feat: Initialize PolyWeather project structure including modules for data collection, analysis, strategy, trading, utilities, configuration, and a Streamlit dashboard.

2026-02-05 19:52:02 +08:00
commit 9617425c6e
33 changed files with 3928 additions and 0 deletions
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+from loguru import logger
+
+class PositionManager:
+    """
+    仓位管理 - Kelly公式动态仓位计算
+    """
+    
+    def __init__(self, config=None):
+        self.config = config or {}
+        self.max_position_ratio = self.config.get("max_position_ratio", 0.25)  # 最大单笔25%
+        self.max_total_exposure = self.config.get("max_total_exposure", 0.80)  # 最大总仓位80%
+        self.min_trade_size = self.config.get("min_trade_size", 10)  # 最小交易额$10
+        logger.info("Initializing Position Manager...")
+
+    def kelly_criterion(self, win_prob: float, odds: float) -> float:
+        """
+        Kelly公式计算最优投资比例
+        
+        f = (bp - q) / b
+        f: 应投资的资金比例
+        b: 赔率 (盈利/亏损)
+        p: 胜率
+        q: 败率 (1-p)
+        
+        Args:
+            win_prob: 预测胜率 (0-1)
+            odds: 赔率
+            
+        Returns:
+            float: 建议投资比例 (0-1)
+        """
+        if win_prob <= 0 or win_prob >= 1 or odds <= 0:
+            return 0.0
+        
+        q = 1 - win_prob
+        f = (win_prob * odds - q) / odds
+        
+        # 限制最大仓位
+        f = max(0, min(f, self.max_position_ratio))
+        
+        logger.debug(f"Kelly ratio: {f:.4f} (win_prob={win_prob:.2f}, odds={odds:.2f})")
+        return f
+
+    def calculate_position_size(self, 
+                                total_capital: float,
+                                win_prob: float,
+                                market_price: float,
+                                current_exposure: float = 0) -> dict:
+        """
+        计算建议仓位大小
+        
+        Args:
+            total_capital: 总资金
+            win_prob: 模型预测胜率
+            market_price: 当前市场价格 (0-1)
+            current_exposure: 当前已有仓位占比
+            
+        Returns:
+            dict: 包含建议仓位大小和相关信息
+        """
+        # 计算赔率
+        if market_price <= 0 or market_price >= 1:
+            return {"size": 0, "error": "Invalid market price"}
+        
+        odds = (1 - market_price) / market_price
+        
+        # Kelly计算
+        kelly_ratio = self.kelly_criterion(win_prob, odds)
+        
+        # 检查总仓位限制
+        available_ratio = self.max_total_exposure - current_exposure
+        if available_ratio <= 0:
+            return {
+                "size": 0,
+                "kelly_ratio": kelly_ratio,
+                "reason": "Max exposure reached"
+            }
+        
+        # 实际使用比例
+        actual_ratio = min(kelly_ratio, available_ratio)
+        
+        # 计算金额
+        position_size = total_capital * actual_ratio
+        
+        # 检查最小交易额
+        if position_size < self.min_trade_size:
+            return {
+                "size": 0,
+                "kelly_ratio": kelly_ratio,
+                "reason": f"Below minimum trade size (${self.min_trade_size})"
+            }
+        
+        return {
+            "size": position_size,
+            "kelly_ratio": kelly_ratio,
+            "actual_ratio": actual_ratio,
+            "odds": odds,
+            "expected_return": (win_prob * odds - (1 - win_prob)) * position_size
+        }
+
+    def should_exit(self, 
+                    entry_price: float,
+                    current_price: float,
+                    current_prediction: float,
+                    stop_loss: float = 0.15,
+                    take_profit: float = 0.30) -> dict:
+        """
+        判断是否应该平仓
+        
+        Args:
+            entry_price: 入场价格
+            current_price: 当前价格
+            current_prediction: 当前模型预测
+            stop_loss: 止损比例
+            take_profit: 止盈比例
+            
+        Returns:
+            dict: 退出建议
+        """
+        if entry_price <= 0:
+            return {"should_exit": False}
+        
+        pnl_ratio = (current_price - entry_price) / entry_price
+        
+        # 止损
+        if pnl_ratio < -stop_loss:
+            return {
+                "should_exit": True,
+                "reason": "STOP_LOSS",
+                "pnl_ratio": pnl_ratio
+            }
+        
+        # 止盈
+        if pnl_ratio > take_profit:
+            return {
+                "should_exit": True,
+                "reason": "TAKE_PROFIT",
+                "pnl_ratio": pnl_ratio
+            }
+        
+        # 模型预测反转
+        if current_prediction < 0.4:  # 预测胜率下降
+            return {
+                "should_exit": True,
+                "reason": "PREDICTION_REVERSAL",
+                "pnl_ratio": pnl_ratio,
+                "current_prediction": current_prediction
+            }
+        
+        return {
+            "should_exit": False,
+            "pnl_ratio": pnl_ratio
+        }