Kelly Criterion Part 2: Avoid Lotteries and Reverse Lotteries

Discussion in 'Trading' started by Sekiyo, Feb 29, 2020.

  1. Sekiyo

    Sekiyo

    What I don't get is why he does harmonize the different betting systems on the profit factor.
    I would have harmonized them on the E(x) which is more informational.

    Which would give:
    upload_2020-3-1_17-32-44.png

    But both him and me used arithmetic mean.
    When we should have used the geometric mean.
     
    Last edited: Mar 1, 2020
    #11     Mar 1, 2020
  2. ironchef

    ironchef

    This:
    Seems like common sense to me.
     
    #12     Mar 1, 2020
    Sekiyo likes this.