kelly-criterion
CommunityOptimize bet sizing for maximum growth.
Finance & Accounting#risk management#betting#trading strategy#position sizing#kelly criterion#optimal allocation
Authoragiprolabs
Version1.0.0
Installs0
System Documentation
What problem does it solve?
This Skill helps traders and investors determine the optimal fraction of their capital to risk on each trade to maximize long-term geometric growth, while minimizing ruin risk.
Core Features & Use Cases
- Kelly Formula Calculation: Computes the precise Kelly fraction based on win rate and payoff ratio.
- Fractional Kelly Application: Recommends conservative fractional Kelly sizing (e.g., 0.25x, 0.5x) suitable for real-world trading.
- Edge Estimation: Provides tools and guidance for estimating trading edge from historical data, including confidence intervals.
- Use Case: A quantitative trader has backtested a strategy yielding a 55% win rate with an average win of 1.5x the average loss. This Skill calculates the optimal bet size, recommending a 15% allocation per trade (0.5x Kelly) to balance growth and risk.
Quick Start
Use the kelly-criterion skill to calculate the optimal bet size for a strategy with a 55% win rate and a 1.5 payoff ratio on a 1000 SOL account.
Dependency Matrix
Required Modules
numpy
Components
scriptsreferences
💻 Claude Code Installation
Recommended: Let Claude install automatically. Simply copy and paste the text below to Claude Code.
Please help me install this Skill: Name: kelly-criterion Download link: https://github.com/agiprolabs/claude-trading-skills/archive/main.zip#kelly-criterion Please download this .zip file, extract it, and install it in the .claude/skills/ directory.
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