PL_total_by201901

Optimizing betsize with Kelly criteria

I will take a few minutes discussing which bet size to use. Within my current betting strategy I use a flat bet stake, meaning I put down the same amount of money on each bet without considering factors such as the implied probability of winning/loosing the bet or the value of the bet (my calculated overvalue).

So far I have only done a few simulations of portfolio developments and from those chosen a bet size which seems to avoid ruin. My current bet size is about 0.5% of the portfolio, but as I mentioned I keep it flat. My original plan was to update it once every quarter to get a slow and stable increasing risk take.

Lately I’ve been looking into optimizing the bet size, something that is done within both the betting and investment communities. The formula to determine the fraction of portfolio for each bet is given by:


p = my estimated probability of the bet
b = the odds for the event given by the market
f = fraction of portfolio to use as bet

postgre

PostgreSQL

postgre

Lately I have been working on improving my data handling and storage process. The previous set up I used was to export all data into .csv files, and then import it to SAS and from there creating SAS tables from where I could do my analysis.

This was an easy set up, but not very efficient.

So, now I have set up a proper SQL database. I chose the PostgreSQL as its free and supports unlimited size tables. Now my bot speak directly to the SQL database, inserting and retrieving data directly.

So far so good, it seems to be working without any issues – and it seems to keep the tables smaller (in size) than the SAS tables.

The improvement continues on all parts! Good data is essential for good analysis.

PL_total_by201901

New place to blog

Hi and welcome to my new place! Since a couple of years blogging on blog.bramhed.se I now decided to make it even more serious as well as shifting focus towards bot betting and data analytics.

I will transfer the most relevant posts from my old blog to this one. Always feel free to comment a post or send me a mail!

Happy betting.