position-sizing

Name: position-sizing
Author: SKE-Labs

15stars2forks

How to install position-sizing?

ske-labs/agent-trading-skills/position-sizing

$npx -y skills add SKE-Labs/agent-trading-skills --skill position-sizing

Installs into the current project.

Summary

Calculate risk-based position sizes using fixed %, fractional Kelly, ATR-hybrid, or volatility methods. Use when determining trade size, managing account risk, adjusting for correlated positions, or standardizing risk across trades.

Files · 1

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SKILL.md

1	# Position Sizing
2
3	Position sizing determines how much capital to risk per trade -- the single most important factor in long-term survival.
4
5	## Sizing Methods
6
7	### 1. Fixed Percentage Risk (Default)
8
9	`Quantity = Risk Budget / (abs(Entry - Stop) × contract multiplier + estimated per-unit stop slippage/cost)`
10
11	Example: $10,000 account, 1% risk, entry $100, stop $95 => $100 / $5 = 20 shares.
12
13	### 2. Volatility-Based (ATR)
14
15	`Position Size = (Account x Risk%) / (ATR x Multiplier)`
16
17	Select and validate the ATR multiple per instrument and strategy. Wider stops reduce quantity for the same risk budget; they do not create safety by themselves.
18
19	### 3. ATR-Hybrid
20
21	Combines fixed % risk with ATR-based stop distance: `Position Size = (Account x Risk%) / (ATR x Multiplier)`. Adapts to volatility while maintaining consistent dollar risk per trade.
22
23	### 4. Fractional Kelly Criterion
24
25	`Full Kelly % = W - (1 - W) / R` where W = win rate, R = avg win / avg loss.
26
27	Kelly assumes a positive edge and sufficiently known outcome distribution. Estimate uncertainty, nonstationarity, tail loss, dependence, and constraints; use a conservative fraction only if mandate-approved and cap it by drawdown, liquidity, margin, and concentration limits. Otherwise use the fixed risk budget.
28
29	## Method Selection
30
31	Default to the portfolio's remaining dollar-risk budget and a structural/volatility stop. Use volatility scaling for comparable risk across assets. Consider fractional Kelly only with stable, net-of-cost, distribution-level evidence; never choose sizing from trade style or a small win-rate sample.
32
33	## Risk Limits
34
35	Read single-trade, strategy, factor, venue, margin, daily, and drawdown limits from the portfolio mandate. Include existing orders/positions, correlated gap scenarios, borrow/funding, and scheduled-event stress. If a limit is unavailable, do not manufacture one—request it or return no size.
36
37	## Workflow
38
39	1. Get entry and stop loss from the technical analyst's analysis
40	2. Check committed risk and balance via `get_portfolio_risk_state()` (remaining R budget, margin used)
41	3. Check for correlated positions -- are existing positions in correlated assets?
42	4. Select sizing method from mandate and validated strategy assumptions
43	5. Preview the size via `preview_position_size(symbol=<symbol>, side=<BUY\|SELL>, entry=<entry>, stop_loss=<stop>, risk_usd=<dollars>)` — returns quantity, leverage, notional. Use it to sanity-check before creating the insight.
44	6. Verify all limits -- single trade, aggregate factor/scenario loss, liquidity, margin, and drawdown budget
45	7. Stress events -- size to the approved gap scenario or return no trade when risk is unbounded
46	8. Create the insight via `create_trading_insight(symbol, side, entry, stop_loss, take_profits, trade_type, risk_usd=<dollars>)` — sizing is recomputed server-side; `preview_position_size` is advisory only.
47
48	## Evidence and Validation
49
50	- Treat the setup as a testable hypothesis, not a prediction. Define thresholds, entry, invalidation, and exit before evaluating outcomes.
51	- Calibrate on the same instrument, venue, session, and timeframe. Use closed candles and a held-out or walk-forward sample; record every variant tried.
52	- Include spread, fees, slippage, borrow or funding, partial fills, and latency. Reject the setup when net expectancy is not positive or depends on one narrow parameter.
53	- Return observed inputs, missing data, cost assumptions, entry, invalidation, exit, and a valid, watch, or no-trade status.
54	- Research basis: [Kelly's original paper](https://onlinelibrary.wiley.com/doi/abs/10.1002/j.1538-7305.1956.tb03809.x) assumes known probabilities and repeated favorable bets; [risk-constrained Kelly](https://web.stanford.edu/~boyd/papers/kelly.html) adds explicit drawdown control.
55
56	## Key Rules
57
58	- Do not use Kelly without positive, stable, net-of-cost edge estimates and uncertainty controls.
59	- NEVER size based on conviction -- "I'm really sure" is not a sizing method
60	- NEVER increase size after losses to "make it back" -- revenge sizing is the fastest path to ruin
61	- Size scheduled-event exposure from the mandate's gap/stress loss.
62	- Aggregate correlated and common-factor positions with current estimates and adverse scenarios.
63	- Use the same method consistently; do not switch based on recent results
64	- Round down to executable lot size and recheck notional, margin, stop slippage, and residual risk.
65
66	## Related Skills
67
68	- correlation-risk -- correlated positions must be sized as combined exposure
69	- stop-loss-strategies -- stop distance is a direct input to position size calculation

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position-sizing

15stars2forks

View on GitHub

How to install position-sizing?

ske-labs/agent-trading-skills/position-sizing

$npx -y skills add SKE-Labs/agent-trading-skills --skill position-sizing

Installs into the current project.

Summary

Files · 1

View on GitHub

SKILL.md

1	# Position Sizing
2
3	Position sizing determines how much capital to risk per trade -- the single most important factor in long-term survival.
4
5	## Sizing Methods
6
7	### 1. Fixed Percentage Risk (Default)
8
9	`Quantity = Risk Budget / (abs(Entry - Stop) × contract multiplier + estimated per-unit stop slippage/cost)`
10
11	Example: $10,000 account, 1% risk, entry $100, stop $95 => $100 / $5 = 20 shares.
12
13	### 2. Volatility-Based (ATR)
14
15	`Position Size = (Account x Risk%) / (ATR x Multiplier)`
16
17	Select and validate the ATR multiple per instrument and strategy. Wider stops reduce quantity for the same risk budget; they do not create safety by themselves.
18
19	### 3. ATR-Hybrid
20
21	Combines fixed % risk with ATR-based stop distance: `Position Size = (Account x Risk%) / (ATR x Multiplier)`. Adapts to volatility while maintaining consistent dollar risk per trade.
22
23	### 4. Fractional Kelly Criterion
24
25	`Full Kelly % = W - (1 - W) / R` where W = win rate, R = avg win / avg loss.
26
27	Kelly assumes a positive edge and sufficiently known outcome distribution. Estimate uncertainty, nonstationarity, tail loss, dependence, and constraints; use a conservative fraction only if mandate-approved and cap it by drawdown, liquidity, margin, and concentration limits. Otherwise use the fixed risk budget.
28
29	## Method Selection
30
31	Default to the portfolio's remaining dollar-risk budget and a structural/volatility stop. Use volatility scaling for comparable risk across assets. Consider fractional Kelly only with stable, net-of-cost, distribution-level evidence; never choose sizing from trade style or a small win-rate sample.
32
33	## Risk Limits
34
35	Read single-trade, strategy, factor, venue, margin, daily, and drawdown limits from the portfolio mandate. Include existing orders/positions, correlated gap scenarios, borrow/funding, and scheduled-event stress. If a limit is unavailable, do not manufacture one—request it or return no size.
36
37	## Workflow
38
39	1. Get entry and stop loss from the technical analyst's analysis
40	2. Check committed risk and balance via `get_portfolio_risk_state()` (remaining R budget, margin used)
41	3. Check for correlated positions -- are existing positions in correlated assets?
42	4. Select sizing method from mandate and validated strategy assumptions
43	5. Preview the size via `preview_position_size(symbol=<symbol>, side=<BUY\|SELL>, entry=<entry>, stop_loss=<stop>, risk_usd=<dollars>)` — returns quantity, leverage, notional. Use it to sanity-check before creating the insight.
44	6. Verify all limits -- single trade, aggregate factor/scenario loss, liquidity, margin, and drawdown budget
45	7. Stress events -- size to the approved gap scenario or return no trade when risk is unbounded
46	8. Create the insight via `create_trading_insight(symbol, side, entry, stop_loss, take_profits, trade_type, risk_usd=<dollars>)` — sizing is recomputed server-side; `preview_position_size` is advisory only.
47
48	## Evidence and Validation
49
50	- Treat the setup as a testable hypothesis, not a prediction. Define thresholds, entry, invalidation, and exit before evaluating outcomes.
51	- Calibrate on the same instrument, venue, session, and timeframe. Use closed candles and a held-out or walk-forward sample; record every variant tried.
52	- Include spread, fees, slippage, borrow or funding, partial fills, and latency. Reject the setup when net expectancy is not positive or depends on one narrow parameter.
53	- Return observed inputs, missing data, cost assumptions, entry, invalidation, exit, and a valid, watch, or no-trade status.
54	- Research basis: [Kelly's original paper](https://onlinelibrary.wiley.com/doi/abs/10.1002/j.1538-7305.1956.tb03809.x) assumes known probabilities and repeated favorable bets; [risk-constrained Kelly](https://web.stanford.edu/~boyd/papers/kelly.html) adds explicit drawdown control.
55
56	## Key Rules
57
58	- Do not use Kelly without positive, stable, net-of-cost edge estimates and uncertainty controls.
59	- NEVER size based on conviction -- "I'm really sure" is not a sizing method
60	- NEVER increase size after losses to "make it back" -- revenge sizing is the fastest path to ruin
61	- Size scheduled-event exposure from the mandate's gap/stress loss.
62	- Aggregate correlated and common-factor positions with current estimates and adverse scenarios.
63	- Use the same method consistently; do not switch based on recent results
64	- Round down to executable lot size and recheck notional, margin, stop slippage, and residual risk.
65
66	## Related Skills
67
68	- correlation-risk -- correlated positions must be sized as combined exposure
69	- stop-loss-strategies -- stop distance is a direct input to position size calculation

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