docs(kb): source-84 — keeks bankroll-management (Kelly family) + sizing simulation - #127
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…sizing simulation Enrich the trading knowledge base with the `keeks` library (v0.3.0) and its 9-part "Bankroll Management with Keeks" series: the Kelly Criterion family of capital-allocation sizers. Adopted strictly as the mathematics of optimal capital allocation (halal framing — no betting/maysir; educational only). - source-84.md: disclaimer, per-strategy formulas (full/fractional/drawdown- adjusted Kelly, optimal f, Merton/CRRA, fixed fraction, CPPI, dynamic, naive), halal screen, keeks API reference, and educational commands. - README index: sources-log row 84 + a new module-map row for execution/sizing.py. - Verdict (like §83): CONFIRMS keel's risk model, does not reshape it. keel's fixed-fractional risk_pct=0.01 IS the Fixed Fraction strategy; full-Kelly at keel's own promotion floor (p .55 / R:R 1.5) is ~25%, so 1% ≈ 4% of Kelly — a 4th independent "use fractional f" confirmation, vindicated by §58.11. - Simulation (stdlib-only, 38 unit tests) measuring risk_pct vs the Kelly family on keel's floor edge, incl. an estimation-error stress run that defends staying sub-Kelly; report at reports/2026-07-22-bankroll-sizing-comparison.md. Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>
…drift, ruff - README source-84 row: add the missing Source|Status column pipe (was a 3-cell row misaligned vs every other row). - simulate.py: format the estimation-error narrative figures from the results dict so the prose can't drift from the tables (5076x -> 5077x, matching source-84 §84.14 and proper rounding of 5076.555). - Wrap 5 long report-generation strings (E501) via implicit concatenation — report output byte-identical; ruff now clean. 38 tests still pass. Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>
Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>
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What
Enriches the trading knowledge base with the
keekslibrary (v0.3.0) and its 9-part "Bankroll Management with Keeks" series — the Kelly Criterion family of capital-allocation sizers.Halal framing: adopted strictly as the mathematics of optimal capital allocation, never betting (maysir). Educational only; nothing is wired into the live agent — the paper-proving gate + backtest floor still bind.
Contents
sources/source-84.md— disclaimer; per-strategy formulas (full / fractional / drawdown-adjusted Kelly, optimal f, Merton/CRRA, fixed fraction, CPPI, dynamic, naive); halal screen;keeksAPI reference; and educational commands to explore the rules & strategies.README.md— sources-log row 84 + a new module-map row forexecution/sizing.py.analysis/bankroll_sizing/— stdlib-only sizing formulas + Monte-Carlo (simulate.py) + 38 unit tests (all pass viauv run pytest).reports/2026-07-22-bankroll-sizing-comparison.md— the simulation write-up.Verdict (like §83: confirms the risk model, does not reshape it)
keel's fixed-fractional
risk_pct=0.01is the Fixed Fraction strategy. At keel's own promotion floor (win_rate 0.55, R:R 1.5), full-Kellyf* = (1.5·0.55−0.45)/1.5 = 0.25→ keel's 1% is ~4% of full Kelly — a 4th independent "use fractional f, never full" confirmation (§54.18/§83.5/§83.11). The simulation's estimation-error stress run (true p 5pts below estimate) collapses full-Kelly growth and lifts its ruin rate to 3.6% while the sub-Kelly levels stay at 0% ruin — defending keel's deeply-sub-Kelly posture, not a recommendation to changerisk_pct.Test plan
uv run pytest docs/superpowers/analysis/bankroll_sizing/test_sizing_strategies.py -q→ 38 passeduv run python docs/superpowers/analysis/bankroll_sizing/simulate.pyregenerates the report🤖 Generated with Claude Code