Kelly's formula was used to help plan the design of electronic bit stream, and was later quoted in 2 1 point gambling.
Weiss's paper "The Fund Management Formula of Gambling Blackjack" gives a new explanation of information proportion and discusses the concept of information flow, which is now called Kelly Formula by futures traders.
2. f = ((r+1) * p-1)/RP = percentage of system profit accuracy R= ratio of trading profit to trading loss.
3. If the accuracy is 65% and the winner is 1.3 times that of the system instance, then f = ((1.3+1) * 0.65-1)1.3 = 38 of the funds used for trading.
4. Kelly's formula was originally designed to help plan the design of electronic bit stream, but it was later quoted to bet 2 1 point. The trouble lies in the simple fact that 2 1 point is not a commodity or a transaction.
5. When betting on 2 1 point, the gambling books that will be lost are limited to the chips invested, and the profits that may be won are limited to the betting chips, but the degree of winning or losing in commodity trading is not accurate, which will have a great impact on assets or winning or losing.
The origin and history of Kelly's formula are a bit complicated and unimportant. Terminology has always been used to commemorate and deify concepts. Simply put, she is a proportional formula, which can be used to guide people's investment.
First, let's give an example to explain the concept of proportion. Proportion: If the principal is 1000 and the investment is 10%, then the investment is100; If the principal is 900 and the investment is 10%, then the investment is 90; If the principal is 1 100 and the investment is 10%, then the investment is 1 10. After knowing this concept, we should establish a continuous concept.
That is to say, this investment is the proportion of the last remaining total: if the principal is 1000 and the investment is 10%, then the investment is100; If all is lost, there is still 900 left, and the investment is 90; If you win, there is still 1 100 left, and the investment is 1 10.
The biggest advantage of this kind of investment is that even if our investment fails 20 times in a row, we will not go bankrupt: so Kelly formula is bankruptcy-proof.
Don't underestimate the above table, and don't think it's easy to do, because most people do the opposite: excessive consumption and excessive investment. The most obvious example of over-investment is to double investment after failure. If you fail 20 times in a row, this way is suicide, which often happens in real life.