added more functions

libs/utils/src/calculations/position-sizing.ts

@@ -452,3 +452,73 @@ export function validatePositionSize(
     violations
   };
 }
+
+/**
+ * Optimal F position sizing (Ralph Vince's method)
+ */
+export function optimalFPositionSize(
+  accountSize: number,
+  historicalReturns: number[],
+  maxIterations: number = 100
+): number {
+  if (historicalReturns.length === 0 || accountSize <= 0) return 0;
+  
+  // Convert returns to P&L per unit
+  const pnlValues = historicalReturns.map(ret => ret * 1000); // Assuming $1000 per unit
+  
+  let bestF = 0;
+  let bestTWR = 0; // Terminal Wealth Relative
+  
+  // Test different f values (0.01 to 1.00)
+  for (let f = 0.01; f <= 1.0; f += 0.01) {
+    let twr = 1.0;
+    let valid = true;
+    
+    for (const pnl of pnlValues) {
+      const hpr = 1 + (f * pnl / 1000); // Holding Period Return
+      
+      if (hpr <= 0) {
+        valid = false;
+        break;
+      }
+      
+      twr *= hpr;
+    }
+    
+    if (valid && twr > bestTWR) {
+      bestTWR = twr;
+      bestF = f;
+    }
+  }
+  
+  // Apply safety factor
+  const safeF = bestF * 0.75; // 75% of optimal f for safety
+  
+  return accountSize * safeF;
+}
+
+/**
+ * Secure F position sizing (safer version of Optimal F)
+ */
+export function secureFPositionSize(
+  accountSize: number,
+  historicalReturns: number[],
+  confidenceLevel: number = 0.95
+): number {
+  if (historicalReturns.length === 0 || accountSize <= 0) return 0;
+  
+  // Sort returns to find worst-case scenarios
+  const sortedReturns = [...historicalReturns].sort((a, b) => a - b);
+  const worstCaseIndex = Math.floor((1 - confidenceLevel) * sortedReturns.length);
+  const worstCaseReturn = sortedReturns[worstCaseIndex];
+  
+  // Calculate maximum position size that won't bankrupt at confidence level
+  const maxLoss = Math.abs(worstCaseReturn);
+  const maxRiskPercentage = 0.02; // Never risk more than 2% on worst case
+  
+  if (maxLoss === 0) return accountSize * 0.1; // Default to 10% if no historical losses
+  
+  const secureF = Math.min(maxRiskPercentage / maxLoss, 0.25); // Cap at 25%
+  
+  return accountSize * secureF;
+}