sizing

Compute position sizes using Kelly gate, Black-Litterman allocation, and cluster caps.

1|Updated Apr 21, 2026

Search Tags:#risk-management #portfolio-management #sizing #kelly #black-litterman #phase-rules

Ready to run

npx skills add https://github.com/y0n1n1/financial-skills --skill sizing-y0n1n1

💬 Prompt for ChatGPT / Claude Chat▼

Please help me install this Agent Skill.
Skill: sizing
Source: https://github.com/y0n1n1/financial-skills/tree/main/sizing
Command: npx skills add https://github.com/y0n1n1/financial-skills --skill sizing-y0n1n1

SYSTEM DOCUMENTATION & REQUIREMENTS

What problem does it solve?

Determine optimal position sizing for a ticker or portfolio using a disciplined three-tool framework: Kelly pre-filter gate, Black-Litterman allocation, and cluster cap failsafe.

Core Features & Use Cases

Implements a deterministic sizing workflow that applies Kelly gate, BL posterior, and cluster caps to compute final weights in GBP.
Supports single-stock sizing with /sizing NVDA and portfolio-wide sizing with /sizing, with clear phase and risk constraints.
Produces auditable outputs including final weights, risk metrics, and a transparent log of cap adjustments.

Quick Start

Run the sizing command for a single ticker (NVDA) or for the full portfolio to generate final weights and risk metrics.

Frequently Asked Questions about sizing

High-intent search queries and answers about installing and using this skill.

FAQPage Schema

How do I calculate optimal position sizing for a single stock?▼

Calculate position sizing by applying a Kelly gate pre-filter, a Black-Litterman posterior allocation, and cluster cap constraints to produce defensible final weights and risk metrics for a single ticker.

What is the best way to enforce risk management rules when allocating portfolio weights?▼

Portfolio risk management is enforced through non-negotiable rules: a positive Kelly gate, fixed cluster caps, and no auto-trading, ensuring the Black-Litterman allocation remains auditable and within safe boundaries.

How does the Kelly criterion gate work with Black-Litterman allocation?▼

The Kelly criterion gate works with Black-Litterman allocation by acting as a pre-filter that blocks assets failing the positive Kelly threshold, after which the Black-Litterman model computes posterior weights subject to cluster cap failsafes.

Can I run full-portfolio sizing across multiple tickers at once?▼

You can run full-portfolio sizing across multiple tickers at once by executing the sizing command without a specific ticker, generating final weights, transparent cap adjustment logs, and risk metrics for the entire portfolio.

What are the limitations of using a deterministic framework for position sizing?▼

Limitations of this deterministic position sizing framework include enforcing a no auto-trading rule, requiring theory context from investing files, and restricting outputs to GBP-denominated final weights without bypassing fixed cluster caps.