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).
avgWin
avgWin:
number
Defined in: src/risk/positionSizing.ts:41
avgLoss
avgLoss:
number
Defined in: src/risk/positionSizing.ts:43
Average loss as a positive number.
accountBalance
accountBalance:
number
Defined in: src/risk/positionSizing.ts:44
entryPrice
entryPrice:
number
Defined in: src/risk/positionSizing.ts:45
fraction?
optionalfraction?:number
Defined in: src/risk/positionSizing.ts:47
Fraction of full Kelly to deploy. Defaults to 0.5 (half-Kelly).