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From: Andy[SMTP:ronin@xxxxxxxxxxx]
>>
Here's my attempt in implementing the Kelly formula in ELA (it's untested):
Inputs: NTrades(Numeric);
Var: WinP(0),AvgW(0),AvgL(0);
If TotalTrades > Ntrades then begin
WinP=NumWinTrades/TotalTrades;
AvgW=NetProfit/NumWinTrades;
AvgL=GrossLoss/NumLosTrades;
Kelly_Form=WinP - (1-Winp)*AvgL/AvgW;
end;
<<
Should one of the lines read ...
AvgW = GrossProfit / NumWinTrades ;
- mark jurik
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