test_flow_risk
Assess portfolio risk on Flow-generated paths by computing key metrics like Sharpe, Sortino, Calmar, VaR, CVaR, drawdown, and profitability for futures/equities.
Instructions
Run portfolio risk analytics on Flow-generated paths (FUTURES/EQUITIES ONLY — no options). Computes expected return, volatility, Sharpe ratio, Sortino ratio, Calmar ratio, VaR 95%, CVaR 95%, max drawdown, profitability rate, and return distribution percentiles. Requires portfolio_id and flow_job_id from generate_flow_paths, or simulate_flow_scenario. If the user has OPTIONS positions, use analyze_derivatives instead — it reprices options on every path using Black-76 and shows combined futures+options risk. TIP: Call this on multiple flow_job_ids (baseline + different scenarios) to build a side-by-side comparison of risk metrics across scenarios.
Input Schema
| Name | Required | Description | Default |
|---|---|---|---|
| flow_job_id | Yes | Flow generation job ID (from generate_flow_paths, or simulate_flow_scenario) | |
| portfolio_id | Yes | UUID of the portfolio (from generate_flow_paths, or list_portfolios) |
Output Schema
| Name | Required | Description | Default |
|---|---|---|---|
| result | Yes |