true
- health_threshold: 30
- safe_assets:
- - money_market # 货币基金
- - treasury_etf # 国债ETF
- max_allocation: 0.30 # 最大30%
- # 行业集中对冲
- concentration:
- enabled: true
- single_sector_max: 0.40 # 单一行业最大40%
- hedge_method: "sector_etf" # "sector_etf", "pair_trading"
- # 压力测试引擎
- stress_test:
- # 历史场景
- historical_scenarios:
- - name: "2008_financial_crisis"
- period: ["2008-09-01", "2008-12-31"]
- shock_magnitude: -0.40
- - name: "2015_ah_share_crash"
- period: ["2015-06-01", "2015-08-31"]
- shock_magnitude: -0.35
- - name: "2020_covid_crash"
- period: ["2020-02-01", "2020-03-31"]
- shock_magnitude: -0.30
- - name: "2022_bear_market"
- period: ["2022-01-01", "2022-10-31"]
- shock_magnitude: -0.25
- # 蒙特卡洛参数
- monte_carlo:
- n_simulations: 1000
- time_horizon_days: 20
- confidence_level: 0.99
- # 触发条件
- triggers:
- var_limit: 0.15 # VaR限制15%
- auto_reduce: true # 自动减仓
- # 组合级硬止损
- hard_limits:
- # 回撤止损
- drawdown:
- max_drawdown: 0.15 # 最大回撤15%
- action: "liquidate_all" # "liquidate_all", "reduce_50"
- cooldown_days: 5 # 冷静期
- # 单日止损
- daily_loss:
- max_daily_loss: 0.05 # 单日最大亏损5%
- action: "reduce_50"
- pause_new_positions: true # 暂停新开仓
- # 连续亏损
- consecutive_losses:
- max_count: 5 # 最大连续亏损次数
- action: "reduce_50"
- # 风险监控
- monitoring:
- # 实时监控频率
- realtime_interval_seconds: 30
- # 风险指标
- metrics:
- - var_95 # 95% VaR
- - cvar_95 # 95% CVaR
- - beta # 组合Beta
- - correlation # 智能体间相关性
- - concentration # 集中度
- # 告警阈值
- alerts:
- var_threshold: 0.10
- correlation_threshold: 0.7
- concentration_threshold: 0.40
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