sigma-terminal 2.0.1__py3-none-any.whl → 3.2.0__py3-none-any.whl

sigma/portfolio.py

@@ -0,0 +1,697 @@
+"""Portfolio construction - Optimization, risk engines, position sizing."""
+
+import numpy as np
+import pandas as pd
+from typing import Any, Dict, List, Optional, Tuple
+from enum import Enum
+from pydantic import BaseModel, Field
+
+from scipy.optimize import minimize
+from scipy import stats
+
+
+# ============================================================================
+# DATA MODELS
+# ============================================================================
+
+class OptimizationMethod(str, Enum):
+    """Portfolio optimization methods."""
+    MEAN_VARIANCE = "mean_variance"
+    MIN_VARIANCE = "min_variance"
+    MAX_SHARPE = "max_sharpe"
+    RISK_PARITY = "risk_parity"
+    MAX_DIVERSIFICATION = "max_diversification"
+    EQUAL_WEIGHT = "equal_weight"
+    HIERARCHICAL_RISK_PARITY = "hrp"
+
+
+class Constraint(BaseModel):
+    """Portfolio constraint."""
+    name: str
+    type: str  # min_weight, max_weight, sector_max, etc.
+    value: float
+    assets: Optional[List[str]] = None
+
+
+class PortfolioResult(BaseModel):
+    """Portfolio optimization result."""
+    weights: Dict[str, float]
+    expected_return: float
+    volatility: float
+    sharpe_ratio: float
+    diversification_ratio: Optional[float] = None
+    risk_contributions: Optional[Dict[str, float]] = None
+    method: str
+
+
+# ============================================================================
+# PORTFOLIO OPTIMIZER
+# ============================================================================
+
+class PortfolioOptimizer:
+    """
+    Portfolio optimization with multiple methods.
+    Supports constraints, transaction costs, and turnover limits.
+    """
+    
+    def __init__(self, risk_free_rate: float = 0.05):
+        self.risk_free_rate = risk_free_rate
+    
+    def optimize(
+        self,
+        returns: pd.DataFrame,
+        method: OptimizationMethod = OptimizationMethod.MAX_SHARPE,
+        constraints: Optional[List[Constraint]] = None,
+        min_weight: float = 0.0,
+        max_weight: float = 1.0,
+        current_weights: Optional[Dict[str, float]] = None,
+        max_turnover: Optional[float] = None,
+    ) -> PortfolioResult:
+        """
+        Optimize portfolio using specified method.
+        
+        Args:
+            returns: DataFrame of asset returns (columns = assets)
+            method: Optimization method to use
+            constraints: List of additional constraints
+            min_weight: Minimum weight per asset
+            max_weight: Maximum weight per asset
+            current_weights: Current portfolio weights (for turnover)
+            max_turnover: Maximum allowed turnover
+        
+        Returns:
+            PortfolioResult with optimal weights and metrics
+        """
+        
+        assets = returns.columns.tolist()
+        n_assets = len(assets)
+        
+        # Calculate expected returns and covariance
+        expected_returns = returns.mean() * 252  # Annualize
+        cov_matrix = returns.cov() * 252  # Annualize
+        
+        # Dispatch to appropriate method
+        if method == OptimizationMethod.MEAN_VARIANCE:
+            weights = self._mean_variance(expected_returns, cov_matrix, min_weight, max_weight)
+        elif method == OptimizationMethod.MIN_VARIANCE:
+            weights = self._min_variance(cov_matrix, min_weight, max_weight)
+        elif method == OptimizationMethod.MAX_SHARPE:
+            weights = self._max_sharpe(expected_returns, cov_matrix, min_weight, max_weight)
+        elif method == OptimizationMethod.RISK_PARITY:
+            weights = self._risk_parity(cov_matrix)
+        elif method == OptimizationMethod.MAX_DIVERSIFICATION:
+            weights = self._max_diversification(cov_matrix, min_weight, max_weight)
+        elif method == OptimizationMethod.EQUAL_WEIGHT:
+            weights = np.array([1.0 / n_assets] * n_assets)
+        elif method == OptimizationMethod.HIERARCHICAL_RISK_PARITY:
+            weights = self._hierarchical_risk_parity(returns)
+        else:
+            weights = np.array([1.0 / n_assets] * n_assets)
+        
+        # Apply turnover constraint if specified
+        if max_turnover and current_weights:
+            weights = self._apply_turnover_constraint(
+                weights, assets, current_weights, max_turnover
+            )
+        
+        # Calculate portfolio metrics
+        port_return = np.dot(weights, expected_returns)
+        port_vol = np.sqrt(np.dot(weights.T, np.dot(cov_matrix, weights)))
+        sharpe = (port_return - self.risk_free_rate) / port_vol if port_vol > 0 else 0
+        
+        # Risk contributions
+        risk_contrib = self._calculate_risk_contributions(weights, cov_matrix)
+        
+        # Diversification ratio
+        asset_vols = np.sqrt(np.diag(cov_matrix))
+        div_ratio = np.dot(weights, asset_vols) / port_vol if port_vol > 0 else 1
+        
+        return PortfolioResult(
+            weights={assets[i]: float(weights[i]) for i in range(n_assets)},
+            expected_return=float(port_return),
+            volatility=float(port_vol),
+            sharpe_ratio=float(sharpe),
+            diversification_ratio=float(div_ratio),
+            risk_contributions={assets[i]: float(risk_contrib[i]) for i in range(n_assets)},
+            method=method.value,
+        )
+    
+    def _mean_variance(
+        self,
+        expected_returns: pd.Series,
+        cov_matrix: pd.DataFrame,
+        min_weight: float,
+        max_weight: float,
+        target_return: Optional[float] = None,
+    ) -> np.ndarray:
+        """Mean-variance optimization."""
+        
+        n = len(expected_returns)
+        
+        # If no target return, maximize return for given risk level
+        if target_return is None:
+            target_return = expected_returns.mean()
+        
+        def objective(w):
+            return np.dot(w.T, np.dot(cov_matrix, w))
+        
+        constraints = [
+            {"type": "eq", "fun": lambda w: np.sum(w) - 1},  # Weights sum to 1
+            {"type": "ineq", "fun": lambda w: np.dot(w, expected_returns) - target_return},
+        ]
+        
+        bounds = [(min_weight, max_weight) for _ in range(n)]
+        
+        x0 = np.array([1.0 / n] * n)
+        result = minimize(objective, x0, method="SLSQP", bounds=bounds, constraints=constraints)
+        
+        return result.x
+    
+    def _min_variance(
+        self,
+        cov_matrix: pd.DataFrame,
+        min_weight: float,
+        max_weight: float,
+    ) -> np.ndarray:
+        """Minimum variance portfolio."""
+        
+        n = len(cov_matrix)
+        
+        def objective(w):
+            return np.dot(w.T, np.dot(cov_matrix, w))
+        
+        constraints = [{"type": "eq", "fun": lambda w: np.sum(w) - 1}]
+        bounds = [(min_weight, max_weight) for _ in range(n)]
+        
+        x0 = np.array([1.0 / n] * n)
+        result = minimize(objective, x0, method="SLSQP", bounds=bounds, constraints=constraints)
+        
+        return result.x
+    
+    def _max_sharpe(
+        self,
+        expected_returns: pd.Series,
+        cov_matrix: pd.DataFrame,
+        min_weight: float,
+        max_weight: float,
+    ) -> np.ndarray:
+        """Maximum Sharpe ratio portfolio."""
+        
+        n = len(expected_returns)
+        
+        def neg_sharpe(w):
+            port_return = np.dot(w, expected_returns)
+            port_vol = np.sqrt(np.dot(w.T, np.dot(cov_matrix, w)))
+            if port_vol == 0:
+                return 0
+            return -(port_return - self.risk_free_rate) / port_vol
+        
+        constraints = [{"type": "eq", "fun": lambda w: np.sum(w) - 1}]
+        bounds = [(min_weight, max_weight) for _ in range(n)]
+        
+        x0 = np.array([1.0 / n] * n)
+        result = minimize(neg_sharpe, x0, method="SLSQP", bounds=bounds, constraints=constraints)
+        
+        return result.x
+    
+    def _risk_parity(self, cov_matrix: pd.DataFrame) -> np.ndarray:
+        """Risk parity - equal risk contribution."""
+        
+        n = len(cov_matrix)
+        
+        def risk_budget_objective(w, cov):
+            port_var = np.dot(w.T, np.dot(cov, w))
+            marginal_contrib = np.dot(cov, w)
+            risk_contrib = w * marginal_contrib / np.sqrt(port_var)
+            target_risk = np.sqrt(port_var) / n
+            return np.sum((risk_contrib - target_risk) ** 2)
+        
+        constraints = [{"type": "eq", "fun": lambda w: np.sum(w) - 1}]
+        bounds = [(0.01, 1.0) for _ in range(n)]
+        
+        x0 = np.array([1.0 / n] * n)
+        result = minimize(
+            risk_budget_objective, x0, args=(cov_matrix.values,),
+            method="SLSQP", bounds=bounds, constraints=constraints
+        )
+        
+        return result.x
+    
+    def _max_diversification(
+        self,
+        cov_matrix: pd.DataFrame,
+        min_weight: float,
+        max_weight: float,
+    ) -> np.ndarray:
+        """Maximum diversification ratio."""
+        
+        n = len(cov_matrix)
+        asset_vols = np.sqrt(np.diag(cov_matrix))
+        
+        def neg_div_ratio(w):
+            port_vol = np.sqrt(np.dot(w.T, np.dot(cov_matrix, w)))
+            if port_vol == 0:
+                return 0
+            return -np.dot(w, asset_vols) / port_vol
+        
+        constraints = [{"type": "eq", "fun": lambda w: np.sum(w) - 1}]
+        bounds = [(min_weight, max_weight) for _ in range(n)]
+        
+        x0 = np.array([1.0 / n] * n)
+        result = minimize(neg_div_ratio, x0, method="SLSQP", bounds=bounds, constraints=constraints)
+        
+        return result.x
+    
+    def _hierarchical_risk_parity(self, returns: pd.DataFrame) -> np.ndarray:
+        """Hierarchical Risk Parity (simplified)."""
+        
+        from scipy.cluster.hierarchy import linkage, leaves_list
+        from scipy.spatial.distance import squareform
+        
+        # Correlation-based distance
+        corr = returns.corr()
+        dist = np.sqrt(0.5 * (1 - corr))
+        
+        # Hierarchical clustering
+        try:
+            linkage_matrix = linkage(squareform(dist), method="single")
+            sorted_idx = leaves_list(linkage_matrix)
+        except Exception:
+            sorted_idx = list(range(len(returns.columns)))
+        
+        # Allocate using inverse variance
+        cov = returns.cov() * 252
+        inv_var = 1 / np.diag(cov)
+        weights = inv_var / inv_var.sum()
+        
+        return weights
+    
+    def _calculate_risk_contributions(
+        self,
+        weights: np.ndarray,
+        cov_matrix: pd.DataFrame,
+    ) -> np.ndarray:
+        """Calculate risk contribution of each asset."""
+        
+        port_var = np.dot(weights.T, np.dot(cov_matrix, weights))
+        marginal_contrib = np.dot(cov_matrix, weights)
+        risk_contrib = weights * marginal_contrib / np.sqrt(port_var)
+        
+        # Normalize to sum to 1
+        return risk_contrib / risk_contrib.sum()
+    
+    def _apply_turnover_constraint(
+        self,
+        new_weights: np.ndarray,
+        assets: List[str],
+        current_weights: Dict[str, float],
+        max_turnover: float,
+    ) -> np.ndarray:
+        """Apply turnover constraint to weights."""
+        
+        current = np.array([current_weights.get(a, 0) for a in assets])
+        turnover = np.sum(np.abs(new_weights - current))
+        
+        if turnover <= max_turnover:
+            return new_weights
+        
+        # Scale down changes to meet turnover constraint
+        scale = max_turnover / turnover
+        adjusted = current + scale * (new_weights - current)
+        
+        # Ensure sum to 1
+        return adjusted / adjusted.sum()
+    
+    def efficient_frontier(
+        self,
+        returns: pd.DataFrame,
+        n_points: int = 20,
+        min_weight: float = 0.0,
+        max_weight: float = 1.0,
+    ) -> List[Tuple[float, float, Dict[str, float]]]:
+        """Generate efficient frontier points."""
+        
+        expected_returns = returns.mean() * 252
+        cov_matrix = returns.cov() * 252
+        
+        # Find min and max achievable returns
+        min_ret_weights = self._min_variance(cov_matrix, min_weight, max_weight)
+        max_ret_weights = self._mean_variance(
+            expected_returns, cov_matrix, min_weight, max_weight,
+            target_return=expected_returns.max()
+        )
+        
+        min_ret = np.dot(min_ret_weights, expected_returns)
+        max_ret = np.dot(max_ret_weights, expected_returns)
+        
+        # Generate frontier
+        target_returns = np.linspace(min_ret, max_ret, n_points)
+        frontier = []
+        
+        for target in target_returns:
+            try:
+                weights = self._mean_variance(
+                    expected_returns, cov_matrix, min_weight, max_weight, target
+                )
+                port_vol = np.sqrt(np.dot(weights.T, np.dot(cov_matrix, weights)))
+                port_ret = np.dot(weights, expected_returns)
+                
+                weight_dict = {returns.columns[i]: float(weights[i]) 
+                              for i in range(len(weights))}
+                
+                frontier.append((float(port_vol), float(port_ret), weight_dict))
+            except Exception:
+                continue
+        
+        return frontier
+
+
+# ============================================================================
+# POSITION SIZING
+# ============================================================================
+
+class PositionSizer:
+    """Position sizing methods."""
+    
+    @staticmethod
+    def fixed_dollar(
+        capital: float,
+        price: float,
+        allocation: float,
+    ) -> int:
+        """Fixed dollar amount per position."""
+        dollar_amount = capital * allocation
+        return int(dollar_amount // price)
+    
+    @staticmethod
+    def volatility_scaled(
+        capital: float,
+        price: float,
+        volatility: float,
+        target_vol: float = 0.02,  # 2% daily vol contribution
+    ) -> int:
+        """Size position based on volatility."""
+        dollar_vol = capital * target_vol
+        position_vol = price * volatility
+        
+        if position_vol == 0:
+            return 0
+        
+        shares = dollar_vol / position_vol
+        return int(shares)
+    
+    @staticmethod
+    def kelly_criterion(
+        capital: float,
+        price: float,
+        win_rate: float,
+        win_loss_ratio: float,
+        fraction: float = 0.25,  # Use fraction of full Kelly
+    ) -> int:
+        """Kelly criterion position sizing."""
+        
+        # Kelly formula: f* = (bp - q) / b
+        # where b = win/loss ratio, p = win probability, q = 1-p
+        b = win_loss_ratio
+        p = win_rate
+        q = 1 - p
+        
+        kelly_fraction = (b * p - q) / b
+        
+        # Apply fractional Kelly
+        position_fraction = max(0, min(fraction * kelly_fraction, 0.25))  # Cap at 25%
+        
+        dollar_amount = capital * position_fraction
+        return int(dollar_amount // price)
+    
+    @staticmethod
+    def atr_based(
+        capital: float,
+        price: float,
+        atr: float,
+        risk_per_trade: float = 0.01,  # 1% risk per trade
+        atr_multiplier: float = 2.0,
+    ) -> Tuple[int, float]:
+        """ATR-based position sizing with stop loss."""
+        
+        stop_distance = atr * atr_multiplier
+        risk_amount = capital * risk_per_trade
+        
+        if stop_distance == 0:
+            return 0, 0
+        
+        shares = int(risk_amount / stop_distance)
+        stop_price = price - stop_distance
+        
+        return shares, stop_price
+
+
+# ============================================================================
+# RISK ENGINE
+# ============================================================================
+
+class RiskEngine:
+    """Portfolio risk management."""
+    
+    def __init__(self, max_portfolio_var: float = 0.02):
+        """
+        Args:
+            max_portfolio_var: Maximum daily VaR as fraction of portfolio
+        """
+        self.max_portfolio_var = max_portfolio_var
+    
+    def check_position(
+        self,
+        proposed_weight: float,
+        asset_vol: float,
+        current_weights: Dict[str, float],
+        correlation_with_portfolio: float,
+        portfolio_vol: float,
+    ) -> Tuple[bool, str]:
+        """Check if proposed position meets risk limits."""
+        
+        # Check individual position limit
+        if proposed_weight > 0.25:
+            return False, "Position exceeds 25% limit"
+        
+        # Check volatility contribution
+        vol_contribution = proposed_weight * asset_vol * correlation_with_portfolio
+        if vol_contribution > self.max_portfolio_var:
+            return False, f"Volatility contribution ({vol_contribution:.2%}) exceeds limit"
+        
+        return True, "Position approved"
+    
+    def calculate_var(
+        self,
+        returns: pd.DataFrame,
+        weights: Dict[str, float],
+        confidence: float = 0.95,
+        horizon: int = 1,
+    ) -> Dict[str, float]:
+        """Calculate portfolio VaR and CVaR."""
+        
+        # Build portfolio returns
+        port_returns = (returns * pd.Series(weights)).sum(axis=1)
+        
+        # Historical VaR
+        var = -np.percentile(port_returns, (1 - confidence) * 100) * np.sqrt(horizon)
+        
+        # CVaR (Expected Shortfall)
+        cvar = -port_returns[port_returns <= -var].mean() * np.sqrt(horizon)
+        
+        # Parametric VaR (assuming normal)
+        mu = port_returns.mean() * horizon
+        sigma = port_returns.std() * np.sqrt(horizon)
+        parametric_var = -(mu + sigma * stats.norm.ppf(1 - confidence))
+        
+        return {
+            "var_historical": float(var),
+            "cvar": float(cvar) if not np.isnan(cvar) else float(var) * 1.2,
+            "var_parametric": float(parametric_var),
+            "confidence": confidence,
+            "horizon_days": horizon,
+        }
+    
+    def stress_test(
+        self,
+        returns: pd.DataFrame,
+        weights: Dict[str, float],
+        scenarios: Optional[Dict[str, Dict[str, float]]] = None,
+    ) -> Dict[str, float]:
+        """Run stress tests on portfolio."""
+        
+        # Default scenarios
+        default_scenarios = {
+            "market_crash": {"equity": -0.20, "bonds": 0.05, "gold": 0.10},
+            "rate_spike": {"equity": -0.10, "bonds": -0.15, "gold": -0.05},
+            "volatility_spike": {"equity": -0.15, "bonds": 0.02, "gold": 0.05},
+            "stagflation": {"equity": -0.12, "bonds": -0.08, "gold": 0.15},
+        }
+        
+        scenarios = scenarios or default_scenarios
+        
+        results = {}
+        for scenario_name, shocks in scenarios.items():
+            # Apply shocks (simplified - assumes assets match categories)
+            portfolio_impact = 0
+            for asset, weight in weights.items():
+                # Map asset to category (simplified)
+                category = "equity"  # Default
+                if "TLT" in asset or "BND" in asset:
+                    category = "bonds"
+                elif "GLD" in asset or "GOLD" in asset:
+                    category = "gold"
+                
+                shock = shocks.get(category, 0)
+                portfolio_impact += weight * shock
+            
+            results[scenario_name] = portfolio_impact
+        
+        return results
+    
+    def hedge_suggestions(
+        self,
+        returns: pd.DataFrame,
+        weights: Dict[str, float],
+        hedge_universe: List[str] = None,
+    ) -> List[Dict[str, Any]]:
+        """Suggest hedges for the portfolio."""
+        
+        hedge_universe = hedge_universe or ["SH", "TLT", "GLD", "VXX"]
+        
+        # Build portfolio returns
+        assets_in_portfolio = [a for a in weights.keys() if a in returns.columns]
+        port_returns = (returns[assets_in_portfolio] * pd.Series({
+            a: weights[a] for a in assets_in_portfolio
+        })).sum(axis=1)
+        
+        suggestions = []
+        
+        for hedge in hedge_universe:
+            if hedge not in returns.columns:
+                continue
+            
+            hedge_returns = returns[hedge]
+            
+            # Align data
+            aligned = pd.concat([port_returns, hedge_returns], axis=1).dropna()
+            if len(aligned) < 30:
+                continue
+            
+            corr = aligned.iloc[:, 0].corr(aligned.iloc[:, 1])
+            
+            # Good hedges have negative correlation
+            if corr < -0.3:
+                # Calculate hedge ratio
+                cov = np.cov(aligned.iloc[:, 0], aligned.iloc[:, 1])
+                hedge_ratio = -cov[0, 1] / cov[1, 1] if cov[1, 1] != 0 else 0
+                
+                suggestions.append({
+                    "asset": hedge,
+                    "correlation": corr,
+                    "hedge_ratio": hedge_ratio,
+                    "effectiveness": abs(corr),
+                })
+        
+        return sorted(suggestions, key=lambda x: x["effectiveness"], reverse=True)
+
+
+# ============================================================================
+# REBALANCING ENGINE
+# ============================================================================
+
+class RebalancingEngine:
+    """Portfolio rebalancing logic."""
+    
+    def __init__(
+        self,
+        threshold: float = 0.05,  # 5% drift threshold
+        min_trade: float = 1000,  # Minimum trade size
+        tax_aware: bool = False,
+    ):
+        self.threshold = threshold
+        self.min_trade = min_trade
+        self.tax_aware = tax_aware
+    
+    def check_rebalance_needed(
+        self,
+        current_weights: Dict[str, float],
+        target_weights: Dict[str, float],
+    ) -> Tuple[bool, Dict[str, float]]:
+        """Check if rebalancing is needed."""
+        
+        drifts = {}
+        max_drift = 0
+        
+        for asset in set(current_weights.keys()) | set(target_weights.keys()):
+            current = current_weights.get(asset, 0)
+            target = target_weights.get(asset, 0)
+            drift = current - target
+            drifts[asset] = drift
+            max_drift = max(max_drift, abs(drift))
+        
+        needs_rebalance = max_drift > self.threshold
+        
+        return needs_rebalance, drifts
+    
+    def generate_trades(
+        self,
+        current_weights: Dict[str, float],
+        target_weights: Dict[str, float],
+        portfolio_value: float,
+        prices: Dict[str, float],
+    ) -> List[Dict[str, Any]]:
+        """Generate trades to rebalance portfolio."""
+        
+        trades = []
+        
+        for asset in set(current_weights.keys()) | set(target_weights.keys()):
+            current = current_weights.get(asset, 0)
+            target = target_weights.get(asset, 0)
+            
+            diff_weight = target - current
+            diff_value = diff_weight * portfolio_value
+            
+            if abs(diff_value) < self.min_trade:
+                continue
+            
+            price = prices.get(asset, 0)
+            if price == 0:
+                continue
+            
+            shares = int(diff_value / price)
+            
+            if shares != 0:
+                trades.append({
+                    "asset": asset,
+                    "action": "buy" if shares > 0 else "sell",
+                    "shares": abs(shares),
+                    "notional": abs(diff_value),
+                    "price": price,
+                })
+        
+        return trades
+    
+    def calendar_rebalance(
+        self,
+        frequency: str = "quarterly",
+        last_rebalance: Optional[str] = None,
+    ) -> bool:
+        """Check if calendar-based rebalance is due."""
+        
+        from datetime import datetime, timedelta
+        
+        if last_rebalance is None:
+            return True
+        
+        last = datetime.fromisoformat(last_rebalance)
+        now = datetime.now()
+        
+        if frequency == "monthly":
+            return (now - last).days >= 28
+        elif frequency == "quarterly":
+            return (now - last).days >= 90
+        elif frequency == "annually":
+            return (now - last).days >= 365
+        
+        return False