60 lines
1.4 KiB
Python
60 lines
1.4 KiB
Python
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"""Position sizing utilities.
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Provides various sizing methods beyond the basic risk-percentage approach.
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"""
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from __future__ import annotations
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from enum import Enum
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class SizingMethod(str, Enum):
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FIXED_RISK = "fixed_risk"
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FIXED_AMOUNT = "fixed_amount"
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KELLY = "kelly"
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def fixed_risk_size(
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balance: float,
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entry_price: float,
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stop_loss: float,
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risk_pct: float = 0.02,
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) -> float:
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"""Position size = (balance * risk%) / |entry - SL|."""
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price_risk = abs(entry_price - stop_loss)
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if price_risk == 0:
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return 0.0
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return round((balance * risk_pct) / price_risk, 8)
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def fixed_amount_size(
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amount_usd: float,
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entry_price: float,
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) -> float:
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"""Fixed USD amount converted to asset quantity."""
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if entry_price <= 0:
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return 0.0
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return round(amount_usd / entry_price, 8)
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def kelly_size(
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win_rate: float,
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avg_win: float,
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avg_loss: float,
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balance: float,
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entry_price: float,
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fraction: float = 0.5,
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) -> float:
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"""Half-Kelly sizing for conservative edge exploitation.
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Kelly% = W - (1-W)/R where R = avg_win/avg_loss
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We use fraction (default 0.5) of full Kelly for safety.
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"""
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if avg_loss == 0 or entry_price <= 0:
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return 0.0
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r = avg_win / avg_loss
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kelly_pct = win_rate - (1 - win_rate) / r
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kelly_pct = max(0.0, min(kelly_pct * fraction, 0.1)) # cap at 10%
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return round((balance * kelly_pct) / entry_price, 8)
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