⚠️ 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
━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━
Portfolio Value: $45,231.50
Last Updated: Just now

📊 RISK METRICS
━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━
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
━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━
Max Single Position: $9,046 (20%)
Recommended Trade:   $904 (2% risk)
Kelly Optimal:       $2,261 (5%)

📈 CORRELATION MATRIX
━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━
       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
━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━
-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