QuaScript Documentation

Language guide, engine API, 601 builtins and the preset library · v3.0.0-phase1

risk

Generated from the engine catalog by tools/gen-docs.mjs; do not edit.

script.qs

risk.expected_shortfall(returns, len, confidence = 0.95) -> series

Mean loss beyond the value at risk.

Argument	Kind	Default
`returns`	series	required
`len`	int	required
`confidence`	num	`0.95`

Keeps state per call site.

script.qs

risk.kelly(win_rate, payoff) -> num

Kelly fraction for a win rate (0..1 or percent) and payoff ratio.

Argument	Kind	Default	Notes
`win_rate`	num	required
`payoff`	num	required

script.qs

risk.max_daily_loss(amount)

Flatten and stop for the day when the day's loss reaches amount.

Argument	Kind	Default	Notes
`amount`	num	required

script.qs

risk.max_drawdown(pct)

Flatten and stop trading when the drawdown reaches pct.

Argument	Kind	Default	Notes
`pct`	num	required

script.qs

risk.max_position(qty)

Clip entries so the position never exceeds qty.

Argument	Kind	Default	Notes
`qty`	num	required

script.qs

risk.max_trades_per_day(n)

Block entries after n fills in a day.

Argument	Kind	Default	Notes
`n`	num	required

script.qs

risk.position_size(entry, stop, risk_pct, equity = portfolio.equity) -> num

Quantity that risks risk_pct of equity between entry and stop.

Argument	Kind	Default
`entry`	num	required
`stop`	num	required
`risk_pct`	num	required
`equity`	num	`portfolio.equity`

script.qs

risk.value_at_risk(returns, len, confidence = 0.95) -> series

Historical value at risk of a returns series.

Argument	Kind	Default
`returns`	series	required
`len`	int	required
`confidence`	num	`0.95`

Keeps state per call site.

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