tag:blogger.com,1999:blog-6604145888692486071.post1524684674659608764..comments2019-11-11T07:51:27.212+00:00Comments on Betfair Pro Trader: Kelly CriterionJameshttp://www.blogger.com/profile/05075123015442859635noreply@blogger.comBlogger10125tag:blogger.com,1999:blog-6604145888692486071.post-61075441951205428472017-04-28T09:23:49.100+01:002017-04-28T09:23:49.100+01:00An interesting topic. The reason your stakes are s...An interesting topic. The reason your stakes are so large is you have over a 50% strike rate at odds of 10! You have a 54% edge compared to 1 to 5% usually seen. <br />The main problem with using Kelly is most people ignore the denominator (divide by average odds) as most explanations are given for low odds examples (as above), around 2 so the denominator is close to 1 and redundant.<br />The cloud Ninehttps://www.blogger.com/profile/02808476767198995122noreply@blogger.comtag:blogger.com,1999:blog-6604145888692486071.post-35279396524981786972016-06-03T01:03:39.565+01:002016-06-03T01:03:39.565+01:00Hi James, thought I would share my little experime...Hi James, thought I would share my little experiment based on a fractional use of Kelly C (20%) <br /><br />Over my sample size of 91 trades with a starting bankroll on just £40. My worst losing run saw me still in profit to the tune of £8. My roll (in theory) would finish in profit to the tune of £5027.60. Placing individual trades (in theory) with a stake size upto £338.13!<br /><br />I see whyM Harveyhttps://www.blogger.com/profile/10422332774704183516noreply@blogger.comtag:blogger.com,1999:blog-6604145888692486071.post-61553646272951184252016-06-02T13:04:36.487+01:002016-06-02T13:04:36.487+01:00You have me at 6s and 7s. I've three jobs on a...You have me at 6s and 7s. I've three jobs on at the same time.<br /><br />Your Kelly fraction should be 54%<br /><br />bp-q/b = ((9*.59)-.41)/9<br /><br />b = odds - 1, p = prob win, q = prob lose<br /><br />Still a large figure.<br /><br />A fractional Kelly would make more sense. Divide by 2 or 4 or whatever.<br /><br />I would say you have some large odds in your sample that are skewing Jameshttps://www.blogger.com/profile/05075123015442859635noreply@blogger.comtag:blogger.com,1999:blog-6604145888692486071.post-4307069082356045562016-06-02T12:56:57.475+01:002016-06-02T12:56:57.475+01:00Thank you for your advice James. So level stakes t...Thank you for your advice James. So level stakes then? I'm returning 68.3pts net profit based on that sample. Square root staking has been recommended to me previously not sure your thoughts on that.M Harveyhttps://www.blogger.com/profile/10422332774704183516noreply@blogger.comtag:blogger.com,1999:blog-6604145888692486071.post-46299539427939500572016-06-02T12:41:36.905+01:002016-06-02T12:41:36.905+01:00Because its a relatively small sample size (91 tra...Because its a relatively small sample size (91 trades) so variance may play its part and wipe my roll out relatively quickly staking 37% of my roll on one trade seems excessive. I check my longest losing run (9 trades) but more often or not its 2-4.<br /><br />My model is based on my subjective opinion which is a concern. I've tried to systemize my process but due to the nature of horse M Harveyhttps://www.blogger.com/profile/10422332774704183516noreply@blogger.comtag:blogger.com,1999:blog-6604145888692486071.post-42400133806063814192016-06-02T12:29:02.690+01:002016-06-02T12:29:02.690+01:00After calculating your fraction tell me why you wo...After calculating your fraction tell me why you wouldn't bet that amount and what might be wrong with your model.Jameshttps://www.blogger.com/profile/05075123015442859635noreply@blogger.comtag:blogger.com,1999:blog-6604145888692486071.post-79985491496659554962016-06-02T11:39:51.120+01:002016-06-02T11:39:51.120+01:00Strike Rate is a percentage. To convert a percenta...Strike Rate is a percentage. To convert a percentage to a probability divide by 100.<br /><br />The rest is as above. It will be a good exercise for you now and for the future.<br /><br />This is just A-level standard, which you will need to become a beginner quant-trader.Jameshttps://www.blogger.com/profile/05075123015442859635noreply@blogger.comtag:blogger.com,1999:blog-6604145888692486071.post-10301276331672467812016-06-02T00:54:53.420+01:002016-06-02T00:54:53.420+01:00Hi James, Im trying to work out if and what fracti...Hi James, Im trying to work out if and what fraction of the Kelly Criterion I should use based on the following:<br /><br />59% SR over a sample size of 91 trades<br />Average odds of 10.00<br />Bankroll: £100<br /><br />Any help appreciated. Thanks MichaelM Harveyhttps://www.blogger.com/profile/10422332774704183516noreply@blogger.comtag:blogger.com,1999:blog-6604145888692486071.post-80050130122445784732015-08-13T15:57:54.794+01:002015-08-13T15:57:54.794+01:00I'm glad you liked it.I'm glad you liked it.Jameshttps://www.blogger.com/profile/05075123015442859635noreply@blogger.comtag:blogger.com,1999:blog-6604145888692486071.post-14633841281522749842015-08-13T15:27:33.288+01:002015-08-13T15:27:33.288+01:00Thanks for your nice post.
(I did the suggested t...Thanks for your nice post.<br /><br />(I did the suggested task)<br /><br />Bruno H.https://www.blogger.com/profile/16742655155606301060noreply@blogger.com