position-size

position-size

Tier: 0 (safe, no live money)
Trigger: Pre-trade, on-demand
MCP Tool: run_algoclaw_skill("position-size", {"symbol":"MNQ","entry":18050,"stop":17990,"capital":50000})

What It Does

Computes optimal position size using multiple methods, returns the conservative minimum.

1. R-Multiple (Van Tharp): (capital × risk_pct) / (entry - stop) per tick × tick_value
2. Volatility-Targeted (Carver/pysystemtrade): (target_vol × capital) / (realized_vol × notional_per_contract)
3. Conservative dual: min(R-multiple, vol-targeted)
4. IDM check: if symbol is correlated with another active position, apply IDM reduction

Steps

1. Call compute_r_multiple_size(symbol, entry, stop, capital, risk_pct=1.0)
2. Call compute_volatility_targeted_size(symbol, current_price, annualized_vol_pct, capital)
3. Call compute_idm(instruments=[symbol, ...active_positions...]) if >1 active instrument
4. Return conservative minimum with explanation

Output Format

{
  "symbol": "MNQ",
  "entry": 18050,
  "stop": 17990,
  "capital": 50000,
  "methods": {
    "r_multiple": {
      "contracts": 2,
      "r_points": 60,
      "r_dollars": 120,
      "risk_dollars": 500,
      "risk_pct": 1.0
    },
    "vol_targeted": {
      "contracts": 2,
      "target_vol_pct": 20,
      "realized_vol_pct": 18.5
    }
  },
  "idm": {
    "applied": false,
    "reason": "MNQ is only active instrument"
  },
  "recommended": 2,
  "method_used": "r_multiple (both methods agree)",
  "r_multiple_targets": {"1R": 500, "2R": 1000, "3R": 1500}
}