Kelly Criterion Calculation for Databank View

I would like to have the Kelly Criterion value calculated for each strategy and available as a parameter to view in the databank.  The formula is very simple and can be derived from other parameters already available in the databank.  The formula is:  K = (win %) - ((1 - win %) / (avg. win / avg. loss)).  K is expressed as a percent, and is the theoretical maximum percentage of an account that should be bet in each instance on series of probabilistic events.  Plenty of information for this available in open sources.
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  • Votes +1
  • Project StrategyQuant X
  • Type Feature
  • Status Fixed
  • Priority Normal

History

TD
#1

Timbeaux

08.11.2018 03:55

Task created

DR
#2

mentaledge

01.03.2019 16:32
Voted for this task.
MF
#3

Mark Fric

13.05.2020 12:58

Status changed from New to Fixed

wil be addedd as standard snippets to B 129

Votes: +1

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