Here's a little something for all the math geeks out there. I hope you guys enjoy it as much as I do.
Note: What Weideman refers to as the odds of a bet, v, is simply the win/loss ratio in trading lingo.
Ignored
Thanks for posting this. I have studied Kelly's formula for years. This is an interesting concept, but How is it a form of Kelly. I have had a chance to look at it more closely and I really do not see kelly's formula in the calculus anywhere.
Thanks for posting this. I have studied Kelly's formula for years. This is an interesting concept, but How is it a form of Kelly. I have had a chance to look at it more closely and I really do not see kelly's formula in the calculus anywhere.
It stands well on it's own though.
Ignored
Kelly's formula is usually written as f = (b*p - q)/b, where b is the odds on the bet, p is the probability of winning, and q is the probability of losing. Keeping in mind that p+q = 1, we can replace q with 1-p. We can also change the b into v. Making these substitutions gives Weideman's version of the formula, f = [p*(v+1)-1]/v.
