feat: portfolio risk constraint gates - #21
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🟡 Changes recommended
check_portfolio_constraints() 对回撤值的度量单位与同模块现有摘要输出不一致且缺少 initial_capital 校验，可能导致门控结果错误或触发除零异常。
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Pull request overview
此 PR 在 goratio.margin 中新增组合级风控门控函数 check_portfolio_constraints()，用于输出保证金占用率与回撤相关的风控 gate 结果，并补齐对应单元测试与文档记录，方便在组合研究/回测摘要上做约束检查。
Changes:
- 新增
check_portfolio_constraints()：计算保证金占用率与回撤门控结果并返回结构化 gate 信息 - 新增对应单测
test_check_portfolio_constraints - 更新
CHANGELOG.md与.planning/ROADMAP.md记录新增能力与测试数
File summaries
| File | Description |
|---|---|
src/goratio/margin.py |
新增组合级约束检查函数，输出保证金占用与回撤门控结果 |
tests/test_margin.py |
增加 check_portfolio_constraints() 的单元测试覆盖 |
CHANGELOG.md |
在变更日志中补充新增 API 记录 |
.planning/ROADMAP.md |
Roadmap 勾选新增功能并更新测试通过数量 |
Review details
- Files reviewed: 4/4 changed files
- Comments generated: 2
- Review effort level: Lite
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| """组合级风控门控：保证金占用率与回撤上限。""" | ||
| daily_rows = portfolio_summary.get("daily_rows", []) | ||
| if daily_rows: | ||
| max_margin = max( | ||
| row["total_margin"] / portfolio_summary.get("initial_capital", 1) | ||
| for row in daily_rows | ||
| ) | ||
| else: | ||
| max_margin = None | ||
| drawdown = portfolio_summary.get("max_drawdown") | ||
| return { | ||
| "max_margin_utilization": max_margin, | ||
| "max_margin_utilization_threshold": max_margin_utilization, | ||
| "margin_utilization_passed": bool( | ||
| max_margin is not None and max_margin <= max_margin_utilization | ||
| ), | ||
| "max_drawdown": drawdown, | ||
| "max_drawdown_threshold": max_drawdown, | ||
| "drawdown_passed": bool( | ||
| drawdown is not None and drawdown <= max_drawdown | ||
| ), | ||
| "note": "组合风控门控研究，不构成投资建议", | ||
| } |
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| gates = check_portfolio_constraints(summary) | ||
|
|
||
| self.assertTrue(gates["margin_utilization_passed"]) | ||
| self.assertTrue(gates["drawdown_passed"]) |
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新增 check_portfolio_constraints，输出保证金占用与回撤风控门控。