Factor Risk Adversarial Simulator

Portfolio Risk Skill

This skill is the "Shield" of the Titan system. Its only job is SURVIVAL. Follow these protocols for every active portfolio:

1. The Dynamic Sizing Protocol

Institutional sizing is never static.

• Call scripts/dynamic_kelly_allocator.py whenever a new alpha signal is received.
• Correlation Penalty: If the new symbol has a correlation > 0.7 with active positions, REDUCE the suggested volume by 50%.
• Equity Kill-Switch: If the daily drawdown exceeds 5%, BLOCK all new entries regardless of alpha strength.

2. Adversarial Protocol

• Call scripts/adversarial_simulator.py weekly.
• Monte Carlo Chaos: Randomize execution slippage, latency, and spreads to see if the strategy remains profitable under "Worst Case" conditions.
• Black Swan Shocks: Simulate events like the 2015 SNB Crash or 2020 Covid Gap on current positions.

Core Tools:

• scripts/factor_exposure_auditor.py: PCA-based correlation auditor (DONE).
• scripts/black_swan_tester.py: Historical shock simulator (DONE).
• scripts/dynamic_kelly_allocator.py: Correlation-adjusted sizing logic.
• scripts/adversarial_simulator.py: Monte Carlo chaos engine.

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