Experiment on coin flipping game

kelly_criterion.py

import random
import numpy as np
np.random.seed(0)

def kerri(p, b):
    """https://en.wikipedia.org/wiki/Kelly_criterion
    """
    return (p*(b+1)-1 )/b

N = 300
p = 0.6
winning = 0
fund = 25.0

for n in range(N):

    ratio = kerri(p, 1)
    bet = fund*ratio
    #bet = 1 # for fixed betting experiment
    if winning + bet > 250:
        bet = 250 - winning # simulate $250 award cap
    # simulate a coin which shows head 60%
    if np.random.rand() < p:
        # Player's win
        print("Player's win. Got ", bet)
        winning += bet
        fund += bet
    else:
        print("Player's lose. Lost ", bet)
        winning -= bet
        fund -= bet
    if winning >= 250:
        print("Winning reward reached at the cap in {}th game. Finish.".format(n))
        break
print("Total win ${} for skewed coin. Ended with ${}.".format(winning, fund))