c**t
发帖数: 9197 | 1 "As an example, if a gamble has a 60% chance of winning (p = 0.60, q = 0.40)
, but the gambler receives 1-to-1 odds on a winning bet (b = 1), then the
gambler should bet 20% of the bankroll at each opportunity (f* = 0.20), in
order to maximize the long-run growth rate of the bankroll.
If the gambler has zero edge, i.e. if b = q/p, then the criterion will
usually recommend the gambler bets nothing (although in more complex
scenarios such a bet may help ensure the best compounding rate of return:
for instance a short-priced favourite in a horse race may be worth covering
to provide downside protection even though the only advantageous bet is on
another outsider).
If the edge is negative (b < q/p) the formula gives a negative result,
indicating that the gambler should take the other side of the bet. For
example, in standard American roulette, the bettor is offered an even money
payoff (b = 1) on red, when there are 18 red numbers and 20 non-red numbers
on the wheel (p = 18/38). The Kelly bet is -1/19, meaning the gambler should
bet one-nineteenth of the bankroll that red will not come up. Unfortunately
, the casino doesn't allow betting against red, so a Kelly gambler could not
bet."
http://en.wikipedia.org/wiki/Kelly_criterion | c**t
发帖数: 9197 | 2 "as Kelly's original paper demonstrates, the criterion is only valid when
the investment or "game" is played many times over, with the same
probability of winning or losing each time, and the same payout ratio"
Which means:
1. One win/loss does not matter at all.
2. only take trades your system triggers.
3. you must hold you winners to the target without quitting too early due to
fear of stop out. |
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