Portfolio Risk Configuration with Intraday Drawdown Controls

Summary

This sample configuration describes portfolio-level risk controls for a Chinese-market trading engine. It enables an intraday trailing-stop monitor that tracks dynamic equity and reduces the target position after a specified drawdown from the intraday high. A risk scale further limits the position passed to the execution layer. The configuration also includes an optional multi-day trailing control, disabled in this example, along with monitoring intervals and a notional base amount used to calculate dynamic equity.

The file is operational configuration rather than a complete risk-management design. It does not explain how thresholds were chosen, how positions are reduced in practice, or how the monitor behaves under gaps, illiquid markets, or changing exposure. No simulation or live performance evidence is given. The settings illustrate concepts such as peak-to-trough drawdown monitoring and risk-based position scaling, but they should not be treated as generally suitable parameter recommendations.

Key ideas

• An intraday monitor can track equity drawdown from a session high and reduce target exposure when a threshold is reached.
• A risk scale can shrink the portfolio's theoretical position before it reaches the execution layer.
• The example includes an optional multi-day drawdown control that is switched off.
• The configuration does not justify its thresholds or provide evidence from testing.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.