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Kelly Criterion
Risk Management
Was es bedeutet
A formula that calculates the mathematically optimal fraction of your account to risk on each trade, given your win rate and payoff.
Beispiel
With a 55% win rate and a 1:1.5 payoff, Kelly says risk about 18% of the account per trade. In practice traders use half-Kelly (~9%) because full-Kelly swings are too violent.
Der häufigste Anfängerfehler
Beginners plug in a small backtest sample and bet full Kelly. With a noisy estimate, full Kelly can over-bet and bankrupt you -- always use a fraction, and only on a large sample.
Verwandte Begriffe
- Position Sizing — Deciding how many shares or contracts to trade based on how much you are willing to lose, …
- Expectancy — The average amount you expect to make per trade, accounting for both wins and losses. A po…