That's a nice formula. Of course my point still stands - the effect of the BSF on fraction level will dominate the choice of kelly sizing formula for negatively skewed trading returns. GAT
I disagree. First most Kelly blowups happen precisely because of bad formulae. I didn't write the Bad Kelly thread and the other threads for my health. You're stuck on the fiction that there is some return probability distribution out there that you can reach out and touch, if only you could calculate its parameters with some certainty. I reject this fiction. My formulas prove that all you need are accurate recordings of the trade returns. The mean tells you if you have positive expectation. Beyond that, the standard deviation, the skew, etc. matter not a wit. You don't need any of that artificial stuff to figure out your betting fraction. There is no uncertainty in the trade returns. There is only uncertainty in the phantom distribution you imagine they adhere to.
kut2k2, I doubt your equation(s), I mean your "New" Kelly stuff, will make an entry into any academic paper or book as it is not scientific what you do.
It's very scientific, it's just not revealed science. And I didn't do it for academia, I did it for me. Screw academia; what they know about trading generally doesn't amount to a hill of beans. What I figured out isn't rocket science, it's half rocket science. So how come the academics haven't figured it out? Like Sherlock Holmes, I observed and I deduced. That's all.
So what is the need for new kelly or for proprietary kelly? Just recalc the new win rate and distribution, and stick it into excel...out pops the correct kelly fraction.
What distribution? IRL there is no distribution. Just a long and growing string of trade returns. So what do you do?
These are like the shittiest odds ever. What I would recommend is to flip used vehicles adding 5% each time and compound each time you flip. Initial investment $5k, keep re-investing 100%.