Position Sizer

position-sizer

You hand over a basket of tickers and (optionally) per-name edges. The skill returns position sizes under four canonical methods, side-by-side, plus the portfolio-level vol, exposure, and binding constraints for each.

This is NOT alpha. The script doesn't pick names — you bring the names. It doesn't predict returns — you bring the edges (for Kelly). What it does is the descriptive math that says "given these names and these vols, here's how each sizing method allocates."

When to invoke

• PM has 3-15 names they want in the book; deciding how to weight
• Researcher wants to compare Kelly vs vol-target on the same basket
• Risk team checking that a proposed book sits inside a target vol
• A trader sanity-checking that the discretionary book they built by feel doesn't have one position dominating the variance budget

What you need

• 3-15 tickers (more is fine; risk-parity slows quadratically in N)
• MASSIVE_API_KEY exported

Optional:

• Edges per ticker (only needed for Kelly; e.g., "I think NVDA returns 15% annualized, AMZN 10%")
• Target vol (default 12%)
• Leverage cap (default 1.0x; Σ|w| ≤ cap across every method)
• Max single-position weight (default no cap)
• Vol estimator (default realized; ewma for RiskMetrics EWMA with configurable λ, default 0.94, that responds faster to recent regime shifts, so sizing cuts exposure into rising vol rather than lagging it)

What you get back

Two output layers from one analysis.

Layer 1: canonical JSON matching output-schema.json. Per-name vol + observation count, the raw and shrunk correlation matrices, every sizing method's full output (weights, portfolio vol, gross exposure, binding constraint), and tier_caveats for anything that got dropped or capped.

Layer 2: rendered side-by-side table. One row per ticker, one column per method, footer rows for Σ|w|, portfolio vol, and the binding constraint. The "Take" reads the actual numbers (highest-vol name in the basket, highest-edge-per-variance name, the risk-parity top weight) and explains what each method's tilt means in plain English. Pick the method whose worldview matches your conviction.

How it works

1. Pull daily aggs per ticker over --lookback-days (default 252 trading days). Massive's /v2/aggs/ticker/{T}/range/1/day/... endpoint with adjusted=true so dividends and splits don't contaminate the vol estimate.
2. Compute log returns close-to-close. Align all series to the intersection of date indices so the same N observations feed every pairwise correlation.
3. Drop short series. A ticker with fewer than 60 aligned trading days is excluded from the book; the caller is told in tier_caveats and tickers_excluded.
4. Per-name annualized vol via np.std(daily_returns, ddof=1) * sqrt(252).
5. Pairwise Pearson correlation matrix across the aligned panel, shrunk 5% toward identity: shrunk = 0.95 * empirical + 0.05 * I. This is enough to make nearly any 4-15 name matrix positive definite without distorting the cohort structure. See references/risk-parity.md.
6. Covariance from per-name vols and the shrunk correlation: Σ[i,j] = ρ[i,j] * σ_i * σ_j. One source of truth feeds every sizing method.
7. Run each requested method against the same Σ:
   • vol_target_weights (inverse-vol normalized, scaled to target vol)
   • fractional_kelly_weights (matrix form f = Σ⁻¹ μ, scaled)
   • risk_parity_weights (ERC iterative fixed-point)
   • equal_weights (1/N baseline) See references/vol-target.md, references/kelly.md, references/risk-parity.md.
8. Apply caps. Per-name max_weight cap iteratively redistributes excess to the uncapped names. Gross leverage_cap rescales the final book. The binding_constraint field on each method says which cap (if any) actually bound the result.
9. Generate the take. The narrative reads the actual numbers — which ticker has the highest vol, which has the best edge per variance, where risk-parity put the largest weight — and explains each method's worldview in those terms.

Foundations used

• massive-api-patterns for REST auth, rate limiting, the snapshot fallback chain conventions.

Output mode: table

A wide, scannable side-by-side table is the right canvas for "compare methods at a glance." Each column is one sizing method; each row is one ticker. The footer rows (Σ|w|, port vol, binding) summarize the book-level properties. The take is the narrative bridge from the table to the decision. See references/ for the per-method methodology.

MC mode

N/A. This skill is the position-sizer, not the Monte Carlo. For distribution-of-outcomes sweeps see valuation-sanity-check --mc.

Endpoints used

• GET /v2/aggs/ticker/{ticker}/range/1/day/{from}/{to}?adjusted=true Daily aggregates per ticker. One call per ticker per run.

Verify endpoint paths against current docs at massive.com/docs before shipping; field names and versions shift.

Doesn't handle (yet)

• Long-only v1. Kelly's matrix form can produce negative weights when one name's edge is dominated by another's. v1 floors negative signals at zero and surfaces a negative_signals_floored: true flag. A long-short v2 PR is the obvious extension; queued.
• Options-implied vol. --vol ewma gets you a regime-responsive vol from the realized series. Fully forward-looking vol from the options chain (ATM IV) would be more honest at the cost of pulling the chain per name. Queued for v2.
• Single horizon. All methods assume the user's holding horizon matches the lookback window's regime. A multi-horizon view (e.g., 60-day vol vs 252-day vol) would show how regime-sensitive each method is; queued.
• No transaction-cost penalty. The methods produce target weights but don't account for the cost of rebalancing from current to target. Pairing this skill with slippage-cost covers that gap.
• Correlation is in-sample. No shrinkage to a peer-derived prior; no factor-model decomposition. The 5% identity-shrink keeps the matrix PD without baking in a view on the true correlation structure. Documented in references/risk-parity.md.

These are clean PR extensions. The output schema reserves space for each so adding them later doesn't break consumers.