398 lines
13 KiB
Python
398 lines
13 KiB
Python
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#!/usr/bin/env python3
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"""
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🛡️ Drawdown Protection System
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Schützt vor übermäßigen Verlusten durch automatische Handels-Pausen
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"""
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from datetime import datetime, timedelta
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from trading_database import TradingDatabase
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from telegram_notifier import TelegramNotifier
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import logging
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logger = logging.getLogger(__name__)
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class DrawdownProtection:
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"""
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Überwacht Verluste und pausiert Trading bei Überschreitung von Limits
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"""
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def __init__(self,
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database: TradingDatabase,
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telegram: TelegramNotifier = None,
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max_daily_loss: float = 100.0,
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max_weekly_loss: float = 300.0,
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max_monthly_loss: float = 800.0,
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max_consecutive_losses: int = 5,
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cooldown_hours: int = 24):
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"""
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Args:
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database: TradingDatabase instance
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telegram: TelegramNotifier instance
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max_daily_loss: Maximaler Tagesverlust in $
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max_weekly_loss: Maximaler Wochenverlust in $
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max_monthly_loss: Maximaler Monatsverlust in $
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max_consecutive_losses: Maximale Anzahl aufeinanderfolgender Verluste
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cooldown_hours: Pause in Stunden nach Limit-Überschreitung
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"""
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self.db = database
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self.telegram = telegram
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# Limits
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self.max_daily_loss = max_daily_loss
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self.max_weekly_loss = max_weekly_loss
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self.max_monthly_loss = max_monthly_loss
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self.max_consecutive_losses = max_consecutive_losses
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self.cooldown_hours = cooldown_hours
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# State
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self.trading_paused = False
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self.pause_until = None
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self.pause_reason = None
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def can_trade(self) -> tuple[bool, str]:
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"""
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Prüft ob Trading erlaubt ist
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Returns:
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(can_trade: bool, reason: str)
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"""
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# Prüfe ob Pause noch aktiv
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if self.trading_paused and self.pause_until:
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if datetime.now() < self.pause_until:
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remaining = (self.pause_until - datetime.now()).total_seconds() / 3600
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return False, f"Trading paused for {remaining:.1f} more hours. Reason: {self.pause_reason}"
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else:
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# Pause abgelaufen
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self._resume_trading()
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# Prüfe täglichen Verlust
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daily_loss = self._get_loss_today()
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if daily_loss >= self.max_daily_loss:
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self._pause_trading(
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f"Daily loss limit reached: ${daily_loss:.2f} / ${self.max_daily_loss:.2f}",
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hours=self.cooldown_hours
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)
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return False, f"Daily loss limit: ${daily_loss:.2f}"
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# Prüfe wöchentlichen Verlust
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weekly_loss = self._get_loss_this_week()
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if weekly_loss >= self.max_weekly_loss:
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self._pause_trading(
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f"Weekly loss limit reached: ${weekly_loss:.2f} / ${self.max_weekly_loss:.2f}",
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hours=self.cooldown_hours * 2
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)
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return False, f"Weekly loss limit: ${weekly_loss:.2f}"
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# Prüfe monatlichen Verlust
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monthly_loss = self._get_loss_this_month()
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if monthly_loss >= self.max_monthly_loss:
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self._pause_trading(
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f"Monthly loss limit reached: ${monthly_loss:.2f} / ${self.max_monthly_loss:.2f}",
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hours=self.cooldown_hours * 7
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)
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return False, f"Monthly loss limit: ${monthly_loss:.2f}"
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# Prüfe aufeinanderfolgende Verluste
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consecutive = self._get_consecutive_losses()
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if consecutive >= self.max_consecutive_losses:
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self._pause_trading(
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f"Too many consecutive losses: {consecutive} in a row",
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hours=self.cooldown_hours
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)
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return False, f"Consecutive losses: {consecutive}"
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return True, "OK"
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def _get_loss_today(self) -> float:
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"""Berechnet Verlust heute"""
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try:
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today = datetime.now().strftime('%Y-%m-%d')
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conn = self.db.conn
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cursor = conn.cursor()
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cursor.execute("""
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SELECT COALESCE(SUM(net_profit), 0)
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FROM trades
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WHERE DATE(exit_time) = ?
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AND status = 'closed'
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AND net_profit < 0
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""", (today,))
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loss = cursor.fetchone()[0]
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return abs(loss) if loss else 0.0
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except Exception as e:
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logger.error(f"Error calculating daily loss: {e}")
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return 0.0
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def _get_loss_this_week(self) -> float:
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"""Berechnet Verlust diese Woche"""
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try:
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week_start = (datetime.now() - timedelta(days=7)).strftime('%Y-%m-%d')
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conn = self.db.conn
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cursor = conn.cursor()
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cursor.execute("""
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SELECT COALESCE(SUM(net_profit), 0)
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FROM trades
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WHERE DATE(exit_time) >= ?
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AND status = 'closed'
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AND net_profit < 0
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""", (week_start,))
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loss = cursor.fetchone()[0]
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return abs(loss) if loss else 0.0
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except Exception as e:
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logger.error(f"Error calculating weekly loss: {e}")
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return 0.0
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def _get_loss_this_month(self) -> float:
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"""Berechnet Verlust diesen Monat"""
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try:
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month_start = datetime.now().replace(day=1).strftime('%Y-%m-%d')
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conn = self.db.conn
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cursor = conn.cursor()
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cursor.execute("""
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SELECT COALESCE(SUM(net_profit), 0)
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FROM trades
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WHERE DATE(exit_time) >= ?
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AND status = 'closed'
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AND net_profit < 0
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""", (month_start,))
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loss = cursor.fetchone()[0]
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return abs(loss) if loss else 0.0
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except Exception as e:
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logger.error(f"Error calculating monthly loss: {e}")
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return 0.0
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def _get_consecutive_losses(self) -> int:
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"""Zählt aufeinanderfolgende Verluste"""
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try:
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conn = self.db.conn
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cursor = conn.cursor()
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cursor.execute("""
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SELECT net_profit
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FROM trades
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WHERE status = 'closed'
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ORDER BY exit_time DESC
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LIMIT 20
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""")
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trades = cursor.fetchall()
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consecutive = 0
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for trade in trades:
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if trade[0] < 0:
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consecutive += 1
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else:
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break
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return consecutive
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except Exception as e:
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logger.error(f"Error counting consecutive losses: {e}")
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return 0
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def _pause_trading(self, reason: str, hours: int):
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"""Pausiert Trading"""
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self.trading_paused = True
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self.pause_until = datetime.now() + timedelta(hours=hours)
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self.pause_reason = reason
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logger.warning(f"🛑 Trading paused: {reason}")
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logger.warning(f" Resuming at: {self.pause_until}")
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if self.telegram:
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self.telegram.send_message(
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f"🛑 **TRADING PAUSED**\n\n"
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f"Reason: {reason}\n"
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f"Duration: {hours} hours\n"
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f"Resume at: {self.pause_until.strftime('%Y-%m-%d %H:%M')}\n\n"
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f"ℹ️ Review your strategy and market conditions."
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)
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def _resume_trading(self):
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"""Setzt Trading fort"""
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self.trading_paused = False
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self.pause_until = None
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previous_reason = self.pause_reason
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self.pause_reason = None
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logger.info(f"✅ Trading resumed after: {previous_reason}")
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if self.telegram:
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self.telegram.send_message(
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f"✅ **TRADING RESUMED**\n\n"
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f"Previous pause reason: {previous_reason}\n"
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f"Time: {datetime.now().strftime('%Y-%m-%d %H:%M')}"
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)
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def get_status(self) -> dict:
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"""Gibt aktuellen Status zurück"""
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return {
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'trading_allowed': not self.trading_paused,
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'paused': self.trading_paused,
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'pause_reason': self.pause_reason,
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'pause_until': self.pause_until.isoformat() if self.pause_until else None,
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'daily_loss': self._get_loss_today(),
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'daily_limit': self.max_daily_loss,
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'weekly_loss': self._get_loss_this_week(),
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'weekly_limit': self.max_weekly_loss,
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'monthly_loss': self._get_loss_this_month(),
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'monthly_limit': self.max_monthly_loss,
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'consecutive_losses': self._get_consecutive_losses(),
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'consecutive_limit': self.max_consecutive_losses
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}
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def force_pause(self, reason: str, hours: int = 24):
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"""Manuelles Pausieren"""
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self._pause_trading(reason, hours)
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def force_resume(self):
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"""Manuelles Fortsetzen"""
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self._resume_trading()
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# ==========================================
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# INTEGRATION WRAPPER
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# ==========================================
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def create_protected_trading_check(infra, original_check_function):
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"""
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Wrapper der Drawdown Protection um Trading Check legt
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Usage:
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# Im Notebook:
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from drawdown_protection import DrawdownProtection, create_protected_trading_check
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# Erstelle Protection
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drawdown_protection = DrawdownProtection(
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database=infra.db,
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telegram=infra.telegram,
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max_daily_loss=100,
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max_weekly_loss=300,
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max_consecutive_losses=5
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)
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# Wrapping
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original_trading_check = trading_check
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trading_check = create_protected_trading_check(
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infra,
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original_trading_check
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)
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"""
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# Create drawdown protection instance
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protection = DrawdownProtection(
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database=infra.db,
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telegram=infra.telegram,
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max_daily_loss=100, # $100 per day
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max_weekly_loss=300, # $300 per week
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max_monthly_loss=800, # $800 per month
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max_consecutive_losses=5,
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cooldown_hours=24
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)
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def protected_check():
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"""Geschützter Trading Check"""
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# Prüfe Drawdown Protection
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can_trade, reason = protection.can_trade()
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if not can_trade:
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logger.warning(f"Trading blocked by drawdown protection: {reason}")
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return
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# Wenn OK, führe normalen Check aus
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return original_check_function()
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# Attach protection instance for access
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protected_check.protection = protection
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return protected_check
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# ==========================================
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# MONITORING HELPER
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# ==========================================
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def print_protection_status(protection: DrawdownProtection):
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"""Gibt Protection Status formatiert aus"""
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status = protection.get_status()
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print("=" * 70)
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print("🛡️ DRAWDOWN PROTECTION STATUS")
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print("=" * 70)
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if status['trading_allowed']:
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print("\n✅ Trading ALLOWED")
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else:
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print("\n🛑 Trading PAUSED")
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print(f" Reason: {status['pause_reason']}")
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print(f" Until: {status['pause_until']}")
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print("\n📊 Current Losses:")
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print(f" Daily: ${status['daily_loss']:.2f} / ${status['daily_limit']:.2f}")
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print(f" Weekly: ${status['weekly_loss']:.2f} / ${status['weekly_limit']:.2f}")
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print(f" Monthly: ${status['monthly_loss']:.2f} / ${status['monthly_limit']:.2f}")
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print(f"\n📉 Consecutive Losses: {status['consecutive_losses']} / {status['consecutive_limit']}")
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print("=" * 70)
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# ==========================================
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# USAGE EXAMPLE
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# ==========================================
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"""
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INTEGRATION IN NOTEBOOK:
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# Cell: Drawdown Protection Setup (nach Infrastructure)
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from drawdown_protection import DrawdownProtection, create_protected_trading_check, print_protection_status
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# Erstelle Drawdown Protection
|
|||
|
|
drawdown_protection = DrawdownProtection(
|
|||
|
|
database=infra.db,
|
|||
|
|
telegram=infra.telegram,
|
|||
|
|
max_daily_loss=100, # $100/Tag
|
|||
|
|
max_weekly_loss=300, # $300/Woche
|
|||
|
|
max_monthly_loss=800, # $800/Monat
|
|||
|
|
max_consecutive_losses=5,
|
|||
|
|
cooldown_hours=24
|
|||
|
|
)
|
|||
|
|
|
|||
|
|
print("✅ Drawdown Protection aktiviert")
|
|||
|
|
print(f" Max Daily Loss: ${drawdown_protection.max_daily_loss}")
|
|||
|
|
print(f" Max Weekly Loss: ${drawdown_protection.max_weekly_loss}")
|
|||
|
|
print(f" Max Consecutive Losses: {drawdown_protection.max_consecutive_losses}")
|
|||
|
|
|
|||
|
|
# Wrapper um trading_check
|
|||
|
|
original_trading_check = trading_check
|
|||
|
|
trading_check = create_protected_trading_check(infra, original_trading_check)
|
|||
|
|
|
|||
|
|
print("✅ Trading Check ist jetzt geschützt!")
|
|||
|
|
|
|||
|
|
|
|||
|
|
# Cell: Status prüfen (optional, jederzeit ausführbar)
|
|||
|
|
|
|||
|
|
print_protection_status(drawdown_protection)
|
|||
|
|
|
|||
|
|
|
|||
|
|
# Cell: Manuell pausieren/fortsetzen (optional)
|
|||
|
|
|
|||
|
|
# Manuell pausieren:
|
|||
|
|
# drawdown_protection.force_pause("Manual review needed", hours=12)
|
|||
|
|
|
|||
|
|
# Manuell fortsetzen:
|
|||
|
|
# drawdown_protection.force_resume()
|
|||
|
|
"""
|