πŸ“ Kelly Sizing #11

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Regime-Adjusted Quarter-Kelly Position Sizer

Reads your DDB portfolio + alpha + confluence + Macro Stress Score Β· Outputs ADD/TRIM/HOLD per position + entry candidates for unowned TIER S/A confluence signals.

🎯 Position Actions your current book sized vs Kelly-optimal sorted by |gap|

ActionSymbolCurrent %Kelly % Gap %Ξ” $Ξ” Shares Ξ±ConfVol Rationale

⭐ Entry Candidates TIER S/A confluence not in your book

SymbolNameSector PriceKelly % Target $Shares Ξ±ConfRationale

πŸ“Š Sizing Methodology formula + multipliers reference

KELLY FORMULA (per position)
edge = expected_alpha_return Γ— confidence_factor
kelly_full = edge / variance
kelly_quarter = kelly_full Γ— 0.25
kelly_regime = kelly_quarter Γ— regime_multiplier Γ— drawdown_multiplier
final = min(kelly_regime, MAX_SINGLE_POSITION_PCT=8.0%)

EXPECTED ALPHA RETURN (60-day forward)
Ξ± β‰₯ 90 β†’ 12% Β· Ξ± 80-90 β†’ 8% Β· Ξ± 70-80 β†’ 5% Β· Ξ± 60-70 β†’ 3% Β· Ξ± 50-60 β†’ 1.5% Β· Ξ± < 50 β†’ -1%

CONFIDENCE FACTOR
TIER S confluence β†’ 1.20 Β· TIER A β†’ 1.00 Β· TIER B β†’ 0.70 Β· no confluence β†’ 0.50

REGIME MULTIPLIER (Macro Stress Score)
MSS 0-20 Goldilocks β†’ 1.00 Β· 20-40 Normal β†’ 0.85 Β· 40-60 Elevated β†’ 0.65 Β· 60-80 High β†’ 0.40 Β· 80+ Crisis β†’ 0.20

DRAWDOWN CIRCUIT BREAKER (portfolio P&L)
P&L β‰₯ -3% β†’ 1.00 Β· -3 to -7% β†’ 0.75 Β· -7 to -12% β†’ 0.50 Β· -12% & worse β†’ 0.25