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Use Kelly allocation for Torch position scaling

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Codex
2026-06-26 20:20:23 +03:00
parent 87cb7e8fe3
commit 61a063cda7
12 changed files with 239 additions and 62 deletions
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.env.example
+6 -6
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@@ -33,11 +33,11 @@ LEARNING_MIN_SAMPLES=3
LEARNING_MAX_ADJUSTMENT=0.12
LEARNING_MAX_POSITION_MULTIPLIER=1.6
MIN_POSITION_USDT=1
MAX_POSITION_USDT=25
MAX_POSITION_USDT=8
MAX_SYMBOL_EXPOSURE_USDT=25
MAX_TOTAL_EXPOSURE_USDT=75
MAX_OPEN_POSITIONS=4
MAX_POSITIONS_PER_SYMBOL=1
MAX_OPEN_POSITIONS=24
MAX_POSITIONS_PER_SYMBOL=6
GRID_TRADING_ENABLED=false
GRID_ENTRY_CONFIDENCE=0.58
GRID_BUY_ZONE=0.45
@@ -46,7 +46,7 @@ REBOUND_TRADING_ENABLED=true
REBOUND_ENTRY_CONFIDENCE=0.55
REBOUND_MIN_PROBABILITY=0.55
REBOUND_MAX_POSITION_USDT=6
KELLY_SIZING_ENABLED=false
KELLY_SIZING_ENABLED=true
KELLY_FRACTION=0.25
KELLY_MAX_FRACTION=0.20
RISK_PER_TRADE_PERCENT=0.01
@@ -61,8 +61,8 @@ TREND_RSI_MAX=65
TIME_SERIES_FORECAST_ENABLED=true
TIME_SERIES_MIN_CANDLES=120
TIME_SERIES_FORECAST_HORIZON=3
TIME_SERIES_MIN_EDGE_PERCENT=0.08
TIME_SERIES_MIN_PROBABILITY_UP=0.58
TIME_SERIES_MIN_EDGE_PERCENT=0.10
TIME_SERIES_MIN_PROBABILITY_UP=0.47
TIME_SERIES_MIN_CONFIDENCE=0.4
TIME_SERIES_MAX_ADJUSTMENT=0.08
TIME_SERIES_LSTM_ENABLED=true