/**
* Portfolio Management Tools
*
* Provides portfolio optimization, risk management, and rebalancing functionality.
*/
// Tool for portfolio optimization
const optimizePortfolio = {
name: 'optimize_portfolio',
description: 'Optimize cryptocurrency portfolio using Modern Portfolio Theory',
parameters: {
type: 'object',
required: ['assets', 'objective'],
properties: {
assets: {
type: 'array',
items: {
type: 'object',
properties: {
symbol: { type: 'string' },
weight: { type: 'number' }
}
},
description: 'Assets to include in portfolio'
},
constraints: {
type: 'array',
items: {
type: 'object',
properties: {
type: { type: 'string' },
value: { type: 'number' }
}
},
description: 'Optimization constraints'
},
objective: {
type: 'string',
enum: ['minRisk', 'maxSharpe', 'riskParity'],
description: 'Optimization objective'
},
rebalanceFrequency: {
type: 'string',
description: 'How often to rebalance the portfolio'
}
}
},
handler: async ({ assets, constraints = [], objective, rebalanceFrequency = 'monthly' }) => {
try {
// Demo implementation - would use real optimization in production
// Generate optimized weights based on the objective
const totalWeight = assets.reduce((sum, asset) => sum + asset.weight, 0);
const currentWeights = assets.map(asset => ({
symbol: asset.symbol,
currentWeight: (asset.weight / totalWeight) * 100
}));
let optimizedWeights;
if (objective === 'minRisk') {
// For minimum risk, allocate more to less volatile assets
optimizedWeights = {
'BTC': 45,
'ETH': 25,
'USDT': 15,
'SOL': 5,
'LINK': 5,
'MATIC': 5
};
} else if (objective === 'maxSharpe') {
// For maximum Sharpe ratio, optimize risk/return
optimizedWeights = {
'BTC': 35,
'ETH': 30,
'USDT': 5,
'SOL': 15,
'LINK': 10,
'MATIC': 5
};
} else if (objective === 'riskParity') {
// For risk parity, distribute risk equally
optimizedWeights = {
'BTC': 20,
'ETH': 20,
'USDT': 30,
'SOL': 10,
'LINK': 10,
'MATIC': 10
};
}
// Format the optimized portfolio
const optimizedPortfolio = {
objective,
currentAllocation: currentWeights,
optimizedAllocation: Object.entries(optimizedWeights).map(([symbol, weight]) => ({
symbol,
optimizedWeight: weight,
changeFromCurrent: weight - (currentWeights.find(a => a.symbol === symbol)?.currentWeight || 0)
})),
expectedPerformance: {
annualizedReturn: 32.4,
annualizedVolatility: 28.5,
sharpeRatio: 1.14,
maxDrawdown: -25.8
},
improvementMetrics: {
returnChange: '+2.8%',
riskChange: '-4.5%',
sharpeRatioChange: '+0.18'
},
rebalancingPlan: {
frequency: rebalanceFrequency,
nextRebalance: new Date(Date.now() + 30*24*60*60*1000).toISOString().split('T')[0],
driftThreshold: 5 // Percentage
},
rebalancingActions: [
{ symbol: 'BTC', action: 'SELL', amount: 15, reason: 'Overweight' },
{ symbol: 'ETH', action: 'BUY', amount: 5, reason: 'Underweight' },
{ symbol: 'SOL', action: 'BUY', amount: 5, reason: 'New allocation' },
{ symbol: 'MATIC', action: 'BUY', amount: 5, reason: 'New allocation' }
]
};
return optimizedPortfolio;
} catch (error) {
return {
error: true,
message: `Failed to optimize portfolio: ${error.message}`
};
}
}
};
// Tool for risk management
const calculateVaR = {
name: 'calculate_var',
description: 'Calculate Value at Risk for a cryptocurrency portfolio',
parameters: {
type: 'object',
required: ['portfolio', 'confidence'],
properties: {
portfolio: {
type: 'object',
properties: {
assets: {
type: 'array',
items: {
type: 'object',
properties: {
symbol: { type: 'string' },
amount: { type: 'number' }
}
}
}
},
description: 'Portfolio composition'
},
confidence: {
type: 'number',
description: 'Confidence level (0-1)'
},
horizon: {
type: 'number',
description: 'Time horizon in days'
},
method: {
type: 'string',
enum: ['historical', 'monteCarlo', 'parametric'],
description: 'VaR calculation method'
}
}
},
handler: async ({ portfolio, confidence = 0.95, horizon = 1, method = 'historical' }) => {
try {
// Demo implementation - would use real risk models in production
const totalValue = portfolio.assets.reduce((sum, asset) => {
// Dummy prices for demo
const prices = {
'BTC': 67850,
'ETH': 3247,
'USDT': 1,
'SOL': 142,
'LINK': 14.67,
'MATIC': 0.82
};
return sum + (asset.amount * (prices[asset.symbol] || 0));
}, 0);
// Calculate VaR based on method and confidence
let var95, var99, cvar95;
if (method === 'historical') {
var95 = totalValue * 0.058 * Math.sqrt(horizon); // 5.8% daily at 95%
var99 = totalValue * 0.082 * Math.sqrt(horizon); // 8.2% daily at 99%
cvar95 = totalValue * 0.072 * Math.sqrt(horizon); // 7.2% expected shortfall
} else if (method === 'monteCarlo') {
var95 = totalValue * 0.062 * Math.sqrt(horizon);
var99 = totalValue * 0.088 * Math.sqrt(horizon);
cvar95 = totalValue * 0.078 * Math.sqrt(horizon);
} else {
var95 = totalValue * 0.056 * Math.sqrt(horizon);
var99 = totalValue * 0.078 * Math.sqrt(horizon);
cvar95 = totalValue * 0.068 * Math.sqrt(horizon);
}
return {
portfolioValue: totalValue,
riskMetrics: {
ValueAtRisk: {
confidence95: var95,
confidence99: var99,
asPercentOfPortfolio95: (var95 / totalValue) * 100,
asPercentOfPortfolio99: (var99 / totalValue) * 100
},
ConditionalVaR: {
confidence95: cvar95,
asPercentOfPortfolio: (cvar95 / totalValue) * 100
},
stressTest: {
marketCrash30Percent: totalValue * 0.3,
march2020Scenario: totalValue * 0.42,
may2021Scenario: totalValue * 0.38
}
},
riskContributionByAsset: portfolio.assets.map(asset => {
// Dummy prices and risk contributions for demo
const prices = {
'BTC': 67850,
'ETH': 3247,
'USDT': 1,
'SOL': 142,
'LINK': 14.67,
'MATIC': 0.82
};
const volatilities = {
'BTC': 0.048,
'ETH': 0.062,
'USDT': 0.001,
'SOL': 0.078,
'LINK': 0.068,
'MATIC': 0.082
};
const value = asset.amount * (prices[asset.symbol] || 0);
return {
symbol: asset.symbol,
value: value,
percentOfPortfolio: (value / totalValue) * 100,
riskContribution: value * (volatilities[asset.symbol] || 0) * Math.sqrt(horizon),
percentOfRisk: (value * (volatilities[asset.symbol] || 0)) / (totalValue * 0.058) * 100
};
}),
methodology: {
method: method,
confidenceLevel: confidence * 100 + '%',
timeHorizon: horizon + ' day(s)',
dataUsed: '2 years of historical data'
}
};
} catch (error) {
return {
error: true,
message: `Failed to calculate VaR: ${error.message}`
};
}
}
};
// Tool for portfolio rebalancing
const rebalancePortfolio = {
name: 'rebalance_portfolio',
description: 'Generate rebalancing orders for a cryptocurrency portfolio',
parameters: {
type: 'object',
required: ['currentPortfolio', 'targetWeights'],
properties: {
currentPortfolio: {
type: 'object',
properties: {
assets: {
type: 'array',
items: {
type: 'object',
properties: {
symbol: { type: 'string' },
amount: { type: 'number' },
currentValue: { type: 'number' }
}
}
},
totalValue: { type: 'number' }
},
description: 'Current portfolio composition'
},
targetWeights: {
type: 'object',
additionalProperties: { type: 'number' },
description: 'Target portfolio weights'
},
threshold: {
type: 'number',
description: 'Minimum threshold for rebalancing (percentage)'
},
taxOptimization: {
type: 'boolean',
description: 'Whether to optimize for taxes'
}
}
},
handler: async ({ currentPortfolio, targetWeights, threshold = 5, taxOptimization = false }) => {
try {
// Calculate current weights
const totalValue = currentPortfolio.totalValue ||
currentPortfolio.assets.reduce((sum, asset) => sum + asset.currentValue, 0);
const currentWeights = {};
currentPortfolio.assets.forEach(asset => {
currentWeights[asset.symbol] = (asset.currentValue / totalValue) * 100;
});
// Generate rebalancing orders
const rebalancingOrders = [];
// Compare current weights with target weights
Object.entries(targetWeights).forEach(([symbol, targetWeight]) => {
const currentWeight = currentWeights[symbol] || 0;
const weightDiff = targetWeight - currentWeight;
// Only rebalance if difference exceeds threshold
if (Math.abs(weightDiff) >= threshold) {
const targetValue = (targetWeight / 100) * totalValue;
const currentValue = (currentWeight / 100) * totalValue;
const valueChange = targetValue - currentValue;
// Determine if we need to buy or sell
const action = weightDiff > 0 ? 'BUY' : 'SELL';
rebalancingOrders.push({
symbol,
action,
valueChange: Math.abs(valueChange),
percentageChange: Math.abs(weightDiff),
fromWeight: currentWeight,
toWeight: targetWeight
});
}
});
// Identify assets in current portfolio that aren't in target weights
currentPortfolio.assets.forEach(asset => {
if (targetWeights[asset.symbol] === undefined) {
rebalancingOrders.push({
symbol: asset.symbol,
action: 'SELL',
valueChange: asset.currentValue,
percentageChange: currentWeights[asset.symbol],
fromWeight: currentWeights[asset.symbol],
toWeight: 0
});
}
});
// Tax optimization logic (simplified)
if (taxOptimization) {
// Sort sell orders by tax efficiency (dummy implementation)
const sellOrders = rebalancingOrders.filter(order => order.action === 'SELL');
const taxEfficiency = {
'BTC': 0.8,
'ETH': 0.9,
'SOL': 0.6,
'LINK': 0.75,
'MATIC': 0.85
};
sellOrders.sort((a, b) => (taxEfficiency[b.symbol] || 0.5) - (taxEfficiency[a.symbol] || 0.5));
}
return {
rebalancingOrders,
currentPortfolioWeights: currentWeights,
targetPortfolioWeights: targetWeights,
totalRebalancingValue: rebalancingOrders.reduce((sum, order) => sum + order.valueChange, 0),
estimatedTradingCosts: rebalancingOrders.reduce((sum, order) => sum + (order.valueChange * 0.001), 0), // 0.1% trading fee
taxImplications: taxOptimization ? {
estimatedTaxableGains: rebalancingOrders
.filter(order => order.action === 'SELL')
.reduce((sum, order) => sum + (order.valueChange * 0.15), 0), // 15% tax rate
taxLossHarvesting: 'Optimized sell orders to minimize tax impact'
} : 'Tax optimization not enabled'
};
} catch (error) {
return {
error: true,
message: `Failed to generate rebalancing orders: ${error.message}`
};
}
}
};
// Tool for portfolio stress testing
const runStressTest = {
name: 'run_stress_test',
description: 'Simulate portfolio performance under stress scenarios',
parameters: {
type: 'object',
required: ['portfolio', 'scenarios'],
properties: {
portfolio: {
type: 'object',
description: 'Portfolio composition'
},
scenarios: {
type: 'array',
items: {
type: 'string',
enum: ['market_crash_30pct', 'march_2020', 'may_2021', 'interest_rate_hike', 'regulatory_crackdown', 'custom']
},
description: 'Stress scenarios to simulate'
},
customScenario: {
type: 'object',
description: 'Custom scenario definition (if scenarios includes "custom")'
}
}
},
handler: async ({ portfolio, scenarios, customScenario }) => {
try {
// Define scenario impact factors for different assets
const scenarioImpacts = {
market_crash_30pct: {
'BTC': -0.3,
'ETH': -0.35,
'USDT': 0,
'SOL': -0.42,
'LINK': -0.38,
'MATIC': -0.44
},
march_2020: {
'BTC': -0.48,
'ETH': -0.55,
'USDT': 0.01,
'SOL': -0.6,
'LINK': -0.58,
'MATIC': -0.65
},
may_2021: {
'BTC': -0.42,
'ETH': -0.38,
'USDT': 0,
'SOL': -0.45,
'LINK': -0.48,
'MATIC': -0.52
},
interest_rate_hike: {
'BTC': -0.12,
'ETH': -0.15,
'USDT': -0.01,
'SOL': -0.18,
'LINK': -0.16,
'MATIC': -0.2
},
regulatory_crackdown: {
'BTC': -0.25,
'ETH': -0.22,
'USDT': -0.05,
'SOL': -0.3,
'LINK': -0.28,
'MATIC': -0.35
}
};
// Process each scenario
const stressTestResults = scenarios.map(scenario => {
let impactFactors;
if (scenario === 'custom' && customScenario) {
impactFactors = customScenario.impactFactors;
} else {
impactFactors = scenarioImpacts[scenario];
}
// Calculate portfolio impact
const assetImpacts = portfolio.assets.map(asset => {
const impactFactor = impactFactors[asset.symbol] || -0.3; // Default impact
const valueImpact = asset.currentValue * impactFactor;
return {
symbol: asset.symbol,
currentValue: asset.currentValue,
impactPercentage: impactFactor * 100,
valueImpact: valueImpact
};
});
const totalCurrentValue = portfolio.assets.reduce((sum, asset) => sum + asset.currentValue, 0);
const totalValueImpact = assetImpacts.reduce((sum, asset) => sum + asset.valueImpact, 0);
const portfolioImpactPercentage = (totalValueImpact / totalCurrentValue) * 100;
return {
scenario,
description: scenario.replace(/_/g, ' ').toUpperCase(),
portfolioValueBefore: totalCurrentValue,
portfolioValueAfter: totalCurrentValue + totalValueImpact,
portfolioImpactPercentage,
assetImpacts,
recoveryEstimate: {
estimatedRecoveryTime: '3-6 months',
historicalRecoveryPattern: 'V-shaped recovery',
recommendedActions: [
'Maintain 10-15% cash reserves',
'Set up automatic buy orders at key support levels',
'Hedge with options if portfolio > $100K'
]
}
};
});
return {
stressTestResults,
timestamp: Date.now(),
recommendations: {
portfolioAdjustments: [
'Increase USDT allocation by 5-10% for market crash protection',
'Consider 5% allocation to inverse ETFs as hedge',
'Set up trailing stops at -20% for high-volatility assets'
],
riskMitigationStrategies: [
'Implement dollar-cost averaging during downturns',
'Diversify across market cap segments',
'Hold 3-6 months of investment funds in stable assets'
]
}
};
} catch (error) {
return {
error: true,
message: `Failed to run stress test: ${error.message}`
};
}
}
};
module.exports = {
optimizePortfolio,
calculateVaR,
rebalancePortfolio,
runStressTest
};
