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Kelly Criterion
Risk Management
どういう意味か
A formula that calculates the mathematically optimal fraction of your account to risk on each trade, given your win rate and payoff.
例
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.
初心者がよくやるミス
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.
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