PORT Portfolio Construction

import numpy as np

class V7PortfolioConstructor:
    """End-to-end portfolio construction for V7."""
    
    def __init__(self, account_balance, base_risk_pct=0.30,
                 max_daily_r=4.5, max_positions=12, max_per_cluster=3):
        self.balance = account_balance
        self.base_risk = base_risk_pct / 100
        self.max_daily_r = max_daily_r
        self.max_positions = max_positions
        self.max_per_cluster = max_per_cluster
    
    def construct(self, signals, dd_zone='NORMAL', current_positions=None):
        """Build portfolio from signals."""
        current_positions = current_positions or []
        
        # DD zone risk multiplier
        dd_mult = {'NORMAL': 1.0, 'CAUTION': 0.83, 'DANGER': 0.67, 'CRITICAL': 0.50}
        risk_mult = dd_mult.get(dd_zone, 1.0)
        
        # Sort by confidence
        ranked = sorted(signals, key=lambda s: s['confidence'], reverse=True)
        
        portfolio = list(current_positions)
        cluster_counts = {}
        for p in current_positions:
            cluster_counts[p['cluster']] = cluster_counts.get(p['cluster'], 0) + 1
        
        daily_r_used = sum(p.get('risk_r', 0.3) for p in current_positions)
        
        new_trades = []
        for signal in ranked:
            # Check limits
            if len(portfolio) >= self.max_positions:
                break
            if cluster_counts.get(signal['cluster'], 0) >= self.max_per_cluster:
                continue
            
            # Compute position size
            risk_amount = self.balance * self.base_risk * risk_mult
            risk_r = risk_amount / self.balance * 100 / 0.30  # normalize to R
            
            if daily_r_used + risk_r > self.max_daily_r:
                continue
            
            trade = {
                'symbol': signal['symbol'],
                'cluster': signal['cluster'],
                'direction': signal['direction'],
                'confidence': signal['confidence'],
                'risk_amount': risk_amount,
                'risk_r': risk_r,
            }
            
            new_trades.append(trade)
            portfolio.append(trade)
            cluster_counts[signal['cluster']] = cluster_counts.get(signal['cluster'], 0) + 1
            daily_r_used += risk_r
        
        print(f"=== V7 PORTFOLIO ({dd_zone} zone) ===")
        print(f"Existing positions: {len(current_positions)}")
        print(f"New trades: {len(new_trades)}")
        print(f"Total positions: {len(portfolio)}")
        print(f"Daily R used: {daily_r_used:.1f} / {self.max_daily_r}")
        print(f"Risk per trade: {self.balance * self.base_risk * risk_mult:.0f}")
        
        return new_trades

# constructor = V7PortfolioConstructor(account_balance=100000)
# trades = constructor.construct(signals, dd_zone='NORMAL')