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a-share-position-sizing

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A股仓位管理/凯利公式/仓位计算。当用户说"仓位"、"position sizing"、"该买多少"、"仓位管理"、"凯利公式"、"Kelly"、"加仓"、"减仓"时触发。基于 cn-stock-data 获取数据，量化计算最优仓位。支持研报风格（formal）和快速分析风格（brief）。

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A股仓位管理/凯利公式/仓位计算

数据源

SCRIPTS="$SKILLS_ROOT/cn-stock-data/scripts"
python "$SCRIPTS/cn_stock_data.py" kline --code [CODE] --freq daily --start [日期]
python "$SCRIPTS/cn_stock_data.py" quote --code [CODE]
python "$SCRIPTS/cn_stock_data.py" finance --code [CODE]

Workflow

Step 1: 获取标的数据

获取标的K线 + 波动率 + 基本面数据。

Step 2: 风险度量

  • 个股波动率（20日/60日年化波动率）
  • ATR（真实波幅）
  • 下行风险（半方差/CVaR）

Step 3: 仓位计算

  • 等风险贡献：w = k / σ_i（波动率倒数加权）
  • 凯利公式：f* = (p × b - q) / b（p=胜率, b=盈亏比, q=1-p）
  • ATR仓位法：仓位 = 风险预算 / (N × ATR)
  • 固定风险法：仓位 = 可承受亏损 / 止损距离

Step 4: 约束条件

  • 单只个股 < 总资金的 20%
  • 单行业 < 总资金的 30%
  • 总仓位根据市场状态调整（牛市80-100%，震荡50-80%，熊市20-50%）

Step 5: 输出

维度formalbrief
仓位计算多方法对比建议仓位
风险分析波动率+VaR风险等级
加减仓计划分批建仓方案单次建议

默认风格：brief。

关键规则

  1. 仓位管理比选股更重要——错误的仓位可以毁掉正确的选股
  2. 永远不要满仓单只股票
  3. 凯利公式的实际应用应使用半凯利（f*/2）更稳健
  4. A 股 T+1 制度下，仓位调整需提前一天规划
  5. 市场状态是仓位的宏观约束——熊市轻仓是第一原则