risk-portfolio-manager

> Position sizing and risk management determine long-term survival. No single trade should threaten the portfolio.

• "Size this position"
• "What's my portfolio risk?"
• "Rebalance my holdings"
• "Calculate VaR"
• "Should I take profit?"
• "Set up risk limits"
• "Portfolio correlation check"
• "Daily loss limit"
• Keywords: position size, risk management, portfolio, allocation, drawdown, VaR, Sharpe, rebalance, stop loss, take profit, correlation, diversification

1. Position Sizing Engine

Sizing Methods:

```typescript

interface PositionSizeRequest {

signal_strength: number; // 0-1 from meme-trader

token_risk_score: number; // 1-10 from rug detection

current_portfolio: Portfolio;

market_regime: 'bull' | 'bear' | 'sideways' | 'volatile';

risk_tolerance: 'conservative' | 'moderate' | 'degen';

}

interface PositionSizeResult {

recommended_size_pct: number; // % of portfolio

recommended_size_usd: number;

max_allowed_size: number;

reasoning: string[];

risk_warnings: string[];

}

```

Kelly Criterion (Modified):

```

Optimal Size = (Win Rate Avg Win - (1 - Win Rate) Avg Loss) / Avg Win

Adjusted Size = Kelly * Fractional Multiplier (0.25-0.5 for safety)

```

Risk-Adjusted Sizing Matrix:

| Risk Tolerance | Base Size | Max Single Position | Max Correlated Exposure |

|---------------|-----------|--------------------|-----------------------|

| Conservative | 0.5-1% | 2% | 5% |

| Moderate | 1-2% | 4% | 10% |

| Degen | 2-5% | 10% | 25% |

Signal-Based Adjustments:

```

Final Size = Base Size Signal Strength (1 - Token Risk / 20) * Market Multiplier

Where:

• Signal Strength: 0.5-1.5 (weak to strong)
• Token Risk: 1-10 (lower is safer)
• Market Multiplier: 0.5 (volatile) to 1.2 (trending)

```

Output Format:

```

POSITION SIZE RECOMMENDATION

Token: $MEME

Signal Strength: 8/10

Token Risk Score: 4/10

Market Regime: BULL

RECOMMENDED SIZE:

├─ Percentage: 2.3% of portfolio

├─ Amount: $460 (of $20,000 portfolio)

├─ Max Allowed: $800 (4% limit)

└─ Risk-Adjusted: WITHIN LIMITS

REASONING:

1. Strong signal (8/10) supports above-average sizing
2. Low-medium risk token (4/10) allows full allocation
3. Bull market regime permits aggressive sizing
4. No correlation with existing positions

WARNINGS:

• Consider scaling in (3 tranches) vs single entry
• Set stop-loss at -25% ($345 max loss)

```

2. Portfolio Risk Metrics

Real-Time Portfolio Dashboard:

```

PORTFOLIO RISK DASHBOARD

═══════════════════════════════════════

POSITIONS (5 active):

Token | Size | PnL | Risk | Weight

$BONK | $4,200 | +$840 | 5/10 | 21%

$MEME | $3,100 | +$620 | 4/10 | 15.5%

$DOGE | $2,800 | -$140 | 3/10 | 14%

$WIF | $2,500 | +$1,250 | 6/10 | 12.5%

SOL | $7,400 | +$2,220 | 2/10 | 37%

───────────────────────────────────────

TOTAL | $20,000 | +$4,790 | | 100%

RISK METRICS:

├─ Daily VaR (95%): -$1,240 (-6.2%)

├─ Max Drawdown (30d): -18.3%

├─ Current Drawdown: 0% (at ATH)

├─ Sharpe Ratio (30d): 2.14

├─ Sortino Ratio: 2.87

├─ Beta to SOL: 1.34

CORRELATION MATRIX:

BONK MEME DOGE WIF SOL

BONK 1.00 0.82 0.71 0.78 0.65

MEME 0.82 1.00 0.68 0.85 0.61

DOGE 0.71 0.68 1.00 0.59 0.54

WIF 0.78 0.85 0.59 1.00 0.72

SOL 0.65 0.61 0.54 0.72 1.00

CONCENTRATION RISK:

├─ Top Position: 37% (SOL) - WITHIN LIMIT

├─ Top 3 Positions: 72.5% - HIGH

├─ Herfindahl Index: 0.23 - MODERATE

└─ Meme Exposure: 63% - HIGH

ALERTS:

⚠️ High correlation between MEME and WIF (0.85)

⚠️ Meme sector concentration above 50%

```

Risk Calculations:

```typescript

interface PortfolioRisk {

// Value at Risk

var_95: number; // 95% confidence daily VaR

var_99: number; // 99% confidence daily VaR

cvar_95: number; // Conditional VaR (expected shortfall)

// Performance Risk

sharpe_ratio: number;

sortino_ratio: number;

max_drawdown: number;

current_drawdown: number;

// Correlation Risk

avg_correlation: number;

max_correlation: number;

correlation_cluster: string[]; // Highly correlated groups

// Concentration Risk

herfindahl_index: number;

top_position_pct: number;

sector_concentrations: Record;

}

function calculateVaR(

positions: Position[],

confidence: number = 0.95,

horizon_days: number = 1

): number {

// Historical VaR using past 30 days of returns

const returns = getHistoricalReturns(positions, 30);

const portfolio_returns = calculatePortfolioReturns(returns, positions);

const sorted = portfolio_returns.sort((a, b) => a - b);

const index = Math.floor((1 - confidence) * sorted.length);

return sorted[index] getPortfolioValue(positions) Math.sqrt(horizon_days);

}

```

3. Dynamic Rebalancing

Rebalancing Triggers:

• Drift > 5% from target allocation
• Single position > max limit
• Correlation spike > 0.9 between positions
• Sector concentration > threshold
• Weekly scheduled review

Target Allocation Framework:

```typescript

interface AllocationTarget {

core_holdings: {

SOL: { target: 30, min: 20, max: 50 };

stablecoins: { target: 20, min: 10, max: 40 };

};

satellite_holdings: {

memes: { target: 30, min: 0, max: 50 };

defi: { target: 15, min: 0, max: 30 };

other: { target: 5, min: 0, max: 15 };

};

rebalance_threshold: 5; // % drift to trigger

}

```

Rebalancing Output:

```

REBALANCING RECOMMENDATION

Current vs Target Allocation:

Category | Current | Target | Drift | Action

SOL | 37% | 30% | +7% | SELL $1,400

Memes | 63% | 50% | +13% | SELL $2,600

Stables | 0% | 20% | -20% | BUY $4,000

SUGGESTED TRADES:

1. SELL 15% of BONK position ($630) → USDC
2. SELL 20% of WIF position ($500) → USDC
3. SELL 10% of SOL position ($740) → USDC
4. Keep MEME and DOGE positions
5. Convert sales to USDC stablecoin buffer

POST-REBALANCE PROJECTION:

├─ SOL: 31% (target: 30%)

├─ Memes: 48% (target: 50%)

├─ Stables: 21% (target: 20%)

└─ VaR Reduction: -18% (improved risk profile)

```

4. Automated Defensive Actions

Kill Switch System:

```typescript

interface KillSwitchConfig {

daily_loss_limit: number; // % of portfolio

weekly_loss_limit: number; // % of portfolio

position_loss_limit: number; // % per position

drawdown_limit: number; // % from peak

correlation_spike_action: 'alert' | 'reduce' | 'exit';

auto_execute: boolean;

}

const defaultKillSwitch: KillSwitchConfig = {

daily_loss_limit: 10, // Halt new trades at -10% day

weekly_loss_limit: 20, // Halt all activity at -20% week

position_loss_limit: 30, // Auto-close position at -30%

drawdown_limit: 25, // Emergency mode at -25% from peak

correlation_spike_action: 'alert',

auto_execute: false, // Require confirmation in Phase 1

};

```

Triggered Actions:

| Trigger | Action | Severity |

|---------|--------|----------|

| Position -25% | Stop-loss warning | MEDIUM |

| Position -30% | Auto-close (if enabled) | HIGH |

| Daily -10% | Halt new trades | HIGH |

| Weekly -20% | Exit to stables | CRITICAL |

| Drawdown -25% | Emergency liquidation | CRITICAL |

| Correlation > 0.95 | Reduce one position | MEDIUM |

Alert Output:

```

🚨 RISK ALERT: DAILY LOSS LIMIT APPROACHING

Current Day PnL: -8.7% ($-1,740)

Daily Limit: -10% ($-2,000)

Buffer Remaining: $260

TRIGGERED ACTIONS:

1. ⏸️ New trade execution PAUSED
2. ⚠️ Review all open positions
3. 📊 Increased monitoring frequency

RECOMMENDED:

• Review worst performing position (WIF: -15%)
• Consider partial exit if trend continues
• DO NOT average down

Type RESUME to re-enable trading

Type EXIT_ALL to liquidate positions

```

5. Scenario Analysis

Stress Testing:

```typescript

interface StressScenario {

name: string;

market_move: {

sol: number; // % change

memes: number; // % change vs SOL

correlation_shift: number;

};

probability: number;

}

const stressScenarios: StressScenario[] = [

{

name: 'SOL -30% Flash Crash',

market_move: { sol: -30, memes: -50, correlation_shift: 0.2 },

probability: 0.05,

},

{

name: 'Meme Rotation Out',

market_move: { sol: 0, memes: -40, correlation_shift: -0.1 },

probability: 0.10,

},

{

name: 'Bull Run Continuation',

market_move: { sol: 50, memes: 100, correlation_shift: 0 },

probability: 0.15,

},

{

name: 'Black Swan Event',

market_move: { sol: -60, memes: -80, correlation_shift: 0.3 },

probability: 0.01,

},

];

```

Stress Test Output:

```

STRESS TEST RESULTS

Current Portfolio Value: $20,000

SCENARIO | Portfolio Impact | Probability

SOL -30% Flash Crash | -$7,200 (-36%) | 5%

Meme Rotation Out | -$5,040 (-25%) | 10%

Bull Run Continuation | +$14,600 (+73%) | 15%

Black Swan Event | -$12,400 (-62%) | 1%

EXPECTED PORTFOLIO VALUE:

├─ Base Case: $20,000

├─ Expected (prob-weighted): $22,340 (+11.7%)

├─ Worst Case (99%): -$12,400 (-62%)

└─ VaR (95%, 30d): -$4,800 (-24%)

RISK ASSESSMENT:

⚠️ High sensitivity to meme rotation (-25% scenario)

⚠️ Black swan exposure significant (-62%)

✓ Positive expected value in base scenarios

✓ Bull case upside substantial (+73%)

RECOMMENDATION:

Consider hedging meme exposure with SOL puts or reducing

meme allocation by 10-15% to improve risk profile.

```

Risk Manager receives from:

• meme-trader: Signal strength, token risk scores
• meme-executor: Current positions, entry prices
• flow-tracker: Whale movements, liquidity data
• data-orchestrator: Validated price data, quality scores
• llama-analyst: Protocol fundamentals, TVL trends

Risk Manager provides to:

• meme-executor: Approved position sizes, stop-loss levels
• meme-trader: Position limits, available capital
• All skills: Portfolio state, risk alerts

```bash

# Calculate position size

npx tsx .claude/skills/risk-portfolio-manager/scripts/position-sizer.ts \

--signal 8 \

--risk-score 4 \

--portfolio-file ./portfolio.json \

--risk-mode moderate

# Get portfolio risk metrics

npx tsx .claude/skills/risk-portfolio-manager/scripts/risk-metrics.ts \

--portfolio-file ./portfolio.json \

--include-correlation \

--var-confidence 95

# Rebalancing recommendation

npx tsx .claude/skills/risk-portfolio-manager/scripts/rebalancer.ts \

--portfolio-file ./portfolio.json \

--target-allocation ./targets.json \

--threshold 5

# Run stress tests

npx tsx .claude/skills/risk-portfolio-manager/scripts/stress-test.ts \

--portfolio-file ./portfolio.json \

--scenarios default \

--output-format detailed

# Check kill switch status

npx tsx .claude/skills/risk-portfolio-manager/scripts/kill-switch.ts \

--portfolio-file ./portfolio.json \

--check-status

```

• Position sizing requires quality score >= 85% on price data
• VaR calculations require 30+ days of clean historical data
• Correlation matrix requires synchronized price data
• All recommendations include confidence levels
• No position sizing without rug detection check

• Missing price data: Use last known + stale warning
• Calculation error: Conservative fallback (minimum size)
• Kill switch conflict: Safety wins (halt > continue)
• Data quality insufficient: Reject sizing, request refresh

• references/risk-models.md - Mathematical formulas
• references/allocation-templates.md - Target portfolios
• scripts/position-sizer.ts - Sizing engine
• scripts/risk-metrics.ts - Risk calculations
• scripts/kill-switch.ts - Automated safety