| name | shadow-size-position |
| description | Size a trading position with FinPos discipline. Takes a direction from an upstream Judge (long / short / no_op), a bankroll, a volatility regime, and Kelly parameters — returns a fund/skip verdict with Kelly-cap- respecting, drawdown-adjusted position size. Never emits a direction (that's the Judge's job upstream). Cross-vertical wire format identical to the Orallexa Python engine so banking + trading audit trails share one schema.
|
| version | 1.0.1 |
| author | Alex Xiaoyu Ji |
| authors | ["Alex Xiaoyu Ji <xji1@mail.yu.edu>"] |
| license | MIT |
| repo | https://github.com/alex-jb/shadow-mentor |
| tags | ["shadow","trading","trader-pack","kelly","finpos","position-sizing","risk-sizer"] |
| scope | shadow:council |
| depends_on | ["shadow_size_position MCP tool (v1.5.15+)","orallexa engine/risk_sizer.py (Python source of truth)"] |
Shadow Size Position (trader-pack)
Position sizing with direction/sizing separation. Direction is an input.
When to use
The user's request combines all of:
- A stated direction — long, short, or no_op.
- Bankroll in USD.
- Volatility regime — low, medium, high.
- Kelly parameters — historical win rate (0–1), average win %, average loss %.
Optional but recommended:
current_drawdown_pct — will shrink position size linearly if provided.max_kelly_cap — defaults to 0.25 (25% of bankroll) if not specified.
If any of the four required inputs is missing, ask for it. Do not fabricate a Kelly p_win.
What it does
Calls shadow_size_position MCP tool. Under the hood:
- Kelly notional — fractional Kelly (default 0.5 = half-Kelly) computed from p_win + R:R ratio.
- Max cap — hard-limits at
max_kelly_cap × bankroll. If Kelly says 40% but cap is 25%, cap wins.
- Volatility scalar — low = 1.0, medium = 0.7, high = 0.4. Multiplied into the cap-limited notional.
- Drawdown adjustment — shrinks linearly toward zero as drawdown approaches max tolerable.
- Round to cents — final position_usd is a real dollar amount.
Returns:
{
"voice": "Risk Sizer",
"verdict": "fund" | "skip",
"position_usd": 350.00,
"kelly_notional": 500.00,
"volatility_scalar": 0.7,
"rationale": "Kelly=500 (p_win=0.55, R=2:1); capped at 25%=2500; volatility=medium scalar=0.70; drawdown-adjusted final=350. Direction was fixed by Judge upstream.",
"metrics": { ... }
}
The named invariants
- Never emits a direction. The output has no
direction field. metrics.direction echoes the input for audit only.
no_op short-circuits to skip. Position_usd is null. Kelly is not computed.- Negative Kelly skips cleanly. If p_win is too low relative to R:R, verdict is skip and rationale cites the specific p_win / R:R that failed break-even.
- Cap always wins over Kelly. Even if half-Kelly says 40%, max_kelly_cap of 25% wins.
Contract test coverage in test/trader-pack-risk-sizer-contract.test.js (7 tests, mirrors Orallexa Python).
Approval boundary
If the Judge that supplied direction had verdict=escalate or verdict=block, the sizer should not fire. The trader-pack contract puts direction upstream — no direction, no sizing. This skill assumes the caller enforces that.
Non-goals
- Not a directional signal. Never opines on whether to buy or sell.
- Not a portfolio-level VaR or concentration limit.
- Not a broker or execution surface.
- Not a full trading system. Pairs with an upstream Judge.
Reference
- FinPos: arXiv 2510.27251.
lib/personas/trader-pack/risk-sizer.js — the JS implementation.- Orallexa
engine/risk_sizer.py — byte-identical Python.
