risk-management
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ChineseRisk Management
风险管理
Portfolio-level risk controls for crypto and Solana trading. This skill provides frameworks for drawdown management, exposure limits, circuit breakers, and crypto-specific risk considerations.
针对加密货币及Solana交易的组合层面风险控制。本Skill提供回撤管理、风险敞口限制、熔断机制以及加密货币专属风险考量的框架。
Risk Management Hierarchy
风险管理优先级
Every decision must respect this priority order:
- Survival — Never risk account ruin. No single trade, day, or week should threaten your ability to continue trading.
- Capital preservation — Protect what you have. Losses compound geometrically; recovery requires outsized gains.
- Growth — Only after survival and preservation are secured, pursue returns.
Violating this hierarchy (chasing growth at the expense of survival) is the primary cause of account blowups.
所有决策必须遵循以下优先级顺序：
- 生存 — 绝不能让账户面临破产风险。任何单笔交易、单日或单周的操作都不应威胁到你持续交易的能力。
- 资本保值 — 保护你已有的资本。亏损会呈几何级数复利增长；恢复亏损需要获得远超亏损幅度的收益。
- 增长 — 只有在生存和保值得到保障后，再追求收益。
违反这一优先级（为追求增长而牺牲生存）是账户爆仓的主要原因。
Portfolio-Level Controls
组合层面控制措施
1. Maximum Drawdown Limits
1. 最大回撤限制
Halt trading when portfolio drawdown from equity peak reaches a threshold:
| Account Type | Max Drawdown | Action |
|---|---|---|
| Conservative | -15% | Full stop, review all strategies |
| Moderate | -20% | Full stop, reduce to minimum size on recovery |
| Aggressive | -25% | Full stop, mandatory cooling period |
Recovery math makes this critical: a -20% drawdown requires +25% to recover. A -50% drawdown requires +100%. See for the full recovery table.
references/drawdown_management.md当组合从权益峰值的回撤达到阈值时，停止交易：
| 账户类型 | 最大回撤 | 应对措施 |
|---|---|---|
| 保守型 | -15% | 完全停止交易，复盘所有策略 |
| 稳健型 | -20% | 完全停止交易，恢复阶段仅用最小仓位 |
| 激进型 | -25% | 完全停止交易，强制冷静期 |
回撤恢复的数学逻辑凸显了这一控制的重要性：回撤20%需要25%的收益才能恢复；回撤50%则需要100%的收益才能恢复。完整的回撤恢复表请查看。
references/drawdown_management.md2. Daily Loss Limits
2. 单日亏损限制
Stop opening new positions after daily P&L (realized + unrealized) hits:
- Conservative: -3% of account
- Moderate: -4% of account
- Aggressive: -5% of account
Reset at midnight UTC. Three consecutive days hitting the daily limit triggers a weekly halt.
当日盈亏（已实现+未实现）达到以下阈值后，停止开新仓：
- 保守型：账户资金的-3%
- 稳健型：账户资金的-4%
- 激进型：账户资金的-5%
每日UTC午夜重置。连续三天触发单日亏损限制将触发周度交易暂停。
3. Weekly Loss Limits
3. 周度亏损限制
Reduce size or halt after weekly P&L reaches:
- Reduce size by 50%: -5% weekly loss
- Minimum size only: -7% weekly loss
- Full halt: -10% weekly loss
当周度盈亏达到以下阈值时，降低仓位或停止交易：
- 仓位减半：周度亏损-5%
- 仅用最小仓位：周度亏损-7%
- 完全停止交易：周度亏损-10%
4. Concentration Limits
4. 集中度限制
Maximum allocation to any single dimension:
| Dimension | Max Concentration |
|---|---|
| Single token (blue chip) | 10% of account |
| Single token (mid-cap) | 5% |
| Single token (small-cap) | 2% |
| Single token (PumpFun/micro) | 0.5% |
| Single sector/narrative | 30% |
| Single strategy | 40% |
单一维度的最大配置比例：
| 维度 | 最大集中度 |
|---|---|
| 单一蓝筹代币 | 账户资金的10% |
| 单一中型市值代币 | 5% |
| 单一小型市值代币 | 2% |
| 单一PumpFun/微型代币 | 0.5% |
| 单一板块/叙事主题 | 30% |
| 单一策略 | 40% |
5. Exposure Limits
5. 风险敞口限制
Total deployed capital constraints:
- Normal conditions: 50–80% deployed, 20–50% cash reserve
- Elevated risk: 30–50% deployed
- Drawdown >10%: 20–30% deployed
- Max concurrent positions: 5–10 depending on account size
总部署资金约束：
- 正常市场环境：50–80%资金部署，20–50%现金储备
- 高风险环境：30–50%资金部署
- 回撤>10%：20–30%资金部署
- 最大并发仓位数量：根据账户规模为5–10个
6. Correlation Management
6. 相关性管理
Crypto assets correlate >0.7 during sell-offs. Effective diversification requires:
- Treat all meme tokens as a single correlated bucket
- Limit total meme exposure to one position-size equivalent
- Diversify across strategies (trend, mean-reversion, scalp), not just tokens
- Monitor rolling correlation and reduce when correlations spike
See for detailed limits by token type and strategy.
references/exposure_limits.md加密资产在下跌期间的相关性>0.7。有效的分散化需要：
- 将所有迷因代币视为单一相关资产组
- 将迷因代币总敞口限制在单一仓位规模的等价水平
- 跨策略（趋势、均值回归、 scalp）分散，而不仅仅是跨代币
- 监控滚动相关性，在相关性飙升时降低敞口
按代币类型和策略划分的详细限制请查看。
references/exposure_limits.mdDrawdown Management
回撤管理
Response Framework
应对框架
| Drawdown | Status | Response |
|---|---|---|
| 0–5% | Normal | Continue trading at full size |
| 5–10% | Caution | Reduce position sizes by 25–50% |
| 10–15% | Warning | Minimum position sizes only |
| 15–20% | Critical | Halt new trades, manage existing positions only |
| >20% | Emergency | Full stop, review everything before resuming |
| 回撤幅度 | 状态 | 应对措施 |
|---|---|---|
| 0–5% | 正常 | 保持全仓位交易 |
| 5–10% | 警示 | 仓位降低25–50% |
| 10–15% | 警告 | 仅使用最小仓位 |
| 15–20% | 危急 | 停止开新仓，仅管理现有仓位 |
| >20% | 紧急 | 完全停止交易，复盘所有内容后再恢复交易 |
Recovery Requirements
恢复要求
| Loss | Required Gain to Recover |
|---|---|
| -5% | +5.3% |
| -10% | +11.1% |
| -15% | +17.6% |
| -20% | +25.0% |
| -30% | +42.9% |
| -40% | +66.7% |
| -50% | +100.0% |
The asymmetry accelerates rapidly. Managing small drawdowns prevents them from becoming catastrophic. See for the full framework.
references/drawdown_management.md| 亏损幅度 | 恢复所需收益 |
|---|---|
| -5% | +5.3% |
| -10% | +11.1% |
| -15% | +17.6% |
| -20% | +25.0% |
| -30% | +42.9% |
| -40% | +66.7% |
| -50% | +100.0% |
这种不对称性会迅速加剧。管理小回撤可以防止其演变为灾难性亏损。完整框架请查看。
references/drawdown_management.mdCircuit Breakers
熔断机制
Automated controls that restrict trading when conditions are met:
当满足特定条件时自动限制交易的控制措施：
Time-Based
时间触发型
- No trading for 24 hours after hitting daily loss limit
- 48-hour cooling period after weekly loss limit
- Mandatory weekly review day (no new positions)
- 触发单日亏损限制后24小时内禁止交易
- 触发周度亏损限制后进入48小时冷静期
- 强制每周复盘日（禁止开新仓）
Loss-Based
亏损触发型
- 3 consecutive losses → reduce size 50%
- 5 consecutive losses → minimum size only
- 7 consecutive losses → halt 24 hours, full review
- 连续3次亏损 → 仓位减半
- 连续5次亏损 → 仅用最小仓位
- 连续7次亏损 → 暂停交易24小时，全面复盘
Volatility-Based
波动率触发型
- Portfolio volatility >2× rolling average → reduce exposure 50%
- Market-wide liquidation events → pause all new entries
- Individual token volatility spike → exit or tighten stops
- 组合波动率>滚动平均值的2倍 → 敞口降低50%
- 全市场清算事件 → 暂停所有新入场操作
- 单个代币波动率飙升 → 平仓或收紧止损
Emotional (Self-Assessed)
情绪触发型（自我评估）
- Recognize tilt: anger after losses, urge to "make it back"
- FOMO: rushing entries without proper analysis
- Overconfidence: increasing size after a win streak without justification
See for implementation details.
references/circuit_breakers.md- 识别心态失衡：亏损后的愤怒、急于"扳回"的冲动
- FOMO（害怕错过）：未经充分分析就匆忙入场
- 过度自信：连胜后无理由地加大仓位
实现细节请查看。
references/circuit_breakers.mdRisk Metrics
风险指标
Value at Risk (VaR)
风险价值（VaR）
95th-percentile daily loss estimate using historical returns:
python
import numpy as np
def historical_var(returns: list[float], confidence: float = 0.95) -> float:
"""Calculate historical VaR at given confidence level."""
sorted_returns = sorted(returns)
index = int((1 - confidence) * len(sorted_returns))
return abs(sorted_returns[index])使用历史收益计算的95%分位数单日亏损估计：
python
import numpy as np
def historical_var(returns: list[float], confidence: float = 0.95) -> float:
"""Calculate historical VaR at given confidence level."""
sorted_returns = sorted(returns)
index = int((1 - confidence) * len(sorted_returns))
return abs(sorted_returns[index])Example: 95% VaR of 3.2% means on 95% of days, loss won't exceed 3.2%
Example: 95% VaR of 3.2% means on 95% of days, loss won't exceed 3.2%
undefinedundefinedExpected Shortfall (CVaR)
预期短缺（CVaR）
Average loss in the worst (1 - confidence)% of scenarios:
python
def expected_shortfall(returns: list[float], confidence: float = 0.95) -> float:
"""Average loss beyond VaR threshold."""
sorted_returns = sorted(returns)
index = int((1 - confidence) * len(sorted_returns))
tail = sorted_returns[:index]
return abs(sum(tail) / len(tail)) if tail else 0.0最坏（1 - 置信水平）%场景下的平均亏损：
python
def expected_shortfall(returns: list[float], confidence: float = 0.95) -> float:
"""Average loss beyond VaR threshold."""
sorted_returns = sorted(returns)
index = int((1 - confidence) * len(sorted_returns))
tail = sorted_returns[:index]
return abs(sum(tail) / len(tail)) if tail else 0.0Maximum Drawdown
最大回撤
python
def max_drawdown(equity_curve: list[float]) -> float:
"""Peak-to-trough decline as a fraction."""
peak = equity_curve[0]
max_dd = 0.0
for value in equity_curve:
peak = max(peak, value)
dd = (peak - value) / peak
max_dd = max(max_dd, dd)
return max_ddpython
def max_drawdown(equity_curve: list[float]) -> float:
"""Peak-to-trough decline as a fraction."""
peak = equity_curve[0]
max_dd = 0.0
for value in equity_curve:
peak = max(peak, value)
dd = (peak - value) / peak
max_dd = max(max_dd, dd)
return max_ddAdditional Metrics
其他指标
- Win/loss streak tracking: Detect hot/cold streaks for circuit breaker logic
- Rolling Sharpe ratio: 30-day rolling risk-adjusted returns
- Calmar ratio: Annualized return / max drawdown
- Sortino ratio: Return / downside deviation (penalizes only negative volatility)
- 盈亏 streak 跟踪：检测连续盈利/亏损情况，用于熔断机制逻辑
- 滚动夏普比率：30天滚动风险调整后收益
- Calmar比率：年化收益 / 最大回撤
- Sortino比率：收益 / 下行偏差（仅惩罚负波动率）
Crypto-Specific Risks
加密货币专属风险
Smart Contract Risk
智能合约风险
- Never allocate >5% of account to a single unaudited protocol
- Diversify across audited protocols for yield strategies
- Monitor exploit databases and social channels for emerging threats
- 绝不将超过账户资金5%的资金分配给单个未审计协议
- 跨多个已审计协议分散配置收益策略资金
- 监控漏洞数据库和社交渠道，关注潜在威胁
Rug Pull Risk
跑路风险（Rug Pull）
- Size inversely with token age: newer tokens get smaller positions
- Verify: locked liquidity, renounced mint authority, holder distribution
- Cross-reference with skill for red flags
token-holder-analysis
- 仓位规模与代币存续时间成反比：新代币使用更小仓位
- 验证：锁定流动性、放弃铸币权限、持有者分布情况
- 结合Skill排查风险信号
token-holder-analysis
Bridge and Custody Risk
跨链桥及托管风险
- Don't hold >20% on any single platform or bridge
- Self-custody the majority of trading capital
- Budget for bridge fees and delays in execution planning
- 任何单一平台或跨链桥的持仓不超过20%
- 交易资金的大部分采用自我托管
- 在执行计划中预留跨链桥费用和延迟的预算
MEV and Execution Risk
MEV及执行风险
- Budget 1–3% for MEV/slippage on Solana DEX trades
- Use priority fees during congestion
- See skill for detailed cost estimation
slippage-modeling
- Solana DEX交易预留1–3%的MEV/滑点预算
- 拥堵时段使用优先费用
- 详细的成本估算请查看Skill
slippage-modeling
Correlation Spikes
相关性飙升
- In crashes, crypto correlations approach 1.0
- Your "diversified" portfolio may behave as one position
- Stress-test portfolio assuming all positions drop simultaneously
- 暴跌期间，加密资产的相关性趋近于1.0
- 你的"分散化"组合可能表现得像单一仓位
- 假设所有仓位同时下跌，对组合进行压力测试
PumpFun Risk Framework
PumpFun风险框架
PumpFun and similar meme token platforms require a distinct risk approach:
PumpFun及类似迷因代币平台需要独特的风险应对方法：
Core Principle
核心原则
Treat every PumpFun trade as a potential 100% loss. Size accordingly.
将每笔PumpFun交易视为可能100%亏损的操作，据此确定仓位规模。
Position Limits
仓位限制
- Per-token maximum: 0.1–0.5 SOL
- Daily PumpFun budget: Fixed allocation (e.g., 2 SOL/day)
- Never exceed budget: When daily allocation is gone, stop
- 单一代币上限：0.1–0.5 SOL
- 每日PumpFun预算：固定分配（例如，每日2 SOL）
- 绝不超预算：当日分配资金用尽后停止交易
Tracking
跟踪
- Track PumpFun P&L separately from main portfolio
- Calculate PumpFun win rate and expectancy independently
- Don't let PumpFun losses affect main portfolio risk limits
- 将PumpFun盈亏与主组合分开跟踪
- 独立计算PumpFun的胜率和期望收益
- 不让PumpFun的亏损影响主组合的风险限制
Risk Adjustments
风险调整
- No stop-losses on PumpFun (assume 100% loss at entry)
- Take profits aggressively: 2×, 3×, 5× partial exits
- Time-based exit: close within hours, not days
- PumpFun交易不设置止损（入场时即假设100%亏损）
- 激进止盈：在2倍、3倍、5倍收益时部分平仓
- 基于时间的离场：数小时内平仓，而非数天
Integration with Other Skills
与其他Skill集成
- : Use risk limits from this skill to constrain position sizes
position-sizing - : Circuit breakers override exit strategies (forced exits)
exit-strategies - : Feed portfolio metrics back for risk assessment
portfolio-analytics - : Adjust position limits based on available liquidity
liquidity-analysis - : Factor execution costs into risk calculations
slippage-modeling
- ：使用本Skill的风险限制约束仓位规模
position-sizing - ：熔断机制优先于离场策略（强制平仓）
exit-strategies - ：将组合指标反馈用于风险评估
portfolio-analytics - ：根据可用流动性调整仓位限制
liquidity-analysis - ：将执行成本纳入风险计算
slippage-modeling
Files
文件
References
参考文档
- — Drawdown math, response framework, causes, and remediation
references/drawdown_management.md - — Position limits by token type, portfolio limits, correlation management
references/exposure_limits.md - — Implementation details for all circuit breaker types
references/circuit_breakers.md
- — 回撤数学逻辑、应对框架、原因及补救措施
references/drawdown_management.md - — 按代币类型划分的仓位限制、组合限制、相关性管理
references/exposure_limits.md - — 所有熔断机制类型的实现细节
references/circuit_breakers.md
Scripts
脚本
- — Portfolio risk dashboard with limit checking and color-coded status
scripts/risk_dashboard.py - — Equity curve drawdown analysis with response recommendations
scripts/drawdown_analyzer.py
- — 组合风险仪表盘，包含限制检查和颜色编码状态
scripts/risk_dashboard.py - — 权益曲线回撤分析及应对建议
scripts/drawdown_analyzer.py
Quick Start
快速开始
bash
undefinedbash
undefinedRun the risk dashboard with demo data
使用演示数据运行风险仪表盘
python scripts/risk_dashboard.py --demo
python scripts/risk_dashboard.py --demo
Analyze drawdowns on a demo equity curve
分析演示权益曲线的回撤情况
python scripts/drawdown_analyzer.py --demo
undefinedpython scripts/drawdown_analyzer.py --demo
undefined