Local changes: Updated model training, removed debug instrumentation, and configuration improvements

docs/architecture/risk_management.md

@@ -0,0 +1,165 @@
+# Risk Management Architecture
+
+This document describes the risk management system.
+
+## Risk Management Components
+
+```
+Risk Manager
+    ├──► Pre-Trade Checks
+    │         │
+    │         ├──► Position Sizing
+    │         ├──► Daily Loss Limit
+    │         └──► Portfolio Allocation
+    │
+    ├──► Real-Time Monitoring
+    │         │
+    │         ├──► Drawdown Monitoring
+    │         ├──► Position Monitoring
+    │         └──► Portfolio Monitoring
+    │
+    └──► Stop Loss Management
+            │
+            ├──► Stop Loss Orders
+            └──► Trailing Stops
+```
+
+## Pre-Trade Risk Checks
+
+Before executing any trade:
+
+1. **Position Sizing Check**
+   - Verify position size within limits
+   - Check portfolio allocation
+   - Validate against risk parameters
+
+2. **Daily Loss Limit Check**
+   - Calculate current daily P&L
+   - Compare against daily loss limit
+   - Block trades if limit exceeded
+
+3. **Drawdown Check**
+   - Calculate current drawdown
+   - Compare against max drawdown limit
+   - Block trades if limit exceeded
+
+4. **Portfolio Allocation Check**
+   - Verify total exposure within limits
+   - Check per-asset allocation
+   - Validate diversification requirements
+
+## Position Sizing Methods
+
+### Fixed Percentage
+
+```python
+position_size = capital * percentage
+```
+
+### Kelly Criterion
+
+```python
+f = (bp - q) / b
+position_size = capital * f
+```
+
+### Volatility-Based
+
+```python
+position_size = (capital * risk_percentage) / (stop_loss_distance * price)
+```
+
+## Risk Limits
+
+Configurable limits:
+
+- **Max Drawdown**: Maximum allowed drawdown percentage
+- **Daily Loss Limit**: Maximum daily loss percentage
+- **Position Size Limit**: Maximum position value
+- **Portfolio Exposure**: Maximum portfolio exposure percentage
+
+## Stop Loss Management
+
+### Stop Loss Types
+
+- **Fixed Stop Loss**: Fixed price level
+- **Trailing Stop**: Adjusts with price movement
+  - Percentage-based: Adjusts by fixed percentage
+  - ATR-based: Adjusts based on volatility (Average True Range)
+- **Percentage Stop**: Percentage below entry
+- **ATR-based Stop**: Based on Average True Range (volatility-adjusted)
+  - Automatically calculates stop distance using ATR multiplier
+  - Adapts to market volatility conditions
+  - Configurable ATR period (default: 14) and multiplier (default: 2.0)
+  - Works with both fixed and trailing stops
+
+### ATR-Based Dynamic Stops
+
+ATR-based stops provide better risk management in volatile markets:
+
+```python
+stop_loss_manager.set_stop_loss(
+    position_id=1,
+    stop_price=entry_price,
+    use_atr=True,
+    atr_multiplier=Decimal('2.0'),
+    atr_period=14,
+    ohlcv_data=market_data,
+    trailing=True
+)
+```
+
+**Benefits:**
+- Adapts to market volatility
+- Tighter stops in low volatility, wider in high volatility
+- Reduces stop-outs during normal market noise
+- Better risk-adjusted returns
+
+**Calculation:**
+- Stop distance = ATR × multiplier
+- For long positions: stop_price = entry_price - (ATR × multiplier)
+- For short positions: stop_price = entry_price + (ATR × multiplier)
+
+### Stop Loss Execution
+
+```
+Price Update
+    │
+    ▼
+Stop Loss Check
+    │
+    ├──► Stop Loss Triggered?
+    │         │
+    │         └──► Execute Market Sell
+    │
+    └──► Update Trailing Stop (if applicable)
+```
+
+## Real-Time Monitoring
+
+Continuous monitoring of:
+
+- Portfolio value
+- Unrealized P&L
+- Drawdown levels
+- Position sizes
+- Risk metrics
+
+## Risk Alerts
+
+Automatic alerts for:
+
+- Drawdown threshold exceeded
+- Daily loss limit reached
+- Position size exceeded
+- Portfolio exposure exceeded
+
+## Integration Points
+
+Risk management integrates with:
+
+- **Trading Engine**: Pre-trade validation
+- **Order Manager**: Position tracking
+- **Portfolio Tracker**: Real-time monitoring
+- **Alert System**: Risk alerts
+