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VIX-based position sizing, circuit breakers, and capital shift suppression
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Basé sur la classification professionnelle SOC
| name | vix-scaled-risk-management |
| description | VIX-based position sizing, circuit breakers, and capital shift suppression |
| author | Claude Code |
| date | "2026-02-24T00:00:00.000Z" |
| version | 4.4.0 |
| Item | Details |
|---|---|
| Date | 2026-02-24 |
| Goal | Add macro-aware risk scaling to position sizing, circuit breakers, and capital shifts |
| Environment | Python 3.11+, OpenBB FRED provider |
| Status | Success |
Position sizing had no macro awareness — during VIX=40 panic, positions were sized the same as VIX=12 calm. VIX spikes correlate with 40-60% of max drawdown events.
integrated_risk.py)Step 8 in calculate_position_size(), between correlation adjustment and capital limits:
# VIX regime scaling (linear interpolation within bands)
VIX < 15: scale = 1.00 (normal)
VIX 15-25: scale = 0.85 (elevated, linear)
VIX 25-35: scale = 0.65 (high, linear)
VIX > 35: scale = 0.40 (panic, linear)
IntegratedPositionSize.macro_risk_scale field tracks the applied scaleget_risk_summary() includes vix_level and macro_risk_scale_last_vix, _last_vix_scale) with refresh on each callrisk_monitor.py)# CircuitBreakerConfig additions
vix_warning_threshold = 30.0 # Warning alert
vix_critical_threshold = 40.0 # Circuit breaker alert
# RealTimeRiskMonitor.check_vix_level() -> List[RiskAlert]
capital_shift.py)# At top of should_shift_capital():
if vix > 30.0:
return False, "vix_suppressed"
# Prevents shifting equity capital to crypto during correlated panic
| Attempt | Why it Failed | Lesson Learned |
|---|---|---|
| Fixed VIX thresholds (step function) | Abrupt position size jumps at boundaries | Linear interpolation within bands is smoother |
Patching at integrated_risk.get_openbb_provider | Module-level lazy import not found | Must patch at alpaca_trading.data.openbb_provider.get_openbb_provider |
# VIX bands and scales
VIX_BANDS = [(15, 1.0), (25, 0.85), (35, 0.65), (float('inf'), 0.40)]
# Circuit breaker thresholds
VIX_WARNING = 30.0
VIX_CRITICAL = 40.0
# Capital shift suppression
VIX_SHIFT_SUPPRESS = 30.0
| File | Change |
|---|---|
alpaca_trading/risk/integrated_risk.py | VIX scaling in calculate_position_size() Step 8 |
alpaca_trading/risk/risk_monitor.py | check_vix_level() method, CircuitBreakerConfig fields |
alpaca_trading/risk/capital_shift.py | VIX suppression at top of should_shift_capital() |
tests/test_openbb_integration.py | 15 tests for VIX scaling, circuit breaker, suppression |
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