Add fractional Kelly position sizing

tests/conftest.py

@@ -58,6 +58,9 @@ def make_settings():
             rebound_entry_confidence=0.58,
             rebound_min_probability=0.58,
             rebound_max_position_usdt=6.0,
+            kelly_sizing_enabled=True,
+            kelly_fraction=0.25,
+            kelly_max_fraction=0.20,
             time_series_forecast_enabled=True,
             time_series_min_candles=120,
             time_series_validation_window=30,

tests/test_strategy.py

@@ -198,6 +198,37 @@ def test_strategy_activates_grid_and_sets_position_size(make_settings, tmp_path)
     assert 1 <= signal.diagnostics["position_notional_usdt"] <= settings.grid_max_position_usdt
 
 
+def test_strategy_uses_fractional_kelly_position_size(make_settings, tmp_path) -> None:
+    settings = make_settings(tmp_path, max_position_usdt=20, kelly_fraction=0.25, kelly_max_fraction=0.20)
+    strategy = SpotStrategy(settings)
+    ticker = Ticker(
+        symbol="BTCUSDT",
+        last_price=101,
+        bid=100.99,
+        ask=101.01,
+        turnover_24h=10_000_000,
+        volume_24h=1000,
+        change_24h=1.0,
+    )
+
+    signal = strategy.entry_signal(
+        "BTCUSDT",
+        _ready_candles(),
+        ticker,
+        open_positions_for_symbol=0,
+        forecast={"usable": True, "probability_up": 0.70, "volatility_percent": 0.2},
+        account={"equity": 200.0},
+    )
+
+    sizing = signal.diagnostics["position_sizing"]
+    assert signal.action == "BUY"
+    assert sizing["method"] == "fractional_kelly"
+    assert sizing["kelly_probability_source"] == "forecast"
+    assert sizing["kelly_bankroll_usdt"] == 200.0
+    assert sizing["kelly_effective_fraction"] > 0
+    assert signal.diagnostics["position_notional_usdt"] == settings.max_position_usdt
+
+
 def test_strategy_buys_probabilistic_rebound_after_stabilized_drop(make_settings, tmp_path) -> None:
     settings = make_settings(tmp_path, rebound_entry_confidence=0.58, rebound_min_probability=0.58)
     strategy = SpotStrategy(settings)