BrainBytesandClaude Opus 4.6
9a8fcfcaac
The complete trading and quantitative finance system for Claude Code. - 18 specialized agents (quant-researcher, algo-strategist, risk-manager, derivatives-analyst, etc.) - 82 domain skills across 10 categories (quant methods, strategies, risk, derivatives, portfolio, execution, data, crypto, macro, backtesting) - 20 slash commands for trading workflows - 5 always-active rules (risk limits, data integrity, model governance, regulatory compliance, ethical trading) - 4 hook scripts (risk check, backtest validation, data quality, session start) - 3 context modes (research, live-trading, backtesting) - 3 example configs (quant fund, crypto trader, retail algo) - 8 MCP server configurations - The Complete Guide (setup + advanced patterns) - Viral-ready README, CONTRIBUTING, CI, PR template Co-Authored-By: Claude Opus 4.6 (1M context) <noreply@anthropic.com>
2.3 KiB
2.3 KiB
description
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| Risk limit rules for all trading strategies and portfolio operations |
Risk Limits
These rules apply to every strategy, trade recommendation, and portfolio operation. No exceptions.
Position Size Limits
- Maximum single position: 5% of portfolio NAV for liquid assets, 2% for illiquid assets.
- Maximum sector concentration: 30% of portfolio in any single GICS sector.
- Maximum country concentration: 40% of portfolio in any single non-domestic market.
- Maximum single-name notional: must not exceed 5% of the stock's 20-day average daily volume.
Leverage Limits
- Maximum gross leverage: 2.0x NAV for equity strategies, 4.0x for fixed income, 1.5x for multi-asset.
- Maximum net exposure: +/- 50% of NAV for market-neutral strategies.
- Leverage must be calculated including derivative notional exposure, not just cash deployed.
Drawdown Triggers
- At -5% drawdown from peak: mandatory risk review, reduce gross exposure by 20%.
- At -10% drawdown from peak: halt new position initiation, close worst-performing positions.
- At -15% drawdown from peak: full portfolio de-risk to 50% of normal exposure.
- At -20% drawdown from peak: escalate to portfolio manager, consider full liquidation.
Correlation Limits
- No two positions in the portfolio should have a trailing 60-day correlation above 0.85.
- Maximum effective portfolio concentration (using correlation-adjusted HHI) must stay below 0.15.
- Monitor stock-bond correlation and adjust hedging assumptions when correlation regime shifts.
Stop-Loss Requirements
- Every position must have a defined stop-loss before entry. No exceptions.
- Stop-loss must be set based on volatility (e.g., 2x ATR) or technical levels, not arbitrary percentages.
- Trailing stops must be updated at least daily for active strategies.
- Mental stops are not acceptable. All stops must be systematic and documented.
Pre-Trade Risk Check
Before any trade or strategy recommendation, verify:
- Position size is within limits.
- Sector and factor concentration remain within bounds.
- Portfolio drawdown has not triggered any de-risk thresholds.
- Stop-loss is defined and documented.
- Correlation with existing positions has been assessed.
- Liquidity is sufficient for the intended position size.
- Margin requirements are met with adequate buffer (minimum 150% of maintenance margin).