Quant Risk Dashboard

Professional risk management system for quantitative trading.

Features

1. Risk Metrics

- VaR (Value at Risk): Historical, Parametric, Monte Carlo
CVaR (Conditional VaR): Expected shortfall
Max Drawdown: Current and historical
Volatility: Realized and implied
Beta: Market sensitivity
Sharpe/Sortino/Calar: Risk-adjusted returns

2. Position Management

- Real-time Positions: Current holdings with P&L
Position Limits: Per-stock and total limits
Concentration Risk: Single position max%
Sector Exposure: Industry allocation

3. Exposure Monitoring

- Long/Short Ratio: Net exposure
Sector Allocation: Industry breakdown
Factor Exposure: Style factors (value, growth, momentum)
Geographic Exposure: Market cap breakdown

4. Stress Testing

- Historical Scenarios: 2008 crash, 2020 covid, etc.
Custom Scenarios: User-defined shocks
Scenario Comparison: Side-by-side analysis
Recovery Time: Estimated recovery from scenarios

5. Alerts & Notifications

- Drawdown Alerts: Threshold-based warnings
Position Breach: Limit violation alerts
Volatility Spikes: Unusual market moves
Custom Rules: User-defined triggers

6. Reporting

- Daily Risk Report: Automated PDF/HTML reports
Risk Attribution: P&L explained by factors
Compliance Reports: Regulatory compliance
Custom Reports: Flexible report builder

Installation

CODEBLOCK0

Usage

Initialize Dashboard

CODEBLOCK1

Add Positions

CODEBLOCK2

Get Risk Metrics

CODEBLOCK3

Stress Test

CODEBLOCK4

Start Web Dashboard

CODEBLOCK5

API Reference

Core Methods
Method Description
INLINECODE0 Add position
INLINECODE1
Close position |

Method	Description
INLINECODE0	Add position
INLINECODE1

Risk Analysis
Method Description
INLINECODE5 Calculate VaR
INLINECODE6
Calculate CVaR |

Method	Description
INLINECODE5	Calculate VaR
INLINECODE6

Alerts
Method Description
INLINECODE10 Create alert
INLINECODE11
Get active alerts |

Method	Description
INLINECODE10	Create alert
INLINECODE11

| clear_alerts() | Clear alerts |

Reports
Method Description
INLINECODE13 Generate report
INLINECODE14
Daily summary |

Method	Description
INLINECODE13	Generate report
INLINECODE14

Risk Metrics Explained

VaR (Value at Risk)

- Definition: Maximum expected loss at given confidence level
Interpretation: "95% VaR = 50,000" means 95% chance loss < 50,000

CVaR (Conditional VaR)

- Definition: Average loss beyond VaR threshold
Interpretation: More conservative than VaR

Sharpe Ratio

- Definition: Risk-adjusted return
Interpretation: >1.0 good, >2.0 excellent

Max Drawdown

- Definition: Largest peak-to-trough decline
Interpretation: Lower is better

Sortino Ratio

- Definition: Downside risk-adjusted return
Interpretation: Only considers downside risk

Configuration

Risk Limits

CODEBLOCK6

Alert Thresholds

CODEBLOCK7

Visualization

Web Dashboard

CODEBLOCK8

Generate Charts

CODEBLOCK9

Integration

Connect to Trading System

CODEBLOCK10

Webhook Alerts

CODEBLOCK11

Use Cases

- Live Trading: Real-time risk monitoring
Backtesting: Post-trade risk analysis
Portfolio Management: Multi-strategy risk
Compliance: Regulatory risk reports
Risk Research: Strategy risk profiling

量化风险仪表盘

专业量化交易风险管理系统。

功能特性

1. 风险指标

- VaR（风险价值）：历史法、参数法、蒙特卡洛法
CVaR（条件风险价值）：预期亏损
最大回撤：当前及历史回撤
波动率：已实现波动率与隐含波动率
Beta系数：市场敏感性
夏普/索提诺/卡玛比率：风险调整后收益

2. 持仓管理

- 实时持仓：当前持仓及盈亏
持仓限额：个股限额与总限额
集中度风险：单只持仓最大占比
行业敞口：行业配置分布

3. 敞口监控

- 多空比率：净敞口
行业配置：行业分布明细
因子敞口：风格因子（价值、成长、动量）
地域敞口：市值分布明细

4. 压力测试

- 历史情景：2008年崩盘、2020年新冠疫情等
自定义情景：用户自定义冲击
情景对比：并排分析
恢复时间：情景恢复预估时间

5. 预警与通知

- 回撤预警：基于阈值的警告
持仓违规：限额违规警报
波动率飙升：异常市场波动
自定义规则：用户自定义触发条件

6. 报告生成

- 每日风险报告：自动生成PDF/HTML报告
风险归因：按因子分解盈亏
合规报告：监管合规报告
自定义报告：灵活的报告生成器

安装

bash
pip install pandas numpy scipy plotly dash

使用说明

初始化仪表盘

python from quant_risk import RiskDashboard

dashboard = RiskDashboard(
initial_capital=1000000,
var_confidence=0.95,
maxpositionpct=0.15,
maxdrawdownpct=0.20
)

添加持仓

python dashboard.add_position( symbol=600519, shares=1000, entry_price=1800.0, current_price=1850.0 )

dashboard.add_position(
symbol=000858,
shares=5000,
entry_price=45.0,
current_price=48.0
)

获取风险指标

python metrics = dashboard.getriskmetrics()

print(fVaR (95%): {metrics[var_95]:,.2f})
print(fCVaR (95%): {metrics[cvar_95]:,.2f})
print(f夏普比率: {metrics[sharpe_ratio]:.2f})
print(f最大回撤: {metrics[max_drawdown]:.2%})
print(f总敞口: {metrics[total_exposure]:,.0f})

压力测试

python scenarios = { 2008年崩盘: -0.50, 2020年新冠疫情: -0.30, 加息冲击: -0.15, 自定义情景: -0.25 }

results = dashboard.stress_test(scenarios)

for name, result in results.items():
print(f{name}: 盈亏 = {result[pnl]:,.2f})

启动网页仪表盘

python dashboard.start_dashboard(port=8050)

打开 http://localhost:8050

API参考

核心方法
方法描述
addposition(symbol, shares, entry, current) 添加持仓
removeposition(symbol)
平仓 |

方法	描述
addposition(symbol, shares, entry, current)	添加持仓
removeposition(symbol)

风险分析
方法描述
calculatevar(method=historical) 计算VaR
calculatecvar()
计算CVaR |

方法	描述
calculatevar(method=historical)	计算VaR
calculatecvar()

预警
方法描述
addalert(condition, message) 创建预警
getalerts()
获取活跃预警 |

方法	描述
addalert(condition, message)	创建预警
getalerts()

| clear_alerts() | 清除预警 |

报告
方法描述
generatereport(format=pdf) 生成报告
getdaily_summary()
每日摘要 |

方法	描述
generatereport(format=pdf)	生成报告
getdaily_summary()

风险指标详解

VaR（风险价值）

- 定义：给定置信水平下的最大预期损失
解读：95% VaR = 50,000 表示95%的概率损失不超过50,000

CVaR（条件风险价值）

- 定义：超过VaR阈值的平均损失
解读：比VaR更为保守

夏普比率

- 定义：风险调整后收益
解读：>1.0良好，>2.0优秀

最大回撤

- 定义：从峰值到谷值的最大跌幅
解读：越低越好

索提诺比率

- 定义：下行风险调整后收益
解读：仅考虑下行风险

配置参数

风险限额

python limits = { maxpositionpct: 0.15, # 单只持仓15% maxsectorpct: 0.30, # 单个行业30% max_leverage: 1.5, # 1.5倍杠杆 max_drawdown: 0.20, # 20%止损 maxvarpct: 0.05, # 5% VaR限额 }

预警阈值

python alerts = { drawdown_warning: 0.10, # 10%回撤警告 drawdown_critical: 0.15, # 15%严重警告 var_warning: 0.03, # 3% VaR警告 volatility_spike: 2.0, # 2倍正常波动率 }

可视化

网页仪表盘

python dashboard.start_dashboard()

功能：

- 实时持仓表格

- 盈亏图表

- 风险指标仪表盘

- 行业饼图

- 回撤曲线

- 因子敞口柱状图

生成图表

python

盈亏图表

chart = dashboard.plotpnlhistory()

风险分解

chart = dashboard.plotriskattribution()

情景对比

chart = dashboard.plot_scenarios()

集成对接

连接交易系统

python

从交易系统接入

import asyncio

async def update_positions():
while True:
positions = await tradingsystem.getpositions()

for pos in positions:
dashboard.updateprice(pos.symbol, pos.currentprice)

await asyncio.sleep(60) # 每分钟更新一次

asyncio.run(update_positions())

Webhook预警

python

发送预警到Slack/微信

def on_alert(alert): send_webhook( url=os.getenv(ALERT_WEBHOOK), message=f风险预警: {alert[message]} )

dashboard.setalertcallback(on_alert)

应用场景

- 实盘交易：实时风险监控
回测分析：交易后风险分析
投资组合管理：多策略风险管理
合规监管：监管风险报告
风险研究：策略风险画像

量化风控面板

量化风控面板

Quant Risk Dashboard

Features

1. Risk Metrics

2. Position Management

3. Exposure Monitoring

4. Stress Testing

5. Alerts & Notifications

6. Reporting

Installation

Usage

Initialize Dashboard

Add Positions

Get Risk Metrics

Stress Test

Start Web Dashboard

API Reference

Core MethodsMethodDescriptionINLINECODE0Add positionINLINECODE1 Close position |

Risk AnalysisMethodDescriptionINLINECODE5Calculate VaRINLINECODE6 Calculate CVaR |

AlertsMethodDescriptionINLINECODE10Create alertINLINECODE11 Get active alerts |

ReportsMethodDescriptionINLINECODE13Generate reportINLINECODE14 Daily summary |

Risk Metrics Explained

VaR (Value at Risk)

CVaR (Conditional VaR)

Sharpe Ratio

Max Drawdown

Sortino Ratio

Configuration

Risk Limits

Alert Thresholds

Visualization

Web Dashboard

Generate Charts

Integration

Connect to Trading System

Webhook Alerts

Use Cases

Links

量化风险仪表盘

功能特性

1. 风险指标

2. 持仓管理

3. 敞口监控

4. 压力测试

5. 预警与通知

6. 报告生成

安装

使用说明

初始化仪表盘

添加持仓

获取风险指标

压力测试

启动网页仪表盘

打开 http://localhost:8050

API参考

核心方法方法描述addposition(symbol, shares, entry, current)添加持仓removeposition(symbol) 平仓 |

风险分析方法描述calculatevar(method=historical)计算VaRcalculatecvar() 计算CVaR |

预警方法描述addalert(condition, message)创建预警getalerts() 获取活跃预警 |

报告方法描述generatereport(format=pdf)生成报告getdaily_summary() 每日摘要 |

风险指标详解

VaR（风险价值）

CVaR（条件风险价值）

夏普比率

最大回撤

索提诺比率

配置参数

风险限额

预警阈值

可视化

网页仪表盘

功能：

- 实时持仓表格

- 盈亏图表

- 风险指标仪表盘

- 行业饼图

- 回撤曲线

- 因子敞口柱状图

生成图表

盈亏图表

Core Methods
Method Description
INLINECODE0 Add position
INLINECODE1
Close position |

Risk Analysis
Method Description
INLINECODE5 Calculate VaR
INLINECODE6
Calculate CVaR |

Alerts
Method Description
INLINECODE10 Create alert
INLINECODE11
Get active alerts |

Reports
Method Description
INLINECODE13 Generate report
INLINECODE14
Daily summary |

核心方法
方法描述
addposition(symbol, shares, entry, current) 添加持仓
removeposition(symbol)
平仓 |

风险分析
方法描述
calculatevar(method=historical) 计算VaR
calculatecvar()
计算CVaR |

预警
方法描述
addalert(condition, message) 创建预警
getalerts()
获取活跃预警 |

报告
方法描述
generatereport(format=pdf) 生成报告
getdaily_summary()
每日摘要 |