Create kelly_formula.py

2024.11.21_kelly_formula/kelly_formula.py

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+"""
+This code is supported by the website: https://www.guanjihuan.com
+The newest version of this code is on the web page: https://www.guanjihuan.com/archives/43508
+"""
+
+import numpy as np
+import matplotlib.pyplot as plt
+
+investment_ratio_array = np.arange(0.1, 1.1, 0.1)
+investment_times = 1000
+test_times = 100
+
+# 几个例子：https://www.guanjihuan.com/archives/43412
+
+# 例子（2）的参数
+p = 0.6 # 胜率
+b = 1 # 收益
+a = 1 # 损失
+
+# # 例子（3）的参数
+# p = 0.5
+# b = 1
+# a = 0.5
+
+win_array = [] # 胜出的仓位
+for i0 in range(test_times):
+    # print(i0)
+    capital_array = []
+    for f in investment_ratio_array:
+        capital = 1
+        for _ in range(investment_times):
+            investment = capital*f
+            if investment>0:
+                random_value = np.random.uniform(0, 1)
+                if random_value<p:
+                    capital = capital+investment*b
+                else:
+                    capital = capital-investment*a
+        capital_array.append(capital)
+    max_capital_index = capital_array.index(max(capital_array))
+    win_array.append(investment_ratio_array[max_capital_index])
+
+def kelly_formula(p, b, a):
+    f=(p/a)-((1-p)/b)
+    return f
+
+print(kelly_formula(p=p, b=b, a=a))
+plt.hist(win_array, bins=100, color='skyblue')
+plt.show()