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Sorry but that is bollocks. First of all, we know exactly the inputs into the new Kelly formula : R1, R2, ... RN , the trade returns. Second, we don't need the right fraction to 4 decimal places, we only need it to 2 decimal places. Third, MEGO whenever I see the words 'Sharpe Ratio'...

No closed solution for the puzzle in the OP. Too many outcomes.

The new Kelly formula does better than an order of magnitude in the real world. And it's perfectly safe at half-Kelly.

So how did you get 99.4% for the next puzzle?

No. It wasn't. botpro gave the correct answer.

I still wonder why your excel solution to the OP puzzle was so off.

K-pia This jagoff just got here and he's already establishing himself as a world-class tool.

OK, one final puzzle from me: There is a 90% chance that you win 25% of your bet ; There is a 9.9% chance that you lose 5% of your bet ; There is a 0.1% chance that you lose 100% of your bet. What is your best betting fraction of your account?

So you're just using botpro's method. No need for me to dream up new puzzles for that, you can do so just as well as I or anybody else.

Before I do that, what is your current answer to the puzzle in the OP? Thanks.

Using the new Kelly formula, you can move up to half-Kelly and be perfectly safe.

Well done.

Big returns? Hardly. Here's what your 5% gets you: ((1+.05*.20)^.35)*((1-.05*.15)^.25)*((1+.05*.12)^.2)*((1-.05*.06)^.15)*((1+.05*.5)^.04)*((1-.05)^.01) == 1.00282504 In other words, your account grows on average 0.2825% per bet. And here's what GAT's 75% gets him...

Not really. Thanks for the mention and the link but the new Kelly formula gives an answer of 84%, which is farther off the mark than GAT's answer. The new Kelly formula is the best estimate of the Kelly fraction in the public domain, which makes it fairly valuable. But there is a proprietary...

News to me. In any event, it doesn't work for the six-outcome scenario in the OP. As I said earlier, GAT's answer is the best so far.

No problem. You're learning, which is the most important thing. As you've probably gathered from the other posts, this is a Kelly-type problem, but given its complexity, no simple Kelly formula or Kelly calculator is going to give a satisfactory answer. If no one posts the best answer, I'll...

Those links are based on bad formulae. I've posted tons about this. Do the search. The reason I asked for a number from you was so you could see for yourself how awful those calculators are for anything more complicated than a simple casino bet. You can lead a horse to water but you can't...

75% is darn close to the answer I got.

No, I'm not asking you to pick one of the outcomes. They all are present at all times, even though only one of them will occur for any particular bet. Think of them like the six sides of a gambling die. All six sides are always present, but only one side at a time will ever be on top. The...

Betting the ideal bet size will increase your betting account almost 3% per bet on average. So you tell us: is it worth it?