kelzer 1.0.0

Stupidly fast Kelly Criterion calculator, in C++

Kelzer

Based on: Kelly, J. L., Jr. (1956). "A New Interpretation of Information Rate." Bell System Technical Journal, 35(4), 917–926. doi:10.1002/j.1538-7305.1956.tb03809.x

A stupidly fast, native C++ Python extension implementing the Kelly Criterion for optimal bet (but lets call them 'investments' instead) sizing.

Install

pip install kelzer

Usage

import kelzer

kelzer.fraction(win_prob, decimal_odds, multiplier=1.0, decimals=4)

Returns the optimal fraction of bankroll to wager.

Parameter	Type	Required	Default	Description
win_prob	float	yes	—	Probability of winning, in (0, 1)
decimal_odds	float	yes	—	Decimal odds, must be > 1
multiplier	float	no	1.0	Fraction of Kelly to apply, in (0, 1]
decimals	int	no	4	Decimal places to round result to (0–15)

Examples

import kelzer

# Full Kelly — 60% chance at 2.0 odds
kelzer.fraction(0.6, 2.0)
# 0.2

# Quarter Kelly
kelzer.fraction(0.6, 2.0, multiplier=0.25)
# 0.05

# Half Kelly, 6 decimal places
kelzer.fraction(0.55, 1.9, multiplier=0.5, decimals=6)
# 0.055556

# Negative edge — don't bet
kelzer.fraction(0.3, 2.0)
# -0.4

Error handling

kelzer.fraction(0.0, 2.0)    # ValueError: win_prob must be in (0, 1)
kelzer.fraction(0.6, 1.0)    # ValueError: decimal_odds must be > 1
kelzer.fraction(0.6, 2.0, multiplier=0.0)  # ValueError: multiplier must be in (0, 1]

The formula

f* = (b·p − q) / b

Where b = decimal_odds − 1, p = win_prob, q = 1 − p. The result is then scaled by multiplier.

License

Apache 2.0