Signal-Execution-Labs ⚠️ Risk Calculator
Know your risk before you trade. Comprehensive portfolio risk analysis including VaR, Sharpe ratio, drawdown analysis, and optimal position sizing.
Features
📊 Risk Metrics
- Value at Risk (VaR) - 95% and 99%
- Conditional VaR (CVaR / Expected Shortfall)
- Maximum Drawdown
- Sharpe Ratio
- Sortino Ratio
- Beta vs benchmark
🎯 Position Sizing
- Kelly Criterion calculation
- Fixed risk position sizing
- Volatility-adjusted sizing
- Maximum position limits
📈 Correlation Analysis
- Asset correlation matrix
- Portfolio diversification score
- Concentration risk
- Sector/chain exposure
⚡ Real-Time Monitoring
- Live risk dashboard
- Alert on threshold breach
- Stress test scenarios
- Margin utilization
Usage
# Full portfolio risk analysis
kit risk analyze
# Calculate position size for trade
kit risk size BTC/USDT --risk 2%
# Check Value at Risk
kit risk var --confidence 95
# Correlation matrix
kit risk correlation
# Stress test
kit risk stress --scenario crash
CLI Output
⚠️ K.I.T. Risk Calculator
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Portfolio Value: $45,231.50
Last Updated: Just now
📊 RISK METRICS
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Daily VaR (95%): $1,234.56 (2.73%)
Daily VaR (99%): $1,890.23 (4.18%)
Weekly VaR (95%): $2,761.89 (6.11%)
Max Drawdown (30d): -12.5%
Current Drawdown: -3.2%
Sharpe Ratio: 1.85 ✅ Excellent
Sortino Ratio: 2.31 ✅ Excellent
Beta (vs BTC): 1.12
🎯 POSITION LIMITS
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Max Single Position: $9,046 (20%)
Recommended Trade: $904 (2% risk)
Kelly Optimal: $2,261 (5%)
📈 CORRELATION MATRIX
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BTC ETH SOL
BTC 1.00 0.85 0.72
ETH 0.85 1.00 0.68
SOL 0.72 0.68 1.00
Diversification Score: 65/100 ⚠️
Suggestion: Add uncorrelated assets
⚡ STRESS SCENARIOS
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-10% Market Crash: -$4,789 (-10.6%)
-30% Bear Market: -$15,234 (-33.7%)
2020 COVID Crash: -$22,851 (-50.5%)
Configuration
# TOOLS.md
risk_calculator:
# Risk limits
max_portfolio_var: 0.05 # 5% max daily VaR
max_position_size: 0.20 # 20% max single position
max_correlation: 0.85 # Alert if assets >85% correlated
min_sharpe: 0.5 # Alert if Sharpe drops below
# Position sizing
default_risk_per_trade: 0.02 # 2% risk per trade
kelly_fraction: 0.25 # Use 1/4 Kelly (safer)
# Alerts
alerts:
drawdown_warning: 0.10 # Warn at 10% drawdown
drawdown_critical: 0.20 # Critical at 20%
var_breach: true
# Historical data period
lookback_days: 90
API
from risk_calculator import RiskCalculator
calc = RiskCalculator()
# Portfolio risk analysis
risk = await calc.analyze_portfolio(portfolio)
print(f"Daily VaR (95%): ${risk.var_95:,.2f}")
print(f"Sharpe Ratio: {risk.sharpe:.2f}")
print(f"Max Drawdown: {risk.max_drawdown:.1%}")
# Position sizing
size = calc.calculate_position_size(
portfolio_value=50000,
risk_per_trade=0.02, # 2%
entry_price=50000,
stop_loss=48000
)
print(f"Position size: {size.quantity} BTC (${size.value:,.0f})")
# Correlation matrix
corr = await calc.correlation_matrix(assets=["BTC", "ETH", "SOL"])
print(corr)
# Stress test
scenarios = await calc.stress_test(portfolio)
for s in scenarios:
print(f"{s.name}: {s.impact:+.1%}")
Risk Formulas
Value at Risk (VaR)
VaR = Portfolio Value × Z-score × σ × √t
Where:
- Z-score: 1.645 for 95%, 2.326 for 99%
- σ: Portfolio volatility
- t: Time period (days)
Sharpe Ratio
Sharpe = (Rp - Rf) / σp
Where:
- Rp: Portfolio return
- Rf: Risk-free rate
- σp: Portfolio standard deviation
Kelly Criterion
f* = (p × b - q) / b
Where:
- p: Probability of winning
- q: Probability of losing (1 - p)
- b: Win/loss ratio
Conservative: Use f*/4 to f*/2
Maximum Drawdown
MDD = (Peak - Trough) / Peak × 100%
Dependencies
- numpy>=1.24.0
- pandas>=2.0.0
- scipy>=1.10.0