Quote:
Originally Posted by jjgold
It looks sharp but what the fuk is it? How does it work?
Thanks Ganch
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The Kelly formula as traditionally stated (K = [% Edge]/[Decimal Odds-1]) is only correct in the case of single, non-simultaneous bets. This Simultaneous Event Kelly Calculator, as the name implies, calculates
exact Kelly-style stakes for up to 15 simultaneous events (bets). It does so by implementing the recursive methodology I outlined in
this post.
Inputs:
- # of Simultaneous Events on which you're considering placing bets.
- Kelly Multiplier: A Kelly multiplier of ½ would imply half-Kelly, of 1 would imply full Kelly, and 2 would imply double Kelly. Note that results will true Kelly fractions, a concept I explain to discuss in Part II of my Kelly article series, and as half-Kelly won't always be exactly one-half of full Kelly.
- Consecutive Series: This represents the number of times you anticipate placing bets similar to these consecutively. See example below.
- Bankroll: The size of your betting bankroll. Setting to 1 or 100% will give reasults as percentage of bankroll. Setting to a dollar value with no decimal point will give integer results. With 2 decimal points, results would be given to the nearest penny.
- Calculate Kelly button calculates true Kelly stakes.
- The textarea shows the Kelly weights as a set of multiple parlays. The given weights may be edited compare the Kelly expectations with those of another staking plan.
- Expected Profit shows expected dollar or percentage profit from making the bet one time.
- Expected Growth shows the theoretical expected dollar or percentage bankroll growth from making the bet one time.
- Expected Bankroll shows the expected bankroll value after placing the bets the number of times show in the "Consecutive Series" box above. Most of time you'll do worse than this, but a small percentage of the time you'll do much better.
- Median Bankroll shows the bankroll you'd be most likely to see after placing the bets the number of times show in the "Consecutive Series" box above (assuming it's sufficiently large). It also represents the outcome such that you're just as likely to underperfom as you'd be to outperform.
Example:
Playing full Kelly, Chuck has a bankroll of $10,000.00. During NFL season, he typically makes 5 bets each of the 17 regular season NFL weeks at -107, on which you identify an edge of 5% on each, you'd set Simult. Events to 5, Consecutive Series to 17, enter -107 in the five US text boxes, and 5% in the five Edge/Probability text boxes.
Click the "Calculate Kelly" button.
Optimal Kelly bets are $432.47 on each of the 5 singles, $24.69 on each of the 10 2-team parlays that can be made on from the 5 singles, $1.41 on each of the 10 3-team parlays, $0.08 on the 5 4-team parlays, and nothing on the one 5-team parlay.
Chuck's expected profit the first week is $135.73 and his expected bankroll growth is $67.85.
After 17 weeks, Chuck's expectation bankroll is $12,575.82. His most likely bankroll is $11,218.23.
However, because Chuck only has limited time, he's not going to bother with the 16 larger parlays (3-teams or more), but is worried how much it's going to hurt him. So clicking in each of 3-team, 4-team and 5-team parlays he changes the weights to $0 for each one. He click "Calculate Expectations" and sees by limiting himself only to single bets and 2-team parlays, he reduces his expected end-of-season bankroll by $34.58 to $12,541.24, and his most-likely end-of-season bankroll by $0.25 to $11,217.98.
Chuck decides he can live with it and sticks with the singles and 2-team parlays only.