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Interesting.
And the formula is:
IF T = W Then NT = T*2
If T2 = W or T2 = L then NT = T*1 ??
Where T = Trade NT = next trade?
Is that it?
walt
charles meyer wrote:
>
> Ken:
>
> Very good information as has been the other posts on this subject.
> Where the Kelly criterion really shines is in the area of sports betting.
> But, when you try and apply these ideas to the futures market, which
> is dynamic and seemingly unlimited regards the outcome of ex-
> pectations, calculating an 'edge' is more fantasy than reality. The
> best explanation of the Kelly criterion I have seen in print was written
> by Jerry Patterson; a balckjack player/sports bettor.
>
> Charles
> ----------
> > From: KnTrKn@xxxxxxx
> > To: RealTraders Discussion Group <realtraders@xxxxxxxxxxxxxx>
> > Subject: Re: Money Management: Kelly - fastest way to increase
> > Date: Friday, October 30, 1998 7:26 AM
> >
> >
> > The Kelly Formulas can tell you the fastest and safest way to compound
> > your bankroll. It is based on the type of trading style you have or
> would
> > like. As long as you have an overall positive approach, it can be
> > programmed for stocks, options or futures trading to tell you the
> > minimum profit and risk objectives per trade.
> >
> > J. Kelly worked for Bell Labs on optimizing phone-line usage and
> > published his theories in the '60's. After which, parts of them were
> > modified for money management techniques, because the sequence
> > of wins and losses didn't matter in the outcome.
> >
> > Ken
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