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What is Kelly Criterion?

Statistics

켈리 공식

A formula for the bet size that maximizes long-run growth when the expected value is positive. It requires knowing the win rate and reward-to-risk ratio, and in practice those are estimates, so using the computed value as is leads to overbetting. A common approach is therefore to use only a fraction of the computed value.

Kelly Criterionappropriate sizeEdge and odds are used to calculate ‘how much to bet’oversizing raises the chance of ruin

Lessons using this term (with diagrams)

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Kelly Criterion meaning — Trading glossary | MarketSurfer