Portfolio Weighting

cc-liquid uses rank power position sizing to control how capital is distributed across positions. By adjusting a single rank_power parameter, you can range from equal weighting (all positions same size) to heavy concentration 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 = 0.0 (equal weight, default): 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
  rank_power: 0.0  # 0.0 = equal weight (default), higher = more concentration

CLI Override

# Equal weight (default)
cc-liquid analyze --set portfolio.rank_power=0.0

# Moderate concentration
cc-liquid analyze --set portfolio.rank_power=1.5

# Heavy concentration for live trading
cc-liquid rebalance --set portfolio.rank_power=2.0

How Rank Power Works

Positions are weighted using the formula (rank/n)^power, where:

• rank is the position's rank within its side (1 = best)
• n is the total number of positions on that side
• power is your concentration parameter

Key insight: When power = 0.0, the formula (rank/n)^0 = 1.0 for all ranks, producing equal weighting. As you increase power, top-ranked positions (stronger signals) receive progressively more capital.

Examples

# Equal weighting (default)
rank_power: 0.0

# Mild concentration
rank_power: 0.5

# Moderate concentration
rank_power: 1.5

# Heavy concentration
rank_power: 2.5