Neural Trader risk management and analysis
npm install @neural-trader/riskRisk management and analysis for Neural Trader.
``bash`
npm install @neural-trader/risk
`javascript
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
});
`
- RiskManager - Comprehensive risk management
- riskAnalysis() - Comprehensive risk analysiscalculateSharpeRatio()
- - Calculate Sharpe ratiocalculateSortinoRatio()
- - Calculate Sortino ratiomonteCarloSimulation()
- - Run Monte Carlo simulationcalculateKellyCriterion()
- - Calculate Kelly criterioncalculateMaxLeverage()
- - Calculate maximum safe leveragecalculateExpectedValue()` - Calculate expected value
-
MIT OR Apache-2.0