| name | Factor Risk & Adversarial Simulator |
| description | Institutional-grade management of systemic risk, hidden correlations, and black-swan stress testing. |
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.
