deploy: 2026-03-20 07:49

risk/position_sizing.py

@@ -0,0 +1,59 @@
+"""Position sizing utilities.
+
+Provides various sizing methods beyond the basic risk-percentage approach.
+"""
+
+from __future__ import annotations
+
+from enum import Enum
+
+
+class SizingMethod(str, Enum):
+    FIXED_RISK = "fixed_risk"
+    FIXED_AMOUNT = "fixed_amount"
+    KELLY = "kelly"
+
+
+def fixed_risk_size(
+    balance: float,
+    entry_price: float,
+    stop_loss: float,
+    risk_pct: float = 0.02,
+) -> float:
+    """Position size = (balance * risk%) / |entry - SL|."""
+    price_risk = abs(entry_price - stop_loss)
+    if price_risk == 0:
+        return 0.0
+    return round((balance * risk_pct) / price_risk, 8)
+
+
+def fixed_amount_size(
+    amount_usd: float,
+    entry_price: float,
+) -> float:
+    """Fixed USD amount converted to asset quantity."""
+    if entry_price <= 0:
+        return 0.0
+    return round(amount_usd / entry_price, 8)
+
+
+def kelly_size(
+    win_rate: float,
+    avg_win: float,
+    avg_loss: float,
+    balance: float,
+    entry_price: float,
+    fraction: float = 0.5,
+) -> float:
+    """Half-Kelly sizing for conservative edge exploitation.
+
+    Kelly% = W - (1-W)/R  where R = avg_win/avg_loss
+    We use fraction (default 0.5) of full Kelly for safety.
+    """
+    if avg_loss == 0 or entry_price <= 0:
+        return 0.0
+
+    r = avg_win / avg_loss
+    kelly_pct = win_rate - (1 - win_rate) / r
+    kelly_pct = max(0.0, min(kelly_pct * fraction, 0.1))  # cap at 10%
+    return round((balance * kelly_pct) / entry_price, 8)