API Reference

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API Reference / KellySizingInput

Interface: KellySizingInput

Defined in: src/risk/positionSizing.ts:38

Properties

winRate

winRate: number

Defined in: src/risk/positionSizing.ts:40

Historical win rate as a fraction in (0, 1).

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avgWin

avgWin: number

Defined in: src/risk/positionSizing.ts:41

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avgLoss

avgLoss: number

Defined in: src/risk/positionSizing.ts:43

Average loss as a positive number.

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accountBalance

accountBalance: number

Defined in: src/risk/positionSizing.ts:44

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entryPrice

entryPrice: number

Defined in: src/risk/positionSizing.ts:45

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fraction?

optional fraction?: number

Defined in: src/risk/positionSizing.ts:47

Fraction of full Kelly to deploy. Defaults to 0.5 (half-Kelly).