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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

Metadata

Release files for kelzer 1.0.0

For a detailed explanation of source distributions (sdists) and built distributions (wheels), please see the package formats documentation.

Source distribution (sdist)

Source distribution for kelzer 1.0.0
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Built distributions (wheels)

Table of built distributions (wheels) for kelzer 1.0.0
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kelzer-1.0.0-cp313-cp313-win_amd64.whl CPython 3.13 CPython 3.13 Windows x86-64 Details
kelzer-1.0.0-cp313-cp313-musllinux_1_2_x86_64.whl CPython 3.13 CPython 3.13 Linux musl 1.2+ x86-64 Details
kelzer-1.0.0-cp313-cp313-manylinux_2_17_x86_64.manylinux2014_x86_64.whl CPython 3.13 CPython 3.13 Linux glibc 2.17+ x86-64 Details
kelzer-1.0.0-cp313-cp313-macosx_11_0_arm64.whl CPython 3.13 CPython 3.13 macOS 11.0+ ARM64 Details
kelzer-1.0.0-cp313-cp313-macosx_10_13_x86_64.whl CPython 3.13 CPython 3.13 macOS 10.13+ x86-64 Details
kelzer-1.0.0-cp312-cp312-win_amd64.whl CPython 3.12 CPython 3.12 Windows x86-64 Details
kelzer-1.0.0-cp312-cp312-musllinux_1_2_x86_64.whl CPython 3.12 CPython 3.12 Linux musl 1.2+ x86-64 Details
kelzer-1.0.0-cp312-cp312-manylinux_2_17_x86_64.manylinux2014_x86_64.whl CPython 3.12 CPython 3.12 Linux glibc 2.17+ x86-64 Details
kelzer-1.0.0-cp312-cp312-macosx_11_0_arm64.whl CPython 3.12 CPython 3.12 macOS 11.0+ ARM64 Details
kelzer-1.0.0-cp312-cp312-macosx_10_13_x86_64.whl CPython 3.12 CPython 3.12 macOS 10.13+ x86-64 Details
kelzer-1.0.0-cp311-cp311-win_amd64.whl CPython 3.11 CPython 3.11 Windows x86-64 Details
kelzer-1.0.0-cp311-cp311-musllinux_1_2_x86_64.whl CPython 3.11 CPython 3.11 Linux musl 1.2+ x86-64 Details
kelzer-1.0.0-cp311-cp311-manylinux_2_17_x86_64.manylinux2014_x86_64.whl CPython 3.11 CPython 3.11 Linux glibc 2.17+ x86-64 Details
kelzer-1.0.0-cp311-cp311-macosx_11_0_arm64.whl CPython 3.11 CPython 3.11 macOS 11.0+ ARM64 Details
kelzer-1.0.0-cp311-cp311-macosx_10_9_x86_64.whl CPython 3.11 CPython 3.11 macOS 10.9+ x86-64 Details
kelzer-1.0.0-cp310-cp310-win_amd64.whl CPython 3.10 CPython 3.10 Windows x86-64 Details
kelzer-1.0.0-cp310-cp310-musllinux_1_2_x86_64.whl CPython 3.10 CPython 3.10 Linux musl 1.2+ x86-64 Details
kelzer-1.0.0-cp310-cp310-manylinux_2_17_x86_64.manylinux2014_x86_64.whl CPython 3.10 CPython 3.10 Linux glibc 2.17+ x86-64 Details
kelzer-1.0.0-cp310-cp310-macosx_11_0_arm64.whl CPython 3.10 CPython 3.10 macOS 11.0+ ARM64 Details
kelzer-1.0.0-cp310-cp310-macosx_10_9_x86_64.whl CPython 3.10 CPython 3.10 macOS 10.9+ x86-64 Details
kelzer-1.0.0-cp39-cp39-win_amd64.whl CPython 3.9 CPython 3.9 Windows x86-64 Details
kelzer-1.0.0-cp39-cp39-musllinux_1_2_x86_64.whl CPython 3.9 CPython 3.9 Linux musl 1.2+ x86-64 Details
kelzer-1.0.0-cp39-cp39-manylinux_2_17_x86_64.manylinux2014_x86_64.whl CPython 3.9 CPython 3.9 Linux glibc 2.17+ x86-64 Details
kelzer-1.0.0-cp39-cp39-macosx_11_0_arm64.whl CPython 3.9 CPython 3.9 macOS 11.0+ ARM64 Details
kelzer-1.0.0-cp39-cp39-macosx_10_9_x86_64.whl CPython 3.9 CPython 3.9 macOS 10.9+ x86-64 Details

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