guardrailed-llm-agent — Step 7: Hard Guardrails: When the LLM Isn't Enough (snippet 1)

step_7_hard_guardrails_when_the_llm_isn__1.py

flat_days = 0   # counts consecutive days at zero exposure

for t in df_seg.index:
    dd = equity / peak - 1.0
    target = float(proposed_pos.loc[t])

    if cooldown > 0:
        target = 0.0
        cooldown -= 1
    else:
        # KEY FIX: after MAX_FLAT_DAYS, force re-entry at full size.
        # Without this, a frozen equity curve never recovers its drawdown
        # and the DD check keeps firing indefinitely.
        if flat_days >= MAX_FLAT_DAYS:
            target = target * REENTRY_SIZE   # come back at full size so equity recovers the drawdown faster
        else:
            if realized_vol > vol_stop:
                target = 0.0
            if dd < -dd_limit:
                target = 0.0

    # Track consecutive flat days
    flat_days = flat_days + 1 if target == 0.0 else 0

    # Update equity with today's actual position
    equity *= math.exp(target * ret - TC * abs(target - prev_target))
    peak = max(peak, equity)
    prev_target = target