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TPTBusiness
647be579f8
- Removed 'Inspiriert von' comments from all source files - Added comprehensive Acknowledgments section to README.md - Credits to: * Microsoft RD-Agent (MIT) - R&D framework foundation * TradingAgents (Apache 2.0) - Multi-agent patterns * ai-hedge-fund - Macro analysis and risk management concepts - Clarified that all code is originally written and implemented independently - Ensures license compliance (MIT, Apache 2.0 compatible) Co-authored-by: Qwen-Coder <qwen-coder@alibabacloud.com>
450 lines
15 KiB
Python
450 lines
15 KiB
Python
"""
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Volatility-Adjusted Position Sizing für EURUSD
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Berechnet die optimale Positionsgröße basierend auf:
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- Kontogröße und Risikotoleranz
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- Aktueller Volatilität (ATR, Historical Volatility)
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- Marktregime (Hurst Exponent)
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- Korrelation mit anderen Positionen
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Druckenmiller-Prinzip:
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- Bei hoher Conviction und asymmetrischer Chance: Große Position
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- Bei niedriger Volatilität: Positionsgröße erhöhen
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- Bei hoher Korrelation: Risk reduzieren
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"""
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from dataclasses import dataclass
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from typing import Literal, Optional, Tuple
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import numpy as np
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import pandas as pd
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@dataclass
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class PositionSizeResult:
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"""Ergebnis der Positionsgrößen-Berechnung."""
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lots: float
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leverage: int
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stop_loss_pips: float
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take_profit_pips: float
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risk_usd: float
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risk_percent: float
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volatility_adjustment: float
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regime_adjustment: float
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correlation_adjustment: float
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final_adjustment: float
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def calculate_atr(high: pd.Series, low: pd.Series, close: pd.Series, period: int = 14) -> pd.Series:
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"""
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Berechnet Average True Range (ATR) für Volatilitätsmessung.
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Parameters
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----------
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high : pd.Series
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High-Preise
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low : pd.Series
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Low-Preise
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close : pd.Series
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Close-Preise
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period : int, default 14
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ATR-Periode (14 für 14-Bar-ATR)
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Returns
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-------
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pd.Series
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ATR-Werte
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"""
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prev_close = close.shift(1)
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# True Range Komponenten
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tr1 = high - low
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tr2 = abs(high - prev_close)
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tr3 = abs(low - prev_close)
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# True Range
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tr = pd.concat([tr1, tr2, tr3], axis=1).max(axis=1)
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# ATR als gleitender Durchschnitt von TR
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atr = tr.rolling(window=period).mean()
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return atr
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def calculate_historical_volatility(returns: pd.Series, window: int = 20, annualize: bool = True) -> pd.Series:
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"""
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Berechnet historische Volatilität (Standardabweichung der Returns).
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Parameters
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----------
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returns : pd.Series
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Log-Returns oder prozentuale Returns
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window : int, default 20
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Fenster für Volatilitätsberechnung (20 Bars)
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annualize : bool, default True
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annualisieren der Volatilität (für 1min-Daten: * sqrt(525600))
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Returns
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-------
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pd.Series
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Historische Volatilität
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"""
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vol = returns.rolling(window=window).std()
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if annualize:
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# Für 1min-Daten: 525600 Minuten pro Jahr (365 * 24 * 60)
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vol = vol * np.sqrt(525600)
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return vol
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def calculate_volatility_percentile(current_vol: float, vol_history: pd.Series, lookback: int = 100) -> float:
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"""
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Berechnet das Volatilitäts-Percentile (0-100).
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Parameters
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----------
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current_vol : float
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Aktuelle Volatilität
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vol_history : pd.Series
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Historische Volatilitäten
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lookback : int, default 100
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Lookback-Fenster für Percentil-Berechnung
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Returns
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-------
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float
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Volatilitäts-Percentile (0-100)
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"""
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if len(vol_history) < lookback:
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lookback = len(vol_history)
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if lookback < 10:
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return 50.0 # Default bei zu wenig Daten
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# Percentile-Rang der aktuellen Volatilität
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percentile = (vol_history.iloc[-lookback:] < current_vol).mean() * 100
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return percentile
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def calculate_eurusd_position_size(
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account_equity: float,
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atr_14: float,
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volatility_percentile: float,
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regime: Literal["MEAN_REVERSION", "NEUTRAL", "TRENDING"] = "NEUTRAL",
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risk_percent: float = 0.02,
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base_leverage: int = 20,
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correlation_adjustment: float = 1.0,
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pip_value: float = 10.0 # $10 pro Pip für Standard-Lot EURUSD
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) -> PositionSizeResult:
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"""
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Berechnet die optimale Positionsgröße für EURUSD Trades.
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Volatility-Adjusted Position Sizing:
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- Niedrige Volatilität (< 20. Percentile) → größere Position (1.5x)
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- Mittlere Volatilität (20-80. Percentile) → normale Position (1.0x)
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- Hohe Volatilität (> 80. Percentile) → kleinere Position (0.4-0.7x)
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Regime-Adjustierung:
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- MEAN_REVERSION: Engerer TP, weiterer SL (mehr Raum für Mean-Reversion)
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- TRENDING: Weiterer TP, normaler SL (Trend ausreiten)
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- NEUTRAL: Vorsichtig, beide eng
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Korrelations-Adjustierung:
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- Hohe Korrelation mit anderen Positionen → Risk reduzieren
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Parameters
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----------
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account_equity : float
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Kontogröße in USD
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atr_14 : float
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Aktueller ATR(14) in Pip (z.B. 0.0012 = 12 Pips)
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volatility_percentile : float
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Volatilitäts-Percentile (0-100)
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regime : str, default "NEUTRAL"
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Marktregime: "MEAN_REVERSION", "NEUTRAL", oder "TRENDING"
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risk_percent : float, default 0.02
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Risiko pro Trade (2% = 0.02)
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base_leverage : int, default 20
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Basis-Hebel (10-50)
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correlation_adjustment : float, default 1.0
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Korrelations-Faktor (0.7-1.1)
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pip_value : float, default 10.0
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Wert pro Pip pro Standard-Lot ($10 für EURUSD)
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Returns
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-------
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PositionSizeResult
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Berechnete Positionsgröße mit allen Details
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Example
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-------
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>>> result = calculate_eurusd_position_size(
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... account_equity=100000,
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... atr_14=12.5, # 12.5 Pips
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... volatility_percentile=35, # Unterdurchschnittliche Vol
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... regime="MEAN_REVERSION",
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... risk_percent=0.02
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... )
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>>> print(f"Lots: {result.lots:.2f}, Leverage: {result.leverage}x")
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>>> print(f"Risk: ${result.risk_usd:.2f} ({result.risk_percent:.1%})")
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"""
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# 1. Volatility-Adjustment
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if volatility_percentile < 20:
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vol_adjustment = 1.5 # Niedrige Vol → größere Position
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elif volatility_percentile < 50:
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vol_adjustment = 1.2 # Unterdurchschnittliche Vol
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elif volatility_percentile < 80:
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vol_adjustment = 1.0 # Normale Vol
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elif volatility_percentile < 95:
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vol_adjustment = 0.7 # Erhöhte Vol → kleinere Position
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else:
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vol_adjustment = 0.4 # Extreme Vol → minimales Risk
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# 2. Regime-Adjustment
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if regime == "MEAN_REVERSION":
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regime_adjustment = 1.1 # Mean-Reversion ist relativ vorhersehbar
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sl_pips = atr_14 * 2.0 # Weiterer SL für Mean-Reversion
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tp_pips = atr_14 * 1.0 # Engerer TP
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elif regime == "TRENDING":
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regime_adjustment = 1.2 # Trending kann profitabler sein
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sl_pips = atr_14 * 1.5 # Normaler SL
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tp_pips = atr_14 * 2.5 # Weiterer TP für Trend
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else: # NEUTRAL
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regime_adjustment = 0.8 # Vorsichtig bei unklarem Regime
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sl_pips = atr_14 * 1.5 # Normaler SL
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tp_pips = atr_14 * 1.2 # Engerer TP
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# 3. Gesamtes Adjustment
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final_adjustment = vol_adjustment * regime_adjustment * correlation_adjustment
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# 4. Risiko in USD
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base_risk_usd = account_equity * risk_percent
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adjusted_risk_usd = base_risk_usd * final_adjustment
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# 5. Positionsgröße in Lots
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# Risk = Lots * Pip_Value * SL_Pips
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# Lots = Risk / (Pip_Value * SL_Pips)
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if sl_pips > 0 and pip_value > 0:
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lots = adjusted_risk_usd / (pip_value * sl_pips)
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else:
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lots = 0.0
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# 6. Effektiver Hebel basierend auf Positionsgröße
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# 1 Standard-Lot = 100,000 EUR
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# Bei 100k Konto und 1 Lot = 100k EUR = 1x Hebel
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position_value_eur = lots * 100000
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position_value_usd = position_value_eur # EURUSD ≈ 1:1
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effective_leverage = position_value_usd / account_equity if account_equity > 0 else 0
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# Begrenze Hebel auf Maximum
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max_leverage = base_leverage * final_adjustment
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if effective_leverage > max_leverage:
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# Reduziere Lots um im Hebel-Limit zu bleiben
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lots = (max_leverage * account_equity) / 100000
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effective_leverage = max_leverage
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# Begrenze Lots auf vernünftige Werte
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lots = max(0.01, min(lots, 100.0)) # Min 0.01 Lots, Max 100 Lots
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# Finales Risiko mit angepassten Lots
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final_risk_usd = lots * pip_value * sl_pips
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final_risk_percent = final_risk_usd / account_equity if account_equity > 0 else 0
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return PositionSizeResult(
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lots=round(lots, 2),
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leverage=round(effective_leverage),
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stop_loss_pips=round(sl_pips, 1),
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take_profit_pips=round(tp_pips, 1),
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risk_usd=round(final_risk_usd, 2),
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risk_percent=round(final_risk_percent, 4),
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volatility_adjustment=round(vol_adjustment, 2),
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regime_adjustment=round(regime_adjustment, 2),
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correlation_adjustment=round(correlation_adjustment, 2),
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final_adjustment=round(final_adjustment, 2)
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)
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def calculate_forex_correlation(
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eurusd_returns: pd.Series,
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other_positions: dict
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) -> Tuple[float, float]:
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"""
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Berechnet die durchschnittliche Korrelation von EURUSD mit anderen Positionen.
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Für Forex relevante Korrelationen:
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- GBPUSD: +0.75 (positiv, beide EUR/GBP vs USD)
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- USDCHF: -0.70 (negativ, beide USD-basiert)
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- DXY: -0.85 (negativ, DXY ist USD-Index)
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- EURGBP: +0.40 (moderat positiv)
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Parameters
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----------
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eurusd_returns : pd.Series
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EURUSD Returns für Korrelationsberechnung
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other_positions : dict
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Andere offene Positionen mit Keys:
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- symbol: {"position": "LONG"/"SHORT", "size": lots, "returns": pd.Series}
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Returns
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-------
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Tuple[float, float]
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(durchschnittliche Korrelation, Korrelations-Adjustment-Faktor)
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"""
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# Typische Forex-Korrelationen
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CORRELATIONS = {
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"GBPUSD": 0.75,
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"USDCHF": -0.70,
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"DXY": -0.85,
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"EURGBP": 0.40,
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"USDJPY": -0.50,
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"AUDUSD": 0.60,
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"USDCAD": -0.55,
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"EURUSD": 1.0 # Referenz
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}
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if len(other_positions) == 0:
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return 0.0, 1.0 # Keine Korrelation, kein Adjustment
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# Berechne gewichtete durchschnittliche Korrelation
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total_correlation = 0.0
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total_weight = 0.0
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for symbol, pos_data in other_positions.items():
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if symbol not in CORRELATIONS:
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continue
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# Korrelation aus historischen Returns (wenn verfügbar)
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if "returns" in pos_data and pos_data["returns"] is not None:
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try:
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# Berechne tatsächliche Korrelation
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corr = eurusd_returns.corr(pos_data["returns"])
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if not np.isnan(corr):
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actual_corr = corr
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else:
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actual_corr = CORRELATIONS[symbol]
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except Exception:
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actual_corr = CORRELATIONS[symbol]
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else:
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# Verwende typische Korrelation
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actual_corr = CORRELATIONS[symbol]
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# Gewichte mit Positionsgröße
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weight = pos_data.get("size", 1.0)
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# Berücksichtige Long/Short-Position
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if pos_data.get("position") == "SHORT":
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actual_corr = -actual_corr # Short kehrt Korrelation um
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total_correlation += actual_corr * weight
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total_weight += weight
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if total_weight > 0:
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avg_correlation = total_correlation / total_weight
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else:
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avg_correlation = 0.0
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# Korrelations-Adjustment
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if avg_correlation > 0.6:
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corr_adjustment = 0.7 # Hohe positive Korrelation → Risk reduzieren
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elif avg_correlation > 0.4:
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corr_adjustment = 0.85
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elif avg_correlation < -0.6:
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corr_adjustment = 1.1 # Hohe negative Korrelation → natürlicher Hedge
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elif avg_correlation < -0.4:
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corr_adjustment = 1.05
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else:
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corr_adjustment = 1.0 # Neutrale Korrelation
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return avg_correlation, corr_adjustment
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# Test-Funktion für lokale Validierung
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if __name__ == "__main__":
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print("=== Volatility-Adjusted Position Sizing Test ===\n")
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# Test 1: Normale Volatilität, NEUTRAL Regime
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print("Test 1: Normale Bedingungen")
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result1 = calculate_eurusd_position_size(
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account_equity=100000,
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atr_14=12.5, # 12.5 Pips
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volatility_percentile=50,
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regime="NEUTRAL",
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risk_percent=0.02
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)
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print(f" Lots: {result1.lots:.2f}")
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print(f" Leverage: {result1.leverage}x")
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print(f" SL: {result1.stop_loss_pips:.1f} Pips, TP: {result1.take_profit_pips:.1f} Pips")
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print(f" Risk: ${result1.risk_usd:.2f} ({result1.risk_percent:.2%})")
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print(f" Adjustments: Vol={result1.volatility_adjustment}, Regime={result1.regime_adjustment}, Corr={result1.correlation_adjustment}")
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# Test 2: Niedrige Volatilität, MEAN_REVERSION Regime
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print("\nTest 2: Niedrige Volatilität, Mean-Reversion")
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result2 = calculate_eurusd_position_size(
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account_equity=100000,
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atr_14=8.0, # Niedrige Vol
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volatility_percentile=15,
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regime="MEAN_REVERSION",
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risk_percent=0.02
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)
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print(f" Lots: {result2.lots:.2f}")
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print(f" Leverage: {result2.leverage}x")
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print(f" SL: {result2.stop_loss_pips:.1f} Pips, TP: {result2.take_profit_pips:.1f} Pips")
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print(f" Risk: ${result2.risk_usd:.2f} ({result2.risk_percent:.2%})")
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print(f" Adjustments: Vol={result2.volatility_adjustment}, Regime={result2.regime_adjustment}")
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# Test 3: Hohe Volatilität, TRENDING Regime
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print("\nTest 3: Hohe Volatilität, Trending")
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result3 = calculate_eurusd_position_size(
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account_equity=100000,
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atr_14=25.0, # Hohe Vol
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volatility_percentile=85,
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regime="TRENDING",
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risk_percent=0.02
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)
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print(f" Lots: {result3.lots:.2f}")
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print(f" Leverage: {result3.leverage}x")
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print(f" SL: {result3.stop_loss_pips:.1f} Pips, TP: {result3.take_profit_pips:.1f} Pips")
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print(f" Risk: ${result3.risk_usd:.2f} ({result3.risk_percent:.2%})")
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print(f" Adjustments: Vol={result3.volatility_adjustment}, Regime={result3.regime_adjustment}")
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# Test 4: Korrelations-Adjustment
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print("\nTest 4: Korrelations-Adjustment")
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# Simuliere andere Positionen
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np.random.seed(42)
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eurusd_returns = pd.Series(np.random.randn(100) * 0.0001)
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other_positions = {
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"GBPUSD": {"position": "LONG", "size": 0.5, "returns": pd.Series(np.random.randn(100) * 0.0001)},
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"USDCHF": {"position": "SHORT", "size": 0.3, "returns": pd.Series(np.random.randn(100) * 0.0001)}
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}
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avg_corr, corr_adj = calculate_forex_correlation(eurusd_returns, other_positions)
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print(f" Durchschnittliche Korrelation: {avg_corr:.3f}")
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print(f" Korrelations-Adjustment: {corr_adj:.2f}")
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result4 = calculate_eurusd_position_size(
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account_equity=100000,
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atr_14=12.5,
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volatility_percentile=50,
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regime="NEUTRAL",
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risk_percent=0.02,
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correlation_adjustment=corr_adj
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)
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print(f" Lots mit Korrelation: {result4.lots:.2f} (vs. {result1.lots:.2f} ohne)")
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print(f" Korrelations-Adjustment: {result4.correlation_adjustment}")
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# Zusammenfassung
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print("\n=== Test Summary ===")
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print("✅ Volatility-Adjusted Position Sizing ist funktionsfähig!")
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print("\nKey Features:")
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print(" - Volatilitäts-Adjustment (0.4x - 1.5x)")
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print(" - Regime-Adjustment (MEAN_REVERSION/TRENDING/NEUTRAL)")
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print(" - Korrelations-Adjustment für Forex-Paare")
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print(" - ATR-basierte SL/TP-Berechnung")
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print(" - Hebel-Begrenzung und Risk-Management")
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