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26 changed files with 532 additions and 186 deletions
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@ -31,8 +31,12 @@ export function fixedRiskPositionSize(params: PositionSizeParams): number {
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const { accountSize, riskPercentage, entryPrice, stopLoss, leverage = 1 } = params;
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// Input validation
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if (accountSize <= 0 || riskPercentage <= 0 || entryPrice <= 0 || leverage <= 0) {return 0;}
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if (entryPrice === stopLoss) {return 0;}
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if (accountSize <= 0 || riskPercentage <= 0 || entryPrice <= 0 || leverage <= 0) {
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return 0;
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}
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if (entryPrice === stopLoss) {
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return 0;
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}
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const riskAmount = accountSize * (riskPercentage / 100);
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const riskPerShare = Math.abs(entryPrice - stopLoss);
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@ -48,7 +52,9 @@ export function kellyPositionSize(params: KellyParams, accountSize: number): num
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const { winRate, averageWin, averageLoss } = params;
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// Validate inputs
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if (averageLoss === 0 || winRate <= 0 || winRate >= 1 || averageWin <= 0) {return 0;}
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if (averageLoss === 0 || winRate <= 0 || winRate >= 1 || averageWin <= 0) {
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return 0;
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}
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const lossRate = 1 - winRate;
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const winLossRatio = averageWin / Math.abs(averageLoss);
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@ -72,7 +78,9 @@ export function fractionalKellyPositionSize(
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fraction: number = 0.25
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): number {
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// Input validation
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if (fraction <= 0 || fraction > 1) {return 0;}
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if (fraction <= 0 || fraction > 1) {
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return 0;
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}
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const fullKelly = kellyPositionSize(params, accountSize);
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return fullKelly * fraction;
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@ -88,7 +96,9 @@ export function volatilityTargetPositionSize(
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const { price, volatility, targetVolatility } = params;
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// Input validation
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if (volatility <= 0 || price <= 0 || targetVolatility <= 0 || accountSize <= 0) {return 0;}
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if (volatility <= 0 || price <= 0 || targetVolatility <= 0 || accountSize <= 0) {
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return 0;
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}
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const volatilityRatio = targetVolatility / volatility;
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const basePositionValue = accountSize * Math.min(volatilityRatio, 2); // Cap at 2x leverage
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@ -105,7 +115,9 @@ export function equalWeightPositionSize(
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price: number
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): number {
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// Input validation
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if (numberOfPositions <= 0 || price <= 0 || accountSize <= 0) {return 0;}
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if (numberOfPositions <= 0 || price <= 0 || accountSize <= 0) {
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return 0;
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}
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const positionValue = accountSize / numberOfPositions;
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return Math.floor(positionValue / price);
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@ -121,7 +133,9 @@ export function atrBasedPositionSize(
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atrMultiplier: number = 2,
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price: number
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): number {
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if (atrValue === 0 || price === 0) {return 0;}
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if (atrValue === 0 || price === 0) {
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return 0;
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}
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const riskAmount = accountSize * (riskPercentage / 100);
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const stopDistance = atrValue * atrMultiplier;
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@ -142,12 +156,15 @@ export function expectancyPositionSize(
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maxRiskPercentage: number = 2
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): number {
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// Input validation
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if (accountSize <= 0 || winRate <= 0 || winRate >= 1 || averageWin <= 0 || averageLoss === 0)
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{return 0;}
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if (accountSize <= 0 || winRate <= 0 || winRate >= 1 || averageWin <= 0 || averageLoss === 0) {
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return 0;
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}
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const expectancy = winRate * averageWin - (1 - winRate) * Math.abs(averageLoss);
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if (expectancy <= 0) {return 0;}
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if (expectancy <= 0) {
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return 0;
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}
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// Scale position size based on expectancy relative to average loss
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// Higher expectancy relative to risk allows for larger position
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@ -167,7 +184,9 @@ export function monteCarloPositionSize(
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simulations: number = 1000,
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confidenceLevel: number = 0.95
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): number {
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if (historicalReturns.length === 0) {return 0;}
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if (historicalReturns.length === 0) {
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return 0;
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}
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const outcomes: number[] = [];
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const mean = historicalReturns.reduce((sum, ret) => sum + ret, 0) / historicalReturns.length;
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@ -229,8 +248,9 @@ export function sharpeOptimizedPositionSize(
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maxLeverage: number = 3
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): number {
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// Input validation
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if (volatility <= 0 || accountSize <= 0 || expectedReturn <= riskFreeRate || maxLeverage <= 0)
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{return 0;}
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if (volatility <= 0 || accountSize <= 0 || expectedReturn <= riskFreeRate || maxLeverage <= 0) {
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return 0;
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}
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// Kelly criterion with Sharpe ratio optimization
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const excessReturn = expectedReturn - riskFreeRate;
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const kellyFraction = excessReturn / (volatility * volatility);
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@ -251,7 +271,9 @@ export function fixedFractionalPositionSize(
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price: number
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): number {
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// Input validation
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if (stopLossPercentage <= 0 || price <= 0 || riskPercentage <= 0 || accountSize <= 0) {return 0;}
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if (stopLossPercentage <= 0 || price <= 0 || riskPercentage <= 0 || accountSize <= 0) {
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return 0;
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}
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const riskAmount = accountSize * (riskPercentage / 100);
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const stopLossAmount = price * (stopLossPercentage / 100);
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@ -269,7 +291,9 @@ export function volatilityAdjustedPositionSize(
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price: number
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): number {
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// Input validation
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if (assetVolatility <= 0 || price <= 0 || targetVolatility <= 0 || accountSize <= 0) {return 0;}
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if (assetVolatility <= 0 || price <= 0 || targetVolatility <= 0 || accountSize <= 0) {
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return 0;
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}
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const volatilityRatio = targetVolatility / assetVolatility;
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const cappedRatio = Math.min(volatilityRatio, 3); // Cap at 3x leverage
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@ -286,7 +310,9 @@ export function correlationAdjustedPositionSize(
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existingPositions: Array<{ size: number; correlation: number }>,
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maxCorrelationRisk: number = 0.3
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): number {
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if (existingPositions.length === 0 || basePositionSize <= 0) {return basePositionSize;}
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if (existingPositions.length === 0 || basePositionSize <= 0) {
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return basePositionSize;
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}
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// Calculate portfolio correlation risk
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// This should consider the correlation between the new position and existing ones
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@ -310,7 +336,9 @@ export function calculatePortfolioHeat(
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accountSize: number
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): number {
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// Input validation
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if (accountSize <= 0 || positions.length === 0) {return 0;}
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if (accountSize <= 0 || positions.length === 0) {
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return 0;
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}
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const totalRisk = positions.reduce((sum, position) => {
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// Ensure risk values are positive
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@ -331,8 +359,12 @@ export function dynamicPositionSize(
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maxDrawdownThreshold: number = 0.1
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): number {
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// Input validation
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if (basePositionSize <= 0 || marketVolatility <= 0 || normalVolatility <= 0) {return 0;}
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if (drawdownLevel < 0 || maxDrawdownThreshold <= 0) {return basePositionSize;}
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if (basePositionSize <= 0 || marketVolatility <= 0 || normalVolatility <= 0) {
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return 0;
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}
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if (drawdownLevel < 0 || maxDrawdownThreshold <= 0) {
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return basePositionSize;
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}
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// Volatility adjustment - reduce size when volatility is high
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const volatilityAdjustment = Math.min(normalVolatility / marketVolatility, 2); // Cap at 2x
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@ -354,7 +386,9 @@ export function liquidityConstrainedPositionSize(
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maxVolumePercentage: number = 0.05,
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price: number
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): number {
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if (averageDailyVolume === 0 || price === 0) {return 0;}
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if (averageDailyVolume === 0 || price === 0) {
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return 0;
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}
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const maxShares = averageDailyVolume * maxVolumePercentage;
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@ -372,7 +406,9 @@ export function multiTimeframePositionSize(
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baseRiskPercentage: number = 1
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): number {
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// Input validation
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if (accountSize <= 0 || baseRiskPercentage <= 0) {return 0;}
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if (accountSize <= 0 || baseRiskPercentage <= 0) {
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return 0;
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}
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// Clamp signals to valid range
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const clampedShort = Math.max(-1, Math.min(1, shortTermSignal));
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@ -396,18 +432,26 @@ export function riskParityPositionSize(
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targetRisk: number,
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accountSize: number
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): number[] {
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if (assets.length === 0) {return [];}
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if (assets.length === 0) {
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return [];
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}
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// Calculate inverse volatility weights
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const totalInverseVol = assets.reduce((sum, asset) => {
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if (asset.volatility === 0) {return sum;}
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if (asset.volatility === 0) {
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return sum;
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}
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return sum + 1 / asset.volatility;
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}, 0);
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if (totalInverseVol === 0) {return assets.map(() => 0);}
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if (totalInverseVol === 0) {
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return assets.map(() => 0);
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}
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return assets.map(asset => {
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if (asset.volatility === 0 || asset.price === 0) {return 0;}
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if (asset.volatility === 0 || asset.price === 0) {
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return 0;
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}
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// Calculate weight based on inverse volatility
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const weight = 1 / asset.volatility / totalInverseVol;
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@ -468,7 +512,9 @@ export function optimalFPositionSize(
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historicalReturns: number[],
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maxIterations: number = 100
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): number {
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if (historicalReturns.length === 0 || accountSize <= 0) {return 0;}
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if (historicalReturns.length === 0 || accountSize <= 0) {
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return 0;
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}
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// Convert returns to P&L per unit
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const pnlValues = historicalReturns.map(ret => ret * 1000); // Assuming $1000 per unit
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@ -512,7 +558,9 @@ export function secureFPositionSize(
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historicalReturns: number[],
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confidenceLevel: number = 0.95
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): number {
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if (historicalReturns.length === 0 || accountSize <= 0) {return 0;}
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if (historicalReturns.length === 0 || accountSize <= 0) {
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return 0;
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}
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// Sort returns to find worst-case scenarios
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const sortedReturns = [...historicalReturns].sort((a, b) => a - b);
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@ -523,7 +571,9 @@ export function secureFPositionSize(
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const maxLoss = Math.abs(worstCaseReturn);
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const maxRiskPercentage = 0.02; // Never risk more than 2% on worst case
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if (maxLoss === 0) {return accountSize * 0.1;} // Default to 10% if no historical losses
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if (maxLoss === 0) {
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return accountSize * 0.1;
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} // Default to 10% if no historical losses
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const secureF = Math.min(maxRiskPercentage / maxLoss, 0.25); // Cap at 25%
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