Is the Kelly criterion implementation safe for live trading?

Yes, it implements a 'Half-Kelly' strategy which is a widely accepted conservative variant, further protected by hard bounds that limit any single position to between 5% and 25% of available capital.

Does this skill work with specific trading platforms?

While the logic is mathematical, the provided implementation is designed to integrate seamlessly with Alpaca trading environments and common Python risk management patterns.

How does the skill handle market volatility?

It uses dynamic, percentile-based volatility thresholds rather than static percentages. This allows the system to classify market regimes (Low, Normal, High, Extreme) relative to historical context.

What is the benefit of quadratic drawdown scaling?

Unlike linear scaling which reduces position size gradually, quadratic scaling becomes significantly more aggressive as you approach your maximum drawdown limit, providing a stronger safety net for your capital.

Integrated Risk Manager

Name: Integrated Risk Manager
Author: smith6jt-cop

bysmith6jt-cop

データサイエンスとML

Implement unified position sizing and sophisticated risk management for trading algorithms using GARCH, Kelly criterion, and quadratic drawdown scaling.

概要

The Integrated Risk Manager skill provides a robust framework for quantitative trading by unifying GARCH volatility modeling, capital constraints, and portfolio risk limits into a single coherent system. It resolves common conflicts between independent risk modules by applying a standardized sizing pipeline that includes half-Kelly optimization, dynamic percentile-based volatility thresholds, and correlation penalties. This skill is particularly useful for developers building production-grade trading bots where capital preservation is paramount, offering advanced features like quadratic drawdown scaling to protect equity more aggressively as loss limits are approached.

主な機能

Unified position sizing integrating GARCH, Capital, and Portfolio risk systems.
0 GitHub stars
Quadratic drawdown scaling that applies aggressive protection before reaching max limits.
Conservative Half-Kelly criterion with bounded capital allocation (5% to 25%).
Dynamic percentile-based volatility thresholds for adaptive market regime classification.
Graduated profit inclusion logic to prevent capital calculation errors on winning days.

ユースケース

Quantitative strategy development using Alpaca or similar financial APIs.
Risk management optimization for algorithmic portfolios sensitive to volatility regimes.
Automated trading bots requiring sophisticated, multi-factor position sizing.

概要

主な機能

Unified position sizing integrating GARCH, Capital, and Portfolio risk systems.
0 GitHub stars
Quadratic drawdown scaling that applies aggressive protection before reaching max limits.
Conservative Half-Kelly criterion with bounded capital allocation (5% to 25%).
Dynamic percentile-based volatility thresholds for adaptive market regime classification.
Graduated profit inclusion logic to prevent capital calculation errors on winning days.

ユースケース

Quantitative strategy development using Alpaca or similar financial APIs.
Risk management optimization for algorithmic portfolios sensitive to volatility regimes.
Automated trading bots requiring sophisticated, multi-factor position sizing.