MonteWalk

Instructions

Implementation Reference

• tools/risk_engine.py:62-75 (handler)

  The core handler function implementing the max_drawdown tool. Computes the maximum drawdown of the portfolio using historical price data fetched via yfinance and position weights.

  def max_drawdown() -> str:
      """Calculates Maximum Drawdown."""
      data, weights = _get_portfolio_data()
      if data is None:
          return "Portfolio is empty."
      
      returns = data.pct_change().dropna()
      port_returns = returns.dot(weights)
      cumulative_returns = (1 + port_returns).cumprod()
      peak = cumulative_returns.expanding(min_periods=1).max()
      drawdown = (cumulative_returns / peak) - 1
      max_dd = drawdown.min()
      
      return f"Maximum Drawdown: {max_dd:.2%}"

• tools/risk_engine.py:10-30 (helper)

  Helper function that retrieves portfolio positions, downloads historical price data using yfinance, and computes value-based weights. Used by max_drawdown and other risk tools.

  def _get_portfolio_data(lookback: str = "1y"):
      portfolio = get_positions()
      positions = portfolio.get("positions", {})
      if not positions:
          return None, None
      
      tickers = list(positions.keys())
      weights = np.array(list(positions.values())) # This is qty, need value weights
      
      # Fetch data
      data = yf.download(tickers, period=lookback, progress=False)['Close']
      if isinstance(data, pd.Series):
          data = data.to_frame(name=tickers[0])
          
      # Calculate current value weights
      current_prices = data.iloc[-1]
      values = current_prices * pd.Series(positions)
      total_value = values.sum()
      weights = values / total_value
      
      return data, weights

• server.py:380-383 (registration)

  Registration of the max_drawdown tool (along with related risk tools) to the FastMCP server using the register_tools helper.

  register_tools(
      [portfolio_risk, var, max_drawdown, monte_carlo_simulation],
      "Risk Engine"
  )

• server.py:14-14 (registration)

  Import statement bringing the max_drawdown function into the MCP server module for registration.

  from tools.risk_engine import portfolio_risk, var, max_drawdown, monte_carlo_simulation