# Phase 4 Implementation Summary: Hedge Portfolio

> **Completion Date**: 2026-02-05
> **Status**: ✅ Completed
> **Phase**: 4 of 5

---

## Overview

Phase 4 implements the **Hedge Portfolio** module for AgomTradePro. This module provides correlation monitoring, hedge ratio calculation, and effectiveness validation for hedging strategies.

## Key Deliverables

### 1. Infrastructure Layer

**Repositories** (`apps/hedge/infrastructure/repositories.py`)
- `HedgePairRepository` - Hedge pair configuration CRUD
- `CorrelationHistoryRepository` - Historical correlation data access
- `HedgePortfolioRepository` - Portfolio holding queries
- `HedgeAlertRepository` - Alert management
- `HedgePerformanceRepository` - Performance metrics tracking

**Data Adapters** (`apps/hedge/infrastructure/adapters/`)
- `TushareHedgeAdapter` - Primary ETF price data source
- `AkshareHedgeAdapter` - Secondary data source
- `CachedHedgeAdapter` - Mock/fallback data generator
- **Failover Pattern**: Tushare → Akshare → Cached

**Integration Service** (`apps/hedge/infrastructure/services.py`)
```python
class HedgeIntegrationService:
    - calculate_correlation(asset1, asset2, calc_date, window_days)
    - get_correlation_matrix(asset_codes, window_days)
    - monitor_hedge_pairs(calc_date) -> List[HedgeAlert]
    - update_hedge_portfolio(pair_name, calc_date)
    - check_hedge_effectiveness(pair_name, calc_date)
    - calculate_hedge_ratio(pair_name, calc_date)
    - get_active_alerts(pair_name)
    - calculate_performance(pair_name, calc_date)
```

### 2. Interface Layer Updates

**Views** (`apps/hedge/interface/views.py`)
- `HedgePairViewSet` - Hedge pair CRUD with effectiveness checking
- `CorrelationHistoryViewSet` - Correlation data with calculation action
- `HedgePortfolioSnapshotViewSet` - Portfolio state with update actions
- `HedgeAlertViewSet` - Alert management with resolution
- `HedgeActionViewSet` - Action endpoints for calculations

**URLs** (`apps/hedge/interface/urls.py`)
- `/hedge/api/pairs/` - Hedge pair management
- `/hedge/api/correlations/` - Correlation history
- `/hedge/api/snapshots/` - Portfolio snapshots
- `/hedge/api/alerts/` - Alert management
- `/hedge/api/actions/` - Calculation actions

### 3. SDK Module

**Hedge Module** (`sdk/agomtradepro/modules/hedge.py`)
```python
class HedgeModule:
    # Correlation Analysis
    - calculate_correlation(asset1, asset2, window_days)
    - get_correlation_matrix(asset_codes, window_days)

    # Hedge Ratio
    - calculate_hedge_ratio(pair_name)

    # Effectiveness
    - check_effectiveness(pair_name)
    - get_all_effectiveness()

    # Portfolio State
    - get_portfolio_state(pair_name)
    - update_all_portfolios()

    # Alerts
    - get_alerts(days)
    - monitor_alerts()
    - resolve_alert(alert_id)

    # Configuration
    - get_all_pairs()
    - get_pair_info(pair_name)
```

### 4. MCP Tools

**10 Natural Language Tools** (`sdk/agomtradepro_mcp/tools/hedge_tools.py`)

| Tool | Description | Example Usage |
|------|-------------|---------------|
| `get_correlation_matrix` | Get correlation matrix for assets | "相关性矩阵怎么样？" |
| `calculate_correlation` | Calculate correlation between two assets | "沪深300和国债的相关性？" |
| `check_hedge_effectiveness` | Check hedge effectiveness | "股债对冲还有效吗？" |
| `get_all_hedge_effectiveness` | Get all hedge effectiveness ratings | "哪些对冲效果好？" |
| `calculate_hedge_ratio` | Calculate optimal hedge ratio | "对冲比例多少？" |
| `list_hedge_pairs` | List all hedge pairs | "有哪些对冲组合？" |
| `get_hedge_portfolio_state` | Get portfolio state | "当前对冲仓位？" |
| `get_hedge_alerts` | Get hedge alerts | "有什么告警？" |
| `monitor_hedge_pairs` | Run hedge monitoring | "检查对冲组合" |
| `is_my_hedge_still_working` | Quick effectiveness check | "我的对冲还有效吗？" |

---

## Data Flow

```
User Request (Claude)
    ↓
MCP Tool (hedge_tools.py)
    ↓
SDK Module (hedge.py)
    ↓
Integration Service (services.py)
    ↓
Domain Services (CorrelationMonitor, HedgeRatioCalculator)
    ↓
Data Adapter (Tushare → Akshare → Cached)
    ↓
Repository (ORM)
```

---

## API Endpoints

| Endpoint | Method | Description |
|----------|--------|-------------|
| `/hedge/api/pairs/` | GET/POST | Hedge pair CRUD |
| `/hedge/api/pairs/{id}/check_effectiveness/` | GET | Check effectiveness |
| `/hedge/api/pairs/all_effectiveness/` | GET | Get all effectiveness |
| `/hedge/api/correlations/` | GET | Correlation history |
| `/hedge/api/correlations/calculate/` | POST | Calculate correlation |
| `/hedge/api/snapshots/latest/` | GET | Latest snapshots |
| `/hedge/api/snapshots/update_all/` | POST | Update all portfolios |
| `/hedge/api/alerts/` | GET | Active alerts |
| `/hedge/api/alerts/active/` | GET | Recent alerts |
| `/hedge/api/alerts/monitor/` | POST | Run monitoring |
| `/hedge/api/alerts/{id}/resolve/` | POST | Resolve alert |
| `/hedge/api/actions/calculate-correlation/` | POST | Calculate correlation |
| `/hedge/api/actions/check-hedge-ratio/` | POST | Calculate hedge ratio |
| `/hedge/api/actions/get-correlation-matrix/` | POST | Get correlation matrix |

---

## Hedge Methods

### Beta Hedge (Beta对冲)
- **Principle**: Hedge based on asset Beta to target portfolio Beta
- **Formula**: hedge_ratio = target_beta / asset_beta
- **Best for**: Large cap stocks, index funds
- **Pros**: Simple, effective market risk hedge

### Minimum Variance (最小方差)
- **Principle**: Minimize portfolio variance
- **Formula**: h* = -Cov(long, hedge) / Var(hedge)
- **Best for**: Assets with good historical data
- **Pros**: Mathematically optimal, considers correlation

### Equal Risk Contribution (等风险贡献)
- **Principle**: Equal risk contribution from each asset
- **Formula**: Inverse volatility weighting
- **Best for**: Risk parity strategies, multi-asset
- **Pros**: Diversified risk, no single asset dominates

### Dollar Neutral (货币中性)
- **Principle**: Equal dollar amounts in long and short
- **Formula**: hedge_ratio = hedge_price / long_price
- **Best for**: Pairs trading, statistical arbitrage
- **Pros**: Simple, market neutral

---

## Testing

```bash
# Test SDK imports
python -c "from sdk.agomtradepro.modules import HedgeModule; print('✓ HedgeModule OK')"

# Test Django project
python manage.py check  # ✓ No issues

# Test initialization
python manage.py init_hedge  # ✓ Initializes 10 hedge pairs
```

---

## Configuration Examples

**Available Hedge Pairs:**
- 股债对冲 - 510300 vs 511260
- 成长价值对冲 - 159915 vs 512100
- 股票商品对冲 - 510300 vs 159985
- 大小盘对冲 - 510500 vs 510300
- 货币市场对冲 - 510500 vs 511880
- 股票黄金对冲 - 510300 vs 518880
- A股黄金对冲 - 159915 vs 518880
- 高波低波对冲 - 159915 vs 512100
- 中盘国债对冲 - 510500 vs 511260
- 商品货币对冲 - 159985 vs 511880

---

## Next Steps

**Phase 5: Integration & Optimization** (Final Phase)
- Unified signal system
- Backtesting all strategies
- Dashboard visualization
- Documentation completion

---

## Files Modified/Created

### Created
- `apps/hedge/infrastructure/repositories.py`
- `apps/hedge/infrastructure/adapters/__init__.py`
- `apps/hedge/infrastructure/services.py`

### Modified
- `apps/hedge/interface/views.py`
- `apps/hedge/interface/urls.py`
- `sdk/agomtradepro/modules/hedge.py`

---

## Status Summary

| Component | Status |
|-----------|--------|
| Infrastructure Layer | ✅ Complete |
| Integration Service | ✅ Complete |
| Interface Layer | ✅ Complete |
| SDK Module | ✅ Complete |
| MCP Tools | ✅ Complete (already existed) |
| Django Check | ✅ Passing |

**Phase 4: 100% Complete** ✅
