Andrew Kaszubski
|
a17fc1f029
|
feat(agents): add Position Sizing Manager with Kelly and risk parity - Fixes #16
Implements Position Sizing Manager for optimal position sizing calculations.
The manager supports multiple sizing methodologies to accommodate different
trading styles and risk tolerances.
Sizing Methods:
- Kelly Criterion (full, half, quarter) for edge-based optimal sizing
- ATR-based sizing for volatility-adjusted position sizing
- Risk Parity allocation for balanced portfolio risk
- Volatility targeting for consistent risk contribution
- Fixed fractional for controlled percentage risk
Key Features:
- Multiple sizing method comparison for best fit selection
- Risk level presets (conservative, moderate, aggressive)
- Position constraints and drawdown limits
- Stop loss level recommendations based on ATR
- Win/loss ratio analysis for Kelly calculations
Tools:
- calculate_kelly_position_size: Edge-based optimal sizing
- calculate_atr_position_size: Volatility-adjusted position sizing
- calculate_risk_parity_allocation: Multi-asset balanced risk allocation
- calculate_volatility_target_size: Target volatility-based sizing
- get_position_sizing_recommendation: Comprehensive multi-method comparison
Enums:
- SizingMethod: 8 different sizing approaches
- RiskLevel: Conservative, moderate, aggressive presets
Tests: 52 unit tests covering Kelly calculations, ATR sizing, risk parity
weights, volatility targeting, constraints, and integration workflows.
🤖 Generated with [Claude Code](https://claude.com/claude-code)
Co-Authored-By: Claude Opus 4.5 <noreply@anthropic.com>
|
2025-12-26 17:39:20 +11:00 |