Portfolio Weighting Schemes
cc-liquid supports rank power position sizing methods to go beyond equal weighting, allowing you to concentrate capital in your highest-conviction positions.
Visual Overview
Example schemes impact on position sizing
The grid above shows how three different weighting schemes distribute capital across long and short positions in various portfolio configurations. Notice how rank power creates concentration in top-ranked positions while maintaining the target leverage.
Concentration Effects
These curves demonstrate how the rank power parameter controls concentration:
- Power = 0 (equal weight): All positions get the same allocation
- Power = 0.5-1.0: Mild concentration favoring top positions
- Power = 1.5-2.0: Moderate concentration
- Power = 3.0+: Heavy concentration in top few positions
Configuration
YAML Configuration
portfolio:
num_long: 60
num_short: 50
target_leverage: 4.0
weighting_scheme: rank_power # Options: equal, rank_power
rank_power: 1.5 # Used when scheme is rank_power (default: 1.5)
CLI Override
# Backtest with rank-weighted positions
uv run -m cc_liquid.cli analyze \
--set portfolio.weighting_scheme=rank_power \
--set portfolio.rank_power=1.5
# Live trading with concentration
uv run -m cc_liquid.cli rebalance \
--set portfolio.weighting_scheme=rank_power \
--set portfolio.rank_power=2.0
Weighting Schemes
Equal Weight (Default)
Every position gets an equal share of the allocated capital. Simple and diversified.
Rank Power
Positions are weighted by (rank/n)^power. Higher-ranked positions (stronger signals) get more capital.