12d235a1f1
Phase 1: - Real-time signal alerts (Discord/Telegram webhook) - Trading journal with entry/exit tracking - Position sizing calculator (Fixed/Kelly/ATR) Phase 2: - Pension asset allocation (DC/IRP 70% risk limit) - Drawdown monitoring with SVG gauge - Benchmark dashboard (portfolio vs KOSPI vs deposit) Phase 3: - Tax benefit simulation (Korean pension tax rules) - Correlation matrix heatmap - Parameter optimizer with grid search + overfit detection
84 lines
2.8 KiB
Python
84 lines
2.8 KiB
Python
"""
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Position sizing API endpoints.
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"""
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from fastapi import APIRouter, HTTPException
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from app.api.deps import CurrentUser
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from app.schemas.position_sizing import (
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SizingMethod,
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PositionSizeRequest,
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PositionSizeResponse,
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MethodInfo,
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MethodsResponse,
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)
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from app.services.position_sizing import fixed_ratio, kelly_criterion, atr_based
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router = APIRouter(prefix="/api/position-sizing", tags=["position-sizing"])
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METHODS = [
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MethodInfo(
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name="fixed",
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label="균등 분배 (Fixed Ratio)",
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description="자본금을 종목 수로 균등 분배. 현금 비중 설정 가능. quant.md 기본 방식.",
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),
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MethodInfo(
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name="kelly",
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label="켈리 기준 (Kelly Criterion)",
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description="승률과 손익비를 기반으로 최적 베팅 비율 계산. 보수적 1/4 켈리 기본.",
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),
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MethodInfo(
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name="atr",
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label="ATR 변동성 (ATR-Based)",
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description="ATR(평균 진폭)을 이용한 변동성 기반 포지션 사이징.",
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),
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]
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@router.post("/calculate", response_model=PositionSizeResponse)
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async def calculate_position_size(
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request: PositionSizeRequest,
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current_user: CurrentUser,
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):
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"""Calculate position size based on selected method."""
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try:
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if request.method == SizingMethod.FIXED:
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result = fixed_ratio(
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capital=request.capital,
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num_positions=request.num_positions,
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cash_ratio=request.cash_ratio,
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)
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elif request.method == SizingMethod.KELLY:
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if not all([request.win_rate, request.avg_win, request.avg_loss]):
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raise HTTPException(
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status_code=422,
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detail="Kelly method requires win_rate, avg_win, avg_loss",
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)
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result = kelly_criterion(
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win_rate=request.win_rate,
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avg_win=request.avg_win,
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avg_loss=request.avg_loss,
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)
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elif request.method == SizingMethod.ATR:
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if not request.atr:
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raise HTTPException(
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status_code=422,
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detail="ATR method requires atr value",
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)
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result = atr_based(
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capital=request.capital,
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atr=request.atr,
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risk_pct=request.risk_pct,
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)
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else:
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raise HTTPException(status_code=422, detail=f"Unknown method: {request.method}")
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except ValueError as e:
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raise HTTPException(status_code=422, detail=str(e))
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return PositionSizeResponse(**result)
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@router.get("/methods", response_model=MethodsResponse)
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async def get_methods(current_user: CurrentUser):
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"""List supported position sizing methods."""
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return MethodsResponse(methods=METHODS)
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