alexei.dolgolyov
0e3c4b8d47
- Add KellyCalculator (Domain/Betting): pure fractional-Kelly stake from win probability, decimal odds, bankroll, and fraction (default quarter-Kelly). Returns 0 on non-positive edge; truncates the suggestion down to 2 decimals so it never exceeds the computed figure. 19 unit tests. - MyBets: add a page-local stake helper (bankroll + win-probability inputs) that suggests a quarter-Kelly stake from the form's rate, with an Apply button and a no-edge message. Win probability is user-supplied, not derived from a signal. - Localization (en+ru) for the Kelly helper and the export-hub keys (shared resx).
83 lines
4.0 KiB
C#
83 lines
4.0 KiB
C#
namespace Marathon.Domain.Betting;
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/// <summary>
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/// Pure fractional-Kelly stake sizing for a single back bet at decimal odds.
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/// </summary>
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/// <remarks>
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/// <para>
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/// The Kelly criterion maximises the long-run growth rate of a bankroll by staking
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/// a fraction of it proportional to the edge. For decimal odds <c>o</c> and an
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/// estimated win probability <c>p</c>, the full-Kelly fraction of bankroll is:
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/// </para>
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/// <code>f* = (p·o − 1) / (o − 1)</code>
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/// <para>
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/// When <c>f*</c> is zero or negative there is no positive expected value, and the
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/// suggested stake is <c>0</c> — the calculator never recommends betting into a
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/// negative-EV price. Most disciplined bettors stake a <i>fraction</i> of full
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/// Kelly (e.g. quarter-Kelly, <c>fraction = 0.25</c>) to cut variance and blunt the
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/// impact of probability-estimation error; full Kelly is famously over-aggressive
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/// once <c>p</c> is even slightly wrong.
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/// </para>
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/// <para>
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/// The win probability is an input the bettor supplies — it is intentionally NOT
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/// derived from an anomaly score here, so the calculator stays a pure, reusable
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/// money-management primitive independent of any signal source.
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/// </para>
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/// </remarks>
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public static class KellyCalculator
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{
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/// <summary>Default Kelly fraction: quarter-Kelly — the conventional variance-safe choice.</summary>
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public const decimal DefaultFraction = 0.25m;
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/// <summary>
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/// Full-Kelly fraction of bankroll <c>(p·o − 1)/(o − 1)</c>. May be negative or
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/// zero, signalling no positive edge. Exposed for callers that want the raw
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/// figure (e.g. to display the edge) rather than a clamped stake.
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/// </summary>
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/// <param name="winProbability">Estimated win probability in the closed interval [0, 1].</param>
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/// <param name="decimalOdds">Decimal odds, strictly greater than 1.0.</param>
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public static decimal FullKellyFraction(decimal winProbability, decimal decimalOdds)
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{
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if (winProbability is < 0m or > 1m)
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throw new ArgumentOutOfRangeException(nameof(winProbability), winProbability, "Must be in [0, 1].");
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if (decimalOdds <= 1m)
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throw new ArgumentOutOfRangeException(nameof(decimalOdds), decimalOdds, "Decimal odds must be greater than 1.0.");
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return (winProbability * decimalOdds - 1m) / (decimalOdds - 1m);
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}
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/// <summary>
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/// Suggested stake using fractional Kelly, rounded down to two decimals so the
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/// suggestion is never larger than the theoretical figure. Returns <c>0</c> when
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/// there is no positive edge.
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/// </summary>
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/// <param name="winProbability">Estimated win probability in the open interval (0, 1).</param>
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/// <param name="decimalOdds">Decimal odds, strictly greater than 1.0.</param>
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/// <param name="bankroll">Total bankroll; must be non-negative.</param>
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/// <param name="fraction">Kelly fraction in (0, 1]; defaults to <see cref="DefaultFraction"/>.</param>
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public static decimal SuggestStake(
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decimal winProbability,
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decimal decimalOdds,
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decimal bankroll,
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decimal fraction = DefaultFraction)
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{
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if (winProbability is <= 0m or >= 1m)
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throw new ArgumentOutOfRangeException(nameof(winProbability), winProbability, "Must be in the open interval (0, 1).");
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if (bankroll < 0m)
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throw new ArgumentOutOfRangeException(nameof(bankroll), bankroll, "Must be non-negative.");
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if (fraction is <= 0m or > 1m)
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throw new ArgumentOutOfRangeException(nameof(fraction), fraction, "Kelly fraction must be in (0, 1].");
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// FullKellyFraction validates decimalOdds.
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var full = FullKellyFraction(winProbability, decimalOdds);
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if (full <= 0m)
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return 0m;
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var stake = fraction * full * bankroll;
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// Truncate (floor toward zero) to two decimals so a stake suggestion never
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// exceeds the computed figure — a conservative bias for real-money sizing.
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return Math.Truncate(stake * 100m) / 100m;
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}
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}
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