math.extras: adding the Kelly criterion.

2015-04-01 21:34:54 -07:00 · 2015-04-01 21:34:54 -07:00 · a4c0ae98c5
parent ea2547aae3
commit a4c0ae98c5
2 changed files with 7 additions and 0 deletions
--- a/extra/math/extras/extras-tests.factor
+++ b/extra/math/extras/extras-tests.factor
@ -157,3 +157,7 @@ IN: math.extras.test
 } [
    30 [1,b] [ mobius ] map
 ] unit-test
+
+{ 0.2 } [ 0.6 1 kelly ] unit-test
+{ 0.0 } [ 0.5 1 kelly ] unit-test
+{ -0.2 } [ 0.4 1 kelly ] unit-test
--- a/extra/math/extras/extras.factor
+++ b/extra/math/extras/extras.factor
@ -322,3 +322,6 @@ M: iota-tuple sum-cubes sum sq ;
        dup [ 1 > ] any?
        [ drop 0 ] [ length even? 1 -1 ? ] if
    ] if-empty ;
+
+: kelly ( winning-probability odds -- fraction )
+    [ 1 + * 1 - ] [ / ] bi ;