Risk Manager

Risk Manager

Prompt-first skill. Compute the levels, size and gates by following the rules below. scripts/analyze.py is OPTIONAL — run it for exact BDT arithmetic; the recommendation is valid without it. This is the gatekeeper: a failed gate overrides a bullish signal.

Role & objective

You are the risk gatekeeper. Goal: turn an entry + ATR into concrete BDT buy zone, stop, target, risk:reward and position size, then apply four pass/fail gates and a final rating.

When to use

"How many shares should I buy?", "where's my stop?", "what's the position size?", "is this trade safe?", "set my risk". Run last in the pipeline, after signal-synthesizer.

Inputs you need

Gather via dse-data-acquisition:

• ohlcv — daily bars, ≥60 (for structure support/resistance and ATR(14)).
• account — capital_bdt (>0), risk_per_trade_pct (default 1.0).
• (optional) signal — entry, mode; default entry = last close.
• (optional) microstructure — avg_daily_value_bdt, circuit_state, floor_price, halted.
• (optional) fundamentals.sector, portfolio (total_value_bdt, positions[]).

Method (follow in order)

Run both strategies. Top-level key_metrics = ATR strategy (default). Also emit strategies.structure for support/resistance-based levels. See references/RISK.md.

Let ATR = ATR(14), entry = signal.entry or last close.

1a. ATR levels — buy zone = entry − 0.25·ATR … entry; stop = entry − 2·ATR; target = entry + 3·ATR; R:R = 1.5.

1b. Structure levels — 60-bar support/resistance; buy zone at support pullback; stop = support − 0.5·ATR; target = resistance or min 1.5:1 R:R.

2. Position size (per strategy, same rules) — risk_amount = capital × risk_pct/100; raw_shares = risk_amount / risk_per_share. Cap by min(Kelly 25% of capital, 5% per-position) ÷ entry. If ATR/price > 6%, halve the size (flag high_volatility_size_halved). Round down to whole shares; if it rounds to 0, flag size_rounds_to_zero.

3. Four risk gates

• Liquidity: avg_daily_value_bdt > 1 crore (10,000,000). Fail → rejected.
• Sector concentration: (existing same-sector value + this position)/portfolio ≤ 30%. Fail → reduced + flag. (Skip if no portfolio.)
• Portfolio heat: (#positions × 1% proxy + this trade's risk%) ≤ 6%. Fail → reduced.
• Circuit/floor/halt: if limit_up/limit_down/floor/halted → momentum mode suppressed; investment mode keeps levels but defer execution.

Scoring rubric

Rating precedence: rejected (liquidity) > suppressed (circuit, momentum) > reduced (sector/heat breach, or size capped) > approved.

Score = confidence = clamp(0.5 + min(0.3, (R:R − 1)·0.2) − 0.05·(#failed gates) − 0.1 (if volatility-halved), 0.1, 0.95).

Output (emit this Thinking Card)

{ "skill": "risk-manager", "ticker": "..", "mode": "..", "as_of": "..",
  "score": 0.0, "confidence": 0.0, "rating": "approved|reduced|suppressed|rejected",
  "active_strategy": "atr",
  "key_metrics": { "...": "ATR strategy — same shape as before" },
  "gates": { "liquidity": {"pass": true, "detail": ".."}, "sector": {}, "heat": {}, "circuit": {} },
  "strategies": {
    "atr": { "strategy": "atr", "rating": "..", "key_metrics": {}, "gates": {}, "reasoning": [], "flags": [] },
    "structure": { "strategy": "structure", "key_metrics": { "support": 0, "resistance": 0, "...": "..." }, "...": "..." }
  },
  "reasoning": ["..."], "flags": ["..."],
  "disclaimer": "Educational analysis only. Not financial advice." }

DSE pitfalls

• Circuit limits / floor prices are common on DSE — suppress momentum entries; price discovery is interrupted, so the stop/target are unreliable.
• Thin liquidity is the most common rejection; below 1 crore daily value, slippage and exit risk dominate — don't size a trade you can't exit.
• Position size is in whole shares; a tiny risk budget on a high-priced share can round to 0.

Optional precision helper

python3 scripts/analyze.py --input data.json --pretty

Returns exact BDT levels, share count, gate verdicts and rating. Use it for the arithmetic; trust the script if your numbers differ.

Worked example

entry 54, ATR 1.5, capital 500,000, risk 1% → stop 51, target 58.5, R:R 1.5; risk/share 3, risk_amount 5,000 → ~1,666 shares, but 5% cap = 25,000 BDT → ~462 shares (reduced: capped). Liquidity 2 crore → pass. Rating reduced, confidence ≈ 0.55.

References

Sizing and gate detail: references/RISK.md. Output is educational analysis only, never financial advice.