Documentation
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Overview ¶
Package risk offers an API to evaluate trade risk. Used in conjunction with the money package to size positions.
Index ¶
Constants ¶
This section is empty.
Variables ¶
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Functions ¶
This section is empty.
Types ¶
type FullRisker ¶
type FullRisker struct {
// contains filtered or unexported fields
}
FullRisker assumes that the current price is the maximum downside risk. This is equivalent to assumming a position size of 1 and no stopp loss.
func (*FullRisker) ReceivePrice ¶
ReceivePrice updates the FullRisker with the next price.
func (*FullRisker) Risk ¶
func (r *FullRisker) Risk() decimal.Decimal
Risk returns a unitary measure of risk based on the current price. Will always be the current price.
func (*FullRisker) Valid ¶
func (r *FullRisker) Valid() bool
Valid returns true if the risker has enough data to be calculated. Will always return true.
type Risker ¶
type Risker interface {
// ReceivePrice updates the risker with the next price.
market.Receiver
// Risk returns a unitary measure of risk based on the current price.
Risk() decimal.Decimal
// Valid returns true if the risker has enough data to be calculated.
Valid() bool
}
Risker is an interface that defines the methods needed to evaluate trade risk.
type SDRisker ¶
SDRisker is a Risker that uses the standard deviation of a moving window.
func NewSDRisker ¶
NewSDRisker returns a new SDRisker.
func (*SDRisker) ReceivePrice ¶
ReceivePrice updates the SDRisker with the next price.
Source Files