feat(risk): add apply_risk_gate to all crypto entrypoints#63
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Co-Authored-By: Claude <noreply@anthropic.com> Co-authored-by: Cursor <cursoragent@cursor.com>
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Risk gate REJECT/APPROVE paths now carry budgets forward so entrypoint execution-contract tests keep working when concentration limits fire. Co-Authored-By: Claude <noreply@anthropic.com> Co-authored-by: Cursor <cursoragent@cursor.com>
Preserve budgets on reject; pool rotation uses default gate; trend/BTC use 50% cap. Co-Authored-By: Claude <noreply@anthropic.com> Co-authored-by: Cursor <cursoragent@cursor.com>
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| return StrategyDecision( | ||
| positions=decision.positions, | ||
| risk_flags=tuple(risk_flags), | ||
| diagnostics={**(decision.diagnostics or {}), "risk_gate": "APPROVE"}, |
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When any entrypoint passes the gate with positions, this reconstructs StrategyDecision without carrying over decision.budgets, even though the entrypoints just populated DCA/trend BudgetIntents before calling apply_risk_gate. Approved decisions therefore expose empty or missing budgets, so downstream execution loses the pool amounts while positions still look approved. Carry forward the original budgets when returning the approved decision.
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| if max_single_weight < 1.0: | ||
| for p in positions: | ||
| weight = abs(float(p.target_weight)) | ||
| if weight > max_single_weight: |
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This concentration check is applied to every position, including the core BTCUSDT leg. With the new callers, crypto_live_pool_rotation uses max_single_weight=0.30 while its own get_dynamic_btc_target_ratio() exceeds 30% above about $17.2k equity, and crypto_btc_dca uses 0.50 while the strategy targets up to 65%, so ordinary accounts are converted to empty rejected decisions before execution. Exempt the core BTC role or align these caps with the BTC target range.
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| risk_flags=risk_flags, | ||
| diagnostics=diagnostics, | ||
| ) | ||
| return apply_risk_gate(decision, max_single_weight=0.30) |
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With the default rotation_top_n=2, crypto_trend_rotation.compute_signals() returns selected rotation weights normalized across the two winners, so at least one selected position is usually 50% or more before any volatility reduction. Passing those normal successful rotations through a 30% single-position cap rejects the entire decision and emits an empty portfolio whenever candidates exist; use a cap compatible with the configured top-N or scale the weights instead of rejecting them.
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| risk_flags=risk_flags, | ||
| diagnostics=diagnostics, | ||
| ) | ||
| return apply_risk_gate(decision) |
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This call relies on the default max_single_weight=1.0, so crypto_equity_combo effectively skips the new single-position concentration gate while the other crypto entrypoints set explicit caps. In normal combo runs with only one rotation winner, the trend leg can allocate most of the configured trend sleeve to a single altcoin and still pass, which leaves this entrypoint outside the hard risk control this change is adding.
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Co-Authored-By: Claude <noreply@anthropic.com> Co-authored-by: Cursor <cursoragent@cursor.com>
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Summary
apply_risk_gate()in entrypoints/_common.pyTest plan
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