Assuming it's allowed you would do exactly that, since it creates a pure arbitrage (which as you approach it Kelly would tell you to be...
Although other folks, like retail FX, have a much better sample.
I can't fathom how this could happen...
Of course you could also do the same with access to a pool of consistently losing traders...
I think we're assuming A and B are independent or very close. That said, I conceptually disagree with your statement. The bets on A and B should...
It was a pretty limited "trend" though in the sense that it was driven by a desire to take out a big batch of stops (and the offer pulling to make...
Well, if you really need the EMH disproved in general, go look at the Shiller PE data. It shows pretty clearly that future equities performance...
Then get the hell off ET, buy 13 weeks, and don't worry about it. Of course, most markets are woefully inefficient and this is well documented...
If I followed your notation correctly, that would be the per-bet risk-sized return on bankroll for the strategy, which IMO is a very good figure...
Not a compelling argument. "Failing" is only relevant to the degree that something of value is being measured. Given how the combines work,...
If you're not planning to use TST for funding, you can get the exact same result by funding an account to get platform access and then trading in...
The two aren't mutually exclusive - they can have a system that selects unprofitable traders on random luck AND kicks out profitable traders due...
It's based on monte carlo equity curves with various kelly fraction bets. 1/5 to 1/10 was the range where they started looking "acceptable" to my...
Here's an amusing thing I found: if you add the option to bet on black and/or green, the solver gives almost the same solution, but puts 0.6% on...
Good call on Excel solver - I'd never used that before. I get 8.1% on 16 5.4% on 14 10.8% on red
That makes sense...
One thing I will note is that Monte Carlo simulation tends to converge slowly near Kelly bet because the volatility is pretty high (hence the...
That's your ending bankroll assuming that case occurred. So you start out with a bankroll of 1 (arbitrary unit). If that case (16) hits, you win...
The underlying math of Kelly criterion is that you maximize the expected log of your bankroll. So I actually typed slightly the wrong thing. I...
Incidentally, assuming no cheating the ratio of what you should bet is S = fraction of bankroll bet on 16 F = fraction of bankroll bet on 14 R =...
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