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Add fractional Kelly position sizing

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Codex
2026-06-20 22:22:19 +03:00
parent ccf457481b
commit 7bbb721da1
8 changed files with 147 additions and 21 deletions
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crypto_spot_bot/config.py
+6
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@@ -92,6 +92,9 @@ class Settings:
rebound_entry_confidence: float
rebound_min_probability: float
rebound_max_position_usdt: float
kelly_sizing_enabled: bool
kelly_fraction: float
kelly_max_fraction: float
time_series_forecast_enabled: bool
time_series_min_candles: int
time_series_validation_window: int
@@ -212,6 +215,9 @@ def load_settings(env_file: str | Path | None = None) -> Settings:
rebound_entry_confidence=_float_env("REBOUND_ENTRY_CONFIDENCE", 0.58),
rebound_min_probability=_float_env("REBOUND_MIN_PROBABILITY", 0.58),
rebound_max_position_usdt=_float_env("REBOUND_MAX_POSITION_USDT", 6.0),
kelly_sizing_enabled=_bool_env("KELLY_SIZING_ENABLED", True),
kelly_fraction=_float_env("KELLY_FRACTION", 0.25),
kelly_max_fraction=_float_env("KELLY_MAX_FRACTION", 0.20),
time_series_forecast_enabled=_bool_env("TIME_SERIES_FORECAST_ENABLED", True),
time_series_min_candles=_int_env("TIME_SERIES_MIN_CANDLES", 120),
time_series_validation_window=_int_env("TIME_SERIES_VALIDATION_WINDOW", 30),