formula di Kelly

Giope

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Ciao a tutti
Qualcuno gentilmente mi può dare la formula di Kelly?
Ne ho sentito parlare ma non sò dove andare a cercare. Molte grazie dell'aiuto.
 

L.W.

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Scritto da Giope
Ciao a tutti
Qualcuno gentilmente mi può dare la formula di Kelly?
Ne ho sentito parlare ma non sò dove andare a cercare. Molte grazie dell'aiuto.



The Kelly Formula

K = W - (1-W)/R

K = Fraction of Capital for Next Trade

W = Historical Win/Loss Ratio

R = Winning Payoff Rate

-------

For example, say a coin pays 2:1 with 50-50 chance of heads or tails. Then ...

K = .5 - (1 - .5)/2 = .5 - .25 = .25.

Kelly indicates the optimal fixed-fraction bet is 25%.
 

Manetta

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Grazie al CD ricevuto a Rimini e al Sig. Maggi, ti posto il file Excel
 

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  • kelly.xls
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Guglielmo

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Scritto da Giope
Ciao a tutti
Qualcuno gentilmente mi può dare la formula di Kelly?
Ne ho sentito parlare ma non sò dove andare a cercare. Molte grazie dell'aiuto.

Dai un'occhiata a questi links, forse qualcosa di interessante lo trovi :)

COPERNIC AGENT SEARCH RESULTS

Search: kelly formula (The exact phrase)
Found: 60 result(s) on The Web
Date: 14/11/2003 17.59.31

1. Kelly Formula
... First Name Email. The Kelly Formula. ... The original Kelly Formula was developed back in 1956 to solve a problem involving random interference on telephone lines. ... http://www.arbtrading.com/kelly.htm
http://www.arbtrading.com/kelly.htm
91%

2. Kelly Formula for Optimal Bet Size: Foundations of Money Management
... NOTE: A link to this article has been sent to: Kelly Formula, Data Transmission ...
http://www.turtletrader.com/data.html
91%

3. Kelly value applied to stock market speculations. Must read for any...
Kelly criterion applied to stock market game to achieve maximal performance of your investment or trading system ... of optimal betting size pops up in handicapping or money management books you always see Kelly formula mentioned. ...
http://www.hquotes.com/kelly.html
82%

4. RE: Kelly Formula
RE: Kelly Formula. To: "'Omega List'" <Omega-list@xxxxxxxxxx> Subject: RE: Kelly Formula. From: Mark Jurik <mark@xxxxxxxxxxxx>
http://www.purebytes.com/archives/omega/2000/msg07186.html
82%

5. Kelly Tool
In fact, the Kelly formula defines a limit for any long term money management strategy: It is maximally aggressive. Betting more than the Kelly...
http://www.dmtc.com/tools/kellytool2.html
79%

6. RE: Kelly Formula
RE: Kelly Formula. To: "'Omega List'" <Omega-list@xxxxxxxxxx> Subject: RE: Kelly Formula. From: Mark Jurik <mark@xxxxxxxxxxxx>
http://www.purebytes.com/archives/realtraders/1999/msg23546.html
79%

7. ARBTrading -- Free Stock Trading Systems
... Money Management Money Management Kelly Formula. Newsletter Free Weekly Newsletter Daily Newsletter. ... The Kelly Formula. Martingale Systems. Risk/Return Tutorial. ... http://www.arbtrading.com/[More results from www.arbtrading.com]
http://www.arbtrading.com/
76%

8. Armchair Analysis.com: NFL money management.
... bankroll would be huge if we were using the Kelly formula to establish our optimum bet strategy, based on our cumulative ...
http://armchairanalysis.com/money.html
74%

9. Formula has a recipe for success
... its 41-year history, $10,000 invested in the fund would today be worth $4,956,000 with all distributions reinvested, says Randy Kelly, Formula Growth president ...
http://www.formulagrowth.ca/images/fg_globe_mail.pdf
72%

10. Money Management, Bet Size and Portfolio Management at TurtleTrader
Risk management is the difference between success or failure in trading. Trend Following is 90 per ... PDF) Seykota Risk Management Resource Kelly Formula and Data Transmission White Paper by ...
http://www.turtletrader.com/money.html
72%

11. Risk
& amount the next time at the track. In no situation should your new bankroll be less than 80% of your original. Dynamic Kelly Formula With this style, you will bet a different amount of your...
http://www.surebetsoftware.com/articles/risk.htm
71%

12. Kelly Probability Optimisation
... backing up the truck". Without going into probability analysis, this might be a good place to introduce Kelly's formula. JL Kelly was ...
http://www.travismorien.com/FAQ/trading/kelly.htm
68%

13. blackjack blakjack blackjak: analyzer-simulator-online-rule
A powerful online blackjack simulator, specifies the best move for any given situation
http://www.blackjack-adviser.com/bj55.htm
67%

14. Dr.Punter FAQ
TOP 10. [1.] 32 views: What is Kelly formula? [2.] 22 views: What are Asian Handicaps? ... 11 views. 05.10.2003, 09:57, What is Kelly formula? 32 views. ...
http://www.drpunter.com/faq/
67%

15. Optimal Betting
...s advantage is negative, and to make a normal Kelly bet (proportional to advantage) when the count is favorable. The Kelly formula given by (b...
http://www.bjmath.com/bjmath/kelly/break.htm
66%

16. EquitySheet
& 0 -102 1.96 Gains / Losses 5 4088 2.20 131 131 0 40.18 (suggested % capital per trade , kelly formula ) 6 4084 2.10 -66 0 -66 35.33 mean gain/month 7 4092 2.30 174 174 0 8 4214 &
http://www.safewinner.com/hist_perf.xls
65%

17. Micro 21
& Defined formulas NADA Formulas BlackBook Formulas Kelly Formula s &
http://www.m21.com/winpages27.htm
65%

18. Stock Technical Analysis Indicators
Kelly formula gives an exact answer. This report also includes links to 2 free ebooks entitled: #1 The Mathematics of Gambling, #2 The Kelly...
http://www.stangrist.com/CyclesReport.htm
65%

19. Comments on the Kelly Betting System
... Betting involves risk as it's main ingredient, which is why the Full Kelly formula is totally useless in betting. Don't be fooled by it. ...
http://www.smartgambler.com.au/articles/article_009.html
64%

20. Risk
... optimal bet, as before, is 25% of equity. Optimizing - Using The Kelly Formula J. L. Kelly's seminal paper, A New Interpretation of ... of his work, The Kelly Formula, also applies to trading ...
http://www.seykota.com/tribe/risk/index.htm
62%

21. Mechanical Trading Systems - Money Management 8
When trading stocks or commodities the importance of Money Management is underestimated by a lot of traders. It is of much more importance than entry and exit decisions will ever be.
http://keplerweb.oeh.uni-linz.ac.at/trading/moneyMan8.htm
61%

22. Optimal Betting
...s advantage is negative, and to make a normal Kelly bet (proportional to advantage) when the count is favorable. The Kelly formula given by (b...
http://www.bjmath.com/bjmath/Betsize/sjopt.htm
61%

23. What's New at TurtleTrader? Trading Systems and Money Management...
& 04.12.2003 - Livermore Quotes. 04.09.2003 - CBS MarketWatch. 04.03.2003 - Basso Insights. 04.01.2003 - Kelly Formula . 04.01.2003 - 1 New Audio .MP3 Added. March 2003 03.30.2003 - Think Update....
http://www.turtletrader.net/new.html
61%

24. ARBTrading -- Free Stock Trading Systems
New Traders Compounding Starting Capital Stock Entry Expectancy Money Management Money Management Kelly Formula Newsletter Free Weekly...
http://www.jasonseale.com/Buy-Order-CB/arbtrading.html
60%

25. Gambling articles
& engineering problem that involved no concept of risk. Betting involves risk as it's main ingredient, which is why the Full Kelly formula is totally useless in betting. Don't be fooled by it. At...
http://www.smartgambler.com.au/articles_4.html
58%

26. Keltner Channels
Free trading systems, daily stock and trading recommendations for day traders, position and swing traders - http:www.arbtrading.com ... Money Management. Money Management. Kelly Formula. Newsletter....
http://www.arbtrading.com/keltner.htm
56%

27. http://www.seykota.com/tribe/pages/2003_July/...13-19/index.htm
... of 25% bets in the coin toss example. Your illustration of the "Kelly formula" shows your 25% conclusion to be "true". In Mathematics of Gambling by Thorp, the Kelly formula is held out as p-(1-p ...
http://www.seykota.com/tribe/pages/2003_July/July_13-19/index.htm
54%

28. Optionsindikatorn
& utan den beskriver hur mycket kapital du kan riskera på varje enskild affär när du har utvärderat ditt system.Kelly formula är mycket enkel; den mäter det som kallas för marknadsövertag dvs hur...
http://www.cardano.se/kapital_omsatt.html
54%

29. V.16:7 (318-323): Secure Fractional Money Management by L. Zamansky ...
& been the optimal amount to invest in each case. The concept of percent or fractional strategy itself comes from the Kelly formula , which estimates the percentage of your capital to trade when...
http://store.traders.com/-v16-c07-051secu-pdf.html
54%

30. The Traderclub Forum
Tharp March 26 - 10:06 pm. What does "risk" mean in Kelly's formula July 2 - 07:11 am. Winning ratio of a portfolio June 21 - 05:07 am...
http://traderclub.com/discus/messages/18/61.html
47%

31. Finding a High Profit or High Probability Trade
... The formula used to make that calculation is called the Kelly formula. ODDS Online is the only options program that is able to calculate ...
http://www.oddsonline.com/help/highprofitorprob4.htm
46%

32. www.ltg-trading.com 20030219
02/19/2003 21:03:03 EST User [gary fullett] joined forum from 198.63.240.97 02/19/2003 21:03:07 EST Hmmmmm---looks like we may not nead the bleachers tonight :) 02/19/2003 21:03:08 EST hey gary 02/19/2003 21:03:12 EST User [JohnH] joined...
http://www.ltg-trading.com/20030219.txt
46%

33. Incredible Charts: Chart Forum: PROTECTING YOUR CAPITAL
Kelly Formula, that address money management & position size issues, I haven’t been able to get my hands on all that much literature that...
http://www.incrediblecharts.com/forums/messages/11/36047.html
45%

34. January 2002 Active Trader -- Risk Control and Money Management
& to calculate this amount is to use the Kelly formula described in Finding the right amount & However, as that article explained, the Kelly formula has a major flaw in that it assumes only &
http://www.activetradermag.com/special/risk.htm
45%

35. Estimating Bankroll Requirements - Appendix C - Blackjack Therapy
... value to exceed one standard deviation unit of fluctuation. It is the same result that the Kelly formula gives, but it is derived as what bankroll is required for a FIXED betting system to survive ...
http://www.bjrnet.com/archive/BJTappendixC.htm
41%

36. Money Management, Bet Size and Portfolio Management at TurtleTrader
Seykota Risk Management Resource. Kelly Formula and Data Transmission. White Paper by Johan Ginyard (PDF) Johan Ginyard Position Sizing Interview...
http://www.turtletrader.net/money.html
41%

37. We recommend exploring the downsides of reliance on a strategy ...
... The formula derived from the Bell Engineers has long been known as the Kelly formula. The formula can get quite complex and involved. ... http://membres.lycos.fr/jstouff/articletrading.htm
http://membres.lycos.fr/jstouff/articletrading.htm
41%

38. 1 From Trading Chicago Style: Secrets of Today's Top Traders, by
The most important formula in trading is the Kelly formula. Kelly allows you to evaluate the amount of risk a system can absorb.
http://www.tradingrecipes.com/files/csmith.pdf
39%

39. SECURE F
& been the optimal amount to invest in each case. The concept of percent or fractional strategy itself comes from the Kelly formula , which estimates the percentage of your capital to trade when...
http://www.rinasystems.com/download/SECUREF.pdf
37%

40. futuresmag.com: Futures Classroom
... 10 consecutive losses you would have to bet more than $1 million just to get even. The Kelly formula, also popular with gamblers, suggests you trade (N / B) * E, where N is the advantage per bet ...
http://www.futuresmag.com/futuresclassroom/articles/fcr_a_7.html
34%

41. MoneyTec FOREX Forums? - Ideal leverage?
... Optimal f (difficult to compute), fixed fraction (I loss the formula) and kelly formula comes to mind. Read this about the Kelly ...
http://www.moneytec.com/forums/_showthread/_threadid-4474/_s-e9f3b7e45ac6c0ef471a1ddb0f6e47cf
33%

42. dsim: How to think in probability?
What proportion should go to the particular purchase? Start with Kelly formula, then adjust it downward, by half. Wait for best odds
http://www.dsim.net/view/buffett.portfmgt.probtheory.think
32%

43. Kelly Breakdown
& Should the Player Bet 52% of their bankroll? My comments: The key point to realize is that in BlackJack, the Kelly formula is just an approximation. Kelly originally considered the situation of...
http://es.udmercy.edu/~canjarrm/bj/kelly-1.htm
31%

44. Technical Analysis Wealth
... so are the returns. The right value is somewhere between, and the Kelly formula gives an exact answer. This report also includes ...
http://www.technicalanalysiswealth.com/CycleIndicator.htm
31%

45. Formula Growth
Montreal-based investment company engaged exclusively in managing U.S. equity portfolios for ... with all distributions reinvested, says Randy Kelly, Formula Growth president and manager of the $ ...
http://www.formulagrowth.ca/en/news/index.html
30%

46. Property Management Career :: Investment-Wonder.com
...for day traders, position and swing traders Excerpt: stock entry expectancy money management money management kelly formula...
http://www.investment-wonder.com/top-search/property/Property-Management-Career.htm
30%

47. ClickBank Shopping Items
... Entry Expectancy Money Management Money Management Kelly Formula Newsletter Free Weekly Newsletter Daily Newsletter EBooks Three Day ... Return on Equity The Kelly Formula Martingale Systems Ebook ...
http://www.fingerclickingood.com/cb/shopping_8.html
28%

48. Property Management Career :: Investment-Wonder.com
...for day traders, position and swing traders Excerpt: stock entry expectancy money management money management kelly formula...
http://www.investment-wonder.com/top-search/property/Quickbooks-Property-Management.htm
28%

49. ClickBank Philosophy & Religion Items
... Entry Expectancy Money Management Money Management Kelly Formula Newsletter Free Weekly Newsletter Daily Newsletter EBooks Three Day ... on Equity The Kelly Formula Martingale Systems Philosophy ...
http://www.fingerclickingood.com/cb/philosophy__religion_2.html
26%

50. eye - Spin Cycle - 12.21.00
... enough. DAVE HOLLISTER Chicago 85... the Movie (UMG) *** Former Blackstreet boy Hollister sticks close to R. Kelly's formula. His ...
http://www.eye.net/eye/issue/issue_12.21.00/music/spincycle.html
26%

51. Secure Fractional Money Management - July 1998
... The concept of percent or fractional strategy itself comes from the Kelly formula, which estimates the percentage of your capital to trade when the amounts won ...
http://www.traders.com/Documentatio...0798/Abstracts_new/Zamansky/Zamansky9807.html
24%

52. Toolbox Help
Use scripts to calculate return percentages of bookmakers etc. Weekly predictions available for tens ... follows: Odds Payout % Kelly's Formula Kelly formula or criterion calculates a reasonable ...
http://www.wibeso.com/entbhelp.htm
24%

53. Re: Money Management for small accounts
& can see your point. You have found a weakness in the Kelly formula , but it is not much of a weakness considering systems & can see your point. You have found a weakness in the Kelly formula ...
http://ctcr.investors.net/people/williams/705.html
22%

54. Attorneys Briefcase
... animations need not meet Kelly standard where tantamount to drawings used to illustrate expert testimony; no authority for applying Kelly formula to computer ...
http://www.atybriefcase.com/si.jsp?vol=evi&h=1,1549,1551
21%

55. MediaGuardian.co.uk | Media | Bad news that Blair can't bury
...linked to this government's besetting sin of spin are well known: the Iraq dossiers and Kelly, formula one, NHS statistics, the Mandelson...
http://media.guardian.co.uk/mediaguardian/story/0,7558,1011602,00.html
21%

56. © Ed Seykota, 2003 ...
Maybe that means I am trading too small? According to your example "Kelly formula" I should be risking 52% of my capital on each trade.
http://www.seykota.com/tribe/pages/2003_Jun/Jun_15_21/index.htm
19%

57. Johan's column with top predictions on tennis!
... Johan maintain a portfolio of initially SEK 2000 (USD 200) originated from when Wimbledon took off. We are using Kelly's formula as chosen strategy. ...
http://www.bettinganalysis.com/tenniscolumn.asp
19%

58. Books
& save you time and effort when calculating and structuring your multiple bets. Finally there is also the famous Kelly Formula ready to use on an Excel spreadsheet. The price in Rands for "Making...
http://www.profit.co.za/dynamic_page.asp?id=13
18%

59. Technical Analysis Wealth
Automatic Cycles of Wealth & Freedom Momentum Divergence Detector -Now you can use the Cycles of ... right value is somewhere between, and the Kelly formula gives an exact answer. This report ...
http://www.technicalanalysiswealth.com/CycleMomentumIndicator.htm
15%

60. The Traderclub Forum
Chuck Le Beau's System Traders Club Online Discussion Forum...
http://traderclub.com/discus/messages/18/1757.html
9%

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Kenshiro

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Scritto da gothicdream
ma a cosa serve la formula di kelly?

In poche parole avendo a disposizione un capitale e una statistica di eseguiti (un trading system , o un metodo di trading) conoscendo quindi la probabilita' che l'evento si verifichi , possiamo determinare quanto del nostro capitale destinare a una singola giocata .
Questo serve per fare si che le perdite che il nostro metodo di trading inevitabilmente incontrera' non ci mandino in rovina prima che le vincite arrivino.
 

Kenshiro

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Ho sentito parlare anche di variabile F e secure F che sono simili alla formula di kelly qualcuno ne sa qualcosa?