tag:blogger.com,1999:blog-4528393111359731672.post3262567871569652888..comments2024-03-24T00:19:53.054+00:00Comments on Green All Over: Kelly And The Strong DrawCassinihttp://www.blogger.com/profile/05879449876804295094noreply@blogger.comBlogger2125tag:blogger.com,1999:blog-4528393111359731672.post-49398052589658718682011-06-10T12:41:37.699+01:002011-06-10T12:41:37.699+01:00But the stakes are a percentage of the bank, and w...But the stakes are a percentage of the bank, and won't be half in money terms (after the first bet). A 5% loss followed by a 5% gain doesn't result in half the bank of a 10% loss followed by a 10% gain.<br /><br />As for the draw-down using full Kelly, the lowest the mythical 1000 point bank went down to was 889.18, a draw-down of 110.92 after a sequence 20 losers in 28 bets.Cassinihttps://www.blogger.com/profile/05879449876804295094noreply@blogger.comtag:blogger.com,1999:blog-4528393111359731672.post-61828252687022494682011-06-09T14:33:49.149+01:002011-06-09T14:33:49.149+01:00At the risk of being stupid, I'm not clear how...At the risk of being stupid, I'm not clear how a Kelly fractional makes a difference to the ROI.<br /><br />For example, if I employ 1/10th Kelly, all my stakes are 1/10th of the size, as are all my wins and losses - but my ROI remains the same? Instead of +250 +250 +250 -100 -100 -100 -100 -100 -100 from 900 staked in total for example, I have +25 +25 +25 -10 -10 -10 -10 -10 -10 from 90 staked if I use 1/10th Kelly? ROI the same in both cases?<br /><br />Also if the highest stake was 175.11, surely the biggest draw-down is more than 110.82?mouldhousehttps://www.blogger.com/profile/17214196136374354948noreply@blogger.com