kelly-paper-experiment/main.go

package main

import (
	"fmt"
	"math/rand"
	"time"
)

func main() {
	// Random seed based on time when program runs
	rand.Seed(time.Now().UTC().UnixNano())

	// Initialize variables
	var startingBalance, investedPercentage, winningPercentage float64
	startingBalance = 100
	investedPercentage = 0.80
	winningPercentage = 0.70
	discreteCompoundingPeriods := 200
	numSimulations := 16
	outputChannel := make(chan float64)

	// Start simulations
	for i := 0; i < numSimulations; i++ {
		go simulation(startingBalance, investedPercentage, winningPercentage, discreteCompoundingPeriods, outputChannel)
	}

	// Wait for simulations to finish and write output
	for i := 0; i < numSimulations; i++ {
		fmt.Println(<-outputChannel)
	}
}

// discrete period, symmetric payoff simulator
func simulation(startingBalance, investedPercentage, winningPercentage float64, discreteCompoundingPeriods int, outputChannel chan float64) {
	balance := startingBalance

	// Each iteration is one bet
	for i := 0; i < discreteCompoundingPeriods; i++ {
		// Each bet is a fixed percentage of the balance
		betAmount := balance * investedPercentage
		if rand.Float64() <= winningPercentage {
			// you win
			balance += betAmount
		} else {
			// you lose
			balance -= betAmount
		}
	}

	// Calculate and report the result on the outputChannel
	outputChannel <- (balance / startingBalance)
}