R/roulette_pl_calculator_martingale.R

In sa-ccr/Trading: CCR, Advanced Correlation & Beta Estimates, Betting Strategies

#' @description Calculates the potential profit or loss when someone is betting in the roulette based on the martingale system while trying to reduce
#' the risk by 1. Starting to double after the first loss 2. Not doubling if the second number is zero.
#'  
#' @title Roulette P&L betting based on a modified martingale strategy
#' @param bet_minimum The minimum betting amount that the casino allows
#' @param bet_maximum The maximum betting amount that the casino allows
#' @param initial_capital The initial capital to be used
#' @param simulations_num The number of simulations to be run
#' @param trials_per_sim  The number of trials in each simulation
#' @return A list containing the minimum, the maximum and the final balance for each simulation. Also the P&L graph for the last simulation will be plotted.
#' @export
#' @author Tasos Grivas <tasos@@openriskcalculator.com>
#' @references https://en.wikipedia.org/wiki/Roulette#Betting_strategies_and_tactics
#' 
#' @examples
#' 
#' # This software is covered by GPL license and provided strictly for educational
#' # reasons (no actual investment/betting decisions should be taken based on this)
#' # On top of these, the below example contains a tiny number of simulations and
#' # trials just to pass CRAN tests - the user would have to highly increase both
#' # variables when running these.
#' pl_results = roulette_pl_calculator_martingale(bet_minimum = 0.1 , bet_maximum = 3276.8,
#' initial_capital = 20000, simulations_num = 100, trials_per_sim = 100)
#' summary(pl_results$min_capital)
#' summary(pl_results$max_capital)
#' summary(pl_results$final_capital)
#' 
roulette_pl_calculator_martingale <- function(bet_minimum, bet_maximum, initial_capital, simulations_num, trials_per_sim)  {
  
  full_sequence = floor(runif(trials_per_sim*simulations_num,0,38))
  
  current_capital_vec = rep(0,trials_per_sim-1)
  final_capital = rep(0,simulations_num-1)
  min_capital   = rep(0,simulations_num-1)
  max_capital   = rep(0,simulations_num-1)

  for(j in 1:simulations_num)
  {
    bet_amount = bet_minimum
    current_capital = initial_capital
    x = full_sequence[((j-1)*trials_per_sim+1):(j*trials_per_sim)]
    if(j%%500==0)
    {
      
      cat(paste('Simulation Number:',j))
      cat('\n')
    }
    
    first_loss=TRUE
    
    for(i in 1:(length(x)-1))
    {
      if(x[i]==0&first_loss)
      {
        current_capital = current_capital - bet_amount
        current_capital_vec[i] = current_capital
        if(bet_amount!=bet_minimum)
        {        stop('algorithm is broken')      }
        next()
      } 
      
      if((x[i]%%2==x[i+1]%%2))
      {
        if(x[i+1]==0)
        {
          current_capital = current_capital-bet_amount
          if(bet_amount==bet_maximum|(bet_amount==bet_minimum&first_loss==TRUE))
          {
            bet_amount = bet_minimum/2
            first_loss = FALSE
          }
          bet_amount = 2*bet_amount
        }else
        {
          if(x[i]==0)
          {
            if(x[max(which(x[1:(i-1)]!=0))]%%2==x[i+1]%%2)
            {
              current_capital = current_capital-bet_amount
              if(bet_amount==bet_maximum|(bet_amount==bet_minimum&first_loss==TRUE))
              {
                bet_amount = bet_minimum/2
                first_loss = FALSE
              }
              bet_amount = 2*bet_amount
            }else
            {
              current_capital = current_capital + bet_amount
              bet_amount=bet_minimum
              first_loss=TRUE
            }
            
          }else
          {
            current_capital = current_capital-bet_amount
            if(bet_amount==bet_maximum|(bet_amount==bet_minimum&first_loss==TRUE))
            {
              bet_amount = bet_minimum/2
              first_loss = FALSE
            }
            bet_amount = 2*bet_amount
          }
        }
        
      }else if(x[i]%%2!=x[i+1]%%2)
      {
        if(x[i+1]==0)
        {
          current_capital = current_capital-bet_amount
          if(bet_amount==bet_maximum|(bet_amount==bet_minimum&first_loss==TRUE))
          {
            bet_amount = bet_minimum/2
            first_loss = FALSE
          }
          bet_amount = 2*bet_amount
        }else
        {
          if(x[i]==0)
          {
            if(x[max(which(x[1:(i-1)]!=0))]%%2==x[i+1]%%2)
            {
              current_capital = current_capital-bet_amount
              if(bet_amount==bet_maximum|(bet_amount==bet_minimum&first_loss==TRUE))
              {
                bet_amount = bet_minimum/2
                first_loss = FALSE
              }
              bet_amount = 2*bet_amount
            }else
            {
              current_capital = current_capital + bet_amount
              bet_amount=bet_minimum
              first_loss=TRUE
            }
            
          }else
          {
            current_capital = current_capital + bet_amount
            bet_amount=bet_minimum
            first_loss=TRUE
          }
        }
      }
      current_capital_vec[i] = current_capital
      
      if(current_capital<0) break()
    }
    final_capital[j] = current_capital
    min_capital[j]   = min(current_capital_vec)
    max_capital[j]   = max(current_capital_vec)
  }

  plot(seq(1,trials_per_sim-1),current_capital_vec)
  return(list(max_capital = max_capital, min_capital = min_capital, final_capital = final_capital))
}