sizing

Sizing - Complete API Reference

Calculate optimal position sizes using Kelly criterion, fractional Kelly, and portfolio-level allocation.

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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

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TypeScript API Reference

Create Sizing Calculator

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

// 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

// 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}`);