sizing

# Sizing - Complete API Reference Calculate optimal position sizes using Kelly criterion, fractional Kelly, and portfolio-level allocation. --- ## Chat Commands ### Kelly Calculator ``` /kelly 0.45 0.55 10000 Market price, your prob, bankroll /kelly "Trump 2028" 0.55 --bank 10k Calculate for specific market /kelly --half 0.45 0.55 10000 Half Kelly (safer) /kelly --quarter 0.45 0.55 10000 Quarter Kelly (conservative) ``` ### Position Sizing ``` /size 10000 --risk 2% Size for 2% risk per trade /size 10000 --max-position 25% Max 25% in single position /size portfolio --rebalance Rebalance to target weights ``` ### Edge Calculation ``` /edge 0.45 0.55 Calculate edge (prob - price) /edge "Trump 2028" --estimate 0.55 Edge vs market price ``` --- ## TypeScript API Reference ### Create Sizing Calculator ```typescript import { createSizingCalculator } from 'clodds/sizing'; const sizing = createSizingCalculator({ // Bankroll bankroll: 10000, // Kelly fraction (1 = full, 0.5 = half) kellyFraction: 0.5, // Limits maxPositionPercent: 25, maxTotalExposure: 80, }); ``` ### Basic Kelly ```typescript // Binary outcome (YES/NO market) const size = sizing.kelly({ marketPrice: 0.45, // Current price estimatedProb: 0.55, // Your probability estimate bankroll: 10000, }); console.log(`Optimal bet: $${size.optimalSize}`); console.log(`Edge: ${size.edge}%`); console.log(`Kelly %: ${size.kellyPercent}%`); console.log(`Expected value: $${size.expectedValue}`); ``` ### Fractional Kelly ```typescript // Half Kelly (recommended for most traders) const halfKelly = sizing.kelly({ marketPrice: 0.45, estimatedProb: 0.55, bankroll: 10000, fraction: 0.5, // Half Kelly }); // Quarter Kelly (very conservative) const quarterKelly = sizing.kelly({ marketPrice: 0.45, estimatedProb: 0.55, bankroll: 10000, fraction: 0.25, }); console.log(`Full Kelly: $${sizing.kelly({...}).optimalSize}`); console.log(`Half Kelly: $${halfKelly.optimalSize}`); console.log(`Quarter Kelly: $${quarterKelly.optimalSize}`); ``` ### Multi-Outcome Kelly ```typescript // For markets with 3+ outcomes const multiKelly = sizing.kellyMultiOutcome({ outcomes: [ { name: 'Trump', price: 0.35, estimatedProb: 0.40 }, { name: 'DeSantis', price: 0.25, estimatedProb: 0.20 }, { name: 'Haley', price: 0.15, estimatedProb: 0.15 }, { name: 'Other', price: 0.25, estimatedProb: 0.25 }, ], bankroll: 10000, fraction: 0.5, }); for (const alloc of multiKelly.allocations) { console.log(`${alloc.name}: $${alloc.size} (${alloc.percent}%)`); } ``` ### Portfolio-Level Kelly ```typescript // Optimal allocation across multiple markets const portfolio = sizing.kellyPortfolio({ positions: [ { market: 'Trump 2028', price: 0.45, prob: 0.55 }, { market: 'Fed Rate Cut', price: 0.60, prob: 0.70 }, { market: 'BTC > 100k', price: 0.30, prob: 0.40 }, ], bankroll: 10000, correlations: correlationMatrix, // Optional fraction: 0.5, }); console.log('Optimal Portfolio:'); for (const pos of portfolio.positions) { console.log(` ${pos.market}: $${pos.size}`); } console.log(`Total exposure: ${portfolio.totalExposure}%`); ``` ### Confidence-Adjusted Sizing ```typescript // Reduce size when less confident const size = sizing.kellyWithConfidence({ marketPrice: 0.45, estimatedProb: 0.55, confidence: 0.7, // 70% confident in estimate bankroll: 10000, }); // Size is reduced proportionally to confidence console.log(`Confidence-adjusted size: $${size.optimalSize}`); ``` ### Edge Calculation ```typescript // Calculate edge const edge = sizing.calculateEdge({ marketPrice: 0.45, estimatedProb: 0.55, }); console.log(`Edge: ${edge.edgePercent}%`); console.log(`EV per dollar: $${edge.evPerDollar}`); console.log(`Implied odds: ${edge.impliedOdds}`); console.log(`True odds: ${edge.trueOdds}`); ``` ### Risk-Based Sizing ```typescript // Size based on risk per trade const size = sizing.riskBased({ bankroll: 10000, riskPercent: 2, // Risk 2% per trade stopLossPercent: 10, // 10% stop loss }); console.log(`Position size: $${size.positionSize}`); console.log(`Max loss: $${size.maxLoss}`); ``` --- ## Kelly Fractions | Fraction | Risk Level | Use Case | |----------|------------|----------| | **Full (1.0)** | Aggressive | Mathematical optimum, high variance | | **Half (0.5)** | Moderate | Most traders, good balance | | **Quarter (0.25)** | Conservative | New traders, uncertain edges | | **Tenth (0.1)** | Very Safe | Learning, small edges | --- ## Edge Requirements | Edge | Recommendation | |------|----------------| | < 2% | Don't trade | | 2-5% | Small size (quarter Kelly) | | 5-10% | Normal size (half Kelly) | | 10%+ | Larger size, verify edge | --- ## Formulas ### Kelly Formula ``` f* = (p * b - q) / b Where: f* = fraction of bankroll to bet p = probability of winning q = probability of losing (1 - p) b = odds received (1/price - 1) ``` ### Edge Formula ``` Edge = Estimated Prob - Market Price EV = Edge * Bet Size ``` --- ## Best Practices 1. **Use fractional Kelly** — Full Kelly has too much variance 2. **Be conservative on edge** — Overconfidence kills accounts 3. **Account for correlation** — Don't over-expose to same theme 4. **Set max position** — Never more than 25% in one market 5. **Reassess regularly** — Edge changes as prices move