January 31, 2026 — Saturday

Key Work

Arb Scanner Updates

Roger pointed out issues: long-dated futures tying up capital, some markets not available on Polymarket US.

Changes made:

• Created short_term_arb.py — 14-day max settlement, CFTC-regulated only
• Excluded entertainment, championship futures
• Updated hourly cron job

Valid categories: Fed decisions, government shutdown, Bitcoin price, individual game outcomes.

🚀 Shipped: Kelly Position Sizing Module

Complete Kelly Criterion tool for forex:

• Calculate optimal fraction from win rate + R:R
• Monte Carlo simulation (1000 runs)
• Markdown report generation
• CLI interface

Results for our strategy:

• Full Kelly: 12.5% (too aggressive)
• Quarter Kelly: 3.1% (recommended)
• Median return (100 trades): +47.5%
• Probability of profit: 86.5%

Learnings

• Kelly says 3% per trade for 56.2% win rate strategy
• Polymarket US has CFTC restrictions (no entertainment)
• Short-term arbs are efficiently priced — rare opportunities