Risk Portfolio Manager - AI-Driven Risk Control
Systematic risk management layer that sits between signal generation and trade execution. Uses data-driven approaches to optimize position sizing, manage portfolio risk, and automate defensive actions.
Core Principle
Position sizing and risk management determine long-term survival. No single trade should threaten the portfolio.
Activation Triggers
Core Capabilities
1. Position Sizing Engine
<position_sizing> Sizing Methods:
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)
</position_sizing>
2. Portfolio Risk Metrics
<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:
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<string, number>;
}
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);
}
</risk_metrics>
3. Dynamic Rebalancing
Target Allocation Framework:
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 ($740) → USDC
4. Keep MEME and DOGE positions
5. Convert sales to USDC stablecoin buffer
POST-REBALANCE PROJECTION:
├─ SOL: 31% (target: 30%)
├─ Memes: 48% (target: 50%)
├─ Stables: 21% (target: 20%)
└─ VaR Reduction: -18% (improved risk profile)
4. Automated Defensive Actions
<defensive_actions> Kill Switch System:
interface KillSwitchConfig {
daily_loss_limit: number; // % of portfolio
weekly_loss_limit: number; // % of portfolio
position_loss_limit: number; // % per position
drawdown_limit: number; // % from peak
correlation_spike_action: 'alert' | 'reduce' | 'exit';
auto_execute: boolean;
}
const defaultKillSwitch: KillSwitchConfig = {
daily_loss_limit: 10, // Halt new trades at -10% day
weekly_loss_limit: 20, // Halt all activity at -20% week
position_loss_limit: 30, // Auto-close position at -30%
drawdown_limit: 25, // Emergency mode at -25% from peak
correlation_spike_action: 'alert',
auto_execute: false, // Require confirmation in Phase 1
};
Triggered Actions:
| Trigger | Action | Severity |
|---|---|---|
| Position -25% | Stop-loss warning | MEDIUM |
| Position -30% | Auto-close (if enabled) | HIGH |
| Daily -10% | Halt new trades | HIGH |
| Weekly -20% | Exit to stables | CRITICAL |
| Drawdown -25% | Emergency liquidation | CRITICAL |
| Correlation > 0.95 | Reduce one position | MEDIUM |
Alert Output:
🚨 RISK ALERT: DAILY LOSS LIMIT APPROACHING
Current Day PnL: -8.7% ($-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
</defensive_actions>
5. Scenario Analysis
<scenario_analysis> Stress Testing:
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.
</scenario_analysis>
Integration Points
Risk Manager provides to:
- meme-executor: Approved position sizes, stop-loss levels
- meme-trader: Position limits, available capital
- All skills: Portfolio state, risk alerts
CLI Usage
# 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
Quality Gates
<validation_rules>
- 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 </validation_rules>
Error Handling
<error_recovery>
- 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 </error_recovery>
<see_also>
- 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 </see_also>