cilipep/ai-agent-with-tslab/strategy-risk

Strategy Risk

Risk is a required phase for every trading strategy.

Required Risk Contract

A strategy is not ready until these are explicit:

• entry price source;
• protective stop or invalidation level;
• risk per unit: distance between entry and stop, or another defensible risk model;
• account risk per trade, fixed size, or explicit sizing rule;
• capital base for percent-based risk: initial deposit, explicit deposit constant, equity source, or another declared base;
• position size calculation;
• actual connection or mapping from calculated size to the opening block Shares input;
• behavior when the stop level is missing, invalid, or on the wrong side of entry;
• whether the source strategy originally had no stop-loss and, if so, whether any added engineering stop is optional and switchable;
• commission and slippage assumptions;
• whether any Margin,% / borrow-carry field in the commission block is applicable to this market;
• whether position size is static, parameterized, or recalculated per trade.
• whether each risk parameter is fixed or optimization-ready.

TSLab Graph Expectations

When risk-based sizing is required:

• the entry block must receive a real size input or documented sizing behavior;
• stop/protective exits must use a calculated level, not simply current close/open unless that is the intended rule;
• a stop-loss anchored to trade risk should normally be based on entry price and a risk offset, for example long = entryLong - k * ATR and short = entryShort + k * ATR, not on a bar-by-bar recalculation from current close unless the design explicitly defines a dynamic protective level;
• long and short risk directions must be handled separately when both sides trade;
• risk parameters should be exposed for later optimization only when optimization is expected;
• if the risk model is percent-based, the graph must identify the capital base explicitly; percent risk without a capital base is incomplete;
• formulas are acceptable and preferred for riskPerUnit and shares when the math is simple, for example shares = floor(riskMoney / riskPerUnit);
• if a TSLab commission block contains Margin,%, do not leave the default blindly. For non-equity markets where overnight stock borrow is not the intended cost model, set Margin,% to 0 unless the user explicitly requests another financing-cost assumption. For crypto, default Margin,% to 0.

For trend-following strategies:

• the initial stop and trailing stop must be checked for same-bar or immediate exit behavior;
• the stop gate logic must be explicit when the platform would otherwise allow a stop to activate too early;
• if the source strategy had no stop-loss and an engineering stop is introduced only to make the baseline safer or more runnable, it must be controllable by an explicit logical constant or equivalent on/off gate so the added stop can be disabled cleanly;
• do not label a bar-by-bar recalculated ATR level from current close as a trailing stop unless it is monotonic in the direction of the position;
• the trailing stop must move only in the direction of the open position and must never loosen risk after entry unless the design explicitly allows that behavior;
• for long positions, the trailing stop may stay flat or move upward, but not move downward;
• for short positions, the trailing stop may stay flat or move downward, but not move upward;
• trailing parameters must be large enough to reflect the intended market swing, not so tight that the strategy exits almost immediately by construction;
• if the trailing stop is volatility-based, verify that the volatility multiplier or fraction is plausible for the timeframe and instrument.

Blockers

Do not call a strategy complete if:

• it opens trades without an intentional size rule;
• opening position Shares inputs are empty or disconnected;
• it has a protective exit connected to a raw current price instead of a calculated stop level;
• a trend-following strategy exits immediately or almost immediately because the stop or trailing logic activates too early;
• an added engineering stop is silently baked into the strategy without explicit design disclosure and without a switch that allows disabling it;
• a moving ATR level derived from current close is presented as stop-loss or trailing-stop logic even though it can loosen risk against the open position;
• a trailing stop moves against the direction of the open position and increases risk after entry without an explicit documented reason;
• a trend-following trailing stop uses parameters that are obviously too tight for the stated trend logic and timeframe;
• the risk description and graph behavior disagree;
• a percent-based risk model has no explicit capital base;
• a risk parameter materially affects behavior but is neither mapped for optimization nor declared intentionally fixed;
• commission/slippage assumptions are absent from a strategy where results are being reported;
• the commission block still uses a default Margin,% value that is not appropriate for the market and materially distorts the result;
• the strategy cannot explain worst-case per-trade loss under its own assumptions.

Output Contract

State the risk model in plain language and identify the exact graph behavior that implements it. For trend strategies, state how the stop avoids zero-bar or immediate exits and why the trailing parameters are plausible. If the source strategy had no stop-loss, say whether an optional engineering stop was added and where its logical enable/disable gate lives. State the capital base used for percent risk and whether the relevant risk parameters are optimization-ready or intentionally fixed. State the commission model, including whether Margin,% is zeroed or intentionally nonzero for the chosen market. If Shares is not calculated and connected, return to strategy-authoring. Optimization is forbidden until this phase is clean.