money

Documentation

Overview

Package money provides money management and position sizing

Index

• Constants
• type FixedSizer
  • func NewFixedSizer(capital decimal.Decimal) *FixedSizer
  • func (s *FixedSizer) Size(price, capital, risk decimal.Decimal) decimal.Decimal
• type SafeFSizer
  • func NewSafeFSizer(initialCapital decimal.Decimal, f, scaleF float64) *SafeFSizer
  • func (s *SafeFSizer) Size(price, capital, risk decimal.Decimal) decimal.Decimal
• type Sizer

Constants

const DefaultStepSize = 0.01

DefaultStepSize is the default step size (rounding) for position sizes.

Types

type FixedSizer

type FixedSizer struct {
	FixedCapital decimal.Decimal
	StepSize     float64
}

FixedSizer is a fixed position sizing strategy. Size is fixed capital divided by price (rounded to StepSize).

func NewFixedSizer

func NewFixedSizer(capital decimal.Decimal) *FixedSizer

NewFixedSizer returns a new FixedSizer with the given fixed capital and a default step size.

func (*FixedSizer) Size

func (s *FixedSizer) Size(price, capital, risk decimal.Decimal) decimal.Decimal

Size returns the fixed capital divided by price (rounded to StepSize). Returns 0 if size is NaN/Inf.

type SafeFSizer

type SafeFSizer struct {
	InitialCapital decimal.Decimal
	F              float64
	ScaleF         float64
	StepSize       float64
}

SafeFSizer is a Sizer that uses a fixed fraction method (e.g. Kelly / OptimalF) with a safety margin.

func NewSafeFSizer

func NewSafeFSizer(initialCapital decimal.Decimal, f, scaleF float64) *SafeFSizer

NewSafeFSizer returns a new SafeFSizer with the given initial capital, fixed fraction, scale factor, and step size.

func (*SafeFSizer) Size

func (s *SafeFSizer) Size(price, capital, risk decimal.Decimal) decimal.Decimal

Size moderates a fixed fraction position size by:

- scaling f using the ScaleF fraction (typically 0.5)

- only using the square root of the profits as trading capital.

type Sizer

type Sizer interface {
	Size(price, capital, risk decimal.Decimal) decimal.Decimal
}

Sizer is the interface for position sizing.