how it works · risk
Risk & sizing
Risk control isn't a layer on top of the strategy — in any serious automated system it is the strategy. The concepts below are how PolyCup bot frames sizing and downside; they are educational, since PolyCup itself places no trades.
// POSITION SIZING
Positions are framed using the Kelly Criterion — the mathematically optimal fraction of capital given the edge and the odds — run at roughly a quarter of full Kelly. Full Kelly maximises long-run growth but produces swings few can hold through; quarter-Kelly keeps most of the growth with far smoother variance.
Hard caps sit on top: no single match takes more than a small fraction of capital, no concentration in one fixture, and a reserve always stays undeployed. Slippage is modelled before entry — a fill that walks the book far enough to erode the edge is reduced or skipped.
// DRAWDOWN & THE KILL SWITCH
Drawdown is watched on multiple timescales, each with a warning level that cuts sizing and a hard level that halts new positions. A losing run inside the expected distribution is noise; a breach of the hard level is a signal that something changed, and trading through it compounds the damage.
A kill switch sits below the strategy logic — it cancels open orders and freezes new positions on a hard breach or a connection loss, and it can be triggered manually. Existing positions are held to resolution rather than dumped at panic prices.