Sentinel

Always-on portfolio risk monitoring: correlation alerts, graduated drawdown response, tail risk hedging, regime-aware risk budgets.

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Sentinel

Continuous portfolio risk surveillance that runs inside hz.run() or standalone. Monitors correlations, manages drawdowns with graduated responses, detects regime changes, and suggests hedges.

Drawdown Management

4-level graduated response: alert → reduce → pause → exit.

Regime Detection

Classifies volatility regime and adjusts risk budget multiplier.

Correlation Alerts

Ledoit-Wolf shrinkage detects correlation spikes across positions.

Hedge Suggestions

Delta-based hedge recommendations from prediction Greeks.

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Standalone Report

import horizon as hz

engine = hz.Engine()
report = hz.sentinel_report(engine)
print(report.regime)          # "normal", "high_vol", "crisis", etc.
print(report.var_95)          # Cornish-Fisher VaR at 95%
print(report.risk_budget)     # Budget utilisation with regime multiplier

---

Hedge Suggestions

hedges = hz.suggest_hedges(engine, max_hedges=3, min_reduction_pct=5.0)
for h in hedges:
    print(f"{h.market_id}: {h.side} {h.size} @ {h.price} → {h.risk_reduction_pct}% reduction")

---

Pipeline Mode

hz.run(
    name="guarded-strategy",
    markets=["mkt-a", "mkt-b"],
    pipeline=[
        hz.sentinel(config=hz.SentinelConfig(
            auto_deleverage=True,
            drawdown_thresholds=[
                (-0.05, "alert"),
                (-0.10, "reduce"),
                (-0.20, "pause"),
                (-0.30, "exit"),
            ],
        )),
        model,
        quoter,
    ],
    interval=1.0,
)

Injects ctx.params["sentinel_report"] every N cycles.

---

Graduated Drawdown Response

Threshold	Action	Behaviour
-5%	alert	Log warning only
-10%	reduce	Cancel 50% of open orders (largest first)
-20%	pause	Cancel all open orders
-30%	exit	Cancel all + submit exit orders for all positions

---

Regime Detection

Portfolio volatility determines the regime and risk budget multiplier:

Regime	Volatility	Multiplier
low_vol	< 5%	1.5× (take more risk)
normal	5-15%	1.0×
high_vol	15-30%	0.5× (reduce risk)
crisis	> 30%	0.25× (minimal risk)

---

SentinelConfig

Parameter	Default	Description
drawdown_thresholds	[(-0.05,"alert"), ...]	Graduated response levels
correlation_spike_threshold	0.3	Flag when correlation jumps by this
auto_hedge	False	Automatically execute hedge suggestions
auto_deleverage	True	Automatically reduce positions on drawdown
regime_sensitivity	1.0	Scaling factor for regime thresholds
var_confidence	0.95	VaR confidence level
lookback_returns	100	Rolling window for return calculations
risk_budget_total	10000.0	Total risk budget in USDC