feat: math core v3 engine upgrade

services/trading/stop_loss_manager.py

@@ -5,12 +5,15 @@ re-evaluates levels when volatility or market conditions change, detects
 price crossings that should trigger exits, and tightens stops under
 high-heat or high-severity-event conditions.
 
+Also provides v3 regime-aware stop loss and take profit (Requirements 16.1–16.5).
+
 All public methods are synchronous (pure computation, no DB access).
 Persistence is handled by the caller (engine.py).
 """
 
 from __future__ import annotations
 
+from dataclasses import dataclass
 from datetime import datetime, timezone
 
 from services.trading.models import (
@@ -20,6 +23,100 @@ from services.trading.models import (
     StopTrigger,
 )
 
+# ---------------------------------------------------------------------------
+# v3 Regime-Aware Stop Loss and Take Profit (Requirements 16.1–16.5)
+# ---------------------------------------------------------------------------
+
+
+@dataclass(frozen=True)
+class V3StopLevels:
+    """v3 stop-loss and take-profit levels computed from regime-aware volatility."""
+
+    stop_loss: float
+    take_profit: float
+    stop_distance_pct: float
+    reward_ratio: float
+
+
+@dataclass(frozen=True)
+class TrailingStopResult:
+    """Result of trailing stop computation."""
+
+    trailing_stop: float
+    activated: bool
+
+
+def compute_v3_stops(
+    entry_price: float,
+    atr_pct: float,
+    regime_atr_mult: float,
+    sigma_h: float,
+    reward_ratio: float,
+) -> V3StopLevels:
+    """Compute regime-aware stop loss and take profit.
+
+    stop_distance_pct = max(ATR_pct × regime_ATR_mult, sigma_h × 1.25, 0.005)
+    stop_loss = entry_price × (1 - stop_distance_pct)
+    take_profit = entry_price × (1 + b × stop_distance_pct)
+
+    Requirements: 16.1, 16.2, 16.3
+    """
+    # Requirement 16.1: stop distance from regime-aware volatility
+    z_stop = 1.25
+    min_stop_pct = 0.005
+    stop_distance_pct = max(atr_pct * regime_atr_mult, sigma_h * z_stop, min_stop_pct)
+
+    # Requirement 16.2: stop loss for long position
+    stop_loss = entry_price * (1.0 - stop_distance_pct)
+
+    # Requirement 16.3: take profit using dynamic reward ratio
+    take_profit = entry_price * (1.0 + reward_ratio * stop_distance_pct)
+
+    return V3StopLevels(
+        stop_loss=stop_loss,
+        take_profit=take_profit,
+        stop_distance_pct=stop_distance_pct,
+        reward_ratio=reward_ratio,
+    )
+
+
+def compute_trailing_stop(
+    existing_stop: float,
+    current_price: float,
+    entry_price: float,
+    take_profit: float,
+    atr_pct: float,
+    trailing_atr_mult: float,
+    sigma_h: float,
+) -> TrailingStopResult:
+    """Compute trailing stop level.
+
+    Activated when unrealized_gain >= 0.50 × TP distance.
+    trailing_stop = max(existing_stop, current_price × (1 - trailing_distance_pct))
+    trailing_distance_pct = max(ATR_pct × trailing_ATR_mult, sigma_h × 0.75)
+
+    Trailing stop is monotonically non-decreasing.
+
+    Requirements: 16.4, 16.5
+    """
+    # Requirement 16.4: activation check
+    take_profit_distance = take_profit - entry_price
+    unrealized_gain = current_price - entry_price
+
+    # Activation threshold: gain >= 50% of TP distance
+    if take_profit_distance <= 0 or unrealized_gain < 0.50 * take_profit_distance:
+        # Not activated — return existing stop unchanged
+        return TrailingStopResult(trailing_stop=existing_stop, activated=False)
+
+    # Requirement 16.5: compute trailing stop
+    trailing_distance_pct = max(atr_pct * trailing_atr_mult, sigma_h * 0.75)
+    candidate_stop = current_price * (1.0 - trailing_distance_pct)
+
+    # Monotonically non-decreasing: never lower than existing stop
+    trailing_stop = max(existing_stop, candidate_stop)
+
+    return TrailingStopResult(trailing_stop=trailing_stop, activated=True)
+
 
 class StopLossManager:
     """Compute and maintain dynamic stop-loss / take-profit levels."""