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KELLY CRITERION Ed Thorp Optimal Position Sizing for Stock Trading

Nice explanation on The Kelly Criterion — calculation was created by Ed Thorp and made specifically to beat the game of Black Jack. Later used by the likes of Jim Simons and even Warren Buffet to determine position sizing for the financial markets.

Suggests using Fractional Kelly for Position Sizing (not execution risk) to optimise your trading strategy which adapts to your trading performance (or edge) over time.