What data format is required for analysis?

The skill requires a CSV file with a date column (named ds, date, or timestamp) and a price column (named y, price, or close).

Can it help with position sizing for different risk appetites?

Yes, it supports Fixed Fractional, Volatility Adjusted, VaR-Based, and Kelly Criterion sizing models to match conservative or aggressive trading styles.

Does it generate visual charts?

Yes, the skill produces visualizations for price drawdowns, rolling volatility, and return distributions as PNG files alongside a detailed Markdown report.

What metrics does the Market Risk Analyzer calculate?

It calculates Value at Risk (VaR) at multiple confidence levels, CVaR, annualized volatility, maximum drawdown, Sharpe/Sortino ratios, and various position sizing recommendations.

Do I need a Nixtla API key to use this skill?

No, the core risk analysis and position sizing work with standard Python libraries. A NIXTLA_TIMEGPT_API_KEY is only required for advanced TimeGPT-powered volatility forecasting.

Market Risk Analyzer

Name: Market Risk Analyzer
Author: intent-solutions-io

byintent-solutions-io

データサイエンスとML

Calculates Value at Risk (VaR), volatility metrics, and optimal position sizes to manage investment risk and portfolio allocation.

概要

The Market Risk Analyzer skill empowers Claude to perform sophisticated financial risk modeling directly within the development environment. It calculates essential metrics such as Value at Risk (VaR), Conditional VaR (CVaR), and Sharpe ratios while providing actionable position sizing recommendations based on methodologies like the Kelly Criterion and volatility targeting. Whether analyzing traditional stocks or high-volatility prediction market contracts, this skill generates comprehensive markdown reports and visual charts to help users make data-driven investment decisions using historical and forecasted data.

主な機能

Supports optional TimeGPT integration for advanced volatility forecasting
0 GitHub stars
Calculates 95% and 99% Value at Risk (VaR) and CVaR metrics
Performs volatility regime classification and maximum drawdown analysis
Provides multi-method position sizing including Kelly Criterion and Volatility Targeting
Generates comprehensive Markdown reports with embedded data visualizations

ユースケース

Assessing the risk profile of individual stocks or crypto assets
Determining optimal trade sizes based on account equity and risk appetite
Generating professional risk reports for investment strategies and portfolio audits

概要

主な機能

Supports optional TimeGPT integration for advanced volatility forecasting
0 GitHub stars
Calculates 95% and 99% Value at Risk (VaR) and CVaR metrics
Performs volatility regime classification and maximum drawdown analysis
Provides multi-method position sizing including Kelly Criterion and Volatility Targeting
Generates comprehensive Markdown reports with embedded data visualizations

ユースケース

Assessing the risk profile of individual stocks or crypto assets
Determining optimal trade sizes based on account equity and risk appetite
Generating professional risk reports for investment strategies and portfolio audits