kelly-criterion
Unverified Other strategy on Multi by deltaray-io. BotFinder score 18 out of 100.
Kelly Criterion calculation
Source: github
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kelly-criterion
Kelly Criterion =============== Money management strategy based on Kelly J. L.'s formula described in "A New Interpretation of Information Rate" [1]. The formula was adopted to gambling and stock market by Ed Thorp, et al., see: "The Kelly Criterion in Blackjack Sports Betting, and the Stock Market" [2]. This program calculates the optimal capital allocation for the provided portfolio of securities with the formula: fi = mi / si^2 where fi is the calculated leverage of the i-th security from the portfolio mi is the mean of the return of the i-th security from the portfolio si is the standard deviation of the return of the i-th security from the portfolio assuming that the strategies for the securuties are all statistically independent. The stock quotes are downloaded from Yahoo Finance using Pandas. Reference (Matlab) implementation was taken from Ernie Chan's Quantitative Trading book [3]. Installation ------------ pip install kellycriterion Usage ----- kellycriterion [--risk-free-rate= ] ... Example ------- Dependencies ------------ Python 2.7 Numpy Pandas Docopt References -------
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