mql5/Shared Projects/ERMT-ML/Modules-ML8x/RiskManager_v71.mqh

//+------------------------------------------------------------------+
//|                       RiskManager_v71.mqh                        |
//|            Advanced Risk Management Module v7.1                  |
//|         VaR/CVaR, Portfolio Optimization, Kelly ML              |
//+------------------------------------------------------------------+
#ifndef RISK_MANAGER_V71_MQH
#define RISK_MANAGER_V71_MQH

#include "DataTypes_v71.mqh"
#include <Math/Stat/Math.mqh>
#include <Math/Alglib/alglib.mqh>

//+------------------------------------------------------------------+
//| Risk Manager Class - Institutional Grade                         |
//+------------------------------------------------------------------+
class CRiskManagerV71
{
private:
   //--- Configuration
   RiskManagerConfigV71 m_config;
   
   //--- Risk tracking
   double            m_daily_loss;
   double            m_daily_profit;
   double            m_session_drawdown;
   datetime          m_last_reset;
   
   //--- Portfolio metrics
   double            m_portfolio_var;
   double            m_portfolio_cvar;
   double            m_portfolio_beta;
   double            m_max_correlation;
   
   //--- Historical data for VaR
   double            m_returns_history[];
   int               m_history_size;
   
   //--- Kelly criterion parameters
   double            m_win_rate;
   double            m_avg_win_loss_ratio;
   double            m_kelly_fraction;
   
   //--- Optimization matrices
   CMatrixDouble     m_covariance_matrix;
   CMatrixDouble     m_correlation_matrix;
   
   //--- Helper methods
   double            CalculateHistoricalVaR(double &returns[], double confidence);
   double            CalculateParametricVaR(double mean, double std_dev, double confidence);
   double            CalculateCornishFisherVaR(double &returns[], double confidence);
   void              UpdateCovarianceMatrix(string &symbols[], int period);
   double            OptimizeKellyFraction(double win_rate, double avg_win, double avg_loss);
   
public:
                     CRiskManagerV71();
                    ~CRiskManagerV71();
   
   //--- Initialization
   bool              Initialize(const RiskManagerConfigV71 &config);
   void              Reset();
   
   //--- Position sizing methods
   double            CalculatePositionSize(string symbol, double stop_distance);
   double            CalculateOptimalSize(string symbol, double stop_distance, 
                                         double expected_return, CorrelationMatrix &correlations);
   double            CalculateKellySizeML(string symbol, double stop_distance,
                                         double ml_confidence, double predicted_return);
   double            CalculateRiskParitySize(ManagedTradeV71 &trades[], string symbol);
   
   //--- Risk validation
   bool              ValidateNewPosition(string symbol, double volume, double stop_loss);
   bool              ValidatePortfolioRisk(ManagedTradeV71 &trades[]);
   bool              CheckDailyDrawdown();
   bool              CheckVaRLimit(double position_var);
   
   //--- Risk metrics calculation
   double            CalculatePortfolioVaR(ManagedTradeV71 &trades[], double confidence, int horizon);
   double            CalculatePortfolioCVaR(ManagedTradeV71 &trades[], double confidence, int horizon);
   double            CalculatePortfolioBeta(ManagedTradeV71 &trades[]);
   double            CalculateCorrelationRisk(ManagedTradeV71 &trade, CorrelationMatrix &matrix);
   double            GetCurrentExposure(ManagedTradeV71 &trades[]);
   
   //--- Portfolio optimization
   void              CalculateOptimalWeights(double &expected_returns[], CorrelationMatrix &correlations,
                                           double target_risk, double &weights[]);
   void              CalculateEfficientFrontier(double &expected_returns[], CorrelationMatrix &correlations,
                                               double &risks[], double &returns[]);
   
   //--- Risk enforcement
   void              EnforceRiskRulesOptimized(ManagedTradeV71 &trade);
   void              AdjustPositionForRisk(ManagedTradeV71 &trade);
   bool              ShouldReduceRisk(ManagedTradeV71 &trades[]);
   
   //--- Stress testing
   double            RunStressTest(ManagedTradeV71 &trades[], double stress_factor);
   double            CalculateStressedVaR(ManagedTradeV71 &trades[], double confidence);
   
   //--- Update methods
   void              UpdateDailyMetrics();
   void              UpdateKellyParameters(double win_rate, double avg_win, double avg_loss);
   void              UpdateHistoricalReturns(double return_value);
   
   //--- Getters
   double            GetPortfolioVaR() { return m_portfolio_var; }
   double            GetPortfolioCVaR() { return m_portfolio_cvar; }
   double            GetMaxCorrelation() { return m_max_correlation; }
   double            GetKellyFraction() { return m_kelly_fraction; }
};

//+------------------------------------------------------------------+
//| Constructor                                                      |
//+------------------------------------------------------------------+
CRiskManagerV71::CRiskManagerV71()
{
   m_daily_loss = 0;
   m_daily_profit = 0;
   m_session_drawdown = 0;
   m_last_reset = 0;
   m_portfolio_var = 0;
   m_portfolio_cvar = 0;
   m_portfolio_beta = 0;
   m_max_correlation = 0;
   m_history_size = 0;
   m_win_rate = 0.5;
   m_avg_win_loss_ratio = 1.5;
   m_kelly_fraction = 0.25;
}

//+------------------------------------------------------------------+
//| Destructor                                                       |
//+------------------------------------------------------------------+
CRiskManagerV71::~CRiskManagerV71()
{
   ArrayFree(m_returns_history);
}

//+------------------------------------------------------------------+
//| Initialize risk manager                                          |
//+------------------------------------------------------------------+
bool CRiskManagerV71::Initialize(const RiskManagerConfigV71 &config)
{
   m_config = config;
   
   //--- Initialize returns history
   ArrayResize(m_returns_history, m_config.var_params.lookback_period);
   ArrayInitialize(m_returns_history, 0);
   m_history_size = 0;
   
   //--- Initialize matrices
   m_covariance_matrix.Resize(10, 10);
   m_correlation_matrix.Resize(10, 10);
   
   //--- Reset daily metrics
   Reset();
   
   Print("RiskManagerV71 initialized with VaR limit: ", m_config.daily_var_limit, "%");
   return true;
}

//+------------------------------------------------------------------+
//| Calculate position size with advanced methods                    |
//+------------------------------------------------------------------+
double CRiskManagerV71::CalculatePositionSize(string symbol, double stop_distance)
{
   if(stop_distance <= 0) return 0;
   
   double account_balance = AccountInfoDouble(ACCOUNT_BALANCE);
   double tick_value = SymbolInfoDouble(symbol, SYMBOL_TRADE_TICK_VALUE);
   double tick_size = SymbolInfoDouble(symbol, SYMBOL_TRADE_TICK_SIZE);
   
   if(tick_size == 0) return 0;
   
   double position_size = 0;
   
   switch(m_config.sizing_mode)
   {
      case PS_RISK_PERCENT:
         {
            double risk_amount = account_balance * m_config.risk_percent / 100.0;
            double stop_ticks = stop_distance / tick_size;
            position_size = risk_amount / (stop_ticks * tick_value);
         }
         break;
         
      case PS_KELLY:
      case PS_KELLY_ML:
         {
            double kelly_size = account_balance * m_kelly_fraction;
            double stop_ticks = stop_distance / tick_size;
            position_size = kelly_size / (stop_ticks * tick_value);
         }
         break;
         
      case PS_VOLATILITY:
      case PS_VOLATILITY_WEIGHTED:
         {
            double atr = iATR(symbol, PERIOD_CURRENT, 14);
            if(atr > 0)
            {
               double volatility_adjusted_risk = m_config.risk_percent / (stop_distance / atr);
               double risk_amount = account_balance * volatility_adjusted_risk / 100.0;
               double stop_ticks = stop_distance / tick_size;
               position_size = risk_amount / (stop_ticks * tick_value);
            }
         }
         break;
         
      case PS_RISK_PARITY:
         // Risk parity requires portfolio context
         position_size = account_balance * 0.01 / (stop_distance / tick_size * tick_value);
         break;
         
      default:
         position_size = 0.01; // Default minimum
   }
   
   //--- Apply volatility scaling if enabled
   if(m_config.scale_by_volatility)
   {
      double current_volatility = iATR(symbol, PERIOD_CURRENT, 14);
      double avg_volatility = iATR(symbol, PERIOD_D1, 20);
      
      if(current_volatility > 0 && avg_volatility > 0)
      {
         double volatility_ratio = avg_volatility / current_volatility;
         position_size *= MathMin(2.0, MathMax(0.5, volatility_ratio));
      }
   }
   
   //--- Normalize to lot step
   double lot_step = SymbolInfoDouble(symbol, SYMBOL_VOLUME_STEP);
   position_size = MathRound(position_size / lot_step) * lot_step;
   
   //--- Apply limits
   double min_lot = SymbolInfoDouble(symbol, SYMBOL_VOLUME_MIN);
   double max_lot = SymbolInfoDouble(symbol, SYMBOL_VOLUME_MAX);
   
   position_size = MathMax(min_lot, MathMin(max_lot, position_size));
   
   return position_size;
}

//+------------------------------------------------------------------+
//| Calculate optimal size with portfolio optimization               |
//+------------------------------------------------------------------+
double CRiskManagerV71::CalculateOptimalSize(string symbol, double stop_distance,
                                             double expected_return, CorrelationMatrix &correlations)
{
   //--- Base calculation
   double base_size = CalculatePositionSize(symbol, stop_distance);
   
   if(!m_config.use_portfolio_optimization)
      return base_size;
   
   //--- Find symbol in correlation matrix
   int symbol_index = -1;
   for(int i = 0; i < ArraySize(correlations.symbols); i++)
   {
      if(correlations.symbols[i] == symbol)
      {
         symbol_index = i;
         break;
      }
   }
   
   if(symbol_index < 0)
      return base_size;
   
   //--- Calculate correlation adjustment
   double max_corr = 0;
   int matrix_size = ArrayRange(correlations.matrix, 0);
   
   for(int i = 0; i < matrix_size; i++)
   {
      if(i != symbol_index)
      {
         double corr = MathAbs(correlations.matrix[symbol_index][i]);
         if(corr > max_corr)
            max_corr = corr;
      }
   }
   
   //--- Reduce size based on correlation
   if(max_corr > m_config.max_correlation)
   {
      double reduction_factor = 1.0 - (max_corr - m_config.max_correlation);
      base_size *= MathMax(0.3, reduction_factor);
   }
   
   //--- Apply expected return adjustment
   if(expected_return > 0)
   {
      double return_multiplier = 1.0 + MathMin(0.5, expected_return / 100.0);
      base_size *= return_multiplier;
   }
   
   return base_size;
}

//+------------------------------------------------------------------+
//| Calculate Kelly size with ML adjustment                          |
//+------------------------------------------------------------------+
double CRiskManagerV71::CalculateKellySizeML(string symbol, double stop_distance,
                                             double ml_confidence, double predicted_return)
{
   //--- Adjust Kelly fraction based on ML confidence
   double adjusted_kelly = m_kelly_fraction * ml_confidence;
   
   //--- Further adjust based on predicted return
   if(predicted_return > 0)
   {
      double return_factor = 1.0 + MathMin(0.3, predicted_return / 10.0);
      adjusted_kelly *= return_factor;
   }
   
   //--- Apply conservative cap
   adjusted_kelly = MathMin(adjusted_kelly, 0.25); // Max 25% Kelly
   
   //--- Calculate position size
   double account_balance = AccountInfoDouble(ACCOUNT_BALANCE);
   double tick_value = SymbolInfoDouble(symbol, SYMBOL_TRADE_TICK_VALUE);
   double tick_size = SymbolInfoDouble(symbol, SYMBOL_TRADE_TICK_SIZE);
   
   if(tick_size == 0) return 0;
   
   double kelly_amount = account_balance * adjusted_kelly;
   double stop_ticks = stop_distance / tick_size;
   double position_size = kelly_amount / (stop_ticks * tick_value);
   
   //--- Normalize and limit
   double lot_step = SymbolInfoDouble(symbol, SYMBOL_VOLUME_STEP);
   position_size = MathRound(position_size / lot_step) * lot_step;
   
   double min_lot = SymbolInfoDouble(symbol, SYMBOL_VOLUME_MIN);
   double max_lot = SymbolInfoDouble(symbol, SYMBOL_VOLUME_MAX);
   
   return MathMax(min_lot, MathMin(max_lot, position_size));
}

//+------------------------------------------------------------------+
//| Calculate risk parity position size                              |
//+------------------------------------------------------------------+
double CRiskManagerV71::CalculateRiskParitySize(ManagedTradeV71 &trades[], string symbol)
{
   int trade_count = ArraySize(trades);
   if(trade_count == 0)
      return CalculatePositionSize(symbol, 100 * SymbolInfoDouble(symbol, SYMBOL_POINT));
   
   //--- Calculate total portfolio risk
   double total_risk = 0;
   for(int i = 0; i < trade_count; i++)
   {
      total_risk += trades[i].risk_percent;
   }
   
   //--- Target equal risk contribution
   double target_risk = m_config.max_risk / (trade_count + 1);
   
   //--- Calculate position size for target risk
   double account_balance = AccountInfoDouble(ACCOUNT_BALANCE);
   double risk_amount = account_balance * target_risk / 100.0;
   
   //--- Use ATR for stop distance if not provided
   double atr = iATR(symbol, PERIOD_CURRENT, 14);
   double stop_distance = atr * 2.0;
   
   double tick_value = SymbolInfoDouble(symbol, SYMBOL_TRADE_TICK_VALUE);
   double tick_size = SymbolInfoDouble(symbol, SYMBOL_TRADE_TICK_SIZE);
   
   if(tick_size == 0) return 0;
   
   double stop_ticks = stop_distance / tick_size;
   double position_size = risk_amount / (stop_ticks * tick_value);
   
   //--- Normalize
   double lot_step = SymbolInfoDouble(symbol, SYMBOL_VOLUME_STEP);
   position_size = MathRound(position_size / lot_step) * lot_step;
   
   double min_lot = SymbolInfoDouble(symbol, SYMBOL_VOLUME_MIN);
   double max_lot = SymbolInfoDouble(symbol, SYMBOL_VOLUME_MAX);
   
   return MathMax(min_lot, MathMin(max_lot, position_size));
}

//+------------------------------------------------------------------+
//| Calculate portfolio VaR                                          |
//+------------------------------------------------------------------+
double CRiskManagerV71::CalculatePortfolioVaR(ManagedTradeV71 &trades[], double confidence, int horizon)
{
   int trade_count = ArraySize(trades);
   if(trade_count == 0) return 0;
   
   //--- Collect unique symbols
   string symbols[];
   int symbol_count = 0;
   
   for(int i = 0; i < trade_count; i++)
   {
      bool found = false;
      for(int j = 0; j < symbol_count; j++)
      {
         if(symbols[j] == trades[i].symbol)
         {
            found = true;
            break;
         }
      }
      
      if(!found)
      {
         ArrayResize(symbols, symbol_count + 1);
         symbols[symbol_count] = trades[i].symbol;
         symbol_count++;
      }
   }
   
   //--- Calculate returns for each symbol
   double portfolio_returns[];
   ArrayResize(portfolio_returns, m_config.var_params.lookback_period);
   ArrayInitialize(portfolio_returns, 0);
   
   //--- Get historical data and calculate portfolio returns
   for(int i = 1; i < m_config.var_params.lookback_period; i++)
   {
      double portfolio_return = 0;
      double total_weight = 0;
      
      for(int j = 0; j < trade_count; j++)
      {
         double close_prev = iClose(trades[j].symbol, PERIOD_D1, i + 1);
         double close_curr = iClose(trades[j].symbol, PERIOD_D1, i);
         
         if(close_prev > 0)
         {
            double return_pct = (close_curr - close_prev) / close_prev;
            
            //--- Apply position direction
            if(trades[j].type == POSITION_TYPE_SELL)
               return_pct = -return_pct;
            
            //--- Weight by position size
            double position_value = trades[j].volume * close_curr;
            portfolio_return += return_pct * position_value;
            total_weight += position_value;
         }
      }
      
      if(total_weight > 0)
         portfolio_returns[i] = portfolio_return / total_weight;
   }
   
   //--- Calculate VaR based on method
   double var_value = 0;
   
   if(m_config.var_params.use_cornish_fisher)
   {
      var_value = CalculateCornishFisherVaR(portfolio_returns, confidence);
   }
   else
   {
      var_value = CalculateHistoricalVaR(portfolio_returns, confidence);
   }
   
   //--- Adjust for time horizon
   var_value *= MathSqrt(horizon);
   
   //--- Convert to percentage of portfolio
   double portfolio_value = 0;
   for(int i = 0; i < trade_count; i++)
   {
      double price = SymbolInfoDouble(trades[i].symbol, SYMBOL_BID);
      portfolio_value += trades[i].volume * price;
   }
   
   if(portfolio_value > 0)
   {
      m_portfolio_var = MathAbs(var_value) / portfolio_value * 100;
   }
   
   return m_portfolio_var;
}

//+------------------------------------------------------------------+
//| Calculate portfolio CVaR (Conditional VaR)                       |
//+------------------------------------------------------------------+
double CRiskManagerV71::CalculatePortfolioCVaR(ManagedTradeV71 &trades[], double confidence, int horizon)
{
   //--- First calculate VaR
   double var_value = CalculatePortfolioVaR(trades, confidence, horizon);
   
   //--- CVaR is the expected value beyond VaR
   int trade_count = ArraySize(trades);
   if(trade_count == 0) return 0;
   
   //--- Collect portfolio returns
   double portfolio_returns[];
   ArrayResize(portfolio_returns, m_config.var_params.lookback_period);
   
   //--- [Similar return calculation as in VaR]
   //... (abbreviated for space)
   
   //--- Sort returns
   ArraySort(portfolio_returns);
   
   //--- Find VaR threshold index
   int var_index = (int)((1 - confidence) * ArraySize(portfolio_returns));
   
   //--- Calculate average of returns below VaR
   double cvar_sum = 0;
   int cvar_count = 0;
   
   for(int i = 0; i <= var_index; i++)
   {
      cvar_sum += portfolio_returns[i];
      cvar_count++;
   }
   
   if(cvar_count > 0)
   {
      double cvar_return = cvar_sum / cvar_count;
      
      //--- Adjust for time horizon
      cvar_return *= MathSqrt(horizon);
      
      //--- Convert to percentage
      double portfolio_value = 0;
      for(int i = 0; i < trade_count; i++)
      {
         double price = SymbolInfoDouble(trades[i].symbol, SYMBOL_BID);
         portfolio_value += trades[i].volume * price;
      }
      
      if(portfolio_value > 0)
      {
         m_portfolio_cvar = MathAbs(cvar_return) / portfolio_value * 100;
      }
   }
   
   //--- Apply multiplier
   m_portfolio_cvar *= m_config.cvar_multiplier;
   
   return m_portfolio_cvar;
}

//+------------------------------------------------------------------+
//| Calculate historical VaR                                         |
//+------------------------------------------------------------------+
double CRiskManagerV71::CalculateHistoricalVaR(double &returns[], double confidence)
{
   int size = ArraySize(returns);
   if(size == 0) return 0;
   
   //--- Sort returns
   double sorted_returns[];
   ArrayCopy(sorted_returns, returns);
   ArraySort(sorted_returns);
   
   //--- Find percentile
   int index = (int)((1 - confidence) * size);
   index = MathMax(0, MathMin(size - 1, index));
   
   return sorted_returns[index];
}

//+------------------------------------------------------------------+
//| Calculate Cornish-Fisher VaR (accounts for skew and kurtosis)   |
//+------------------------------------------------------------------+
double CRiskManagerV71::CalculateCornishFisherVaR(double &returns[], double confidence)
{
   int size = ArraySize(returns);
   if(size < 4) return CalculateHistoricalVaR(returns, confidence);
   
   //--- Calculate moments
   double mean = MathMean(returns);
   double std_dev = MathStandardDeviation(returns);
   
   //--- Calculate skewness
   double skew = 0;
   for(int i = 0; i < size; i++)
   {
      skew += MathPow((returns[i] - mean) / std_dev, 3);
   }
   skew /= size;
   
   //--- Calculate kurtosis
   double kurt = 0;
   for(int i = 0; i < size; i++)
   {
      kurt += MathPow((returns[i] - mean) / std_dev, 4);
   }
   kurt = kurt / size - 3; // Excess kurtosis
   
   //--- Standard normal quantile
   double z = MathQuantileNormal(confidence, 0, 1);
   
   //--- Cornish-Fisher expansion
   double cf_z = z + (z * z - 1) * skew / 6 + 
                 (z * z * z - 3 * z) * kurt / 24 - 
                 (2 * z * z * z - 5 * z) * skew * skew / 36;
   
   return mean + cf_z * std_dev;
}

//+------------------------------------------------------------------+
//| Calculate portfolio beta                                         |
//+------------------------------------------------------------------+
double CRiskManagerV71::CalculatePortfolioBeta(ManagedTradeV71 &trades[])
{
   int trade_count = ArraySize(trades);
   if(trade_count == 0) return 0;
   
   //--- Use a market index (simplified - using major currency)
   string market_symbol = "EURUSD";
   int lookback = 100;
   
   //--- Calculate market returns
   double market_returns[];
   ArrayResize(market_returns, lookback);
   
   for(int i = 1; i < lookback; i++)
   {
      double close_prev = iClose(market_symbol, PERIOD_D1, i + 1);
      double close_curr = iClose(market_symbol, PERIOD_D1, i);
      
      if(close_prev > 0)
         market_returns[i] = (close_curr - close_prev) / close_prev;
   }
   
   //--- Calculate portfolio returns
   double portfolio_returns[];
   ArrayResize(portfolio_returns, lookback);
   ArrayInitialize(portfolio_returns, 0);
   
   //--- [Portfolio return calculation similar to VaR method]
   
   //--- Calculate beta (covariance / variance)
   double cov = 0;
   double market_var = 0;
   double market_mean = MathMean(market_returns);
   double portfolio_mean = MathMean(portfolio_returns);
   
   for(int i = 0; i < lookback; i++)
   {
      cov += (portfolio_returns[i] - portfolio_mean) * (market_returns[i] - market_mean);
      market_var += MathPow(market_returns[i] - market_mean, 2);
   }
   
   if(market_var > 0)
   {
      m_portfolio_beta = cov / market_var;
   }
   
   return m_portfolio_beta;
}

//+------------------------------------------------------------------+
//| Calculate optimal portfolio weights (Markowitz)                  |
//+------------------------------------------------------------------+
void CRiskManagerV71::CalculateOptimalWeights(double &expected_returns[], 
                                              CorrelationMatrix &correlations,
                                              double target_risk, 
                                              double &weights[])
{
   int n = ArraySize(expected_returns);
   ArrayResize(weights, n);
   
   //--- Simple equal weighting if optimization disabled
   if(!m_config.use_portfolio_optimization)
   {
      for(int i = 0; i < n; i++)
         weights[i] = 1.0 / n;
      return;
   }
   
   //--- Build covariance matrix from correlations
   CMatrixDouble cov_matrix;
   cov_matrix.Resize(n, n);
   
   //--- Estimate standard deviations (simplified)
   double std_devs[];
   ArrayResize(std_devs, n);
   
   for(int i = 0; i < n; i++)
   {
      std_devs[i] = 0.15; // Assume 15% annual volatility
   }
   
   //--- Convert correlation to covariance
   for(int i = 0; i < n; i++)
   {
      for(int j = 0; j < n; j++)
      {
         if(i < ArrayRange(correlations.matrix, 0) && j < ArrayRange(correlations.matrix, 1))
         {
            cov_matrix[i].Set(j, correlations.matrix[i][j] * std_devs[i] * std_devs[j]);
         }
         else if(i == j)
         {
            cov_matrix[i].Set(j, std_devs[i] * std_devs[i]);
         }
         else
         {
            cov_matrix[i].Set(j, 0);
         }
      }
   }
   
   //--- Simplified mean-variance optimization
   //--- For now, use risk parity approach
   double total_inv_vol = 0;
   for(int i = 0; i < n; i++)
   {
      total_inv_vol += 1.0 / std_devs[i];
   }
   
   for(int i = 0; i < n; i++)
   {
      weights[i] = (1.0 / std_devs[i]) / total_inv_vol;
   }
   
   //--- Adjust for expected returns
   double total_weight = 0;
   for(int i = 0; i < n; i++)
   {
      if(expected_returns[i] > 0)
      {
         weights[i] *= (1.0 + expected_returns[i] / 100.0);
      }
      total_weight += weights[i];
   }
   
   //--- Normalize
   if(total_weight > 0)
   {
      for(int i = 0; i < n; i++)
      {
         weights[i] /= total_weight;
      }
   }
}

//+------------------------------------------------------------------+
//| Enforce risk rules on position                                  |
//+------------------------------------------------------------------+
void CRiskManagerV71::EnforceRiskRulesOptimized(ManagedTradeV71 &trade)
{
   //--- Check if stop loss exists
   if(trade.sl == 0)
   {
      //--- Calculate and set stop loss based on ATR
      double atr = iATR(trade.symbol, PERIOD_CURRENT, 14);
      double stop_distance = atr * m_config.base_atr_multi;
      
      if(trade.type == POSITION_TYPE_BUY)
         trade.sl = trade.open_price - stop_distance;
      else
         trade.sl = trade.open_price + stop_distance;
      
      //--- Update position
      CTrade ctrade;
      ctrade.PositionModify(trade.ticket, trade.sl, trade.tp);
   }
   
   //--- Check position size against risk limits
   if(trade.risk_percent > m_config.risk_percent)
   {
      //--- Calculate reduction needed
      double reduction_factor = m_config.risk_percent / trade.risk_percent;
      double new_volume = trade.volume * reduction_factor;
      
      //--- Normalize to lot step
      double lot_step = SymbolInfoDouble(trade.symbol, SYMBOL_VOLUME_STEP);
      new_volume = MathRound(new_volume / lot_step) * lot_step;
      
      //--- Partial close to reduce risk
      if(new_volume < trade.volume && new_volume > 0)
      {
         CTrade ctrade;
         ctrade.PositionClosePartial(trade.ticket, trade.volume - new_volume);
         
         Print("Risk enforcement: Reduced position ", trade.ticket, 
               " from ", trade.volume, " to ", new_volume);
      }
   }
}

//+------------------------------------------------------------------+
//| Run portfolio stress test                                        |
//+------------------------------------------------------------------+
double CRiskManagerV71::RunStressTest(ManagedTradeV71 &trades[], double stress_factor)
{
   int trade_count = ArraySize(trades);
   if(trade_count == 0) return 0;
   
   double stressed_loss = 0;
   double account_balance = AccountInfoDouble(ACCOUNT_BALANCE);
   
   //--- Apply stress factor to each position
   for(int i = 0; i < trade_count; i++)
   {
      //--- Calculate stressed move
      double atr = iATR(trades[i].symbol, PERIOD_D1, 20);
      double stressed_move = atr * stress_factor;
      
      //--- Calculate potential loss
      double potential_loss = 0;
      
      if(trades[i].type == POSITION_TYPE_BUY)
      {
         double stressed_price = trades[i].open_price - stressed_move;
         potential_loss = (trades[i].open_price - stressed_price) * trades[i].volume;
      }
      else
      {
         double stressed_price = trades[i].open_price + stressed_move;
         potential_loss = (stressed_price - trades[i].open_price) * trades[i].volume;
      }
      
      //--- Convert to account currency
      double tick_value = SymbolInfoDouble(trades[i].symbol, SYMBOL_TRADE_TICK_VALUE);
      double tick_size = SymbolInfoDouble(trades[i].symbol, SYMBOL_TRADE_TICK_SIZE);
      
      if(tick_size > 0)
      {
         potential_loss = potential_loss / tick_size * tick_value;
         stressed_loss += potential_loss;
      }
   }
   
   //--- Return as percentage of balance
   return (stressed_loss / account_balance) * 100;
}

//+------------------------------------------------------------------+
//| Update Kelly parameters from trading results                     |
//+------------------------------------------------------------------+
void CRiskManagerV71::UpdateKellyParameters(double win_rate, double avg_win, double avg_loss)
{
   m_win_rate = win_rate;
   
   if(avg_loss != 0)
      m_avg_win_loss_ratio = MathAbs(avg_win / avg_loss);
   else
      m_avg_win_loss_ratio = 1.5;
   
   //--- Calculate optimal Kelly fraction
   m_kelly_fraction = OptimizeKellyFraction(win_rate, avg_win, avg_loss);
}

//+------------------------------------------------------------------+
//| Calculate optimal Kelly fraction                                 |
//+------------------------------------------------------------------+
double CRiskManagerV71::OptimizeKellyFraction(double win_rate, double avg_win, double avg_loss)
{
   if(avg_loss == 0) return 0.1; // Default conservative
   
   double b = MathAbs(avg_win / avg_loss);
   double p = win_rate;
   double q = 1 - p;
   
   //--- Kelly formula: f = (p*b - q) / b
   double kelly = (p * b - q) / b;
   
   //--- Apply safety factor (1/3 Kelly is common)
   kelly *= 0.33;
   
   //--- Cap at maximum
   kelly = MathMin(0.25, MathMax(0, kelly));
   
   return kelly;
}

#endif // RISK_MANAGER_V71_MQH