Would You Take This Bet?

thanks, i was using 0.2 instead of 1.2 in my calcs, haha

i find edge divided by net return to be easier to calculate...so it would be 0.1 divided by 1.2 (i was using 0.2)
 
I was bored once...and out of the blue...I decided to flip my quarter:

it landed on Heads...17X in a Row! i felt like i won the Lottery or something.:eek:
i remember Googling the odds of that happening...and i might of as well ...won the lottery.
 
Am I the only one that had to look up the word "innumerate" and then the description of the Kelly Criterion?
 
Kelly does not do that implicitly. Where did you get that idea from? Care to elaborate?

kut2k2 said:
Kelly does that implicitly. The problem with Kelly is that the public formulae were designed for casino games, not for trading. Trading is not a casino game: there are no fixed probabilities and no fixed payouts. So the problem is more complicated but it can be expressed explicitly and even 'solved' to a large extent, but I don't expect to ever see a trading-worthy Kelly formula on the internet. Too much casino baggage and misapplication thereof dragging it down. Calling it something different (e.g., geometric mean maximization) doesn't seem to have advanced the science much.
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volpunter said:
Kelly does not do that implicitly. Where did you get that idea from? Care to elaborate?
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The Kelly fraction is based directly on trade returns. All their information, including their volatilities, are right there.
 
disagree. Kelly applies more to fixed bets where the odds are known but much more importantly the probabilities of winning and losing can be pretty well estimated. That does not apply at all to financial markets where your probabilities of winning and losing (essentially the probability to reach your stop loss earlier than your profit target, given you start with odds by setting stop loss and profit targets) are constantly changing as function of price volatility. Kelly especially does not take into account implied/expected price volatility. So, I strongly disagree with your statement.

kut2k2 said:
The Kelly fraction is based directly on trade returns. All their information, including their volatilities, are right there.
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rmorse said:
I'm guess almost 100% of members here would take this bet after they pass $10 for $10. I forget sometimes how risk adverse people are.
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Fun post! For me, 1:1 is a no-go and I thought it was an interesting tell when he upped to $12. The very fact that he was willing to increase his offer intrigued me to see how far he'd go before possibly accepting. Not sure I would've managed to get to $20 (depends on the actual conversation we would've had) but I definitely wouldn't have settled for the initial increase to $12.
 
I think I would have accepted the 12:10 if I could flip the coin, even if it was once, knowing I need a bigger sample for the odds to work. It was only $10. If it were $100, I would have wanted at least 10 bets, not knowing the math above.
 
rmorse said:
I'm guess almost 100% of members here would take this bet after they pass $10 for $10. I forget sometimes how risk adverse people are.


Bob
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I would not have taken the bet as a 1 off (1 time only)

When he offered up to repeat it 100 time - yeah - I'm in


RN
 
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