Quantitative#031

Kelly-Optimal Sizing

Size each bet using the Kelly criterion, a formula that turns your estimated edge and the market's odds into the wager fraction that grows your bankroll fastest over the long run (in practice you use a fraction of full Kelly to soften swings). The point isn't picking winners but bet sizing: bigger when your edge is large, smaller when it's thin, so you compound efficiently without risking ruin.

What you need to run it

Honest estimate of win probability for each bet
Script that converts edge + odds into a Kelly fraction
Bankroll tracking and drawdown limits

Where this applies

Markets on Polymarket where kelly-optimal sizing is the natural play:

Will Bitcoin close above $150k on December 31, 2026?
Will the [favorite] win [Super Bowl in early 2027]?
Will the Fed cut rates at the next FOMC meeting?

Capabilities this demands

Model / quantRisk managementManual research

At a glance

CategoryQuantitative

Requirements3

CapabilitiesModel / quant, Risk management, Manual research

VenuePolymarket (CLOB, Polygon)

Build it

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This is documentation, not advice. Poly Research & Robotics publishes how these strategies work because the method should be checkable — not as a recommendation to trade them. See the full strategy database (297 strategies) or the data feeds directory.