Julia : ATR Risk Parameter Simulation & Multi-Dimensional Visualization

.gitignore

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 __pycache__
+Manifest.toml

Julia/Project.toml

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+[deps]
+Plots = "91a5bcdd-55d7-5caf-9e0b-520d859cae80"

Julia/atr_risk_simulation.jl

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+#!/usr/bin/env julia
+# ATR Risk Parameter Simulation
+#
+# Simulates how ATR (volatility range) and ATR_RISK_BUDGET (risk allocation %)
+# drive POSITION_VALUE and STOP_RATE, and exports 2D line plots and 3D
+# surface plots visualizing the results.
+#
+# Assumptions (not explicitly given in the PRD, confirmed with stakeholder):
+#   - REFERENCE_PRICE   : 100,000 KRW, used to convert ATR (KRW) into a raw stop rate.
+#   - TOTAL_BUDGET_LIMIT: 100,000,000 KRW, the capital base for ATR_RISK_BUDGET.
+
+using Pkg
+Pkg.activate(@__DIR__)
+
+using Plots
+gr()
+
+"Format a number with thousands separators, e.g. 10000 -> \"10,000\"."
+comma_format(x) = replace(string(round(Int, x)), r"(?<=[0-9])(?=(?:[0-9]{3})+(?!\d))" => ",")
+
+const REFERENCE_PRICE = 10_000.0     # KRW, used to convert ATR into a rate
+const TOTAL_BUDGET_LIMIT = 1_000_000.0  # KRW
+const MIN_STOP_RATE = 0.005           # 0.5% mandatory floor
+
+const ATR_VALUES = 100:100:1000                 # KRW, 10 points
+const RISK_BUDGET_PCTS = 0.003:0.003:0.03        # fraction, 0.3%~3.0%, 10 points
+
+"Effective stop rate: ATR normalized to REFERENCE_PRICE, floored at MIN_STOP_RATE."
+effective_stop_rate(atr::Real) = max(atr / REFERENCE_PRICE, MIN_STOP_RATE)
+
+"Position value derived from the risk budget and the effective stop rate."
+function position_value(atr::Real, risk_budget_pct::Real)
+    risk_budget_krw = risk_budget_pct * TOTAL_BUDGET_LIMIT
+    return risk_budget_krw / effective_stop_rate(atr)
+end
+
+"Compute the full 10x10 grid of (stop_rate, position_value) for all ATR / risk budget combinations."
+function simulate()
+    n_atr, n_budget = length(ATR_VALUES), length(RISK_BUDGET_PCTS)
+    stop_rate = Matrix{Float64}(undef, n_budget, n_atr)
+    pos_value = Matrix{Float64}(undef, n_budget, n_atr)
+    for (j, budget) in enumerate(RISK_BUDGET_PCTS), (i, atr) in enumerate(ATR_VALUES)
+        stop_rate[j, i] = effective_stop_rate(atr) * 100      # store as %
+        pos_value[j, i] = position_value(atr, budget)
+    end
+    return stop_rate, pos_value
+end
+
+"Build the 2-row multi-panel line plot (POSITION_VALUE / STOP_RATE vs ATR, grouped by risk budget)."
+function plot_2d(stop_rate, pos_value)
+    top = plot(title="POSITION_VALUE vs ATR", xlabel="ATR (KRW)", ylabel="POSITION_VALUE (KRW)",
+               legend=:outertopright, legendtitle="Risk Budget", yformatter=comma_format)
+    bottom = plot(title="STOP_RATE vs ATR", xlabel="ATR (KRW)", ylabel="STOP_RATE (%)",
+                  legend=:outertopright, legendtitle="Risk Budget")
+
+    for (j, budget) in enumerate(RISK_BUDGET_PCTS)
+        label = string(round(budget * 100, digits=1), "%")
+        plot!(top, ATR_VALUES, pos_value[j, :], label=label, marker=:circle, linewidth=2)
+        plot!(bottom, ATR_VALUES, stop_rate[j, :], label=label, marker=:circle, linewidth=2)
+    end
+
+    return plot(top, bottom, layout=(2, 1), size=(1000, 1200), left_margin=15Plots.mm)
+end
+
+"Build the 3D surface plots for POSITION_VALUE and STOP_RATE over the ATR x risk-budget grid."
+function plot_3d(stop_rate, pos_value)
+    budget_pcts = RISK_BUDGET_PCTS .* 100
+
+    pos_surface = surface(ATR_VALUES, budget_pcts, pos_value,
+                           title="POSITION_VALUE Landscape",
+                           xlabel="ATR (KRW)", ylabel="ATR_RISK_BUDGET (%)", zlabel="POSITION_VALUE (KRW)",
+                           color=:viridis, zformatter=comma_format, right_margin=15Plots.mm,
+                           bottom_margin=8Plots.mm, size=(900, 700), camera=(30, 40), fillalpha=0.60)
+
+    stop_surface = surface(ATR_VALUES, budget_pcts, stop_rate,
+                            title="STOP_RATE Landscape",
+                            xlabel="ATR (KRW)", ylabel="ATR_RISK_BUDGET (%)", zlabel="STOP_RATE (%)",
+                            color=:plasma, camera=(-45, 30), bottom_margin=15Plots.mm, top_margin=10Plots.mm,
+                            size=(900, 700), guidefontsize=9, fillalpha=0.60)
+
+    return pos_surface, stop_surface
+end
+
+function main()
+    output_dir = joinpath(@__DIR__, "output")
+    mkpath(output_dir)
+
+    stop_rate, pos_value = simulate()
+
+    fig_2d = plot_2d(stop_rate, pos_value)
+    savefig(fig_2d, joinpath(output_dir, "atr_risk_2d.png"))
+
+    pos_surface, stop_surface = plot_3d(stop_rate, pos_value)
+    savefig(pos_surface, joinpath(output_dir, "atr_risk_3d_position_value.png"))
+    savefig(stop_surface, joinpath(output_dir, "atr_risk_3d_stop_rate.png"))
+
+    println("Saved figures to: ", output_dir)
+end
+
+main()

Julia/install_julia.sh

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+#!/usr/bin/env bash
+# Installs Julia via juliaup (the official Julia version manager/installer).
+
+set -euo pipefail
+
+curl -fsSL https://install.julialang.org | sh -s -- --yes
+
+echo "Julia installation complete. Restart your shell or run 'source ~/.bashrc' to update PATH."

Julia/run.sh

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+#!/usr/bin/env bash
+# Runs a Julia script after sourcing ~/.bashrc so the juliaup PATH is available.
+
+# Usage: ./run.sh filename.jl
+
+set -euo pipefail
+
+if [[ $# -lt 1 ]]; then
+    echo "Usage: $0 <filename.jl>"
+    exit 1
+fi
+
+source ~/.bashrc
+
+julia --project="$(dirname "$0")" "$@"

install_antigravity_cli.sh

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+curl -fsSL https://antigravity.google/cli/install.sh | bash