Fix/kelly #147
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Fix/kelly #147
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DavidMinarsch
commented
Nov 18, 2023
| @@ -72,6 +72,56 @@ def remove_fraction_wei(amount: int, fraction: float) -> int: | |||
| raise ValueError(f"The given fraction {fraction!r} is not in the range [0, 1].") | |||
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| def perturb_y_if_x_equals_y(x: int, y: int) -> float: | |||
| """Introduce perturbation to the y value if x equals y.""" | |||
| epsilon = (x + y) / 10000 | |||
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Still looking at best strategy...
DavidMinarsch
commented
Nov 18, 2023
| @@ -216,45 +266,6 @@ def check_balance(self) -> WaitableConditionType: | |||
| self.context.logger.info(f"The safe has {native} xDAI and {collateral}.") | |||
| return True | |||
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| def _calculate_kelly_bet_amount( | |||
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Antipattern to have this as an instance method. It's much harder to test this way
DavidMinarsch
commented
Nov 18, 2023
packages/valory/skills/decision_maker_abci/tests/test_behaviours.py
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DavidMinarsch
commented
Nov 18, 2023
| return 0 | ||
| if x == y: | ||
| # o/w kelly traders will never be the first to bet in a new market | ||
| y = perturb_y_if_x_equals_y(x, y) |
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If x==y both denominator AND numerator are zero! So the previous implementation avoided division by zero but didn't solve the issue of 0 bet amount.
DavidMinarsch
commented
Nov 18, 2023
| @@ -293,17 +294,18 @@ def get_bet_amount( | |||
| ) -> Generator[None, None, int]: | |||
| """Get the bet amount given a specified trading strategy.""" | |||
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| if strategy == "bet_amount_per_conf_threshold": | |||
| # Kelly Criterion does not trade for equally weighted pools. | |||
| if ( | |||
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Rather than using some hack, let's just revert to this strategy when Kelly Criterion would suggest not to trade.
DavidMinarsch
commented
Nov 18, 2023
| self.context.logger.info( | ||
| "Used trading strategy: Bet amount per confidence threshold" | ||
| ) | ||
| threshold = round(confidence, 1) | ||
| bet_amount = self.params.bet_amount_per_threshold[threshold] | ||
| return bet_amount | ||
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| if strategy != "kelly_criterion": |
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Should be checked once at construction, not here.
DavidMinarsch
commented
Nov 18, 2023
| @@ -323,7 +325,10 @@ def get_bet_amount( | |||
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| fee_fraction = 1 - self.wei_to_native(bet_fee) | |||
| self.context.logger.info(f"Fee fraction: {fee_fraction}") | |||
| kelly_bet_amount = self._calculate_kelly_bet_amount( | |||
| if bankroll_adj == 0: | |||
| error = "Cannot calculate Kelly bet amount with no bankroll." | |||
fix: properly handle batch size reduction
fix: add missing local var
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