The Kelly Criterion is a method of analyzing your odds and assigning a number to those odds. 0. But in most cases, to win on a trade we need. It can seem counterintuitive in real time. The method is based on a mathematical formula designed to enhance expected returns while reducing the risk involved. Trading using the Kelly Criterion produces the fastest growth. 60 – 0. The Kelly Criterion. The Kelly criterion is otherwise called Kelly bet, Kelly formula, and the Kelly strategy. Handbo ok of Asset and Liability Management, Volume 1, Edite d by S. There is a 60% chance of a winning a coin flip. Works best when used in retrospect. Currently i risk 2% of capital. 1, 2. It became notorious among equities traders because it was said that Warren Buffet uses a version of it when he’s picking his investments. Search in titleThis paper presents a model to address the uncertainty inherent in replacement problems, whereby a firm must select between mutually exclusive projects of unequal lifespans by applying the Kelly criterion (which is not well known to the engineering economics community) within a binomial lattice option-pricing environment. In this section, we propose an option trading model, which better fits the usage of the Kelly criterion. The Expectancy Tool analyzes your historical trading results and determines your overall expected return in dollar per dollar at risk. Big-time investors such as Warren Buffett and Bill Gross have recently revealed that they use a form of the Kelly Criterion in their investment process. L. And with that result, we’ve arrived at our destination. We are giving you two options on how to use the Kelly Criterion Calculator. Kelly Criterion Staking Method Explained What is the Kelly Criterion formula? The basic Kelly Criterion formula is: (bp-q)/b B = the Decimal odds -1 P = the probability of success Q = the probability of failure. With its gambling origins, does the Kelly Criterion have any application in the trading world? Let’s put it to the test!🔴 Use StrategyQuant to automatically. B = fractional odds (reward to risk) or the ratio of the win to. K = p x B (1 – p) / B Where: f = fraction of wealth wagered or % of making the highest profit on investment or gambling. To be honest I have been successfully using the simple/naïve Kelly Criterion for years and haven’t bothered looking anywhere else. The result has been stellar, with over $1million in profits in just a few short years. Optimising profit potential. The formula in D5 is where Kelly does the magic: =(D1*D3-1)/(D3-1) The result is the proportion of your bankroll recommended by the Kelly Criterion. 05/1 = . 36 – 3,60,000. Although it may appear confusing, it’s actually pretty simple. Try out the Kelly Criterion Calculator below, but pay careful attention to heavy favorites (i. In this video, you will learn how to maximize account growth by defining optimal position size using a fractional Kelly Criterion approach and minimizing you. To calculate the optimal bet size use Kelly's criterion. This formula determines the optimal % of your account that you can bet to get the most profitable outcome in the long run. Let’s calculate K for our scenario: Dutching Calculator - Know Your Stakes Quickly - Dutching Calculator tells you how much to stake on each selection to ensure an equal profit no matter which one wins, also known as the Dutching System. A question like this is tough to work out intuitively, but the Kelly criterion advises an investment of 12% of total capital. If you want to be more conservative than the Kelly criterion, enter a value less than 1 (e. Gamblers use this percentage to. Explore math with our beautiful, free online graphing calculator. 39 - 5. More. Parameters: win_p: float, probability of winning. 3 – [ (1 – 0. So am I correct in assuming the Kelly Criterion is: =0. 60 = 0. " GitHub is where people build software. Well, say hello to Kelly’s Criterion! 14. 1 Option Spread Trading Based on Kelly Criterion. Add your expected win probability for the selection you have chosen in the cell called “Win Probability”, using values between 0% and 100%. Works quite well in many ways, but has serious limitations when used for trading. How to use the Kelly Criterion to manage money based on your stock trade history. The more there are, the better. The Kelly Criterion requires there are no other rules other than the Kelly Criterion. And that article is using the same hypothesis that I am - look at your OWN trading record to calculate probabilities, etc. One thing that complicates the matter is that short term results can vary widely from the long term. U = (30% of $10000) / $200 = 15. Disclosure. Both bets and trading positions deal with probabilities. This is related to the above points about more control and lower fees, but it goes beyond that. Put simply, the Kelly Criterion or Formula is a way to calculate how much of their assets a Forex trader should risk on any given trade in order to maximize the return. Professional traders and investors globally use the Kelly Criterion, a formula, to determine what percentage of their total capital they should put in a single trade. In probability theory, the Kelly criterion (or Kelly strategy or Kelly bet) is a formula for sizing a bet. In addition, the Kelly criterion is applied to determine the proportion of money invested in stock to decrease the risk of trades. The strategy is prevalent and is used as a revered staking plan among stock market investors and sports bettors to gain an edge. Kelly Percentage = W – [(1 – W) / R] W - Winning probability; R - Win/loss ratio; With your trading records, you can calculate your winning probability and win/loss ratio easily. The Kelly Criterion is a money management formula that calculates the amount you should bet when there is a difference between the “true” odds and the given odds. 52, payout_perc=1) # 0. That is, put them at risk in the future. 2. Ralph Vince wanted to improve the Kelly formula for trading and calculate mathematically what amount should be put into a trade depending on the expected yield. 25%. W = Historical winning percentage of a trading system. Thanks. 2. It results in the maximum expected rate of bankroll growth, and is the optimal strategy for money management in betting games. , -200 odds and shorter) because the Kelly Calculator struggles with “sure things. KELLY CRITERION | Ed Thorp | Optimal Position Sizing For Stock TradingThe Kelly Criterion calculation was created by Ed Thorp and made specifically to beat t. For an even money bet, the Kelly criterion computes the wager size percentage by multiplying the percent chance to win by two, then subtracting one. Make a copy and edit the cells highlighted in yellow to see what the optimal bet is. the Kelly Criterion formula to calculate your stake. Try out the Kelly Criterion Calculator below, but pay careful attention to heavy favorites (i. The formula is as follows: f = the fraction of the bankroll to bet. As an example, the next image shows the progression of the equity curve with the same sequence of gains and losses, using 15% and 25% trade sizes in the mentioned coin-toss game. Kelly Criterion, works by looking a traders historical win/loss and gain/loss performance and optimizes the next trade risk basis on overall performance history. , which relates to the long-term growth of capital. - Kelly Criterion - Historical performance based risk Option Trading Tools: - Covered Calls - Buy stock. 0003%. The Optimal F system of money management was devised by Ralph Vince, and he’s written several books about this and other money management issues. It is the probability of the anticipated wager winning. Two simple components make up the Kelly Criterion, the first is the probability that a trade you make will return positive winnings – and the second is the win/loss ratio. So, if trading monthly long options is your game, your optimum sizing is ~ 5 to 6 option trades per months each ~ 20% of your total risk capital. It is vital that your Avg. November 05, 2017 / 11:09 AM IST TradeCalculates theoretical hold including sports betting exchange commissions based on an Excel range of US or decimal odds. Financial trading is an interesting research issue to many experts and scholars. There’s something uniquely satisfying about earning profits for yourself. Updated: Sep 7, 2023. One should not commit more than 20% to 25% of the capital into single equity regardless of what the Kelly criterion says, since diversification itself is important and essential to avoid a large loss in the event a stock fails. The reason is because in order for the. Mcbac , 03/27/2019. Kelly % = W/A – (1 – W)/B, where W is the win probability, B is the profit in the event of a win, and A is the potential loss. The second way algorithmic traders can utilize the Kelly Criterion uses. KELLY CRITERION | Ed Thorp | Optimal Position Sizing For Stock TradingThe Kelly Criterion calculation was created by Ed Thorp and made specifically to beat t. The Kelly Criterion is to bet a predetermined fraction of assets, and it can seem counterintuitive. Then, plug them into the equation. Therefore, your probability is . We use an example to explain the trading model. 11 hours. The Kelly Criterion is a method of analyzing your odds and assigning a number to those odds. e. Facebook. The Kelly Criterion tells you the position sizes you should be taking on your next trade. Even if using 20% of an ever decreasing account balance never blows out your account completely, this is not smart trading. I tried to write a real-time trading system, however do not know how to fit a Kelly model into the system. The system will automatically calculate everyday 12AM while I want to add another function which is auto placed order with certain stakes (by applied Kelly criterion model) once got the calculated forecast price. 0) than a 5% edge at 1/3 (1. ” In the more common cases, the value that solves for the Kelly Criterion is not the optimal “fraction” of a trading account to risk. Chopra and Ziemba (1993), reprinted in Section 2 of thisWhatever method you use it’s important to understand that the Kelly Criterion assumes you continue trading in the same way you have in the past. Kelly, Jr in 1956. You enter your current bankroll in D4. Vilhelm Gray over 3 years. Ultimately, the Kelly Criterion formula calculates the perceived edge you have. Stock Trading tools and resources. Now lets calculate the FINAL PROFIT: 49,81,083. Using the results from your past trades calculate ‘W’, which is the probability of a trade ending as a. b = the decimal odds – 1. Inside you will find the resources and guidance you need to. 67%. Calculate the expected returns of an asset. Gehm (1983) applied the Kelly criterion to the commodity market when trading futures and later on also Balsara (1992) used. Here is how to optimize a variable using the "Kelly Criterion" script: - Create a new trading system then add the Kelly Criterion. It's free to sign up and bid on jobs. The Kelly criterion calculator is a powerful tool for managing your money when gambling or investing. Facebook. Therefore you can calculate your edge as follows: Edge = (1+1) (47. 62. 0% of similar occasions, you would expect to gain $99. Today the best prop trading firms use this formula to maximize the possible. 69 + 20,77,475. Here are the steps that you have to follow in order to use our Kelly Criterion Calculator: Add your current betting balance in the cell called “Current Betting Balance”. where: K – optimal % risk. The Kelly criterion is the bet size that will produce the greatest expected growth rate in the long term. . If you do the research, take the risks and learn from. Kelly Criterion Calculator - Know Your Stakes Quickly - Kelly Criterion determines how much of a stake you should risk on a favorable bet, is a popular staking method which suggests that your stake should be proportional to the perceived edge. 20 or 20%. The Kelly Criterion: A mathematical formula relating to the long-term growth of capital developed by John Larry Kelly Jr. This money management system is. 02. With that in mind, Edward O. cash or bonds). A question like this is tough to work out intuitively, but the Kelly criterion advises an investment of 12% of total capital. This is because, as explained later, the Kelly Criterion doesn’t produce an “optimal fraction to bet,” but rather a leveraging factor. , and is analogous to the one in Fortune’s Formula: Kelly % = edge/odds. A Kelly Criterion sports betting calculator can be used to manage your sports betting bankroll and determine optimal bet sizing. Enter your assumptions in the fields below Win probability should entered as a number between zero and one (use 0. R = Win/loss ratio The output from the equation is called the Kelly Percentage, and it has many applications beyond portfolio management. estimated Kelly criterion ratio. First thing to note: growth rate is always sloping down at k = 1 = α. p. 6 winning probability. 6. You can use this Kelly calculator to speed up the process. • W =. 124 2 = 5. Search for jobs related to Kelly criterion calculator trading or hire on the world's largest freelancing marketplace with 22m+ jobs. That is, put them at risk in the future. Let XIt causes that the position size is hard to be estimated by the Kelly criterion. where “a” and “b” are the amounts. Or, regretted trading in a small quantity in a high-performing trade? In both cases, position sizing could have helped by: 1. Risking 2% does not mean buying with 2% of capital. Generally, the Kelly criterion is a formula that maximizes the expected value of the logarithm of wealth that is equivalent to maximizing the expected long-term growth rate. 48. 77 = $91. 8 million during the three months leading to Sept. The simultaneous events Kelly calculator is a tool that punters can use to calculate how much they should increase their bankroll by betting on a series of events, using the Kelly criterion formula. From the graph, betting with the Kelly Criterion clearly has an advantage over constant betting. In the one asset two valued payo case, the optimal Kelly wager is the edge (expected return) divided by the odds. And with that result, we’ve arrived at our destination. Information is provided 'as is' and solely for informational purposes, not for. To maximise your outcome try to bet on events which have the closest odds at the bookie and exchange, for example betting Arsenal to win a match at 2. Because, yeah changing the bankroll is absolutely key. Consider how aggressive Full Kelly is, and if that's truly your risk appetite. The idea was derived from an American scientist John L. The widget below calculates how much one should bet based on three factors. Figure Two: The. More thoughts on Kelly and trading here and here. Here are the statistics traders need to calculate the Kelly Criterion: Kelly Criterion Calculator is a tool for finding the optimal investment size to maximize profits on repeated investments. The formula is as follows: Kelly Formula . q. Compared with prior studies, they argued. Imagine we have a trading system with a win rate of 65%. For example, a $100 stake at 3. where: K – optimal % risk. From the recent events in the financial market correction, I thought it would be a fun time to talk about risk management. Read William Hill Review. 67%. The Kelly Criterion is actually optimal as can be proven with a simple spread-sheet. The formula takes advantage of the law of large numbers in probabilities. In the third event on the Belmont program, you find an angle play that has a 15 percent strike rate and 8-1 average winning odds. Kelly % = trading capital to use in one trade. Should you wish to use the Kelly Criterion Calculator for a new calculation, simply tap the RESET button in green. 5). simplified(win_p, rr) simplified version of the kelly criterion formula. Your 'odds offered' are '2 to 1' (so enter 2 ). 00 =. The first of these is the probability of a positive outcome, or a winning trade. The Kelly Criterion is a popular method of bankroll management used in the sports betting world. 1. For example, a $100 stake at 3. 077 / 0. A Kelly Criterion sports betting calculator can be used to manage your sports betting bankroll and determine optimal bet sizing. 3. Figure 9. What is Kelly Criterion and Kelly Value?The formula you have quoted is the discrete Kelly criterion. 2 – Kelly’s Criterion. The picture above has 2 simulations of betting at 20%, 50%, and 75% and 4 at the Kelly Criterion amount. Kelly Jr in 1956 that determines the optimal risk per trade for a trading strategy or betting system with a positive edge. Examine your trading history to determine this (ie. 36%)-1 = -5. How probabilistic forecasts can be fully leveraged to an optimal allocation using the Kelly criterion. The Kelly Criterion is comprised of two basic components. I can run backtest simulations to get a sense of historical "edge" and "odds". The second point is that the trading strategy is difficult to determine the winning rate in the financial market and cannot be brought into the Kelly criterion to calculate the optimal fraction. Wynn Palace generated a revenue of $524. com Make your sports betting experience easier with our Kelly Criterion calculator, learn about the Kelly Criterion and how much you should wager to maximise your profits! Get Our FREE Betting Calculator App Results The odds are in your favor, but read the following carefully: According to the Kelly criterion your optimal bet is about 5. Big-time investors such as Warren Buffett and Bill Gross have recently revealed that they use the Kelly Criterion in their investment process. The reward/risk ratio can be computed by the quotient: It is a criterion traders must set for themselves prior to entering a trade. After Thorp (1969) widened the use of Kelly criterion it has been suggested by a several authors during the years. You can read more about how it works in this Kelly Criterion Wikipedia article. What is the Kelly percentage? Basically, the Kelly percentage provides information on how much one should diversify. He gives lectures to various institutions including The World Bank, Carnegie Mellon, and billion-dollar hedge funds. B – payout on the bet. Kelly Jr in 1956 that determines the optimal risk per trade for a trading. Insane. Position Sizing can make or break your trading results. 5 if you want to wager 50% of the stake recommended by the Kelly criterion). Kelly Criterion Calculator is a tool for finding the optimal investment size to maximize profits on repeated investments. 8% of your total bank roll. For a single commodity, the most critical skill is the position sizingyeah, multi-tabling is the challenging part that I haven't figured out. Kelly % = WR – [ (1 – WR) / PR] Where: WR = The probability that any given trade will return a positive amount. The report. When the account value changes to $8,000 or $12,000, you will use $4,800 and $7,200 respectively for the. The Kelly criterion is the bet size that will produce the greatest expected growth rate in the long term. Many adages exist: don't bet more than 2% on one trade, don't enter trades that don't have x% upside, never bet on the same stock twice in quick succession, etc. So, here’s what looks like a trivial piece of code, but is actually quite powerful: This article was originally. This is literally what casino's use to make rules about customer bet sizes to avoid their own ruin. Avg win 2300, avg loss 2000. From video with Daniel Jassy (Spider Crusher):. which gives you the optimal amount to bet ( f*) given the probability of. P – odds of winning. which gives you the optimal amount to bet ( f*) given the probability of. However, finding that amount to invest requires immense confidence in your ability to research and come up with precise and accurate probabilities and accompanying magnitudes. Thorp: Beat the Dealer. 50 and your odds are 2, so you should bet 25% of your bankroll ($0. Euan Sinclair has some great stuff on how we can modify KC in his latest book, positional options trading. Thus the Kelly leverage. , -200 odds and shorter) because the Kelly Calculator struggles with “sure things. We explain how it works, and discuss its advantages and disadvantages. g. 40) / 1 = 0. How to develop a good trading strategy to achieve long-term stable profit is the dream of many people [14]. The Kelly Criterion gives an optimal result for betting based on the probability of winning a bet and how much you receive for winning. 30, up 598%. The Kelly Criterion tells you the position sizes you should be taking on your next trade. The Kelly Criterion is a mathematical formula that helps gamblers determine optimal bet sizes and maximize profits. 1142/7598 Google Scholar; Markusson, O. The Kelly Criterion is a formula that was developed by John L. 99 Losses using this model: 119 - 12. With every single bet, your stake adjusts to a proportion or your current bankroll; a percentage of your bankroll at the time of betting. Take Profit (%): Stop Loss (%): Portfolio ($): CalculateThe Kelly Criterion is a formula to determine the proper size of a bet with known odds and a definite payout. W = The win percentage of the trading strategy The Kelly Criterion is a money-management formula that calculates the optimal amount you should bet when there’s a difference between the true odds and the given odds. You need to input the probability (according to your own assessment) that your selection will win. addition to trading signals, a suitable trading strategy is also crucial. The continuous Kelly criterion states that for every i i th strategy with Sharpe ratio Si S i and standard deviation of returns σi σ i, you should be leveraged fi = mi/σ2i = Si/σi f i = m i / σ i 2 = S i / σ i. Take Profit (%): Stop Loss (%): Portfolio ($): CalculateFor example, Markusson and Ohlsson applied the Kelly criterion to the Swedish stock market, and the return was about five times the market value of the same period. class KellyCriterionStrategy (bt. , a researcher at Bell Labs, in 1956. L. Trying to find the best way to fit a circle into a square is challenging and risky. 52 q=0. The Kelly percentage is calculated using: The Win Ratio (W): This is the probability of a trade having positive returns. Here is a range of useful trading calculators I made up in an excel spreadsheet, it includes: Simple and advanced money management, trade cost, trade accuracy, kelly criterion, consecutive losses, growth projections, monthly turnover volume, pip value, and account cumulative profit/loss percentages. You're advocating using full Kelly to calculate the stake/units staked within a unit staking system. The goal was to figure out the best ways to manage signal-noise. Does apply kelly now give better results? If kelly value is say 44k. payout percent 1), you. It can seem counterintuitive in real time. When applied to real-world stock data, the correlation coefficient between the proposed KSI and log-returns based on the Kelly criterion was −57. Notice that, when the assets are not correlated, the optimal result is the same as for a single asset. To use the kelly criterion reasonably in trading you will need to follow these steps: Access at least one sample of one hundred trades you have executed. We'll talk through the basic idea as well as the four factors or variables you need to calculate the Kelly Criterion. John Larry Kelly, Jr. Winning Probability : Enter the probability of earning a profit from investment. 4. Currently i risk 2% of capital. My RoR is thus 0. The trade calculator tells you how much your trade size should be based on your risk profile you specified to the left in the "Percent Bankroll used". If you check out Wikipedia or Investopedia, you’ll see formulas like this: f ∗ = p − 1 − p b − 1 f ∗ = p − 1 − p b − 1. The Kelly criterion is a formula for sizing a bet or investment, aiming to maximize the expected geometric growth rate of wealth. g. 025. if anything, it. Economic Data; Blueprint; My Service. The Kelly Criterion was developed by mathematician John Kelly and can be applied to a variety of casino games and sports bets, but can also be applied to trading. 1. g. For example, a bet placed at -122 odds has an implied probability of 55 percent. e. However, unlike in the previous situation we examined the Kelly Criterion for, there is not a nite number of outcomes of a bet on a security, so, we will use The Kelly Criterion is straightforward to calculate: you only need two inputs to determine the optimal betting size: The win/loss ratio – the win percentage of your trading strategy (R) (dividing the total gains of the winning trades by the total loss of the losing trades) The win ratio of the trading strategy (W) (the number of trades that. Keywords: Kelly criterion Option trading Profitable gamble Optimal f 1 Introduction The Kelly criterion [1] can be regarded as an optimization process for wagering ratios. Here, WR is also the win rate (in decimal form) and PR is also the payoff ratio. If they allow the customer to bet too big in the start they might be able to win and wipe them out in one go, but forcing customers to use small bets ensures that profit approaches the expected value, which for all games is tilted in the casino's favor. 0003%. Daily returns are computed from the adjusted prices observed on daily basis from January 1, 2007 to December 31, 2018 (2,920. I don’t care how mathematically sound the Kelly Formula might be… trading from the standpoint of greed is asking for trouble. This means if the Kelly Criterion advises a bet at 10% of your bankroll, if you’re using 1/2 Kelly it would be 5%, 1/4 2. Now that you have W and R, you are ready to calculate Kelly percentage number: Kelly percentage number = 0. Conclusion. Refresh the page, check Medium ’s site status, or find something interesting to read. 15 and laying the same outcome at 2. Kelly can be murder during a bad losing streak, so sports bettors often reduce the Kelly. Published: Nov 8, 2023. The Kelly Criterion calculation is used to calculate the optimum stake or position size for a given event, and is made up of four factors. 0%. Time: 20:00 Date: 2023-11-08. Also, learn money management terms and identify inherent risk in the financial markets. There are two key components to the formula for the Kelly criterion: the winning probability factor and the win/loss ratio. W = The win percentage of the trading strategyThe Kelly Criterion is a money-management formula that calculates the optimal amount you should bet when there’s a difference between the true odds and the given odds. Preventing big losses 2. I start trading a mean reversion strategy with a 70% win rate, and $200 risked per trade. Use the Kelly Criterion to identify the mathematical optimum amount of capital which you should alloc. For example if you wager Black in roulette your profit ratio is 1 to 1, and the win probability is 47. 00 being returned. The standard kelly betting is 1. Does apply kelly now give better results? If kelly value is say 44k. 12 winning trades out of 20 total gives 60% Winners) These columns have the greatest impact on the Kelly equation. The Kelly formula (edge/odds), in expanded form, is: (P*W-L)/P. 32 = $101. Daily returns are computed from the adjusted prices observed on daily basis from January 1, 2007 to December 31, 2018 (2,920. This formula. Where: f* = fraction of bankroll to bet. CEED. The Kelly criterion is a formula developed by John Larry Kelly in 1956. R = Historical Average Win/Loss ratio. Kelly Criterion. Ranking among the top-performing. You should. 01. The Kelly bet size is found by maximizing the expected value of the logarithm of wealth, which is equivalent to maximizing the expected. Cash 2001 World Cup Trading Champion "Money management cannot ensure that you always make spectacular returns, but it can help you limit your losses and maximize your gains through efficient diversification. ie Full Kelly where there is any uncertainty is not optimal! They then go on to describe (in their model) how to find the correct "shrinkage coefficient" (what I call α) as a function of uncertainty; α = (p−q)2 (p−q)2+σ2 = SR2 SR2+1. In addition, we know that the average winning trade produced a profit of $1500, and the average losing trade lost $500. Because betting odds have associated probability, we can use that to help calculate our suggested wager. 09. 2. 04. You may notice a pattern too where if you have an even-money bet (i. The Kelly criterion calculator is a powerful tool for managing your money when gambling or investing. Odds The odds offered by the bookmaker or exchange. Kelly Jr in 1956 that determines the optimal risk per trade for a trading strategy or betting system with a positive edge. Library "FunctionKellyCriterion" Kelly criterion methods. Enter the Kelly Criterion. If a fully Kelly stake was 8%, then the half-, quarter- and eighth-Kelly stakes would be 4%, 2% and 1% respectively. While this formula is great, it still only. Following the Kelly Criterion enables you to manage your bankroll wisely in the long run and maximize your. This is how the simplified Kelly looks. is the author of the Kelly criterion formula from 1956. 3. Kelly Jr. The Kelly bet size is found by maximizing the expected value of the logarithm of wealth, which is equivalent to maximizing the expected. The Kelly Criterion is 6. Kelly Criterion gambling is especially popular in sports betting and can potentially help you become a successful bettor. ) Kelly criterion will maximize your (log) account if the maximum possible loss is exactly 100%. It is widely applied to sports betting and casino gambling. Blog. Sell options. Method 1 Method 2 The calculation of the Kelly criterion includes two main factors: the probability of winning and the win-loss ratio of the trading strategy. Full Kelly has an interesting property: there is an X% chance of your bankroll dropping to X% of what you started with 5.