How to calculate Kelly for multiple r/r's?

Discussion in 'Risk Management' started by none4425, Aug 12, 2019 at 6:40 PM.

  1. none4425


    Suppose I have backtested my strategy.

    800 wins and 800 losses. With each trade having an average r/r of 2:1.

    However each trade has a different r/r. So one trade might be a r/r of 3:1 and another a r/r of 1:1.

    Should the kelly still be calculated as

    (2 (average r/r) * 0.5 (win rate) - 0.5 (loss rate)) / 2 (average r/r)

    or is that not correct?