risk_kelly
Calculate optimal position sizing using the Kelly Criterion in discrete or continuous modes. Input win/loss probabilities or historical returns to determine bet fractions that optimize long-term growth.
Instructions
Kelly Criterion: discrete (win/loss) or continuous (returns series) mode.
Input Schema
| Name | Required | Description | Default |
|---|---|---|---|
| mode | No | Calculation mode: discrete (win/loss) or continuous (return series) | discrete |
| win_rate | No | Probability of winning (0-1), required for discrete mode | |
| avg_win | No | Average win amount, required for discrete mode | |
| avg_loss | No | Average loss amount (positive number), required for discrete mode | |
| returns | No | Array of historical returns, required for continuous mode |