📐 Position sizing calculator

Computes Kelly-fraction, fixed-fractional, vol-targeted, and risk-budget position sizes. Useful for translating signal strength into actionable share counts.

NAV ($): Stock symbol: Current price ($): Annualized vol (%): Expected annual return (%): Target portfolio vol (%): Stop-loss (% below entry): Risk-per-trade (% of NAV):

Recommendations

Method	Position $	% of NAV	Shares	Notes
Kelly fraction				μ/σ². Aggressive — assumes you're right about μ.
Half-Kelly (recommended)				Standard practice. Halves volatility of equity curve, ~75% of Kelly returns.
Vol-targeted				Position contributes target_vol of NAV vol.
Risk-per-trade				If stop hits, you lose risk_pct% of NAV (Van Tharp method).
Fixed 5% / position		5.00%		Equal-weight 20-position portfolio.
Combo deployed weight	based on basket	~2-4% per name	–	What our deployed combo allocates today.

Methodology

Kelly: f* = μ/σ² where μ = excess return, σ = std. Maximizes log-wealth growth. Aggressive — gets cut in half by overestimated μ.
Half-Kelly: f*/2. Standard hedge fund practice for safety against μ misestimation.
Vol-targeted: position_$ = (target_vol × NAV) / position_vol. Equal vol contribution per name.
Risk-per-trade: position_$ = (risk_pct × NAV) / stop_loss_pct. If stop hits, lose exactly risk_pct of NAV.
Capacity check: position_$ ÷ stock's 20-day average $ volume should be < 5% to avoid market impact issues.