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Last active January 6, 2016 16:14
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Simultaneous Kelly - Sims
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body.md 
@thickSLICING @PlusEVAnalytics 1/2 kelly, sim bets with win% = vig free odds, 
get end roll in 5th ptile, use that for simul kelly. thoughts?

ME TALK GOODER

  • I have projections for the fights on a UFC card.
  • I want to make bets on the fights where I have an edge, and I want to make them all at once before any fights start.
  • Using half kelly.

For each fight I want to calculate the "worst case scenario" for the other fights and adjust the bets accordingly, so that I don't have to suck dick for crack.

What I decided to do

For each fight, simulate the other fights 1000 times.

For the other fights in the sims:

  • Bet the half kelly amount on each other fight, calculated in a vacuum using my projections.
  • Assume the win probabilities equal the vig free odds when assigning a winner in the sim.
  • Hoping this more accurately reflects the worse case scenario where my projections are bad AND I get unlucky.

See how much of my roll I lost in the 5th percentile outcome. Use this new reduced roll to calculate the half kelly bet for the fight.

Example

I have $1000
There are 5 fights. To make it easier they all have identical odds and predictions with half kelly = 10%
Naive bet is $100 on each fight.
5th percentile sim for other fights loses $300
Simultaneous-aware bet for each fight is $70

Warm Fuzzies

Did I make RJ proud?

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