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@neural-trader/risk

v2.6.0

Published

5 months ago

Neural Trader risk management and analysis

0High
0Medium
0Low

risk-management var sharpe-ratio trading neural-trader

@neural-trader/risk

Risk management and analysis for Neural Trader.

Installation

npm install @neural-trader/risk

Usage

const {
  riskAnalysis,
  calculateSharpeRatio,
  RiskManager
} = require('@neural-trader/risk');

// Analyze risk
const analysis = await riskAnalysis({
  portfolio: portfolioData,
  confidence: 0.95
});

// Calculate Sharpe ratio
const sharpe = calculateSharpeRatio(returns, riskFreeRate);

// Use risk manager
const manager = new RiskManager({
  maxDrawdown: 0.2,
  maxLeverage: 2.0
});

API

Classes

RiskManager - Comprehensive risk management

Functions

riskAnalysis() - Comprehensive risk analysis
calculateSharpeRatio() - Calculate Sharpe ratio
calculateSortinoRatio() - Calculate Sortino ratio
monteCarloSimulation() - Run Monte Carlo simulation
calculateKellyCriterion() - Calculate Kelly criterion
calculateMaxLeverage() - Calculate maximum safe leverage
calculateExpectedValue() - Calculate expected value

License

MIT OR Apache-2.0